Hedged Breakout
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Total Return
+593.9%
CAGR
+35.6%
Sharpe
1.47
Max Drawdown
-27.4%
Annual Vol
22.4%
Win Rate
49.9%
Starting Capital
$50K
Fees
7bps RT
Trades
~650
Timeframe
Daily
Max Leverage
~0.7x
Robustness
4/5
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Strategy
Turtle 20/10 breakout longs with an automatic short hedge that activates when BTC is trending down.
Signal Construction
  • Long leg: Turtle 20/10 breakout — enter on 20-day high, exit on 10-day low, ranked by 10d ROC, 60% weight
  • Short hedge: Activates when BTC 30d return < -5%, shorts weakest 5 coins by 21d momentum at 40% weight
  • Hedge only activates in bear markets — maintains full long exposure in bulls
Portfolio Construction
  • Positions: Up to 10 longs (60%) + up to 5 shorts (40%) when hedge active
  • Weighting: Equal weight within each leg
  • Rebalance: Daily
Risk Management
  • Vol target: ~20% annualised (volatility-scaled)
  • Leverage range: Clipped between 0.1x and 3.0x
  • Bear protection: Short hedge automatically activates at BTC 30d < -5%
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
Breakout · Long/Short · 7bps RT fees · Daily rebalance · Vol-targeted leverage
Result
$50,000 → $346,944 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 — 4/5 passed
Sample Size
650 trades — statistically robust sample
Regime Testing
Profitable in 6/7 years tested; 2022 bear market: -23.7%
Decay Analysis
No decay — first half avg Sharpe 1.34, second half 1.24 (92% retention)
Monte Carlo
Not significant (p=0.614) — 61.4% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
Walk-Forward OOS
IS Sharpe 1.27 (2020-2022), OOS Sharpe 1.14 (2023-2026) — 90% 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
1CHZ (LONG)2021-02-18 → 2021-03-22+1296.1%
2ZEC (LONG)2025-09-23 → 2025-11-25+951.8%
3DOGE (LONG)2021-01-28 → 2021-02-14+745.6%
4WIF (LONG)2024-02-26 → 2024-03-25+668.1%
5ETC (LONG)2021-04-04 → 2021-05-16+590.8%
61000PEPE (LONG)2024-02-26 → 2024-03-15+548.3%
7BNB (LONG)2021-02-01 → 2021-03-19+492.8%
8M (LONG)2025-08-29 → 2025-09-23+459.7%
9GALA (LONG)2021-11-15 → 2021-12-05+419.6%
10APT (LONG)2023-01-08 → 2023-02-04+330.2%
11XLM (LONG)2024-11-15 → 2024-12-03+286.3%
12FET (LONG)2024-02-11 → 2024-03-16+286.0%
131000SHIB (LONG)2021-09-16 → 2021-10-16+279.8%
14FIL (LONG)2021-03-13 → 2021-04-06+276.1%
15VIRTUAL (LONG)2025-04-22 → 2025-05-10+254.4%
16SOL (LONG)2021-08-15 → 2021-09-16+245.2%
17AAVE (LONG)2021-01-15 → 2021-02-13+236.1%
18OP (LONG)2022-07-18 → 2022-08-08+226.6%
19AXS (LONG)2021-06-30 → 2021-07-20+224.3%
20CRV (LONG)2021-01-15 → 2021-02-02+213.9%
Bottom 20 Trades
#CoinEntry → ExitReturn
1GIGGLE (SHORT)2025-11-03 → 2025-11-04-71.6%
2LINK (SHORT)2020-03-18 → 2020-04-28-56.9%
3ETH (SHORT)2020-03-17 → 2020-05-10-50.5%
4SPK (LONG)2025-07-24 → 2025-08-02-49.5%
5FARTCOIN (LONG)2025-01-20 → 2025-01-26-49.1%
6DOT (LONG)2021-05-15 → 2021-05-19-47.9%
7WLD (SHORT)2023-09-13 → 2023-10-02-47.8%
8CRV (LONG)2021-05-15 → 2021-05-19-47.1%
9XPL (LONG)2025-09-28 → 2025-10-04-46.8%
10CHZ (SHORT)2021-05-24 → 2021-05-26-45.5%
11MON (SHORT)2025-11-03 → 2025-11-04-45.3%
12DASH (LONG)2025-11-05 → 2025-11-11-44.4%
13SNX (LONG)2025-10-14 → 2025-10-22-44.3%
14DOGE (LONG)2021-05-08 → 2021-05-12-43.5%
15STRK (LONG)2025-11-20 → 2025-11-24-43.1%
16XLM (SHORT)2020-04-02 → 2020-05-10-43.0%
17SOL (SHORT)2022-11-10 → 2022-11-30-42.9%
18WIF (LONG)2024-04-01 → 2024-04-12-42.0%
19FIL (LONG)2025-11-08 → 2025-11-16-41.9%
20ADA (SHORT)2020-03-13 → 2020-04-12-40.7%

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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