Accelerating Dual Momentum Crypto
momentum
accelerating
crypto
aggressive
monthly
defensive
equity
Accelerating Dual Momentum applied to a stocks-vs-Bitcoin contest: each month holds whichever of SPY and BTC has the stronger accelerating momentum, and retreats to long Treasuries when the leader's momentum is negative. A disciplined way t… Read more
Jan 1, 2018 — present
·
$10,000 initial
·
updated Jun 13
·
Live
Performance Summary
Total P&L
+$19.6K
Annualised Return
+13.72%
Sharpe Ratio
0.51
Max Drawdown
−78.22%
Apr '21 – Mar '23
Simple Return
+196.04%
Win Rate
50.0%
Profit Factor
1.85
Volatility (Ann.)
54.78%
Period
1 Jan 2018 – Present
Initial Capital
$10K
Final Value
$29.6K
Total Return
+196.04%
Drift Tolerance
—
Rebalance Frequency
Monthly
Equity PerformanceAll Time – Present
vs INDEX:SP:GSPCAlpha +13.8%Beta 1.04Outperformed 53.92% of months
Strategy
Monthly Returns% · green = positive · red = negative
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2018 | -31.78% | +1.73% | -31.09% | +28.96% | -18.90% | +0.11% | +3.57% | +3.08% | +0.57% | -6.67% | +2.65% | +5.80% | -45.5% |
| 2019 | +0.38% | +2.44% | +1.78% | +4.01% | +57.33% | +44.70% | -18.71% | -4.83% | -13.59% | +10.92% | -15.63% | -7.31% | +43.7% |
| 2020 | -3.94% | -6.13% | -25.76% | +2.29% | +7.23% | -3.19% | +23.92% | +3.16% | -7.67% | +25.61% | +44.88% | +47.77% | +125.6% |
| 2021 | +18.33% | +35.04% | +27.15% | -1.98% | -38.19% | -1.84% | -2.54% | +2.94% | -10.42% | +15.99% | -0.80% | -20.08% | -0.1% |
| 2022 | -5.61% | -0.71% | -5.43% | -16.38% | -17.66% | -7.48% | +2.41% | -1.46% | -6.28% | -5.94% | +7.13% | -2.72% | -47.7% |
| 2023 | +6.25% | -1.53% | +23.03% | +3.03% | -7.23% | +11.97% | -4.09% | +0.03% | -4.74% | -3.95% | +8.57% | +11.63% | +46.6% |
| 2024 | +1.15% | +43.72% | +15.60% | -14.29% | +11.30% | -10.62% | +7.13% | -8.51% | +7.12% | -4.06% | +40.66% | -4.14% | +94.6% |
| 2025 | +9.61% | -17.61% | -2.16% | +14.12% | +10.39% | +3.02% | +8.05% | -6.35% | +5.21% | -3.95% | -2.87% | +0.08% | +14.0% |
| 2026 | +1.47% | -0.86% | -4.93% | -0.06% | +5.16% | -1.91% | — | — | — | — | — | — | -1.4% |
Holdings
ETF:NYSE_ARCA:SPY$28,928
97.8%+$814 (+2.9%)
1 position · $28,928
Insights
Insights generation not implemented yet