BTC Monthly Momentum
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Total Return
+1291.9%
CAGR
+51.3%
Sharpe
1.22
Max Drawdown
-46.8%
Annual Vol
40.9%
Win Rate
28.5%
Starting Capital
$50K
Fees
7bps RT
Trades
~22
Timeframe
Daily
Max Leverage
~1.5x
Robustness
1/5
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Strategy
Simple trend-following rule: go long BTC when its 30-day return is positive, hold cash when negative.
Signal Construction
  • Signal: 30-day price return = close[t] / close[t-30] - 1
  • Rule: If 30d return > 0 then position = 1.0, else position = 0 (cash)
  • Binary signal with no partial sizing — fully in or fully out
Portfolio Construction
  • Asset: BTC only (single-asset backtest)
  • Sizing: Full position (1.0) when signal is active
  • Entry/Exit: Re-evaluated daily. Enters when 30d return crosses above zero, exits when it crosses below
Risk Management
  • Fees: 7 bps round-trip per trade
  • No vol targeting or leverage — position is always 0 or 1x
  • No regime filter (this IS the regime signal)
Universe
BTC only · Binance Futures · Stablecoins & wrapped excluded · Deterministic tie-breaking · Equal-weight positions
Execution
Trend Following · Long Only · 7bps RT fees · Daily rebalance · Vol-targeted leverage
Result
$50,000 → $695,940 over 6.4 years
Equity Curve — $50K start (2020 – 2026)

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.

Drawdown
Robustness Checks — 1/5 passed
✗
Sample Size
22 trades — insufficient for reliable conclusions
✗
Regime Testing
Profitable in 4/7 years tested; 2022 bear market: -41.9%
✗
Decay Analysis
Performance decay detected — first half avg Sharpe 0.84, second half 0.14 (17% retention)
✗
Monte Carlo
Not significant (p=0.269) — 26.9% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
✓
Walk-Forward OOS
IS Sharpe 1.07 (2020-2022), OOS Sharpe 1.07 (2023-2026) — 100% retention on unseen data
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Monthly Returns

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.

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