Momentum · Time-series momentum
Crypto Basket (5) Momentum 60 · 1D
Time-series momentum on BTC/USD, ETH/USD, SOL/USD, BNB/USD, XRP/USD CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return+12.3%Backtest
Max drawdown−23.2%Volatility 18.2%
Sharpe0.73Trades 610
Since go-live—awaiting first trade
In the OctoHex System since Oct 5, 06:30 AM — client money follows this strategy.
Live trade history
No trades closed yet — open positions are shown above.
Backtest on real market data
Annual return+12.3%
Max drawdown−23.2%
Sharpe0.73
Trades610
Winning trades32%
Time in market100%
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 the return over the last 60 bars is positive, short when it is negative.
- 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 | -0.5 | 0.0 | 6.8 | -0.9 | 8.8 | -0.5 | -6.3 | 6.8% | |||||
| 2022 | 5.8 | -3.4 | 0.9 | -1.0 | 3.2 | 6.7 | -3.6 | -3.5 | -2.0 | -0.1 | -6.2 | 1.1 | -3.0% |
| 2023 | 3.5 | -2.1 | 1.0 | -0.2 | -4.2 | 0.0 | 2.0 | -5.4 | -2.1 | 4.5 | 6.4 | 15.6 | 18.8% |
| 2024 | -1.8 | 10.8 | 13.5 | -9.3 | -3.4 | -1.1 | -2.6 | -1.5 | -6.0 | 2.0 | 29.7 | -1.6 | 25.5% |
| 2025 | 7.8 | -5.4 | 1.0 | -3.1 | 0.8 | -2.1 | 2.8 | 1.8 | 2.1 | -1.6 | 1.9 | 1.0 | 6.5% |
| 2026 | -3.7 | 5.7 | -0.5 | -0.1 | 1.2 | 1.2 | -2.7 | 6.2 | 4.3 | 0.6 | 12.3% |