Short Low Vol Downtrend
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Total Return
+222.1%
CAGR
+20.2%
Sharpe
0.64
Max Drawdown
-58.3%
Annual Vol
41.5%
Win Rate
8.0%
Starting Capital
$50K
Fees
7bps RT
Trades
~623
Timeframe
5-Day
Max Leverage
~0.7x
Robustness
2/5
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Strategy
Shorts coins in a confirmed downtrend with drying volume — below both 20 and 50 day MAs with volume declining, signalling no buying interest.
Signal Construction
  • MA filter: Price < 20-day MA AND price < 50-day MA (confirmed downtrend)
  • Volume filter: 10-day avg volume < 30-day avg volume * 0.70 (declining volume)
  • Score: 21-day return (most negative = strongest short)
  • Regime gate: Only active when BTC 30d return < +5%
Portfolio Construction
  • Positions: Short 10 coins meeting all criteria, ranked by weakest momentum
  • Weighting: Equal weight (10% each, short side)
  • Rebalance: Every 5 days
Risk Management
  • Vol target: ~30% annualised (volatility-scaled)
  • Leverage range: Clipped between 0.1x and 3.0x
  • Regime filter: Cash when BTC 30d > +5% — only shorts in bear/weak markets
Universe
Binance Futures · Top 50 by 30d median vol · $15M+ · Spike ratio < 2.0 · 90d listed · Bear regime only · Stablecoins & wrapped excluded · Deterministic tie-breaking · Equal-weight positions
Execution
Trend Following · Short Only · 7bps RT fees · 5-Day rebalance · Vol-targeted leverage
Result
$50,000 → $161,040 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 — 2/5 passed
Sample Size
623 trades — statistically robust sample
Regime Testing
Profitable in 5/6 years tested; 2022 bear market: +33.0%
Decay Analysis
Performance decay detected — first half avg Sharpe 1.12, second half 0.84 (75% retention)
Monte Carlo
Not significant (p=0.196) — 19.6% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
Walk-Forward OOS
IS Sharpe 0.34 (2020-2022), OOS Sharpe 0.71 (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
1AAVE (SHORT)2021-06-04 → 2021-06-24+57.1%
2AXS (SHORT)2022-04-20 → 2022-04-30+51.9%
3EIGEN (SHORT)2025-10-26 → 2025-11-05+47.4%
4AVAX (SHORT)2021-06-04 → 2021-06-24+43.4%
5GALA (SHORT)2022-04-20 → 2022-04-30+42.4%
6GIGGLE (SHORT)2026-01-24 → 2026-02-03+41.9%
7SNX (SHORT)2021-06-04 → 2021-06-19+40.9%
8ZEN (SHORT)2025-11-25 → 2025-12-20+39.4%
9ICP (SHORT)2025-11-25 → 2025-12-15+38.4%
10ETC (SHORT)2022-04-20 → 2022-04-30+37.3%
11FARTCOIN (SHORT)2025-10-26 → 2025-11-05+36.5%
12HBAR (SHORT)2022-04-20 → 2022-04-30+35.7%
13DASH (SHORT)2021-06-04 → 2021-06-24+35.6%
141000BONK (SHORT)2026-01-24 → 2026-02-08+33.4%
15XLM (SHORT)2021-06-04 → 2021-06-24+31.3%
16STRK (SHORT)2025-12-05 → 2025-12-20+31.0%
17BCH (SHORT)2021-06-04 → 2021-06-24+28.4%
18PNUT (SHORT)2026-01-24 → 2026-02-03+27.8%
19ASTER (SHORT)2025-12-10 → 2025-12-20+26.7%
201000PEPE (SHORT)2023-09-07 → 2023-09-17+26.5%
Bottom 20 Trades
#CoinEntry → ExitReturn
1CRV (SHORT)2022-11-21 → 2022-11-26-34.5%
2PNUT (SHORT)2025-12-30 → 2026-01-04-31.6%
3PENGU (SHORT)2025-12-30 → 2026-01-04-31.4%
4SPK (SHORT)2025-11-05 → 2025-11-10-30.8%
5PUMP (SHORT)2025-12-30 → 2026-01-04-23.2%
6RESOLV (SHORT)2025-12-05 → 2025-12-20-22.8%
7M (SHORT)2025-12-10 → 2025-12-15-22.8%
8PENDLE (SHORT)2024-05-14 → 2024-05-19-22.4%
9TIA (SHORT)2025-12-30 → 2026-01-04-21.6%
10ONDO (SHORT)2024-05-14 → 2024-05-19-21.1%
11GALA (SHORT)2024-12-30 → 2025-01-04-20.5%
12ENA (SHORT)2025-12-30 → 2026-01-04-20.4%
13ZEN (SHORT)2024-06-28 → 2024-07-03-19.8%
14FARTCOIN (SHORT)2025-09-06 → 2025-09-11-19.3%
15AVAX (SHORT)2024-08-17 → 2024-08-22-18.8%
16PYTH (SHORT)2025-11-05 → 2025-11-10-18.2%
17TAO (SHORT)2025-12-30 → 2026-01-04-17.9%
18LYN (SHORT)2026-01-24 → 2026-01-29-17.7%
19BIO (SHORT)2025-03-20 → 2025-03-25-17.3%
20WIF (SHORT)2024-12-30 → 2025-01-04-17.3%

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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