FirstFa
Sign in

Strategy

Back to strategies

BTC trend

Holds BTC while its 50-day average is above its 200-day average and the price is above the 50-day average; stays in cash otherwise. No shorts.

trendsingle-assetVersion 1 · published 2026-09-29
Sign in to star · 0
Author info
Research deskOfficial
0 followers3 strategies published3 currently ranked
Sign in to follow
Strategy info
  • Universe: BTCUSDT.
  • Goes long BTCUSDT when SMA(50) > SMA(200) and close > SMA(50).
  • Exits the long when (close crosses below SMA(50) or SMA(50) < SMA(200)).
  • Rebalances every 1 day at the next day's open; gross leverage 1×.
  • Costs: 10 bps fee and 5 bps slippage per side.
  • Results since 2021-01-01, against BTCUSDT.
Definition (JSON)
{
  "benchmark": "BTCUSDT",
  "costs": {
    "feeBps": 10,
    "slippageBps": 5
  },
  "kind": "rule",
  "leverage": 1,
  "rebalance": {
    "everyDays": 1
  },
  "rule": {
    "entryLong": {
      "all": [
        {
          "left": {
            "indicator": "sma",
            "lookback": 50
          },
          "op": ">",
          "right": {
            "indicator": "sma",
            "lookback": 200
          }
        },
        {
          "left": {
            "indicator": "close"
          },
          "op": ">",
          "right": {
            "indicator": "sma",
            "lookback": 50
          }
        }
      ]
    },
    "exitLong": {
      "any": [
        {
          "left": {
            "indicator": "close"
          },
          "op": "crosses_below",
          "right": {
            "indicator": "sma",
            "lookback": 50
          }
        },
        {
          "left": {
            "indicator": "sma",
            "lookback": 50
          },
          "op": "<",
          "right": {
            "indicator": "sma",
            "lookback": 200
          }
        }
      ]
    },
    "symbol": "BTCUSDT"
  },
  "schema": 1,
  "start": "2021-01-01",
  "timeframe": "1d",
  "universe": {
    "symbols": [
      "BTCUSDT"
    ],
    "type": "list"
  }
}
Data coverage
11.91% of instrument-days have a bar
Days with fewer names than asked
0
Universe
Point-in-time from 2026-09-29; before that, coins delisted earlier may be missing.
Engine
0.1.0
Performance
BTC · 1D · 1×Since 2021-01-01
Total Return
+108.94%
$20,894
Ann. Return
+13.42%
annualized
Max Drawdown
30.69%
peak to trough
Sharpe
0.62
risk-free rate 0
Sortino
0.98
downside risk
Calmar
0.44
Ann. Return / Max DD
Alpha vs BTC
+9.21%
annualized
Beta vs BTC
0.20
daily returns

Equity curve

Drawdown

Entries and exits

Each marker is a past date on which this strategy's rules entered or exited a position in BTCUSDT, at the average fill price. It is a record of that day, not a price to act at.

27 closed positions.

Composition

Trading volume by symbol, $942,195 total · 1 symbols

Returns

Gross profit
+$20,245
Gross profit %
+202.45%
Gross loss
-$9,351
Gross loss %
-93.51%
Profit factor
2.16
Expected payoff
+$403.47
Commission paid
$942.20
Slippage cost
$471.10

Risk & benchmark

Buy-and-hold BTC
+162.28%
Outperformance
-53.35%
Final balance
$20,894
Annualized volatility
25.68%

Trade analysisclosed positions only

Closed positions
27
Win rate
33.33%
Win/loss ratio
4.33
Avg win
+$2,249
Avg loss
-$519.51
Avg holding period
22.7 days
Daily turnover
2.53%

Portfolio

Avg symbols held
0.3
Long exposure
100.00%
Short exposure
0.00%
Net exposure
+100.00%
Gross leverage
0.29×
Avg position size
$17,229
Closed notional
$465,180