Volatility · Volatility-band breakout
BTC Volatility Breakout 20·1.5σ · 4H
Volatility-band breakout on BTC/USD CFDs, evaluated on completed 4H bars and executed at live bid/ask.
Annual return+12.7%Backtest
Max drawdown−19.0%Volatility 19.6%
Sharpe0.67Trades 207
Since go-live—awaiting first trade
Backtest on real market data
Annual return+12.7%
Max drawdown−19.0%
Sharpe0.67
Trades207
Winning trades31%
Time in market69%
Backtest on real historical prices from Oct 15, 2024 to Oct 4, 2026: signals on completed bars, filled at the next bar's open, net of typical spread, commission and overnight financing. Past and backtested results are not a reliable indicator of future results. (Binance)
Methodology
- Long when price closes above the upper volatility band (20-bar mean + 1.5σ), short below the lower band.
- Exit when price falls back to the moving average.
- Trades both directions (long and short).
- Position size targets 18% annualised volatility (risk level 4/5), capped at 3:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Σ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 2.7 | 14.8 | -1.0 | 16.8% | |||||||||
| 2025 | 0.5 | 1.0 | -1.7 | -1.8 | 2.7 | -4.1 | -4.0 | -4.2 | -2.1 | 5.2 | 5.4 | -7.9 | -11.2% |
| 2026 | 7.6 | -1.9 | 0.1 | -5.5 | -1.4 | 8.7 | -7.8 | 20.6 | 1.8 | 0.8 | 22.1% |