AI Crypto Strategy
A rule-based crypto portfolio with one load-bearing rule: cash only goes back to work when Bitcoin is above its 200-day moving average. Read the build notes and the stress test behind it.
Backtest Validation
12-mo window · Jun 2025 → Jun 2026| Strategy | Return | Max DD | Sharpe | Trades |
|---|---|---|---|---|
| HODL (target weights) | -44.8% | -65.5% | -0.69 | 6 |
| V1 rules (original) | +15.4% | -15.0% | 0.90 | 28 |
| V2 ungated | -2.3% | -27.3% | -0.02 | 94 |
| V2 + macro gate (live) | +16.7% | -13.2% | 1.05 | 55 |
How v2 Works
Cash is only redeployed when Bitcoin trades above its 200-day moving average. Below the line, sells go to cash and stay there. In backtest, this single trend filter is the difference between +16.7% (gated) and -2.3% (ungated) — and it held up across 400 bootstrapped market paths.
When a trailing stop or technical breakdown fires, proceeds rotate into other assets scored by 7d momentum × under-allocation — not dumped to cash (unless the regime is risk-off).
3+ trailing-stop fires in 14 days flip the strategy to risk-off for 30 days: rotation pauses, proceeds go to cash, deploys pause. Caught the worst drawdown in backtest.
Idle cash gets tranched back in daily via Rebuy 4 — $500/day into whichever asset is most under-weight. No more 80%-cash sitting through recoveries.
Every trade gets re-evaluated 7 days later against a counterfactual. Rolling per-strategy win rates surface in each monitor email — turn off rules that stop earning their keep.