BTC Leads Memes — Crypto Cross-Asset Strategy

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Strategy

Exploits BTC leading altcoins by 1-3 days — goes long high-beta alts after BTC pumps and short after BTC dumps.

Signal Construction

BTC trigger (long): BTC 3-day return > +3%
BTC trigger (short): BTC 3-day return < -5%
Alt beta: rolling 60-day correlation * (alt_vol / btc_vol) — measures sensitivity to BTC moves
Selects the 10 highest-beta alts for both legs

Portfolio Construction

Positions: 10 high-beta alts (long or short depending on BTC direction)
Weighting: Equal weight (10% each)
Rebalance: Every 3 days

Risk Management

Vol target: ~60% annualised (volatility-scaled) — leverage = 0.50 / realised_vol_60d
Leverage range: Clipped between 0.1x and 3.0x
Regime filter: None — uses BTC moves as the directional signal itself

Universe

Binance Futures · Meme coins (DOGE, SHIB, PEPE, etc) · Triggered by BTC daily pump >3% · Stablecoins & wrapped excluded · Deterministic tie-breaking · Equal-weight positions

Execution

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

Result

$50,000 → $455,005 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 — 2/5 passed

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Sample Size

290 trades — adequate sample size

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Regime Testing

Profitable in 5/6 years tested; 2022 bear market: +169.7%

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Decay Analysis

Performance decay detected — first half avg Sharpe 1.46, second half 0.28 (19% retention)

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Monte Carlo

Not significant (p=0.112) — 11.2% 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 1.34 (2020-2022), OOS Sharpe 0.56 (2023-2026) — performance degraded out of sample

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Monthly Returns

Best & Worst Trades

Top 20 Trades
#	Coin	Entry → Exit	Return
1	DOGE (LONG)	2021-04-13 → 2021-04-16	+416.2%
2	PNUT (LONG)	2024-11-11 → 2024-11-14	+351.8%
3	WIF (LONG)	2024-02-27 → 2024-03-01	+163.6%
4	1000PEPE (LONG)	2024-02-27 → 2024-03-01	+120.7%
5	1000BONK (LONG)	2023-12-05 → 2023-12-08	+106.5%
6	1000SHIB (LONG)	2021-10-01 → 2021-10-04	+87.1%

Bottom 20 Trades
#	Coin	Entry → Exit	Return
1	1000BONK (LONG)	2024-01-02 → 2024-01-07	-31.3%
2	WIF (LONG)	2025-03-03 → 2025-03-08	-29.9%
3	PNUT (LONG)	2025-03-03 → 2025-03-08	-24.8%
4	1000PEPE (LONG)	2025-03-03 → 2025-03-08	-24.5%
5	DOGE (LONG)	2025-03-03 → 2025-03-08	-19.6%
6	1000SHIB (LONG)	2025-03-03 → 2025-03-08	-16.5%

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.