Regime-Adaptive
Back to strategies
Total Return
+3942.3%
CAGR
+78.9%
Sharpe
1.33
Max Drawdown
-54.1%
Annual Vol
54.8%
Win Rate
46.3%
Starting Capital
$50K
Fees
7bps RT
Trades
~1,100
Timeframe
Weekly
Max Leverage
~1.3x
Robustness
3/5
Unlock strategy details
Upgrade
Strategy
Adapts long/short allocation to BTC regime using 30-day return as the switch — from aggressive long-only in strong bulls to pure short in hard bears.
Signal Construction
  • Momentum signal: 21-day return, cross-sectional ranking
  • Strong bull (BTC 30d > +10%): Long top 20 at 100% weight
  • Mild bull (BTC 30d 0 to +10%): Long 15 at 70% + Short 5 at 30%
  • Mild bear (BTC 30d -15% to 0): Long 5 at 30% + Short 10 at 70%
  • Hard bear (BTC 30d < -15%): Short-only 15 at 100%
Portfolio Construction
  • Positions: 5 to 20 depending on regime, variable L/S ratio
  • Weighting: Equal weight within each leg
  • Rebalance: Weekly (Monday 00:00 UTC) (every 7 days)
Risk Management
  • Vol target: ~60% annualised (volatility-scaled) — leverage = 0.50 / realised_vol_60d
  • Leverage range: Clipped between 0.1x and 3.0x
  • Regime filter: Built into the strategy — BTC 30d return determines allocation
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
Regime · Long/Short · 7bps RT fees · Weekly rebalance · Vol-targeted leverage
Result
$50,000 → $2,021,158 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
1100 trades — statistically robust sample
Regime Testing
Profitable in 5/7 years tested; 2022 bear market: -41.6%
Decay Analysis
Performance decay detected — first half avg Sharpe 1.24, second half 0.77 (62% retention)
Monte Carlo
Not significant (p=0.193) — 19.2% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
Walk-Forward OOS
IS Sharpe 1.21 (2020-2022), OOS Sharpe 1.27 (2023-2026) — 105% 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
1ADA (LONG)2020-11-03 → 2021-04-14+1476.3%
2CHZ (LONG)2021-02-17 → 2021-04-14+1338.9%
3UNI (LONG)2020-11-05 → 2021-02-17+1018.2%
4AXS (LONG)2021-02-01 → 2021-04-21+911.9%
5ZEC (LONG)2025-09-23 → 2025-11-05+880.5%
6SNX (LONG)2020-11-04 → 2021-02-17+848.4%
7SOL (LONG)2021-01-01 → 2021-03-17+846.1%
8AAVE (LONG)2020-11-13 → 2021-02-17+771.1%
9WIF (LONG)2024-02-24 → 2024-04-17+711.1%
10NEAR (LONG)2020-11-13 → 2021-04-07+677.5%
111000PEPE (LONG)2024-02-14 → 2024-03-27+603.8%
12ETC (LONG)2021-03-31 → 2021-05-12+552.3%
13DOT (LONG)2020-10-21 → 2021-05-19+542.1%
14AVAX (LONG)2021-01-06 → 2021-03-03+538.6%
151000SHIB (LONG)2021-09-29 → 2021-12-01+533.4%
16BNB (LONG)2021-01-28 → 2021-03-24+507.5%
17CRV (LONG)2020-12-30 → 2021-02-17+490.7%
18DOLO (LONG)2025-07-02 → 2025-09-03+442.6%
19M (LONG)2025-08-20 → 2025-10-08+421.4%
20ETH (LONG)2020-10-17 → 2021-02-17+406.2%
Bottom 20 Trades
#CoinEntry → ExitReturn
11000PEPE (SHORT)2024-02-05 → 2024-03-27-96.6%
2DOT (SHORT)2020-10-18 → 2021-05-19-96.4%
3UNI (SHORT)2020-10-18 → 2021-02-17-94.8%
4FARTCOIN (SHORT)2025-02-20 → 2025-05-07-94.2%
5M (SHORT)2025-08-29 → 2025-10-08-92.1%
6NEAR (SHORT)2021-07-20 → 2021-10-06-90.6%
7APT (SHORT)2022-12-30 → 2023-02-15-90.3%
8WLD (SHORT)2024-02-07 → 2024-03-13-89.8%
9XPL (LONG)2025-09-28 → 2025-11-19-85.3%
10GALA (SHORT)2022-12-30 → 2023-02-15-81.9%
11INJ (SHORT)2023-03-10 → 2023-07-26-81.4%
12ETC (SHORT)2022-07-13 → 2022-08-31-72.4%
13IP (LONG)2026-01-14 → 2026-02-10-70.3%
14SPK (LONG)2025-07-24 → 2025-09-17-65.6%
15AAVE (SHORT)2022-06-19 → 2022-08-17-62.9%
16币安人生 (LONG)2026-01-15 → 2026-02-10-62.3%
17CRV (SHORT)2023-01-04 → 2023-02-22-61.0%
18FIL (LONG)2021-04-01 → 2021-06-09-59.3%
19PNUT (SHORT)2025-02-14 → 2025-02-26-58.6%
20DASH (LONG)2026-01-17 → 2026-02-10-58.5%

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