Crypto Multi-Asset Momentum & Trend System compounded at +43.2% a year from 2020-07-18 to 2026-10-04, with a worst drawdown of -58.1% (very high drawdown). It ranks 26 of 27 re-run strategies by drawdown, shallowest first.
| Max drawdown | -58.1% |
|---|---|
| CAGR (annualized) | +43.2% |
| Sharpe | 0.94 |
| Total return | +829.4% |
| S&P 500 (SPY), same period | +139.2% |
| Return ÷ drawdown | 0.74 |
| Period | 2020-07-18 – 2026-10-04 (6.2 years) |
| Risk tier | Very high drawdown |
| Drawdown rank | 26 / 27 |
Equity curve of a $10,000 start, with SPY dashed.
The worst peak-to-trough fall was -58.1%: a $10,000 account would have dropped to about $4,194 at that point before recovering. The +43.2% CAGR is the annual rate that compounds the start value into the end value over 6.2 years; the return-to-drawdown ratio of 0.74 says how many points of annual return each point of worst-case loss bought. Compare strategies on that pair, not on CAGR alone.
Re-run on 2026-10-04 with the strategy's current code on historical prices — a systematic take on Cryptocurrency Cross-Sectional Momentum. Numbers change when the strategy is re-run on newer data. The full write-up explains the rules.
All strategy backtests, lowest drawdown first
Disclosure. Backtests are hypothetical simulations on historical data. They do not include every real-world cost, are not live results, and do not guarantee future returns. Educational research only, not investment advice.