STRATEGIES
← STRATEGY REGISTRYHistorical backtest

ZECUSDTMomentum

TW

Follows sustained price momentum with causal signals.

Longzecusdt-3f4b52f5db

Data updated:

ANNUAL RETURN (CAGR)77.11%
NET RETURN1,448.92%
MAX MARK DRAWDOWN67.93%
BTC BUY & HOLD76.24%

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
ATR
Signal exit
Yes
Exit rules
Signal / stop loss / time limit
Position sizing
Notional allocation
Backtest start
2022-01-01
Backtest end
2026-10-18 (exclusive)
Closed positions
101
Profitable trades
33.66%
Best calendar month
365.24%
Worst calendar month
-36.15%
Longest daily underwater spell
983 days
Daily return volatility
4.34%

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 / %

YEARJANFEBMARAPRMAYJUNJULAUGSEPOCTNOVDEC2022-5.2%12.7%63.4%-23.4%-16.5%-13.5%-4.0%-2.4%-16.5%-2.6%4.7%-5.4%20232.1%-2.6%4.4%-4.0%-8.9%27.4%-20.5%-6.2%3.1%5.7%1.9%-10.9%2024-6.1%22.3%15.1%-17.7%8.7%-2.1%42.6%29.8%-8.4%-2.7%30.4%-16.8%2025-1.6%9.4%-0.4%1.1%31.4%-9.0%-10.7%-9.0%55.4%365.2%38.9%4.6%2026-17.1%-26.9%-11.2%14.7%17.9%-36.1%8.8%56.8%37.0%0.0%——

Calendar-year performance

PeriodStrategyBTC hold
2022-27.23%-64.22%
2023-14.66%155.62%
2024107.28%121.29%
20251,007.84%-6.33%
20268.60%-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.