Trend
Trend Following
A systematic crypto strategy based on the persistence of market trends. Returns tend to cluster in strong trending markets.
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- 12-month return
- +38.4%
- Sharpe
- 1.24
- Max drawdown
- −8.1%
- Corr. to BTC
- 0.36
24 months: +76.4%
Annualised, monthly
Month-end
Beta 0.24
- 1M
- −3.0%
- 3M
- +19.9%
- 6M
- +24.6%
- 12M
- +38.4%
- 24M
- +76.4%
- Record
- 24 backtest months
Performance
Live Backtest · Through Oct 2026 · cumulative is on fixed capital (months add).
Performance and risk metrics
Last 24 months (Nov 2024 to Oct 2026), from monthly returns on fixed capital; risk-free rate 0%. Definitions.
Over this 24-month window, Trend Following returned +38.4% over 12 months and +76.4% over 24 months on fixed capital, with an annualised return of +38.2%, annualised volatility of 30.7%, Sharpe ratio of 1.24, and maximum month-end drawdown of −8.1% (24 active months, 54% positive).
Return and risk
- Annualised return
- +38.2%
- Annualised volatility
- 30.7%
- Sharpe ratio
- 1.24
- Sortino ratio
- 4.03
Mean monthly return × 12
Std. dev. of monthly returns × √12
Return per unit of total volatility
Return per unit of downside volatility
Drawdown
- Max drawdown
- −8.1%
- Calmar ratio
- 4.72
- Longest drawdown
- 5 months
- Worst month
- −6.8%
Largest fall from a month-end peak
Annualised return ÷ max drawdown
Month-ends spent below a prior peak
Best month +25.4%
Consistency and market exposure
- Positive months
- 54%
- Profit factor
- 2.91
- Correlation to BTC
- 0.36
- Beta to BTC
- 0.24
Of 24 months with trades
Sum of gains ÷ sum of losses
Monthly, vs Bitcoin buy and hold
Return change per 1% Bitcoin move
Month-end figures hide losses inside a month: open positions can be deeper underwater than any monthly number here. Studies the persistence of market direction through trend-following principles.
Month by month
Newest first| Month | Trend Following | Bitcoin | Source |
|---|---|---|---|
| Oct 2026 | −3.00% | −7.24% | backtest |
| Sep 2026 | +0.75% | +6.40% | backtest |
| Aug 2026 | +22.18% | +24.96% | backtest |
| Jul 2026 | −4.24% | +7.26% | backtest |
| Jun 2026 | +8.15% | −20.43% | backtest |
| May 2026 | +0.80% | −3.48% | backtest |
| Apr 2026 | −3.81% | +11.82% | backtest |
| Mar 2026 | −2.60% | +1.95% | backtest |
| Feb 2026 | +7.42% | −14.95% | backtest |
| Jan 2026 | +7.40% | −10.16% | backtest |
| Dec 2025 | −1.39% | −3.00% | backtest |
| Nov 2025 | +6.73% | −17.56% | backtest |
Show 12 earlier months
| Month | Trend Following | Bitcoin | Source |
|---|---|---|---|
| Oct 2025 | −2.49% | −3.89% | backtest |
| Sep 2025 | +1.25% | +5.34% | backtest |
| Aug 2025 | −6.83% | −6.47% | backtest |
| Jul 2025 | +19.14% | +8.04% | backtest |
| Jun 2025 | −4.93% | +2.43% | backtest |
| May 2025 | +8.86% | +11.07% | backtest |
| Apr 2025 | +0.10% | +14.07% | backtest |
| Mar 2025 | −3.93% | −2.11% | backtest |
| Feb 2025 | +8.05% | −17.66% | backtest |
| Jan 2025 | −6.02% | +9.44% | backtest |
| Dec 2024 | −0.66% | −3.03% | backtest |
| Nov 2024 | +25.42% | +37.19% | backtest |
Research on trend markets
Studies of the same market area. They describe the market, not Trend Following’s rules.
- Data studyAltcoin beta to Bitcoin: BTC, ETH, SOL and DOGE hourly returnsRead →
- Data studyPerpetual funding rates and annualized yield: a 2025 comparisonRead →
- Data studyBitcoin halving and bull markets: evidence from four halvingsRead →
- Data studyBitcoin DCA vs lump sum: every start month since 2014Read →
Run Trend Following yourself
The rules, sizing and execution notes are shared with approved subscribers. Run it in your own account on a major crypto exchange.