Low Exposure Trend
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Total Return
+442.6%
CAGR
+30.4%
Sharpe
1.23
Max Drawdown
-34.3%
Annual Vol
23.9%
Win Rate
40.9%
Starting Capital
$50K
Fees
7bps RT
Trades
~450
Timeframe
Daily
Max Leverage
~0.7x
Robustness
3/5
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Strategy
Long breakout coins but scales total portfolio exposure by market breadth — full exposure when most coins are trending, minimal when few are.
Signal Construction
  • Market breadth: % of coins above 20-day MA — measures how broad the trend is
  • Exposure scalar: min(breadth * 2, 1.0) — 0% if nothing trending, 100% if >50% trending
  • Entry: 20-day high breakout AND above 10-day MA (tight stop)
  • Fallback: If no breakouts, picks top 5 by momentum above 10MA
Portfolio Construction
  • Positions: Up to 5 longs, scaled by market breadth
  • Weighting: Equal weight * breadth exposure scalar
  • Rebalance: Daily
Risk Management
  • Vol target: ~20% annualised (volatility-scaled)
  • Leverage range: Clipped between 0.1x and 3.0x
  • Tight stop: Exits when price drops below 10-day MA
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
Trend Following · Long Only · 7bps RT fees · Daily rebalance · Vol-targeted leverage
Result
$50,000 → $271,306 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
450 trades — adequate sample size
Regime Testing
Profitable in 6/7 years tested; 2022 bear market: -28.2%
Decay Analysis
No decay — first half avg Sharpe 1.48, second half 1.67 (113% retention)
Monte Carlo
Not significant (p=0.379) — 37.9% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
Walk-Forward OOS
IS Sharpe 1.29 (2020-2022), OOS Sharpe 0.78 (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
1CHZ (LONG)2021-03-01 → 2021-03-10+391.1%
2DOGE (LONG)2021-04-13 → 2021-04-17+299.3%
3ETC (LONG)2021-05-01 → 2021-05-07+230.1%
41000SHIB (LONG)2021-10-03 → 2021-10-07+191.1%
5SPK (LONG)2025-07-21 → 2025-07-24+176.7%
6AXS (LONG)2021-07-21 → 2021-07-26+172.2%
7AVAX (LONG)2021-02-06 → 2021-02-11+165.9%
8WLD (LONG)2024-02-13 → 2024-02-20+155.9%
9DOLO (LONG)2025-07-23 → 2025-07-29+146.7%
10M (LONG)2025-09-03 → 2025-09-09+143.8%
11WIF (LONG)2024-02-26 → 2024-02-29+137.4%
121000PEPE (LONG)2024-03-01 → 2024-03-05+130.3%
13ZEC (LONG)2025-09-28 → 2025-10-03+129.3%
14OP (LONG)2022-07-27 → 2022-07-30+119.0%
15RESOLV (LONG)2025-11-06 → 2025-11-12+117.8%
16SNX (LONG)2025-10-12 → 2025-10-14+115.4%
17FIL (LONG)2025-11-06 → 2025-11-08+111.6%
18ADA (LONG)2021-02-05 → 2021-02-11+111.2%
19XLM (LONG)2024-11-20 → 2024-11-25+107.9%
20BIO (LONG)2025-08-07 → 2025-08-12+102.9%
Bottom 20 Trades
#CoinEntry → ExitReturn
1STRK (LONG)2025-11-20 → 2025-11-22-41.9%
2SNX (LONG)2021-05-18 → 2021-05-19-30.0%
3CRV (LONG)2020-10-28 → 2020-10-29-29.0%
4AAVE (LONG)2021-05-18 → 2021-05-19-28.2%
5DOLO (LONG)2025-08-31 → 2025-09-01-26.7%
6HBAR (LONG)2021-05-18 → 2021-05-19-26.6%
7CHZ (LONG)2022-11-19 → 2022-11-20-26.6%
8BIO (LONG)2025-08-25 → 2025-08-26-26.5%
9SOL (LONG)2021-05-17 → 2021-05-19-25.4%
10ZEC (LONG)2021-11-26 → 2021-11-30-25.3%
11RESOLV (LONG)2025-11-17 → 2025-11-18-25.3%
12WIF (LONG)2025-03-03 → 2025-03-04-24.6%
13FARTCOIN (LONG)2025-01-20 → 2025-01-21-23.7%
14LDO (LONG)2024-06-27 → 2024-06-28-22.9%
15DOGE (LONG)2021-01-29 → 2021-01-30-22.9%
16BCH (LONG)2020-03-07 → 2020-03-08-22.1%
17NEAR (LONG)2021-12-12 → 2021-12-13-21.7%
18M (LONG)2026-02-07 → 2026-02-08-21.6%
19ZEN (LONG)2024-12-26 → 2024-12-28-21.2%
20BNB (LONG)2020-03-07 → 2020-03-08-21.0%

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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