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Low-volatility basket

Every week, holds the ten least volatile of the thirty most liquid USDT pairs, each weighted by the inverse of its volatility. Long only.

cross-sectionallow-volatilityweeklyVersion 1 · published 2026-09-29
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Author info
Research deskOfficial
0 followers3 strategies published3 currently ranked
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Strategy info
  • Universe: the 30 most liquid USDT pairs by 30-day volume, each with at least 90 days of history.
  • Ranks the universe on 1 signal (rank): 60-day volatility (lower is long, weight 1).
  • Holds the top 10 long, weighted by inverse volatility.
  • Rebalances every 7 days 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
  },
  "crossSectional": {
    "factors": [
      {
        "direction": "low_is_long",
        "signal": {
          "lookback": 60,
          "type": "volatility"
        },
        "weight": 1
      }
    ],
    "long": 10,
    "normalize": "rank",
    "short": 0,
    "volatilityLookback": 60,
    "weighting": "inverse_volatility"
  },
  "kind": "cross_sectional",
  "leverage": 1,
  "rebalance": {
    "everyDays": 7
  },
  "schema": 1,
  "start": "2021-01-01",
  "timeframe": "1d",
  "universe": {
    "assetClass": "crypto",
    "count": 30,
    "minHistoryDays": 90,
    "quote": "USDT",
    "type": "top_liquidity",
    "volumeLookbackDays": 30
  }
}
Data coverage
9.61% of instrument-days have a bar
Days with fewer names than asked
17
Universe
Point-in-time from 2026-09-29; before that, coins delisted earlier may be missing.
Engine
0.1.0
Performance
Top 30 USDT · 1D · 1×Since 2021-01-01
Total Return
-61.30%
$3,870
Ann. Return
-14.97%
annualized
Max Drawdown
85.07%
peak to trough
Sharpe
0.10
risk-free rate 0
Sortino
0.13
downside risk
Calmar
-0.18
Ann. Return / Max DD
Alpha vs BTC
-24.09%
annualized
Beta vs BTC
0.93
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 BNBUSDT, at the average fill price. It is a record of that day, not a price to act at.

No closed positions in BNBUSDT.

Composition

Trading volume by symbol, $351,105 total · 56 symbols

Returns

Gross profit
+$15,381
Gross profit %
+153.81%
Gross loss
-$22,245
Gross loss %
-222.45%
Profit factor
0.69
Expected payoff
-$24.43
Commission paid
$351.11
Slippage cost
$175.12

Risk & benchmark

Buy-and-hold BTC
+162.28%
Outperformance
-223.58%
Final balance
$3,870
Annualized volatility
66.63%

Trade analysisclosed positions only

Closed positions
281
Win rate
46.26%
Win/loss ratio
0.80
Avg win
+$118.31
Avg loss
-$147.32
Avg holding period
59.8 days
Daily turnover
3.03%

Portfolio

Avg symbols held
9.4
Long exposure
100.00%
Short exposure
0.00%
Net exposure
+100.00%
Gross leverage
0.94×
Avg position size
$589.72
Closed notional
$165,713