How it works

Weekly trend following signal on BTC. Three technical filters — measuring momentum, trend direction, and market structure — must all be bullish simultaneously to hold BTC. If any one fails, the position moves to cash.

The AND logic is deliberately conservative. Each filter catches a different aspect of the market. When all three agree, the probability of a real trend is high. When they disagree, something is ambiguous — and in BTC, ambiguity usually resolves to the downside.

Why these filters

The indicator selection comes from an exhaustive search across 1.2M+ indicator combinations on BTC weekly data. The goal was not the highest backtest return (that's overfitting) — it was stability: combinations where changing the parameters within a reasonable range doesn't break the strategy.

All three indicators use their original, published default parameters (1968, 1979, 1994) — zero optimization. Since the stability analysis showed the strategy works across a wide range of parameters, there's no reason to deviate from the defaults.

The trade-off

The strategy spends only ~35% of weeks in BTC. You miss some upside from late entries and early exits, but you avoid the -70% to -80% drawdowns that BTC does regularly. The result: roughly the same CAGR as buy & hold, but with a max drawdown of -35% instead of -83%.

Stress testing

Validated across 70 parameter configurations with a CV of Sharpe = 6% — very robust. The MACD parameters are essentially irrelevant (CV = 1%). The trend filter is the most sensitive but still stable (CV = 4%). Combined parameter shifts in either direction still produce a Sharpe above 1.1.

Crisis performance