Gap Volume Long
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Total Return
+10279.0%
CAGR
+107.4%
Sharpe
1.24
Max Drawdown
-66.4%
Annual Vol
91.3%
Win Rate
5.6%
Starting Capital
$50K
Fees
7bps RT
Trades
~200
Timeframe
Daily
Max Leverage
~2.7x
Robustness
2/5
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Strategy
Long coins with large daily moves up on high relative volume while in an uptrend — gap-up with volume signals institutional demand.
Signal Construction
  • Gap-up: 1-day return > +3%
  • Volume confirmation: RVOL > 1.8x (volume / 20d avg volume)
  • Trend filter: price > 20-day MA
  • Score: daily_return * RVOL — rewards biggest moves on highest volume
Portfolio Construction
  • Positions: Long top 5 coins by gap + volume score
  • Weighting: Equal weight (20% each)
  • Rebalance: Daily
Risk Management
  • Vol target: 25% annualised
  • Leverage range: Clipped between 0.1x and 3.0x
  • Regime filter: Goes flat when BTC is below its 200-day moving average
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
Momentum · Long Only · 7bps RT fees · Daily rebalance · Vol-targeted leverage
Result
$50,000 → $5,189,521 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
200 trades — adequate sample size
Regime Testing
Profitable in 4/5 years tested
Decay Analysis
Performance decay detected — first half avg Sharpe 1.29, second half 0.60 (47% retention)
Monte Carlo
Not significant (p=0.225) — 22.5% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
Walk-Forward OOS
IS Sharpe 1.15 (2020-2022), OOS Sharpe 0.66 (2023-2026) — performance degraded out of sample
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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
1CHZ (LONG)2021-02-24 → 2021-03-10+491.2%
2GALA (LONG)2021-11-17 → 2021-12-08+337.5%
3WIF (LONG)2024-02-28 → 2024-03-20+327.4%
4DOGE (LONG)2021-04-14 → 2021-04-21+222.9%
5AXS (LONG)2021-03-03 → 2021-03-17+195.1%
6WLD (LONG)2024-02-14 → 2024-02-28+186.5%
7PUMP (LONG)2025-08-27 → 2025-09-17+184.6%
81000PEPE (LONG)2024-02-28 → 2024-03-06+170.8%
9M (LONG)2025-09-03 → 2025-09-10+143.0%
10FARTCOIN (LONG)2025-03-11 → 2025-03-26+138.9%
11FIL (LONG)2021-03-03 → 2021-03-24+124.6%
12BNB (LONG)2021-02-10 → 2021-03-03+124.2%
13AAVE (LONG)2021-01-13 → 2021-01-27+124.1%
14XLM (LONG)2024-11-20 → 2024-11-27+108.5%
15BCH (LONG)2023-06-21 → 2023-06-28+104.4%
16INJ (LONG)2023-01-25 → 2023-02-08+103.7%
17VIRTUAL (LONG)2025-04-23 → 2025-05-07+101.9%
18PENDLE (LONG)2024-03-20 → 2024-04-03+101.7%
191000BONK (LONG)2024-02-28 → 2024-03-06+101.4%
20NEAR (LONG)2021-12-08 → 2021-12-29+96.2%
Bottom 20 Trades
#CoinEntry → ExitReturn
1FARTCOIN (LONG)2025-01-31 → 2025-02-05-56.4%
2XRP (LONG)2020-12-19 → 2020-12-23-55.7%
3DOGE (LONG)2021-05-08 → 2021-05-12-43.5%
4XPL (LONG)2025-09-28 → 2025-10-01-42.2%
5ZEC (LONG)2021-11-26 → 2021-12-08-39.4%
6PENGU (LONG)2025-01-27 → 2025-01-29-39.1%
7EIGEN (LONG)2025-02-01 → 2025-02-05-37.5%
8LDO (LONG)2024-08-01 → 2024-08-07-37.4%
9ETC (LONG)2021-05-07 → 2021-05-12-36.5%
10SPK (LONG)2025-07-24 → 2025-08-06-35.7%
11ZEN (LONG)2021-02-19 → 2021-02-24-35.7%
12AAVE (LONG)2024-04-11 → 2024-04-17-35.0%
13XLM (LONG)2020-12-17 → 2020-12-23-34.4%
14PNUT (LONG)2024-12-12 → 2024-12-18-33.2%
15WIF (LONG)2025-01-30 → 2025-02-05-32.9%
16AVAX (LONG)2021-04-15 → 2021-04-21-32.9%
17GALA (LONG)2021-11-26 → 2021-12-08-32.5%
18INJ (LONG)2024-06-13 → 2024-06-19-32.1%
19BIO (LONG)2025-08-23 → 2025-08-27-30.1%
20FORM (LONG)2025-10-09 → 2025-10-15-30.0%

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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