Momentum Crash Hedge
Back to strategies
Total Return
+3322.6%
CAGR
+74.2%
Sharpe
1.31
Max Drawdown
-69.6%
Annual Vol
53.1%
Win Rate
46.0%
Starting Capital
$50K
Fees
7bps RT
Trades
~1,100
Timeframe
Weekly
Max Leverage
~1.3x
Robustness
4/5
Unlock strategy details
Upgrade
Strategy
Always long top momentum coins, but dynamically adds a short hedge when BTC trends down — more shorts as the bear deepens.
Signal Construction
  • Momentum: 21-day price return, cross-sectional ranking
  • BTC trend: BTC 30-day return used as hedge trigger
  • Long leg: Always active — top 10 by momentum at 60% weight
  • Mild bear (BTC 30d between -5% and 0): Adds 5 shorts at 30% weight
  • Hard bear (BTC 30d < -5%): Adds 10 shorts at 60% weight
Portfolio Construction
  • Positions: 10 longs always + 0/5/10 shorts depending on regime
  • Weighting: Equal weight within each leg
  • Rebalance: Weekly (Monday 00:00 UTC) (every 7 days)
Risk Management
  • Vol target: 50% annualised — leverage = 0.50 / realised_vol_60d
  • Leverage range: Clipped between 0.1x and 3.0x
  • Regime: No flat periods — hedge scales with bear severity instead
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
Momentum · Long/Short · 7bps RT fees · Weekly rebalance · Vol-targeted leverage
Result
$50,000 → $1,711,281 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 — 4/5 passed
Sample Size
1100 trades — statistically robust sample
Regime Testing
Profitable in 6/7 years tested; 2022 bear market: -4.0%
Decay Analysis
No decay — first half avg Sharpe 1.35, second half 1.28 (95% retention)
Monte Carlo
Not significant (p=0.244) — 24.4% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
Walk-Forward OOS
IS Sharpe 1.23 (2020-2022), OOS Sharpe 1.0 (2023-2026) — 81% retention on unseen data
Unlock full analysis
Monthly heatmaps and trade breakdowns are available on the Researcher plan.
Upgrade
Monthly Returns
Best & Worst Trades
Top 20 Trades
#CoinEntry → ExitReturn
1CHZ (LONG)2021-02-24 → 2021-04-07+974.9%
2WIF (LONG)2024-02-24 → 2024-04-17+711.1%
3AXS (LONG)2021-03-03 → 2021-05-05+414.6%
4SOL (LONG)2021-01-22 → 2021-03-17+377.6%
5SEI (LONG)2023-11-19 → 2024-01-31+357.9%
6ETC (LONG)2021-03-31 → 2021-05-19+355.2%
7GALA (LONG)2021-11-17 → 2021-12-29+291.8%
8DOGE (LONG)2024-10-16 → 2024-12-04+268.8%
9AAVE (LONG)2021-01-13 → 2021-02-17+253.6%
10AVAX (LONG)2021-01-13 → 2021-03-03+253.0%
11WLD (LONG)2024-02-14 → 2024-03-13+244.2%
12SNX (LONG)2020-12-17 → 2021-02-03+226.8%
13DOT (LONG)2020-12-31 → 2021-02-10+226.0%
14FET (LONG)2024-02-21 → 2024-03-27+194.5%
151000PEPE (LONG)2024-02-28 → 2024-03-27+186.5%
16UNI (LONG)2021-01-22 → 2021-02-17+183.7%
17CRV (LONG)2024-11-21 → 2024-12-25+173.5%
18M (LONG)2025-09-03 → 2025-10-08+165.5%
19HBAR (LONG)2024-11-21 → 2025-01-15+164.7%
20VIRTUAL (LONG)2025-04-23 → 2025-06-04+158.6%
Bottom 20 Trades
#CoinEntry → ExitReturn
1XPL (LONG)2025-09-28 → 2025-12-24-91.8%
2WLD (SHORT)2024-02-07 → 2024-03-13-89.8%
3INJ (SHORT)2023-03-10 → 2023-07-26-81.4%
4FARTCOIN (SHORT)2025-02-20 → 2025-04-02-73.6%
5GALA (SHORT)2023-01-04 → 2023-01-11-68.9%
6PUMP (SHORT)2025-08-27 → 2025-10-08-65.0%
7PNUT (SHORT)2025-02-20 → 2025-03-19-64.3%
8NEAR (SHORT)2021-12-07 → 2021-12-29-63.7%
9UNI (SHORT)2021-05-24 → 2021-05-26-57.6%
10DASH (LONG)2021-05-07 → 2021-05-19-57.3%
11ETC (LONG)2021-05-07 → 2021-05-19-55.7%
121000BONK (SHORT)2024-04-18 → 2024-05-15-55.6%
13ZEN (SHORT)2021-05-20 → 2021-05-26-55.2%
14BCH (LONG)2021-05-12 → 2021-05-19-55.2%
151000PEPE (SHORT)2023-06-15 → 2023-07-12-52.4%
16DOGE (LONG)2021-05-08 → 2021-05-19-52.4%
17SNX (SHORT)2021-06-26 → 2021-07-07-52.0%
18ZEC (LONG)2021-11-26 → 2022-01-12-51.0%
19CHZ (LONG)2021-11-13 → 2022-01-05-50.8%
20AVAX (LONG)2021-02-11 → 2021-03-03-50.4%

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.

Terms of ServicePrivacy Policy