BTC Quarterly Momentum — Crypto Momentum Strategy

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Strategy

Long BTC when the 90-day return is positive, with position size that scales with momentum strength.

Signal Construction

Signal: 90-day price return = close[t] / close[t-90] - 1
Strength scalar: min(ret_90 / 0.30, 1.0) — normalises 0-30% return to 0-1 range
Position: base_leverage * (0.5 + 0.5 * strength) — ranges from 50% to 100% of base
Stronger quarterly trends get larger positions

Portfolio Construction

Asset: BTC only (single-asset backtest)
Entry: When 90d return turns positive. Exit: When 90d return turns negative

Risk Management

Vol target: ~30% annualised (volatility-scaled) — base leverage = 0.40 / realised_vol_60d
Leverage range: Clipped at max 1.5x
Fees: 7 bps round-trip

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 → $338,595 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 — 3/5 passed

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Sample Size

24 trades — insufficient for reliable conclusions

✓

Regime Testing

Profitable in 5/6 years tested; 2022 bear market: -13.3%

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Decay Analysis

No decay — first half avg Sharpe 0.52, second half 1.15 (222% retention)

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Monte Carlo

Not significant (p=0.143) — 14.3% 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 1.02 (2020-2022), OOS Sharpe 1.13 (2023-2026) — 111% 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.