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simple crypto momo
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About

Daily crypto momentum: 90% follows a Bitcoin trend filter; if BTC is strong, own the past‑week winner among major coins (or USDC). If BTC is weak, hold USDC. Keep 10% in cash; rebalance daily.
NutHow it works
- Each day, check if Bitcoin is above its 20‑day average (a simple uptrend test). - If yes, buy the single best performer over the last 7 days from: BTC, ETH, SOL, LINK, DOGE, YFI, or USDC (a dollar‑pegged coin). If all fell, USDC may win. - If no, hold USDC. - 90% follows these rules; 10% stays in cash.
CheckmarkValue prop
Crypto momentum sleeve using BTC regime filter and 10% cash. Capitalizes on top crypto leaders in up markets and parks in USDC on weakness, adding diversification versus the S&P. Note: out-of-sample risk is material; use as a tactical sleeve.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
Alpha
Beta
R2
R
1.35
0.63
0.01
0.09
Performance Metrics
Cumulative Return
Annualized Return
Trailing 1M Return
Trailing 3M Return
Sharpe Ratio
119.98%
16.19%
3.07%
6.63%
0.96
9,412.25%
137.44%
-6.12%
-7.5%
1.28
Initial Investment
$10,000.00
Final Value
$951,225.00
Regulatory Fees
$0.00
Total Slippage
$48,557.67
Invest in this strategy
OOS Start Date
Jul 16, 2024
Trading Setting
Daily
Type
Crypto
Category
Crypto, momentum, trend-following, tactical allocation, daily rebalance, stablecoin defense, concentrated
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type