The bet: ride the trend (MA cross).
Trade t-statistics cluster around zero — not significantly profitable, not significantly losing. It is noise, not destruction (profit factors 0.65-1.07, mild drawdowns). The catch: the spot-deployable long side is a consistent small loser (BTC long t -4.16, ETH -2.39, LINK -2.05); the mildly-positive shorts were never significant and are not tradable on spot.
MA-cross entry with a chandelier trailing stop, letting winners run. A small positive in-sample edge (+0.13 to +0.49 gap) decayed out-of-sample — a mild overfit to thin structure, not a strategy that never worked. One-hour crypto trends just are not persistent enough for the cross to catch them ahead of cost.
| Pair | Sharpe | PF | trade t | n |
|---|---|---|---|---|
| ADA | -0.07 | 0.89 | -0.43 | 98 |
| XRP | -0.04 | 0.92 | -0.28 | 100 |
| TON | +0.05 | 1.07 | +0.20 | 74 |
| SOL | -0.06 | 0.91 | -0.35 | 109 |
| AVAX | -0.05 | 0.92 | -0.33 | 110 |
| LINK | -0.22 | 0.66 | -1.44 | 98 |
| BTC | -0.24 | 0.65 | -1.62 | 98 |
| ETH | -0.17 | 0.74 | -1.02 | 87 |
⚠ = underpowered (fewer than 30 out-of-sample trades). Negative values in red.
Flat noise; the tradable long side lost slightly.
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