Time-Series Momentum
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Total Return
+7442.3%
CAGR
+97.3%
Sharpe
1.26
Max Drawdown
-35.7%
Annual Vol
69.5%
Win Rate
50.9%
Starting Capital
$50K
Fees
7bps RT
Trades
~1,221
Timeframe
Weekly
Max Leverage
~1.3x
Robustness
3/5
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Strategy
Each coin gets its own independent trend signal — not cross-sectional. Long coins in uptrend, short coins in downtrend, with vol-parity weighting.
Signal Construction
  • Uptrend: price > 20-day MA > 60-day MA AND 60d return > 0
  • Downtrend: price < 20-day MA < 60-day MA AND 60d return < 0
  • Per-coin weight: min(0.50 / coin_vol_30d_ann, 0.10) — vol-parity capped at 10%
  • Weights normalised to sum to ~1.0 across all positions
Portfolio Construction
  • Positions: Variable — every coin with a valid trend signal gets a position
  • Weighting: Inverse-volatility (vol-parity), capped at 10% per coin
  • Rebalance: Weekly (Monday 00:00 UTC) (every 7 days)
Risk Management
  • Vol target: ~70% 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
Trend Following · Long/Short · 7bps RT fees · Weekly rebalance · Vol-targeted leverage
Result
$50,000 → $3,771,149 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
1221 trades — statistically robust sample
Regime Testing
Profitable in 7/7 years tested; 2022 bear market: +45.8%
Decay Analysis
Performance decay detected — first half avg Sharpe 1.56, second half 1.19 (76% retention)
Monte Carlo
Not significant (p=0.339) — 33.9% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
Walk-Forward OOS
IS Sharpe 1.51 (2020-2022), OOS Sharpe 1.17 (2023-2026) — 77% retention on unseen data
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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
1ZEC (LONG)2025-09-10 → 2025-11-26+1000.2%
2UNI (LONG)2020-12-30 → 2021-03-24+555.4%
3AXS (LONG)2021-07-07 → 2021-09-08+401.8%
4BNB (LONG)2021-02-03 → 2021-03-24+376.9%
5XLM (LONG)2024-10-30 → 2024-12-11+359.2%
6SOL (LONG)2023-10-18 → 2024-01-10+336.0%
7ETC (LONG)2021-03-31 → 2021-05-19+319.2%
8DOT (LONG)2020-12-30 → 2021-03-24+316.8%
9SNX (LONG)2020-12-16 → 2021-02-24+263.0%
10DOLO (LONG)2025-07-16 → 2025-08-27+254.3%
11AVAX (LONG)2021-01-13 → 2021-02-24+250.5%
12FIL (LONG)2021-03-03 → 2021-04-21+250.3%
13DOGE (LONG)2024-10-16 → 2024-12-11+229.4%
14AAVE (LONG)2021-01-06 → 2021-02-24+217.1%
15XRP (LONG)2021-03-17 → 2021-04-28+188.8%
16SUI (LONG)2023-11-08 → 2024-02-28+173.9%
17ADA (LONG)2020-04-29 → 2020-08-12+165.5%
18NEAR (LONG)2021-08-11 → 2021-09-22+160.8%
19CRV (LONG)2024-11-20 → 2024-12-18+154.5%
201000PEPE (LONG)2024-02-28 → 2024-03-27+139.8%
Bottom 20 Trades
#CoinEntry → ExitReturn
1ICP (SHORT)2023-10-11 → 2024-01-17-86.0%
2PNUT (SHORT)2025-05-07 → 2025-05-28-84.9%
3AVAX (SHORT)2023-10-11 → 2024-01-03-81.5%
4FIL (SHORT)2025-10-15 → 2025-11-12-77.7%
51000BONK (SHORT)2024-02-21 → 2024-03-20-72.2%
6HBAR (SHORT)2024-04-17 → 2024-04-24-71.5%
7DASH (SHORT)2026-01-07 → 2026-01-14-66.4%
8EIGEN (SHORT)2025-05-07 → 2025-06-18-63.7%
9ADA (SHORT)2023-10-11 → 2024-01-03-62.3%
10FORM (LONG)2025-09-03 → 2025-10-08-61.3%
11XRP (SHORT)2021-01-27 → 2021-02-03-61.1%
12GALA (SHORT)2022-11-09 → 2023-01-11-60.3%
13VIRTUAL (SHORT)2025-10-15 → 2025-10-29-59.1%
141000PEPE (SHORT)2023-10-11 → 2023-10-25-58.9%
15PYTH (LONG)2025-10-08 → 2026-01-07-58.2%
16CHZ (SHORT)2021-10-27 → 2021-12-01-56.0%
17ZORA (SHORT)2025-09-24 → 2025-10-15-51.6%
18AXS (LONG)2021-12-01 → 2022-02-09-49.9%
19SNX (SHORT)2022-06-08 → 2022-06-22-49.8%
20CAKE (SHORT)2025-03-12 → 2025-03-19-48.4%

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.

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