L1 Sympathy Play
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Total Return
+171.7%
CAGR
+17.0%
Sharpe
0.58
Max Drawdown
-64.3%
Annual Vol
43.0%
Win Rate
37.0%
Starting Capital
$50K
Fees
7bps RT
Trades
~488
Timeframe
Daily
Max Leverage
~1.0x
Robustness
2/5
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Strategy
Pure sector narrative play — longs the top 5 coins from the 2 hottest sectors by 14-day momentum, rotating into whatever narrative is trending.
Signal Construction
  • Sectors: L1, L2, Meme, DeFi, AI, Gaming, Infra (7 sectors)
  • Sector momentum: Average 14-day return of coins in each sector
  • Selection: Top 2 sectors with positive momentum, top 5 coins within each by 14d return
  • Captures narrative rotations (AI hype, meme season, DeFi summer, etc.)
Portfolio Construction
  • Positions: Up to 10 longs (5 per sector, 2 sectors)
  • Weighting: Equal weight (10% each)
  • Rebalance: Weekly (every 7 days)
Risk Management
  • Vol target: ~40% annualised (volatility-scaled) — leverage = 0.60 / realised_vol_60d
  • 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 · Layer 1 coins only (ETH, SOL, ADA, AVAX, NEAR, DOT, etc) · Sympathy trigger from sector peers · Stablecoins & wrapped excluded · Deterministic tie-breaking · Equal-weight positions
Execution
Sector · Long Only · 7bps RT fees · Daily rebalance · Vol-targeted leverage
Result
$50,000 → $135,848 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
488 trades — adequate sample size
Regime Testing
Profitable in 4/7 years tested; 2022 bear market: +16.0%
Decay Analysis
Performance decay detected — first half avg Sharpe 1.13, second half 0.40 (35% retention)
Monte Carlo
Not significant (p=0.215) — 21.5% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
Walk-Forward OOS
IS Sharpe 0.94 (2020-2022), OOS Sharpe 1.01 (2023-2026) — 107% 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
1ICP (LONG)2023-12-02 → 2023-12-17+124.2%
2SOL (LONG)2021-01-28 → 2021-02-09+113.3%
3AVAX (LONG)2021-01-04 → 2021-01-10+87.5%
4ADA (LONG)2021-02-01 → 2021-02-06+84.3%
5ETH (LONG)2021-01-02 → 2021-01-10+72.4%
6NEAR (LONG)2021-08-16 → 2021-08-23+70.1%
7TIA (LONG)2023-11-08 → 2023-11-11+70.0%
8SUI (LONG)2024-01-10 → 2024-01-13+61.6%
9HBAR (LONG)2021-09-08 → 2021-09-13+59.3%
10INJ (LONG)2023-12-05 → 2023-12-11+42.4%
11SEI (LONG)2023-12-23 → 2023-12-26+41.7%
12APT (LONG)2024-11-09 → 2024-11-11+41.2%
13DOT (LONG)2021-01-28 → 2021-02-03+35.1%
14TON (LONG)2025-03-11 → 2025-03-14+15.9%
Bottom 20 Trades
#CoinEntry → ExitReturn
1AVAX (LONG)2023-12-26 → 2024-01-07-30.3%
2HBAR (LONG)2021-09-16 → 2021-09-22-27.4%
3SOL (LONG)2023-12-26 → 2024-01-07-26.1%
4ETH (LONG)2021-02-20 → 2021-02-27-25.5%
5NEAR (LONG)2023-12-27 → 2024-01-07-25.4%
6DOT (LONG)2023-12-26 → 2024-01-07-25.0%
7APT (LONG)2024-12-20 → 2024-12-26-22.5%
8ADA (LONG)2023-12-22 → 2024-01-07-22.3%
9ICP (LONG)2024-01-04 → 2024-01-07-21.7%
10TIA (LONG)2025-03-02 → 2025-03-08-21.0%
11SEI (LONG)2025-03-03 → 2025-03-08-20.5%
12INJ (LONG)2025-05-29 → 2025-05-31-19.4%
13SUI (LONG)2025-10-14 → 2025-10-16-15.9%
14TON (LONG)2025-03-03 → 2025-03-08-15.8%

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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