STRATEGIES
← STRATEGY REGISTRYHistorical backtest

KASUSDTMomentum reversal

TW

Trades changes in price momentum after exhaustion.

Longkasusdt-07712bdace

Data updated:

ANNUAL RETURN (CAGR)104.04%
NET RETURN883.00%
MAX MARK DRAWDOWN79.64%
BTC BUY & HOLD179.17%

Cumulative return

StrategyBTC spot buy-and-hold
Strategy versus BTC spot buy-and-hold cumulative return, percent

Drawdown

StrategyBTC spot buy-and-hold
Daily strategy and BTC drawdown, percent

Daily observations. Headline Max Mark DD uses the full native-resolution simulation.

Strategy profile

Direction
Long
BTC filter
No
Protective stop
None
Signal exit
Yes
Exit rules
Signal
Position sizing
Notional allocation
Backtest start
2023-08-04
Backtest end
2026-10-18 (exclusive)
Closed positions
343
Profitable trades
75.80%
Best calendar month
33.63%
Worst calendar month
-13.21%
Longest daily underwater spell
256 days
Daily return volatility
1.33%

Rolling 12-month return

StrategyBTC spot buy-and-hold
Rolling 12-month return

Trailing calendar-year return, without annualizing shorter windows. The first 12 months have no values.

Quarterly returns

StrategyBTC spot buy-and-hold
Quarterly returns

Full calendar quarters only; partial quarters excluded. Consistency is the share of these quarters with a positive strategy return.

Time below previous peak

StrategyBTC spot buy-and-hold
Time below previous peak

Days since the previous daily equity peak; resets to zero when that peak is recovered.

Rolling 90-day BTC correlation

Strategy versus BTC
Rolling 90-day BTC correlation

Correlation of daily returns over 90 complete daily observations, from −1 to +1. Gaps mean undefined correlation. This does not indicate whether BTC is used in signals.

Monthly returns / %

YEARJANFEBMARAPRMAYJUNJULAUGSEPOCTNOVDEC2023———————33.6%12.6%2.8%3.0%5.8%202429.6%2.2%23.9%19.2%3.6%7.6%7.9%7.3%2.9%12.9%8.2%6.7%2025-11.3%1.7%-13.2%4.4%8.1%5.1%-2.7%3.3%5.3%5.2%15.6%-0.3%2026-6.9%9.3%12.8%1.8%-2.6%11.1%1.3%0.9%6.8%4.7%——

Calendar-year performance

PeriodStrategyBTC hold
202368.51%44.86%
2024238.22%121.29%
202519.15%-6.33%
202644.76%-7.02%

First and last periods may be partial. Returns are not annualized.

Reading this report

Both curves begin at zero percent on the same effective start date. BTC is a spot buy-and-hold benchmark.

Profitable trades counts fully closed positions after costs and funding. It is not the percentage of positive days.

Different start dates describe different market histories; compare periods before comparing rankings.

Methodology & limitations

Historical simulation. Closed-bar signals and next-open execution; fees, slippage and historical funding included. BTC spot benchmark includes entry costs and no perpetual funding. Account value is compounded continuously without annual resets.

Observed research periods are not untouched out-of-sample data. Daily analytics use QuantStats; headline financial metrics use the saved backtest. Current instrument constraints are applied retrospectively. Leveraged simulations do not model exchange liquidation. Calculation cutoff: 2026-10-18, exclusive.