BTC Dual Momentum v2 — Crypto Momentum Strategy

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Strategy

Dual-timeframe momentum with vol-targeted leverage — full size when both 7d and 30d returns are positive, half size when only 30d is positive, plus a 15% trailing stop.

Signal Construction

Short momentum: 7-day price return
Long momentum: 30-day price return
Full signal: 30d > 0 AND 7d > 0 — leverage = vol_target / vol_60d
Half signal: 30d > 0 AND 7d <= 0 — leverage = (vol_target / vol_60d) * 0.5
No signal: 30d <= 0 — position = 0 (cash)

Portfolio Construction

Asset: BTC only (single-asset backtest)
Entry: When 30d return turns positive. Exit: When 30d return turns negative OR trailing stop hit
Trailing stop: 15% from peak price — exits immediately if price < peak * 0.85

Risk Management

Vol target: ~30% annualised (volatility-scaled) — leverage = 0.40 / realised_vol_60d
Leverage range: Clipped at max 1.5x
Fees: 7 bps round-trip
No regime filter — BTC-only strategy

Universe

BTC only · Binance Futures · Stablecoins & wrapped excluded · Deterministic tie-breaking · Equal-weight positions

Execution

Momentum · Long Only · 7bps RT fees · Daily rebalance · Vol-targeted leverage

Result

$50,000 → $284,556 over 6.4 years

These results are based on historical backtesting and are hypothetical in nature. They do not represent actual trading results. Backtested performance does not account for real-world factors including slippage beyond fee assumptions, exchange downtime, liquidity constraints, market impact, and execution delays. Actual results may differ materially.

Robustness Checks — 1/5 passed

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Sample Size

22 trades — insufficient for reliable conclusions

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Regime Testing

Profitable in 4/7 years tested; 2022 bear market: -27.6%

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Decay Analysis

Performance decay detected — first half avg Sharpe 0.61, second half -0.08 (-13% retention)

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Monte Carlo

Not significant (p=0.282) — 28.2% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill

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Walk-Forward OOS

IS Sharpe 0.97 (2020-2022), OOS Sharpe 0.97 (2023-2026) — 100% retention on unseen data

Loot-Fi publishes historical backtesting research for educational purposes only. Nothing on Loot-Fi constitutes financial advice, a recommendation to buy or sell any asset, or an invitation to invest. Past performance in backtesting does not guarantee future results. All trading involves risk, including the loss of your entire investment. You should consult a licensed financial adviser before making any investment decisions.