Large Cap Bull Bear Switch
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Total Return
+903.2%
CAGR
+43.7%
Sharpe
1.26
Max Drawdown
-45.2%
Annual Vol
32.9%
Win Rate
47.4%
Starting Capital
$50K
Fees
7bps RT
Trades
~1,152
Timeframe
5-Day
Max Leverage
~1.0x
Robustness
2/5
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Strategy
Regime-adaptive momentum in large caps — aggressively long in bull markets, aggressively short in bear markets, using BTC 7d and 30d momentum for regime detection.
Signal Construction
  • Momentum signal: 14-day return, cross-sectional ranking cross-sectionally
  • Aggressive bull (BTC 7d > +3% AND 30d > 0): Long top 10
  • Cautious bull (BTC 30d > 0): Long top 7 at 70% weight
  • Aggressive bear (BTC 7d < -3%): Short bottom 10
  • Cautious bear (BTC 30d < 0): Short bottom 5 at 50% weight
Portfolio Construction
  • Positions: 5 to 10 depending on regime
  • Rebalance: Every 5 days
Risk Management
  • Vol target: ~30% annualised (volatility-scaled)
  • Leverage range: Clipped between 0.1x and 3.0x
  • Regime filter: Built into the strategy — BTC momentum determines mode
Universe
Top 50 by market cap · Reconstituted annually · No survivorship bias · Stablecoins & wrapped excluded · Deterministic tie-breaking · Equal-weight positions
Execution
Regime · Long/Short · 7bps RT fees · 5-Day rebalance · Vol-targeted leverage
Result
$50,000 → $501,611 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
1152 trades — statistically robust sample
Regime Testing
Profitable in 5/7 years tested; 2022 bear market: +5.4%
Decay Analysis
Performance decay detected — first half avg Sharpe 1.93, second half 0.51 (26% retention)
Monte Carlo
Not significant (p=0.295) — 29.5% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
Walk-Forward OOS
IS Sharpe 1.55 (2020-2022), OOS Sharpe 0.58 (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
1BNB (LONG)2021-02-04 → 2021-03-16+362.7%
2FIL (LONG)2021-03-06 → 2021-04-10+332.5%
3SOL (LONG)2021-01-30 → 2021-03-11+278.6%
4HBAR (LONG)2024-11-15 → 2024-12-20+273.9%
5DOGE (LONG)2024-10-16 → 2024-11-25+212.5%
6AVAX (LONG)2021-01-05 → 2021-01-30+182.4%
7AAVE (LONG)2021-01-15 → 2021-02-14+181.9%
8FET (LONG)2024-02-19 → 2024-03-20+180.5%
9CRV (LONG)2021-01-15 → 2021-02-09+177.7%
10XRP (LONG)2024-11-15 → 2024-12-15+174.2%
11NEAR (LONG)2021-08-13 → 2021-09-12+161.9%
12SNX (LONG)2020-12-21 → 2021-01-20+157.7%
13WIF (LONG)2025-04-14 → 2025-06-03+125.9%
14LTC (LONG)2020-12-11 → 2021-01-05+119.6%
15TRX (LONG)2021-03-21 → 2021-04-20+109.4%
16WLD (LONG)2024-02-14 → 2024-03-05+104.6%
17ETH (LONG)2020-12-01 → 2021-01-15+99.5%
18BTC (LONG)2020-12-06 → 2021-01-10+97.3%
19ADA (LONG)2020-12-26 → 2021-01-15+90.5%
20AXS (LONG)2021-06-29 → 2021-07-04+89.4%
Bottom 20 Trades
#CoinEntry → ExitReturn
1GALA (SHORT)2022-12-31 → 2023-02-09-78.8%
2ETC (SHORT)2022-07-14 → 2022-08-13-76.7%
3ADA (SHORT)2025-02-28 → 2025-03-05-71.0%
4HBAR (SHORT)2024-04-19 → 2024-04-24-70.6%
5SEI (SHORT)2024-09-16 → 2024-10-16-46.6%
6CRV (SHORT)2021-05-25 → 2021-06-04-46.6%
7XRP (SHORT)2021-04-25 → 2021-04-30-43.3%
8APT (SHORT)2024-09-11 → 2024-10-26-43.0%
9NEAR (SHORT)2021-12-06 → 2021-12-11-42.8%
10LINK (LONG)2021-11-11 → 2021-12-11-42.4%
11AXS (LONG)2021-02-14 → 2021-02-24-37.1%
12SNX (LONG)2022-02-09 → 2022-02-24-32.7%
13DOT (LONG)2025-10-06 → 2025-10-11-31.9%
14FIL (LONG)2023-02-19 → 2023-03-16-31.5%
15AAVE (LONG)2024-04-09 → 2024-04-14-30.6%
16DOGE (LONG)2025-10-06 → 2025-10-11-30.4%
17ICP (LONG)2023-02-19 → 2023-03-16-29.8%
18SOL (SHORT)2022-12-31 → 2023-01-05-29.4%
19SUI (LONG)2024-06-08 → 2024-06-18-27.6%
20TIA (LONG)2024-05-29 → 2024-06-13-27.0%

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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