Trading-strategy family
MULTICOIN_TREND_V1Ten-coin trend followingFAIL
tested Oct 26, 2026 4 variants tried
What was tested
A weekly trend-following portfolio over 10 coins (BTC, ETH, XRP, ADA, DOGE, LTC, LINK, SOL, DOT, AVAX), based on public time-series-momentum research. A coin is held when its price is above its moving average and its recent return is positive. Positions are sized by inverse volatility to a 20% portfolio volatility target, with a 0.25 cap per coin and no leverage above 1×.
Binance daily spot prices as a stand-in; Kraken retail costs of 10 bp per side; funding on longs charged. IS 2020–2023, OOS 2024-01 to 2026-09 (143 weeks).
Pre-registered pass bar and result
The bar was written and hashed before the run. Results are on data the selection step never saw (out-of-sample).
| Criterion | Bar | Result | Verdict |
|---|---|---|---|
| Fee gate (IS): gross ≥ 2× costs | ≥ 2× | 8.3× | PASS |
| OOS annualised net return | ≥ 8% | +4.7% | FAIL |
| OOS net Sharpe | ≥ 0.7 | 0.31 | FAIL |
| Sharpe above random-sign 95th percentile (1000 sims) | > 0.86 | 0.31 | FAIL |
| OOS max drawdown | ≤ 25% | −25.5% | FAIL |
| Gross ≥ 2× total costs | ≥ 2× | 3.6× | PASS |
| At least 2 of 2024 / 2025 / 2026 YTD positive | ≥ 2 of 3 | +15.5% / −5.0% / +9.2% | PASS |
| Still positive without the best coin | > 0 | +10.6% (without ETH) | PASS |
Why it failed
The 2020–2021 bull run made trend following look great in-sample (+33.9% a year, Sharpe 1.28). Out of sample the return shrank to about 5% a year with Sharpe 0.31, which is indistinguishable from random signs with the same exposure (95th percentile 0.86). Funding on the long positions (about 5.7% over the OOS period) ate about half of the gross return.
At spot-market costs of 0.40% a side the OOS result was +2.3% a year, Sharpe 0.21 (information only).
Variants tried
4 variants: moving-average length 50 or 100 days, long-only or long-and-short. IS picked 50 days, long-or-flat. No re-tuning after the result.
What this test cannot tell
143 OOS weeks is short for a weekly strategy; a real edge of Sharpe about 0.5 could still produce this result, but the bar was set in advance and it did not clear it. Binance prices are a proxy. We did not verify that the Kraken evaluation account lists all 10 coins.
Rules lock
Rules file SHA-256:
4b171ff55aa30b3b7fa5bf7ce09c3941fe8f675ecd39baeb30e9472849434273
Locked: not recorded
“not recorded” means the number or time was not written down at the time, and we have not filled it in afterwards.
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