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RSI Weighting - BTC
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About

A rules-based crypto plan that shifts between Bitcoin and a dollar-pegged coin using Bitcoin’s 14-day RSI: more BTC when momentum is stronger, more “cash” when weak. Rebalanced daily; BTC weight ranges from 25% to 60%.
NutHow it works
It watches Bitcoin’s 14-day RSI, a 0–100 score that compares recent up days to down days (higher = stronger uptrend). Each day it sets weights: - RSI > 50: 60% Bitcoin (BTC), 40% Tether (USDT, a $1-pegged “cash” coin). - RSI 35–50: 50% BTC, 50% USDT. - RSI ≤ 35: 25% BTC, 75% USDT. Rebalanced daily.
CheckmarkValue prop
Dynamic crypto momentum strategy (25–60% BTC, rest USDT) uses 14-day RSI to tilt toward BTC in uptrends. Out-of-sample: ~20.3% annualized return, beta ~0.62. Diversifies equity risk with a different profile, though higher drawdowns than the S&P.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
Alpha
Beta
R2
R
0.73
0.37
0
0.05
Performance Metrics
Cumulative Return
Annualized Return
Trailing 1M Return
Trailing 3M Return
Sharpe Ratio
299.94%
15.12%
3.07%
6.63%
0.87
7,650.11%
55.41%
-7.08%
-9.62%
0.58
Initial Investment
$10,000.00
Final Value
$775,010.75
Regulatory Fees
$0.00
Total Slippage
$5,685.79
Invest in this strategy
OOS Start Date
Jan 15, 2024
Trading Setting
Daily
Type
Crypto
Category
Crypto, momentum, tactical allocation, bitcoin, rsi, daily rebalance, risk management
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type