Conservative All-Season
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Total Return
+750.4%
CAGR
+40.0%
Sharpe
1.48
Max Drawdown
-25.0%
Annual Vol
24.7%
Win Rate
30.6%
Starting Capital
$50K
Fees
7bps RT
Trades
~400
Timeframe
3-Day
Max Leverage
~0.7x
Robustness
3/5
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Strategy
Very conservative regime-switched strategy — small long breakouts in bull markets, small shorts in bear, prioritising capital preservation over returns.
Signal Construction
  • Bull regime: BTC 30d > 0 — long top 5 breakout coins (price > 20d high AND > 50MA) at 50% weight
  • Bear regime: BTC 30d < -10% — short weakest 5 coins (below 50MA) at 30% weight
  • Neutral: BTC 30d between -10% and 0 — sits in cash
  • Deliberate underexposure in all regimes to minimise drawdowns
Portfolio Construction
  • Positions: Max 5 longs (bull) or 5 shorts (bear)
  • Weighting: Equal weight, reduced sizing (50% long / 30% short)
  • Rebalance: Every 3 days
Risk Management
  • Vol target: ~20% annualised (volatility-scaled)
  • Leverage range: Clipped between 0.1x and 3.0x
  • Regime filter: Built into the strategy — BTC 30d return determines mode
Universe
Binance Futures · Top 50 by 30d median vol · $15M+ · Spike ratio < 2.0 · 90d listed · Stablecoins & wrapped excluded · Deterministic tie-breaking · Equal-weight positions
Execution
Regime · Long/Short · 7bps RT fees · 3-Day rebalance · Vol-targeted leverage
Result
$50,000 → $425,196 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 — 3/5 passed
Sample Size
400 trades — adequate sample size
Regime Testing
Profitable in 5/7 years tested; 2022 bear market: -17.4%
Decay Analysis
Performance decay detected — first half avg Sharpe 0.98, second half 0.74 (75% retention)
Monte Carlo
Not significant (p=0.263) — 26.3% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
Walk-Forward OOS
IS Sharpe 1.09 (2020-2022), OOS Sharpe 1.2 (2023-2026) — 110% 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
Best & Worst Trades
Top 20 Trades
#CoinEntry → ExitReturn
1DOGE (LONG)2021-04-13 → 2021-04-19+478.0%
21000PEPE (LONG)2024-02-27 → 2024-03-07+276.5%
3CHZ (LONG)2021-03-11 → 2021-03-14+162.2%
41000SHIB (LONG)2024-03-01 → 2024-03-07+150.9%
5GALA (LONG)2021-11-15 → 2021-11-18+145.4%
6PENGU (LONG)2025-04-22 → 2025-04-28+140.8%
7ZEC (LONG)2025-09-28 → 2025-10-07+129.2%
8DOLO (LONG)2025-07-24 → 2025-07-30+126.7%
9WLD (LONG)2024-02-15 → 2024-02-21+126.7%
10BCH (LONG)2023-06-23 → 2023-07-02+124.1%
11AVAX (LONG)2021-08-17 → 2021-08-26+116.4%
12ZEN (LONG)2024-12-20 → 2024-12-23+113.5%
13XRP (LONG)2020-11-14 → 2020-11-26+101.7%
14INJ (LONG)2023-12-11 → 2023-12-23+98.1%
15DOT (LONG)2021-01-13 → 2021-01-19+97.7%
16SEI (LONG)2023-12-26 → 2024-01-04+96.2%
17APT (LONG)2023-01-09 → 2023-01-18+94.0%
18XLM (LONG)2024-11-20 → 2024-11-26+89.3%
19ETC (LONG)2021-04-07 → 2021-04-19+88.0%
20AXS (LONG)2021-03-08 → 2021-03-17+85.2%
Bottom 20 Trades
#CoinEntry → ExitReturn
1FIL (SHORT)2021-05-20 → 2021-06-03-45.3%
2GALA (SHORT)2022-05-12 → 2022-05-14-42.3%
3DOGE (SHORT)2021-06-22 → 2021-06-24-37.2%
4CHZ (SHORT)2021-05-24 → 2021-05-28-37.2%
5FARTCOIN (SHORT)2025-02-25 → 2025-03-02-37.0%
6RESOLV (LONG)2026-01-27 → 2026-01-29-36.9%
7CAKE (LONG)2025-10-08 → 2025-10-10-34.7%
8XMR (SHORT)2021-05-20 → 2021-05-22-30.9%
9BNB (SHORT)2021-05-24 → 2021-05-28-30.8%
10WIF (LONG)2024-03-15 → 2024-03-16-29.4%
11SOL (SHORT)2025-02-27 → 2025-03-02-29.3%
12AXS (SHORT)2021-05-24 → 2021-05-28-28.9%
13W (SHORT)2025-03-11 → 2025-03-23-28.5%
14WLD (SHORT)2023-09-13 → 2023-09-15-28.4%
15VIRTUAL (SHORT)2025-03-11 → 2025-03-17-28.4%
161000BONK (LONG)2024-03-05 → 2024-03-07-28.3%
17XPL (SHORT)2025-11-07 → 2025-11-09-28.2%
18AVAX (SHORT)2021-04-26 → 2021-04-28-27.6%
19PNUT (LONG)2025-05-14 → 2025-05-16-27.6%
20CRV (SHORT)2022-06-19 → 2022-07-01-27.5%

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.

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