Momentum · Time-series momentum
Crypto Basket (10) Momentum 90 · 1D
Time-series momentum on BTC/USD, ETH/USD, SOL/USD, BNB/USD, XRP/USD, ADA/USD, AVAX/USD, LINK/USD, DOT/USD, POL/USD CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return+4.4%Backtest
Max drawdown−23.1%Volatility 21.4%
Sharpe0.31Trades 217
Since go-live—awaiting first trade
Backtest on real market data
Annual return+4.4%
Max drawdown−23.1%
Sharpe0.31
Trades217
Winning trades35%
Time in market100%
Backtest on real historical prices from Nov 12, 2024 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 the return over the last 90 bars is positive, short when it is negative.
- Trades both directions (long and short).
- Position size targets 25% annualised volatility (risk level 5/5), 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 16.4 | -4.5 | 11.1% | ||||||||||
| 2025 | 6.4 | -10.3 | 0.4 | -2.0 | -4.5 | -0.4 | 8.2 | -1.8 | -0.0 | -5.7 | 2.0 | 1.8 | -7.1% |
| 2026 | 2.7 | 2.6 | 0.4 | -0.9 | -3.4 | 8.7 | -2.7 | -8.6 | 7.2 | 0.0 | 5.1% |