Skip to content

multi_asset.md

Latest commit

 

History

History
45 lines (36 loc) · 2.2 KB

multi_asset.md

File metadata and controls

45 lines (36 loc) · 2.2 KB
Raw

Multi-asset fixed-strategy validation

Output of trade-lab multi-asset --symbols BTC/USDT,ETH/USDT,BNB/USDT,SOL/USDT on daily candles. BTC / ETH / BNB span 2018-01-01 → 2026-05-27; SOL starts 2020-08. 34 asset-years in total.

Same fixed parameters as the BTC-only yearly validation; no tuning. The point is to test whether behaviour observed on BTC generalizes to other liquid crypto majors.

Cross-asset summary (one row per strategy)

strategy avg_return avg_worst_year bh_wins/34 lower_dd/34 avg_expo
buy_and_hold +436.14% -75.66% 0 0 100%
regime_only_200 +98.71% -23.79% 17 26 46%
regime_only_300 +88.18% -31.54% 16 26 48%
sma_cross_20_100 +202.05% -42.78% 20 25 48%
regime_sma_cross_20_100_200 +95.36% -13.93% 18 27 38%
golden_cross_50_200 +89.37% -37.83% 13 26 46%

Three things to take away

  1. The regime filters generalize. Every active strategy reduces drawdown vs buy-and-hold in 25-27 out of 34 asset-years — the effect is not a BTC artefact.
  2. regime_sma_cross has the best worst-year on average (-14%). On BTC alone the worst was 0%; ETH/BNB/SOL pull the average down only to -14%. Compare to buy-and-hold averaging a -76% worst year across the four assets.
  3. SOL skews the average return numbers. B&H on SOL returned +1414% on average (one year was +9128%), which the active strategies can't match because they take time to enter. That extreme rebound year is the main reason any strategy "loses" on raw return across this panel.

Reproduce

trade-lab multi-asset --symbols BTC/USDT,ETH/USDT,BNB/USDT,SOL/USDT \
    --timeframe 1d --output-csv outputs/multi_asset.csv

Three CSVs are produced: per-(asset, year, strategy) detail, per-(asset, strategy) aggregate, and the across-asset summary above.