Trend Momentum Long-Only
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Total Return
+2840.1%
CAGR
+70.1%
Sharpe
1.11
Max Drawdown
-56.4%
Annual Vol
66.3%
Win Rate
20.1%
Starting Capital
$50K
Fees
7bps RT
Trades
~404
Timeframe
Weekly
Max Leverage
~1.7x
Robustness
3/5
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Strategy
Long top coins by momentum, but only those in a confirmed uptrend with price above 20MA above 60MA.
Signal Construction
  • Momentum: 21-day price return
  • Trend filter: price > 20-day MA AND 20-day MA > 60-day MA
  • Score: 21d return, masked to NaN for coins not in uptrend
  • Only coins with aligned MAs are eligible — filters out false momentum in downtrends
Portfolio Construction
  • Positions: Long top 10 coins by trend-filtered momentum
  • Weighting: Equal weight (10% each)
  • 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 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 Only · 7bps RT fees · Weekly rebalance · Vol-targeted leverage
Result
$50,000 → $1,470,032 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
404 trades — adequate sample size
Regime Testing
Profitable in 5/5 years tested
Decay Analysis
Performance decay detected — first half avg Sharpe 1.97, second half 1.28 (65% retention)
Monte Carlo
Not significant (p=0.056) — 5.6% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
Walk-Forward OOS
IS Sharpe 1.49 (2020-2022), OOS Sharpe 1.1 (2023-2026) — 74% 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
11000PEPE (LONG)2024-02-22 → 2024-03-27+560.9%
2AXS (LONG)2021-03-03 → 2021-05-05+414.6%
3SOL (LONG)2021-01-22 → 2021-03-17+377.6%
4SEI (LONG)2023-11-19 → 2024-01-24+358.3%
5ETC (LONG)2021-03-31 → 2021-05-19+355.2%
6GALA (LONG)2021-11-17 → 2021-12-08+337.5%
7DOGE (LONG)2024-10-16 → 2024-12-04+268.8%
8AAVE (LONG)2021-01-13 → 2021-02-17+253.6%
9AVAX (LONG)2021-01-13 → 2021-03-03+253.0%
10FIL (LONG)2021-03-10 → 2021-04-21+251.4%
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%
14ADA (LONG)2020-04-29 → 2020-07-29+198.8%
15FET (LONG)2024-02-21 → 2024-03-27+194.5%
16XRP (LONG)2021-03-31 → 2021-05-05+187.5%
17UNI (LONG)2021-01-22 → 2021-02-17+183.7%
181000SHIB (LONG)2021-10-06 → 2021-11-17+178.2%
19CRV (LONG)2024-11-21 → 2024-12-25+173.5%
20M (LONG)2025-09-03 → 2025-10-08+165.5%
Bottom 20 Trades
#CoinEntry → ExitReturn
1DASH (LONG)2021-05-07 → 2021-05-19-57.3%
2ETC (LONG)2021-05-07 → 2021-05-19-55.7%
3BCH (LONG)2021-05-12 → 2021-05-19-55.2%
4DOGE (LONG)2021-05-08 → 2021-05-19-52.4%
5AVAX (LONG)2021-02-11 → 2021-03-03-50.4%
6WIF (LONG)2024-04-01 → 2024-04-17-47.2%
7BIO (LONG)2025-08-23 → 2025-09-10-42.7%
8ZEN (LONG)2021-11-26 → 2021-12-08-42.5%
9CHZ (LONG)2021-11-13 → 2021-12-08-41.8%
10PNUT (LONG)2025-05-14 → 2025-06-04-41.6%
11ETH (LONG)2021-05-12 → 2021-05-19-41.5%
12XLM (LONG)2021-05-12 → 2021-05-19-39.9%
13ZEC (LONG)2021-11-26 → 2021-12-08-39.4%
141000SHIB (LONG)2021-10-28 → 2021-11-17-39.0%
15CAKE (LONG)2025-10-08 → 2025-10-22-37.9%
16EIGEN (LONG)2025-10-05 → 2025-10-15-37.1%
17CRV (LONG)2020-12-20 → 2020-12-23-37.1%
18AXS (LONG)2021-02-15 → 2021-02-24-37.1%
19SNX (LONG)2025-10-15 → 2025-10-22-37.0%
201000BONK (LONG)2025-07-17 → 2025-08-06-36.6%

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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