Large Cap Trend Following
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Total Return
+5275.1%
CAGR
+87.0%
Sharpe
1.11
Max Drawdown
-89.7%
Annual Vol
113.2%
Win Rate
40.7%
Starting Capital
$50K
Fees
7bps RT
Trades
~576
Timeframe
Weekly
Max Leverage
~1.3x
Robustness
3/5
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Strategy
Long large-cap coins in confirmed uptrends (price > 20MA > 50MA), ranked by 14-day momentum within the trending subset.
Signal Construction
  • Trend filter: price > 20-day MA AND 20-day MA > 50-day MA
  • Momentum ranking: 14-day return among trending coins
  • Only coins with aligned MAs are eligible — strict trend confirmation
Portfolio Construction
  • Positions: Long up to 10 trending coins
  • Weighting: Equal weight among selected coins
  • Rebalance: Weekly (Monday 00:00 UTC) (every 7 days)
Risk Management
  • Vol target: 30% annualised
  • Leverage range: Clipped between 0.1x and 3.0x
  • Regime filter: Goes flat when BTC is below its 200-day moving average
Universe
Top 50 by market cap · Reconstituted annually · No survivorship bias · Stablecoins & wrapped excluded · Deterministic tie-breaking · Equal-weight positions
Execution
Trend Following · Long Only · 7bps RT fees · Weekly rebalance · Vol-targeted leverage
Result
$50,000 → $2,687,566 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
576 trades — statistically robust sample
Regime Testing
Profitable in 4/5 years tested
Decay Analysis
Performance decay detected — first half avg Sharpe 1.70, second half 0.86 (51% retention)
Monte Carlo
Not significant (p=0.090) — 9.0% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
Walk-Forward OOS
IS Sharpe 1.34 (2020-2022), OOS Sharpe 0.93 (2023-2026) — 69% 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)2020-12-16 → 2021-04-07+1735.2%
2ADA (LONG)2020-11-03 → 2021-04-14+1476.3%
3ETH (LONG)2020-05-12 → 2021-02-10+838.8%
4SOL (LONG)2021-02-03 → 2021-05-19+565.4%
5AAVE (LONG)2020-12-27 → 2021-03-17+409.5%
6INJ (LONG)2023-10-18 → 2024-02-14+349.2%
7DOT (LONG)2021-01-13 → 2021-03-17+335.6%
8PENGU (LONG)2025-06-23 → 2025-09-17+325.8%
9AXS (LONG)2021-03-03 → 2021-05-12+302.2%
10AVAX (LONG)2021-01-13 → 2021-04-07+283.5%
11UNI (LONG)2021-01-22 → 2021-03-31+269.9%
12BTC (LONG)2020-09-09 → 2021-01-20+250.5%
13LTC (LONG)2020-09-24 → 2021-01-20+248.4%
141000PEPE (LONG)2024-02-28 → 2024-07-10+245.3%
15SEI (LONG)2023-12-16 → 2024-03-06+237.4%
16ETC (LONG)2021-04-07 → 2021-05-19+233.3%
17FET (LONG)2023-10-19 → 2024-01-03+223.9%
18BNB (LONG)2021-02-10 → 2021-05-19+211.9%
19LINK (LONG)2020-05-16 → 2020-10-14+197.1%
20ENA (LONG)2024-11-05 → 2025-01-15+186.3%
Bottom 20 Trades
#CoinEntry → ExitReturn
1ZEN (LONG)2024-12-26 → 2025-02-05-68.9%
2FIL (LONG)2021-04-01 → 2021-05-19-65.8%
3BIO (LONG)2025-08-23 → 2025-10-15-64.4%
4XRP (LONG)2020-11-25 → 2020-12-23-62.8%
5IP (LONG)2025-09-22 → 2025-10-22-62.2%
6WLD (LONG)2024-03-10 → 2024-04-17-59.5%
7CRV (LONG)2024-12-07 → 2025-02-05-59.0%
81000SHIB (LONG)2021-10-28 → 2021-12-29-57.4%
9ETC (LONG)2021-05-07 → 2021-05-19-55.7%
10BCH (LONG)2021-05-12 → 2021-05-19-55.2%
11DOGE (LONG)2021-05-08 → 2021-05-19-52.4%
12TRX (LONG)2021-04-16 → 2021-05-19-52.2%
13PUMP (LONG)2025-10-03 → 2025-10-22-51.2%
14BNB (LONG)2021-05-04 → 2021-05-19-50.6%
15ZEC (LONG)2021-11-26 → 2021-12-29-50.3%
16CHZ (LONG)2021-11-13 → 2021-12-15-49.4%
171000BONK (LONG)2024-05-29 → 2024-06-26-46.8%
18AVAX (LONG)2021-02-11 → 2021-04-07-46.1%
191000PEPE (LONG)2024-05-28 → 2024-07-10-45.0%
20GALA (LONG)2024-03-14 → 2024-04-17-44.7%

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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