BTC Tiered Sizing
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Total Return
+874.2%
CAGR
+43.0%
Sharpe
1.12
Max Drawdown
-52.4%
Annual Vol
38.7%
Win Rate
36.0%
Starting Capital
$50K
Fees
7bps RT
Trades
~30
Timeframe
Daily
Max Leverage
1x
Robustness
2/5
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Strategy
Multi-tier position sizing for BTC based on how many momentum signals are active — more bullish signals mean larger positions.
Signal Construction
  • Tier signals: 7d return, 30d return, price vs 50MA, price vs 200MA
  • Each signal that is bullish adds a tier of position size
  • Sizing: leverage scales linearly with the number of active signals
Portfolio Construction
  • Asset: BTC only (single-asset backtest)
  • Entry/Exit: Continuous — position size adjusts daily based on active tiers
Risk Management
  • Vol target: ~40% annualised (volatility-scaled) (base)
  • Leverage range: Clipped at max 2.0x
  • Fees: 7 bps round-trip
Universe
BTC only · Binance Futures · Tiered position sizing based on 50MA and 200MA · 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 → $487,089 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 — 2/5 passed
✗
Sample Size
30 trades — insufficient for reliable conclusions
✗
Regime Testing
Profitable in 4/7 years tested; 2022 bear market: -50.4%
✓
Decay Analysis
No decay — first half avg Sharpe 0.64, second half 0.85 (134% retention)
✗
Monte Carlo
Not enough monthly data
✓
Walk-Forward OOS
IS Sharpe 0.79 (2020-2022), OOS Sharpe 1.21 (2023-2026) — 153% retention on unseen data
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Monthly heatmaps and trade breakdowns are available on the Researcher plan.
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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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