Long L1 Short L2
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Total Return
+632.9%
CAGR
+36.8%
Sharpe
1.06
Max Drawdown
-36.8%
Annual Vol
35.3%
Win Rate
31.2%
Starting Capital
$50K
Fees
7bps RT
Trades
~516
Timeframe
Weekly
Max Leverage
~1.7x
Robustness
1/5
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Strategy
Trades the Layer 1 vs Layer 2 rotation — longs whichever infrastructure layer is outperforming on 21-day momentum, shorts the other.
Signal Construction
  • L1 universe: BTC, ETH, SOL, ADA, AVAX, NEAR, DOT, ATOM, SUI, APT, etc.
  • L2 universe: ARB, OP, MATIC, MANTA, STRK, METIS, IMX, LRC, etc.
  • Sector momentum: Average 21-day return across all coins in each layer
  • Signal: Long the outperforming layer (up to 8 coins), short the underperforming layer (up to 8 coins)
  • Only trades when the outperforming layer has positive momentum
Portfolio Construction
  • Positions: Up to 8 longs + 8 shorts (one leg per layer)
  • Weighting: Equal weight within each leg, 50% per side
  • Rebalance: Weekly (Monday 00:00 UTC) (every 7 days)
Risk Management
  • Vol target: ~30% annualised (volatility-scaled) — leverage = 0.50 / 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 · Top 50 by 30d median vol · $15M+ · Spike ratio < 2.0 · 90d listed · Stablecoins & wrapped excluded · Deterministic tie-breaking · Equal-weight positions
Execution
Spread · Long/Short · 7bps RT fees · Weekly rebalance · Vol-targeted leverage
Result
$50,000 → $366,428 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 — 1/5 passed
Sample Size
516 trades — statistically robust sample
Regime Testing
Profitable in 1/3 years tested
Decay Analysis
Not enough years for decay analysis
Monte Carlo
Not significant (p=0.325) — 32.5% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
Walk-Forward OOS
IS Sharpe 0 (2020-2022), OOS Sharpe 0.59 (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
1ADA (LONG)2024-11-06 → 2024-12-11+199.2%
2SUI (LONG)2024-09-11 → 2024-10-23+112.7%
3HBAR (LONG)2024-11-20 → 2025-02-12+93.1%
4ETH (LONG)2025-05-14 → 2025-09-10+66.7%
5SOL (LONG)2024-10-16 → 2024-11-27+57.0%
6BTC (LONG)2024-10-16 → 2024-11-20+39.5%
7DOT (LONG)2024-11-20 → 2024-12-18+34.1%
8SEI (LONG)2025-06-25 → 2025-07-16+27.7%
9AVAX (LONG)2024-09-04 → 2024-09-25+24.6%
10NEAR (LONG)2024-03-06 → 2024-03-27+23.1%
11ICP (LONG)2024-09-04 → 2024-09-25+19.8%
12INJ (LONG)2025-04-23 → 2025-06-18+19.8%
13TON (LONG)2025-12-17 → 2026-01-14+19.6%
14APT (LONG)2024-09-25 → 2024-11-06+19.3%
15TIA (LONG)2024-04-17 → 2024-04-24+11.5%
Bottom 20 Trades
#CoinEntry → ExitReturn
1ICP (LONG)2026-01-14 → 2026-02-04-42.2%
2NEAR (LONG)2024-07-17 → 2024-08-07-41.2%
3APT (LONG)2025-10-01 → 2025-10-22-34.6%
4INJ (LONG)2024-07-31 → 2024-08-07-32.0%
5TIA (LONG)2024-12-04 → 2024-12-18-31.1%
6SEI (LONG)2025-02-26 → 2025-03-12-30.2%
7ETH (LONG)2026-01-28 → 2026-02-04-28.7%
8HBAR (LONG)2025-10-29 → 2025-11-19-27.9%
9SUI (LONG)2024-03-27 → 2024-04-10-26.7%
10SOL (LONG)2026-01-28 → 2026-02-04-26.5%
11DOT (LONG)2025-10-08 → 2025-10-15-25.2%
12ADA (LONG)2025-03-05 → 2025-03-26-25.2%
13TON (LONG)2025-03-19 → 2025-04-16-20.9%
14AVAX (LONG)2025-11-26 → 2025-12-17-20.7%
15BTC (LONG)2025-01-22 → 2025-02-26-18.8%

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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