Vol-Scaled Turtle
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Total Return
+914.9%
CAGR
+43.9%
Sharpe
1.73
Max Drawdown
-28.1%
Annual Vol
22.5%
Win Rate
47.6%
Starting Capital
$50K
Fees
7bps RT
Trades
~550
Timeframe
Daily
Max Leverage
~0.7x
Robustness
3/5
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Strategy
Turtle 20/10 breakout with BTC volatility scaling — reduces position size when market volatility is elevated, full size in calm markets.
Signal Construction
  • Entry: Price > 20-day rolling high (yesterday's)
  • Exit: Price < 10-day rolling low (yesterday's)
  • Vol scaling: max(0.2, min(1.0, 0.5 / btc_vol_60d)) — shrinks positions in high-vol regimes
  • Ranking: Top 10 active breakouts by 10-day ROC, weighted by vol scale
Portfolio Construction
  • Positions: Up to 10 longs, size varies with BTC volatility
  • Weighting: Equal weight * vol_scale
  • Rebalance: Daily
Risk Management
  • Vol target: ~20% annualised (volatility-scaled)
  • Leverage range: Clipped between 0.1x and 3.0x
  • Regime filter: Implicit — vol scaling reduces exposure in bear markets (high vol)
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 → $507,472 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
550 trades — statistically robust sample
Regime Testing
Profitable in 5/7 years tested; 2022 bear market: -23.9%
Decay Analysis
Performance decay detected — first half avg Sharpe 1.45, second half 1.16 (80% retention)
Monte Carlo
Not significant (p=0.617) — 61.7% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
Walk-Forward OOS
IS Sharpe 1.4 (2020-2022), OOS Sharpe 1.29 (2023-2026) — 92% 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
1CHZ (LONG)2021-02-18 → 2021-03-22+1296.1%
2ZEC (LONG)2025-09-23 → 2025-11-25+951.8%
3DOGE (LONG)2021-01-28 → 2021-02-14+745.6%
4WIF (LONG)2024-02-26 → 2024-03-25+668.1%
5ETC (LONG)2021-04-04 → 2021-05-16+590.8%
61000PEPE (LONG)2024-02-26 → 2024-03-15+548.3%
7BNB (LONG)2021-02-01 → 2021-03-19+492.8%
8M (LONG)2025-08-29 → 2025-09-23+459.7%
9GALA (LONG)2021-11-15 → 2021-12-05+419.6%
10APT (LONG)2023-01-08 → 2023-02-04+330.2%
11XLM (LONG)2024-11-15 → 2024-12-03+286.3%
12FET (LONG)2024-02-11 → 2024-03-16+286.0%
131000SHIB (LONG)2021-09-16 → 2021-10-16+279.8%
14FIL (LONG)2021-03-13 → 2021-04-06+276.1%
15VIRTUAL (LONG)2025-04-22 → 2025-05-10+254.4%
16SOL (LONG)2021-08-15 → 2021-09-16+245.2%
17AAVE (LONG)2021-01-15 → 2021-02-13+236.1%
18OP (LONG)2022-07-18 → 2022-08-08+226.6%
19AXS (LONG)2021-06-30 → 2021-07-20+224.3%
20CRV (LONG)2021-01-15 → 2021-02-02+213.9%
Bottom 20 Trades
#CoinEntry → ExitReturn
1SPK (LONG)2025-07-24 → 2025-08-02-49.5%
2FARTCOIN (LONG)2025-01-20 → 2025-01-26-49.1%
3DOT (LONG)2021-05-15 → 2021-05-19-47.9%
4CRV (LONG)2021-05-15 → 2021-05-19-47.1%
5XPL (LONG)2025-09-28 → 2025-10-04-46.8%
6DASH (LONG)2025-11-05 → 2025-11-11-44.4%
7SNX (LONG)2025-10-14 → 2025-10-22-44.3%
8CHZ (LONG)2022-11-08 → 2022-11-09-43.8%
9DOGE (LONG)2021-05-08 → 2021-05-12-43.5%
10STRK (LONG)2025-11-20 → 2025-11-24-43.1%
11WIF (LONG)2024-04-01 → 2024-04-12-42.0%
12FIL (LONG)2025-11-08 → 2025-11-16-41.9%
13IP (LONG)2026-01-14 → 2026-01-21-40.3%
14XLM (LONG)2021-05-12 → 2021-05-19-39.9%
15ICP (LONG)2025-11-09 → 2025-11-14-39.8%
16HBAR (LONG)2021-09-16 → 2021-09-21-39.5%
17NEAR (LONG)2021-05-16 → 2021-05-19-39.4%
18GIGGLE (LONG)2025-11-06 → 2025-11-07-39.1%
19CAKE (LONG)2025-10-08 → 2025-10-24-39.0%
20ZEN (LONG)2021-02-19 → 2021-02-25-38.8%

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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