Turtle 10-5 Fast
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Total Return
+9266.9%
CAGR
+104.1%
Sharpe
1.82
Max Drawdown
-46.4%
Annual Vol
44.5%
Win Rate
48.7%
Starting Capital
$50K
Fees
7bps RT
Trades
~700
Timeframe
Daily
Max Leverage
~1.3x
Robustness
6/7
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Strategy
Fast-variant Turtle breakout — enters on a 10-day high and exits on a 5-day low, catching trends earlier with more frequent signals.
Signal Construction
  • Entry: Price > 10-day rolling high (yesterday's)
  • Exit: Price < 5-day rolling low (yesterday's)
  • Ranking: Among active breakouts, select top 10 by 5-day ROC
  • Shorter lookback catches trends earlier but has more whipsaws
Portfolio Construction
  • Positions: Up to 10 long positions
  • Weighting: Equal weight among active positions
  • Rebalance: Daily
Risk Management
  • Vol target: ~40% annualised (volatility-scaled)
  • 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
Breakout · Long Only · 7bps RT fees · Daily rebalance · Vol-targeted leverage
Result
$50,000 → $4,683,433 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 — 6/7 passed
Sample Size
700 trades — statistically robust sample
Regime Testing
Profitable in 6/7 years tested; 2022 (bear): -42.6%; Lost money in the 2022 bear market
Decay Analysis
No significant decay — first half avg Sharpe 1.58, second half 1.51
Monte Carlo
Not significant — 46.1% of random strategies matched (p=0.461). Timing may not add significant value beyond being long the asset class
Fee Sensitivity
Profitable at all tested fee levels (up to 25bps RT)
Parameter Sensitivity
Robust — Sharpe ranges from 1.51 to 1.67 across parameter variations. Strategy is not sensitive to exact settings
Walk-Forward OOS
Strong — IS Sharpe 1.69, OOS Sharpe 1.65 (98% retention). Strategy holds up 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
1CHZ (LONG)2021-02-18 → 2021-03-17+1493.1%
21000PEPE (LONG)2024-02-24 → 2024-03-13+655.5%
3GALA (LONG)2021-11-15 → 2021-11-30+565.5%
4WIF (LONG)2024-02-26 → 2024-03-11+503.1%
5M (LONG)2025-08-29 → 2025-09-11+346.7%
6APT (LONG)2023-01-09 → 2023-01-30+337.2%
7XLM (LONG)2024-11-12 → 2024-11-28+335.6%
8AXS (LONG)2021-06-29 → 2021-07-19+328.6%
9DOGE (LONG)2021-04-10 → 2021-04-22+322.9%
10OP (LONG)2022-07-17 → 2022-08-08+264.4%
111000BONK (LONG)2023-12-02 → 2023-12-13+221.1%
121000SHIB (LONG)2021-10-03 → 2021-10-15+220.8%
13BNB (LONG)2021-01-29 → 2021-02-15+206.3%
14WLD (LONG)2024-02-13 → 2024-02-26+205.4%
15AVAX (LONG)2021-02-03 → 2021-02-14+191.2%
16XRP (LONG)2021-04-04 → 2021-04-16+168.0%
17ADA (LONG)2021-02-01 → 2021-02-12+167.9%
18CRV (LONG)2021-01-14 → 2021-01-27+163.9%
19VIRTUAL (LONG)2025-04-22 → 2025-05-06+162.4%
20ZEC (LONG)2025-09-23 → 2025-10-07+162.4%
Bottom 20 Trades
#CoinEntry → ExitReturn
1GIGGLE (LONG)2025-10-26 → 2025-10-30-55.3%
2SPK (LONG)2025-07-24 → 2025-07-28-48.4%
3DOT (LONG)2021-05-15 → 2021-05-19-47.9%
4CRV (LONG)2020-10-28 → 2020-11-02-42.5%
5STRK (LONG)2025-11-20 → 2025-11-22-41.9%
6FORM (LONG)2025-10-09 → 2025-10-10-41.2%
7SNX (LONG)2025-10-14 → 2025-10-17-40.0%
8NEAR (LONG)2021-05-16 → 2021-05-19-39.4%
9IP (LONG)2025-09-22 → 2025-09-25-37.8%
10XPL (LONG)2025-09-28 → 2025-09-30-37.5%
11FARTCOIN (LONG)2025-01-20 → 2025-01-23-36.9%
12CHZ (LONG)2021-06-17 → 2021-06-21-36.8%
13ETC (LONG)2021-05-07 → 2021-05-12-36.5%
14XMR (LONG)2024-02-05 → 2024-02-06-36.3%
15ADA (LONG)2021-05-17 → 2021-05-19-36.3%
16DOGE (LONG)2021-04-20 → 2021-04-22-36.2%
17HBAR (LONG)2021-05-15 → 2021-05-19-36.1%
18VIRTUAL (LONG)2025-11-02 → 2025-11-06-34.9%
19CAKE (LONG)2025-10-08 → 2025-10-10-34.7%
20FIL (LONG)2025-11-08 → 2025-11-11-34.0%

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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