Volatility · Volatility-band breakout
BTC Volatility Breakout 20·2σ · 1D
Volatility-band breakout on BTC/USD CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return−3.7%Backtest
Max drawdown−30.0%Volatility 14.8%
Sharpe-0.18Trades 79
Since go-live—awaiting first trade
Backtest on real market data
Annual return−3.7%
Max drawdown−30.0%
Sharpe-0.18
Trades79
Winning trades30%
Time in market55%
Backtest on real historical prices from Jun 13, 2021 to Oct 3, 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 + 2σ), 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 2:1 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | -4.4 | 1.1 | 2.8 | -4.9 | 0.1 | -3.2 | 2.6 | -6.0% | |||||
| 2022 | 3.1 | -4.3 | 0.8 | -0.3 | 2.6 | 4.7 | -1.8 | 1.1 | -5.0 | -1.3 | -1.3 | -1.9 | -4.1% |
| 2023 | 11.3 | -5.9 | -5.5 | -1.7 | -1.5 | -3.5 | -2.5 | 1.0 | -2.1 | 7.6 | 1.1 | 1.8 | -1.3% |
| 2024 | -5.3 | 13.0 | 2.7 | -1.3 | -2.3 | 1.5 | 0.6 | -2.3 | -3.8 | -2.9 | 9.6 | -2.7 | 5.5% |
| 2025 | -3.5 | 2.4 | -4.8 | -2.0 | 3.0 | -3.5 | 0.4 | -4.2 | -6.9 | -3.9 | 4.9 | -1.6 | -18.6% |
| 2026 | -1.2 | 6.7 | -4.9 | 0.0 | -0.1 | 7.0 | -5.1 | 7.1 | -2.1 | 0.5 | 7.2% |