Backtest lab $10,000 through each strategy's full history · same costs for all: 4.5 bp taker + 1 bp latency + spread, real funding · log scale
Trend ensemble (live settings): $10,000 on 2020-11-11 → $50.4k today (+31.3%/yr, Sharpe 1.18, 95% range 0.17 … 2.12). Worst peak-to-trough −35%; last 12 months +3.4%.
| Strategy | $10k became | Return / yr | Sharpe (95% range) | Worst drawdown | Last 12 months | Since |
|---|---|---|---|---|---|---|
| Trend ensemble (live settings) | $50.4k | +31.3% | 1.18 (0.17 … 2.12) | −35% | +3.4% | 2020-11-11 |
| Funding carry (delta-neutral) | $11.8k | +8.7% | 11.42 (9.64 … 13.76) | −0.2% | +3.7% | 2024-10-25 |
| Alt/BTC cross trend | $11.9k | +3.0% | 0.40 (-0.33 … 1.08) | −9.6% | −4.8% | 2020-11-11 |
| Vol-managed momentum | $24.0k | +15.9% | 0.90 (0.11 … 1.64) | −20.4% | −5.2% | 2020-11-16 |
| Breakout Rocket @ 60% vol | $2.5M | +154.3% | 1.69 (0.77 … 2.56) | −56.5% | +46.9% | 2020-11-27 |
| Breakout Rocket @ 80% vol (live) | $8.4M | +213.2% | 1.69 (0.77 … 2.56) | −68.5% | +57.7% | 2020-11-27 |
| Breakout Rocket @ 100% vol | $13M | +239.4% | 1.67 (0.75 … 2.55) | −76.6% | +66.3% | 2020-11-27 |
| Breakout Rocket @ 120% vol | $19M | +260.5% | 1.67 (0.72 … 2.54) | −82.3% | +74.3% | 2020-11-27 |
| Breakout Rocket @ 150% vol | $27M | +281.8% | 1.67 (0.71 … 2.52) | −86.6% | +86.5% | 2020-11-27 |
| 52-week-high momentum | $18.2k | +12.3% | 0.59 (-0.28 … 1.39) | −24.8% | −2.3% | 2021-08-23 |
| Winners vs Bitcoin (probation) | $205k | +67.5% | 1.17 (0.35 … 1.98) | −53.2% | +23.4% | 2020-12-14 |
| Coin Rider v2: rotates into the next breakout (1x) | $44.1k | +102.8% | 1.23 (0.02 … 2.49) | −41.5% | +78.3% | 2024-09-14 |
| Breakaway Alts: coin-specific jump drift (2.5x) | $408k | +92.4% | 1.20 (0.3 … 1.95) | −67.3% | +61.0% | 2021-02-18 |
| Volume Spotlight: high-volume premium, BTC-hedged (1.25x, probation) | $23.1k | +26.9% | 0.71 (-0.26 … 1.6) | −61.3% | +78.6% | 2023-04-12 |
| EMA-800 Trend: freqtrade strategy from GitHub (2x) | $15.0k | +20.4% | 0.61 (-0.86 … 1.97) | −69.4% | +16.9% | 2024-08-10 |
| Roll-Off Echo: trade the 24h-change display (3x, probation) | $35.4k | +74.8% | 1.10 (-0.27 … 2.07) | −75.3% | +22.7% | 2024-07-16 |
| MACD Rank: top 5 vs bottom 5 by trend score (1x, probation) | $78.7k | +41.4% | 1.23 (0.5 … 2.23) | −42.7% | +1.3% | 2020-11-05 |
| Unlock Front-Run: short alts the week before token unlocks (1.5x, probation) | $14.6k | +15.7% | 0.55 (-0.5 … 1.57) | −60.2% | −7.1% | 2024-03-09 |
| Residual Momentum: what's left after Bitcoin (walk-forward, 3x, probation) | $164k | +79.0% | 1.15 (0.14 … 2) | −60.3% | +4.6% | 2022-01-01 |
| hlhb: freqtrade's 4h RSI + EMA cross (5x slots, probation) | $12.3k | +9.4% | 0.42 (-0.78 … 1.46) | −50.5% | −25.5% | 2024-07-12 |
| Turning Points: dynamic-speed trend (walk-forward, 1x, probation) | $14.3k | +7.7% | 0.39 (-0.51 … 1.28) | −45.3% | +24.6% | 2022-01-01 |
| Weekly Pulse: 4-week Bitcoin momentum (walk-forward, 1x, probation) | $17.0k | +9.6% | 0.45 (-0.37 … 1.17) | −64% | −19.9% | 2021-01-01 |
| Betting Against Correlation: loners long, herd short (2x, probation) | $23.3k | +23.3% | 0.70 (-0.38 … 1.93) | −79.6% | +93.9% | 2022-10-03 |
| Basis-Momentum: rising premium long, falling premium short (1x, probation) | $8.5k | −8.5% | -0.47 (-2.03 … 1.18) | −23.5% | −16.0% | 2024-11-25 |
| Absorption Ratio: out of crypto when coins move as one (3x) | $68.0k | +65.6% | 1.01 (-0.13 … 1.99) | −87.7% | +124.7% | 2023-01-01 |
| Coskewness: paid to hold the alts that hate Bitcoin's big swings (walk-forward, 1x, probation) | $10.6k | +1.2% | 0.17 (-0.83 … 1.17) | −55.4% | +30.0% | 2022-01-01 |
| Sector Momentum: long the winning crypto sector, short the losing one (1.5x, probation) | $38.7k | +37.0% | 0.82 (-0.16 … 1.79) | −59.5% | +4.8% | 2022-07-04 |
| Downside-Vol Basket: the coin market sized by its falls (0.75x, probation) | $113k | +50.6% | 0.92 (0.02 … 1.82) | −79.3% | −26.1% | 2020-11-18 |
| Bitcoin buy & hold | $70.4k | +37.2% | 0.84 (0.04 … 1.71) | −76.7% | −23.7% | 2020-08-20 |
Read this honestly: the big numbers come from 2021 and 2023. Over the last 12 months 8 of 24 live strategies lost money while Bitcoin moved −23.7%. The coin list is today's survivors, which flatters long-only results. Above ~100% target volatility the Breakout Rocket stops growing and only adds drawdown — that is why the live book sits at 80%. Funding carry only has two years of data. None of this is a promise about the next 12 months.
Strategy 1 trend rule (trend_ens, daily)
Once a day each coin is scored on four trend horizons (10, 20, 42 and 84 days). Every horizon that is up adds a quarter of the coin's position; a coin in a downtrend on all four is sold. Size shrinks when a coin is volatile, so each coin carries similar risk. Long only, no leverage, risk setting 0.6, max 10% per coin and 100% invested.
Testing every strategy is scored only on data it was not tuned on, after fees, slippage and funding
Edge study · 22 coins · daily bars · out of sample 2021-08-19 → 2026-09-25 · 38 configurations tried. NO STRATEGY PASSED: none showed a statistically reliable edge after costs out of sample
| Strategy | Sharpe | 95% range | Beats random (p) | Return/yr | Worst drawdown | Pass |
|---|---|---|---|---|---|---|
| tsmom_lo | 0.79 | -0.20 … 1.63 | 0.017 | +7.3% | −12.6% | ✗ |
| trend_ens ◀ trading | 0.66 | -0.33 … 1.49 | 0.013 | +5.4% | −13.1% | ✗ |
| buyhold | 0.46 | -0.42 … 1.32 | — | +6.8% | −25.3% | ✗ |
| tsmom | 0.44 | -0.43 … 1.24 | 0.110 | +5.1% | −24.9% | ✗ |
| xsmom | -0.02 | -0.90 … 0.84 | 0.286 | −0.0% | −5.6% | ✗ |
| funding | -0.60 | -1.33 … 0.29 | 0.821 | −2.0% | −12.1% | ✗ |
| meanrev | -0.67 | -1.20 … 0.20 | 0.947 | −0.3% | −1.8% | ✗ |
Replication on unseen coins
15 coins not used to design trend_ens: Sharpe 0.57 (range -0.39 … 1.40), beats random p = 0.020, worst drawdown −13.5% vs buy & hold Sharpe 0.39 / −27.0%.
Newest strategy tested: xs_carry
Daily: short the coins with the highest trailing funding, long the lowest; collect funding on both legs. Source: Crypto carry literature (Christin et al.; Schmeling, Schrimpf & Todorov), perp-only version. Out of sample 2025-03-24 to 2026-09-25: Sharpe -0.84, return −1.8%/yr. rejected: loses money after costs out of sample
Risk dial trend_ens, 22 coins, daily, after costs, Aug 2021 - Sep 2026. More risk raises return only up to ~0.8; after that drawdowns grow faster than returns.
| Risk setting | Return/yr | Volatility | Sharpe | Worst drawdown | Worst day | Max invested |
|---|---|---|---|---|---|---|
| 0.2 | +5.4% | 8.7% | 0.66 | −13.1% | −2.7% | 38% |
| 0.4 | +10.1% | 17.2% | 0.64 | −24.8% | −5.2% | 71% |
| 0.6 ◀ now | +12.6% | 24.7% | 0.60 | −35.0% | −7.6% | 88% |
| 0.8 | +14.5% | 31.0% | 0.59 | −43.2% | −9.4% | 92% |
| 1.0 | +14.1% | 35.6% | 0.55 | −49.7% | −10.9% | 95% |
Hard limits now: kill switch at −40% drawdown · daily loss stop −10% · max 10% per coin · max 100% invested.
Go-live readiness 2/8 checksevery check must pass before real money · strategy: trend_ens
Idea lab one new crypto trading idea researched and tested every day
Daily 00:00 UTC: equal-weight long basket of every perp with 60 days of history; exposure = min(2, 0.60 / annualised 30-day downside semi-deviation of the basket); book 0.75x.
Probation: net Sharpe 0.92 (CI 0.04..1.78), 50.6%/yr, max DD 79% at 0.75x Nov 2020-Oct 2026, beats total-vol scaling at every window (0.92 vs 0.81 at N30), but walk-forward 0.29, timing placebo p 0.15, beta 1.35 and corr 0.90 with Strategy 1. · out-of-sample Sharpe 0.92 · source: Wang & Yan, 'Downside risk and the performance of volatility-managed portfolios', Journal of Banking & Finance 131 (2021) - https://doi.org/10.1016/j.jbankfin.2021.106198
Mondays, 4h bars over 7/28 days: RV, RV+ (up moves), SJ = RV+ - RV-; long the 4 lowest, short the 4 highest.
Rejected: net Sharpe -0.80 to 0.01 across the six variants Jul 2024-Oct 2026; low variance loses in our 22 large coins. · out-of-sample Sharpe 0.01 · source: Lee & Wang, 'Variance Decomposition and Cryptocurrency Return Prediction', JFQA 60(4) 2025 - https://ideas.repec.org/a/cup/jfinqa/v60y2025i4p1859-1890_9.html
Mondays: long the 4 perps with the lowest 7-day mean funding, short the 4 highest, 1/8 each.
Rejected: net Sharpe -0.14 Oct 2024-Oct 2026 (grid -0.53..0.32); collects +8.9%/yr funding but the price legs lose more (2025 -29.7%). · out-of-sample Sharpe -0.14 · source: Koijen, Moskowitz, Pedersen & Vrugt, 'Carry', JFE 2018; Schmeling, Schrimpf & Todorov, 'Crypto carry', BIS WP 1087
Mondays: AT = 28d mean coin volume / prior 180d mean; in the top half by AT long the 3 best, short the 3 worst 28-day returns, 1/6 each.
Rejected: net Sharpe 0.13 (CI -0.99..1.30) Nov 2023-Oct 2026, walk-forward -0.09; low-turnover half -0.35, high-minus-low spread 0.39 gross, corr 0.80 with plain momentum and zero alpha. · out-of-sample Sharpe 0.13 · source: Medhat & Schmeling, 'Short-term Momentum', Review of Financial Studies 35(3) 2022 - https://repec.cepr.org/repec/cpr/ceprdp/DP15857.pdf
Mondays 00:00 UTC: equal-weight 28-day return of 5 fixed sectors (L1, DeFi, L2, payments/meme, AI/venue); long the best sector's coins 0.5x, short the worst's 0.5x, hold a week, 1.5x.
Probation: pre-registered rule Sharpe 0.84 (CI -0.13..1.82), 29.4%/yr at 1x (38.6%/yr, DD 60% at the live 1.5x), positive every year, 0.68 at 3x costs, but walk-forward 0.40, random-label placebo p=0.09, alpha over coin momentum t=0.89. · out-of-sample Sharpe 0.84 · source: Moskowitz & Grinblatt, 'Do industries explain momentum?', Journal of Finance 54(4) 1999, https://doi.org/10.1111/0022-1082.00146
Mondays: 60-day BTC market-model residual std; long top 4, short bottom 4, 1/8 each.
Rejected: Sharpe 0.61 (CI -0.16..1.34) but 2022 -25%, 2025 -23%, last 2 years 0.12; same family as the rejected low-vol test. · out-of-sample Sharpe 0.61 · source: Zhang & Li, 'Is idiosyncratic volatility priced in cryptocurrency markets?', RIBAF 2020
Mondays: if BTC 28d return > 0, long the 4 alts with the lowest 28d return vs BTC (0.5x), short BTC 0.5x; else flat.
Rejected: Sharpe 0.14, 0.1%/yr, last 2 years -0.59; 2021 +184% then negative 2024-26. · out-of-sample Sharpe 0.14 · source: alt-rotation practitioner folklore
Daily: 180d correlation PCA, 2 eigenportfolios, 60d residual OU s-score; open at |s|>1.25, close long s>-0.5 / short s<0.75; 1/8 per coin, factor-hedged.
Rejected: Sharpe -0.76 (gross -0.40), -17%/yr, DD 68% Mar 2021-Oct 2026; residual reversal does not exist at daily horizons in crypto. · out-of-sample Sharpe -0.76 · source: Avellaneda & Lee, 'Statistical arbitrage in the US equities market', Quantitative Finance 10(7) 2010, https://doi.org/10.1080/14697680903124632
Mondays: score = 30-day dlog of 30-day mean daily trade count; long top 4, short bottom 4; also z-sum with 14d momentum (Lee-Swaminathan).
Rejected: Sharpe 0.61 (CI -0.36..1.54) is 2024 only (+59%), last 2 years -0.08; 14d 0.25, 60d 0.37; combined with momentum 0.38 vs momentum alone 0.64. · out-of-sample Sharpe 0.61 · source: Liu & Tsyvinski, 'Risks and returns of cryptocurrency', RFS 2021, https://nber.org/papers/w24877
Mondays: score = -(90d dlog price - 90d dlog 30-day mean daily trade count); long top 4, short bottom 4, 1/8 each.
Rejected: Sharpe -0.46 (CI -1.55..0.59), -13%/yr Aug 2023-Oct 2026; 60d -0.47, 180d 0.41. · out-of-sample Sharpe -0.46 · source: Liu, Tsyvinski & Wu CVALUE (price-to-new-address); Borri, Liu, Tsyvinski & Wu 2025 survey, https://arxiv.org/abs/2510.14435
Daily P&L UTC days
P&L by coin
| Coin | Realized | Unrealized | Fees | Net | Trades |
|---|---|---|---|---|---|
| AAVE | +$27.25 | −$1.22 | $0.56 | +$25.47 | 0/0 |
| ADA | −$29.65 | −$13.40 | $0.36 | −$43.41 | 0/0 |
| APT | −$13.55 | −$12.96 | $0.32 | −$26.83 | 0/0 |
| ARB | −$10.29 | −$12.55 | $0.10 | −$22.94 | 0/0 |
| AVAX | −$5.87 | −$13.20 | $0.23 | −$19.30 | 0/0 |
| BNB | −$15.73 | −$12.91 | $0.31 | −$28.95 | 0/0 |
| BTC | −$2.22 | −$7.57 | $0.65 | −$10.44 | 0/0 |
| DOGE | −$40.94 | −$8.83 | $0.49 | −$50.25 | 0/0 |
| ENA | +$10.25 | −$23.48 | $0.29 | −$13.52 | 0/0 |
| ETH | −$37.76 | −$7.50 | $0.58 | −$45.84 | 0/0 |
| HYPE | −$39.05 | −$10.70 | $0.73 | −$50.49 | 0/0 |
| INJ | −$12.53 | +$11.81 | $0.32 | −$1.04 | 0/0 |
| LINK | −$26.86 | −$11.50 | $0.33 | −$38.69 | 0/0 |
| LTC | −$13.54 | −$33.32 | $0.23 | −$47.09 | 0/0 |
| NEAR | +$6.87 | +$0.49 | $0.24 | +$7.12 | 0/0 |
| ONDO | +$3.25 | −$20.17 | $0.40 | −$17.33 | 0/0 |
| OP | −$18.37 | −$12.83 | $0.31 | −$31.51 | 0/0 |
| SOL | −$10.80 | −$19.84 | $0.51 | −$31.15 | 0/0 |
| SUI | −$10.04 | −$19.37 | $0.16 | −$29.57 | 0/0 |
| TAO | +$6.16 | −$18.27 | $0.32 | −$12.43 | 0/0 |
| TIA | +$24.00 | +$27.52 | $0.19 | +$51.33 | 0/0 |
| XRP | −$33.22 | −$8.19 | $0.52 | −$41.93 | 0/0 |
Open positions
| Coin | Side | Size | Entry | Mark | Unrealized |
|---|---|---|---|---|---|
| ENA | ▲ long | 453.0000 | 0.239 | 0.1872 | −$23.48 (−21.68%) |
| SOL | ▲ long | 1.3200 | 119.77 | 104.74 | −$19.84 (−12.55%) |
| TAO | ▲ long | 0.6520 | 298.10 | 270.09 | −$18.27 (−9.40%) |
| ONDO | ▲ long | 215.0000 | 0.5275 | 0.4337 | −$20.17 (−17.79%) |
| BTC | ▲ long | 0.0042 | 84,140 | 82,317 | −$7.57 (−2.17%) |
| HYPE | ▲ long | 1.5500 | 86.08 | 79.18 | −$10.70 (−8.02%) |
| AAVE | ▲ long | 1.6000 | 151.89 | 151.13 | −$1.22 (−0.50%) |
| ETH | ▲ long | 0.0611 | 2,544 | 2,421 | −$7.50 (−4.82%) |
| XRP | ▲ long | 73.0000 | 1.41 | 1.30 | −$8.19 (−7.93%) |
| DOGE | ▲ long | 1,033 | 0.08763 | 0.07909 | −$8.83 (−9.75%) |
| BNB | ▲ long | 0.2640 | 773.88 | 724.97 | −$12.91 (−6.32%) |
| AVAX | ▲ long | 11.0200 | 10.85 | 9.65 | −$13.20 (−11.04%) |
| LINK | ▲ long | 7.0000 | 13.71 | 12.06 | −$11.50 (−11.99%) |
| LTC | ▲ long | 2.6900 | 72.05 | 59.66 | −$33.32 (−17.19%) |
| ADA | ▲ long | 394.0000 | 0.2522 | 0.2182 | −$13.40 (−13.48%) |
| SUI | ▲ long | 105.7000 | 1.18 | 0.9975 | −$19.37 (−15.52%) |
| NEAR | ▲ long | 35.4000 | 4.97 | 4.98 | +$0.49 (+0.28%) |
| APT | ▲ long | 180.6800 | 0.8445 | 0.7728 | −$12.96 (−8.49%) |
| ARB | ▲ long | 536.9000 | 0.2192 | 0.1959 | −$12.55 (−10.66%) |
| OP | ▲ long | 956.8000 | 0.1384 | 0.125 | −$12.83 (−9.69%) |
| INJ | ▲ long | 26.1000 | 8.10 | 8.55 | +$11.81 (+5.59%) |
| TIA | ▲ long | 232.7000 | 0.4916 | 0.6098 | +$27.52 (+24.05%) |
Recent closed trades
No round trips yet.
Recent fills
| Time | Coin | Side | Size | Price | Why |
|---|---|---|---|---|---|
| Oct 19, 12:00 AM | AAVE | buy | 0.6300 | 151.87 | trend_ens target +2.57% (was +1.55%) |
| Oct 19, 12:00 AM | NEAR | buy | 18.9000 | 5.01 | trend_ens target +1.87% (was +0.87%) |
| Oct 19, 12:00 AM | TAO | buy | 0.2410 | 270.34 | trend_ens target +1.86% (was +1.17%) |
| Oct 19, 12:00 AM | INJ | buy | 7.0000 | 8.72 | trend_ens target +2.40% (was +1.75%) |
| Oct 19, 12:00 AM | HYPE | buy | 0.4100 | 78.78 | trend_ens target +1.29% (was +0.95%) |
| Oct 19, 12:00 AM | SOL | sell | 0.5000 | 104.01 | trend_ens target +1.44% (was +1.99%) |
| Oct 19, 12:00 AM | ADA | sell | 259.0000 | 0.2211 | trend_ens target +0.92% (was +1.52%) |
| Oct 18, 6:11 AM | NEAR | sell | 6.5000 | 4.94 | trend_ens target +0.86% (was +1.20%) |
| Oct 18, 6:11 AM | LINK | sell | 6.1000 | 11.97 | trend_ens target +0.88% (was +1.65%) |
| Oct 17, 12:00 AM | APT | buy | 57.9800 | 0.8486 | trend_ens target +1.60% (was +1.09%) |
| Oct 17, 12:00 AM | OP | buy | 315.4000 | 0.138 | trend_ens target +1.38% (was +0.92%) |
| Oct 17, 12:00 AM | TIA | sell | 60.5000 | 0.6874 | trend_ens target +1.67% (was +2.11%) |
| Oct 17, 12:00 AM | AAVE | sell | 0.4400 | 155.08 | trend_ens target +1.56% (was +2.28%) |
| Oct 17, 12:00 AM | BNB | sell | 0.2100 | 721.11 | trend_ens target +1.98% (was +3.57%) |
| Oct 16, 12:00 AM | SUI | sell | 47.2000 | 1.04 | trend_ens target +1.14% (was +1.65%) |
| Oct 16, 12:00 AM | OP | sell | 509.5000 | 0.1373 | trend_ens target +0.92% (was +1.65%) |
| Oct 16, 12:00 AM | DOGE | sell | 946.0000 | 0.08109 | trend_ens target +0.87% (was +1.68%) |
| Oct 16, 12:00 AM | APT | sell | 118.2600 | 0.8337 | trend_ens target +1.07% (was +2.10%) |
| Oct 16, 12:00 AM | ETH | sell | 0.0537 | 2,441 | trend_ens target +1.56% (was +2.92%) |
| Oct 15, 12:00 AM | ENA | sell | 199.0000 | 0.1959 | trend_ens target +0.93% (was +1.34%) |
| Oct 15, 12:00 AM | INJ | sell | 5.4000 | 7.67 | trend_ens target +1.54% (was +1.98%) |
| Oct 15, 12:00 AM | ONDO | sell | 102.0000 | 0.4454 | trend_ens target +1.01% (was +1.48%) |
| Oct 15, 12:00 AM | NEAR | sell | 13.8000 | 4.88 | trend_ens target +1.18% (was +1.89%) |
| Oct 15, 12:00 AM | LINK | sell | 6.2000 | 12.43 | trend_ens target +1.71% (was +2.52%) |
| Oct 15, 12:00 AM | XRP | sell | 63.0000 | 1.33 | trend_ens target +1.01% (was +1.90%) |