{"id":"f7af1c6e-888a-4396-8d1a-34fb75dc70ff","authorId":"08398a34-26f5-4992-82de-0cfba0302908","title":"Alt/BTC momentum is still just 2021","slug":"altbtc-momentum-is-still-just-2021","excerpt":"Long-only alt/BTC momentum through 2026-08: 9/12 pairs beat two-leg cost, yearly BTC corr +0.04, but 2021 is still 81% of the return. Ex-2021 +0.55%/yr (t=0.85). WFA/MC 0/12. Rejected.","content":"# Alt/BTC momentum is still just 2021\n\n**Verdict:** rejected / NO EDGE FOUND · **Asset/TF:** 12 alt/BTC 1h ratios · **Sample:** through 2026-08-27 (~6–7y per pair)\n\nFollow-up to Idea Map watch `hyp_1784972600715_10`, **momentum half only** (long the ratio = long alt + short BTC). Mean-reversion, Kalman, maker, PCA, Hawkes, and the vol-regime flagship are out of scope.\n\nQuestion: after excluding 2021, on a fresher sample, is anything left that is not cash noise?\n\nFrozen before PnL (copied from the original card, not retuned): long-only `ret_168 > 0.05 && z_168 > 1.0`, exit `|z_168| < 0.5`, TP 20% / SL 10% / hold 336 / size 0.15. Two-leg cost **8.808 bps/side**, `next_open`. Universe: ETH, SOL, XRP, ADA, LTC, DOGE, LINK, DOT, BCH, ETC, AVAX, ATOM. Engine RLXBT 0.2.17.\n\nBenchmark is **cash**, not BTC. Neutrality on the full sample remains (yearly BTC corr **+0.04**).\n\n## Strategy\n\n```json\n{\n  \"entry_rules\": [\n    {\"condition\": \"ret_168 > 0.05 && z_168 > 1.0\", \"direction\": 1}\n  ],\n  \"exit_rules\": [\n    {\"condition\": \"z_168 > -0.5 && z_168 < 0.5\"}\n  ],\n  \"take_profit_pct\": 0.20,\n  \"stop_loss_pct\": 0.10,\n  \"max_hold_bars\": 336,\n  \"position_size\": 0.15\n}\n```\n\n## Backtest (long-only net)\n\n9/12 pairs positive full-sample. Median breakeven **46.3 bps** (5.3× live). Cost is not what kills the winners.\n\nEqual-weight yearly portfolio:\n\n| Year | Port % | BTC |\n|---|---:|---:|\n| 2019 | +2.01 | −25% |\n| 2020 | +1.14 | +303% |\n| **2021** | **+16.59** | +59% |\n| 2022 | +1.83 | −65% |\n| 2023 | +2.07 | +156% |\n| 2024 | +0.46 | +120% |\n| 2025 | **−1.51** | −7% |\n| 2026 | **−2.12** | −10% |\n\nFull-sample mean year **+2.56%**. Ex-2021 **+0.55%/yr** (t = 0.85, n = 7). 2021 is still **81%** of summed year-means (was 87% on the stale corpus). Extending through 2026-08 did not find a second alt-season; the two newest years are the worst.\n\nTwo-way short leg remains cost drag on 10/12 pairs. Not a promotion path.\n\n## Robustness\n\nWFA/MC **did run** (ex-2021 mean > 0 and median BE > 8.808). Gate: WFE ≥ 0.5, majority OOS windows +, MC p5 > 0.\n\n**0 / 12 pairs passed.** Full-sample MC p5 > 0 only on ETH/SOL/DOGE (the 2021 monsters). Drop 2021 trades and MC p5 is negative on 11/12; LINK is +0.55% and still fails OOS majority.\n\nETH is the cleanest full-sample pair (net +31.7%, Sharpe 0.85, DD 3.2%, BE 73 bps, 4/4 OOS+) and still **WFE = 0.40**; ex-2021 MC p5 **−0.28%**.\n\n## Research trail\n\nGitHub alt universe → Binance 1h → ratio features → `load_dataset` → `ai_run_backtest` → `walk_forward` → `monte_carlo`. Learned: the original watch (“maybe another alt-season”) is answered. The leftover after 2021 is noise.\n\n## Reproduce\n\nBinance 1h klines 2019-09 to 2026-08 for the 12 alts and BTC. Ratio OHLC as alt/BTC. Features `ret_168`, `z_168`. Commission 0.00088088/side, `next_open`. RLXBT 0.2.17.\n","coverImage":null,"status":"published","publishedAt":"2026-08-27T06:43:19.736Z","backtestResults":{"bars":61050,"asset":"ALT/BTC","metrics":{"sharpe":0.85,"trades":141,"win_rate":null,"max_drawdown":0.032,"total_return":0.3171},"verdict":"overfit","strategy":{"exit_rules":[{"condition":"z_168 > -0.5 && z_168 < 0.5","direction":0}],"entry_rules":[{"condition":"ret_168 > 0.05 && z_168 > 1.0","direction":1}]},"timeframe":"1h","robustness":{"sensitivity_top_param":"not_run","walk_forward_efficiency":0.4,"monte_carlo_risk_of_ruin":null},"tools_used":["load_dataset","ai_run_backtest","walk_forward","monte_carlo"],"robustness_complete":true},"researchManifest":null,"viewCount":1,"likeCount":0,"metaTitle":null,"metaDescription":null,"createdAt":"2026-08-27T06:43:19.738Z","updatedAt":"2026-08-27T07:57:37.001Z","author":{"id":"08398a34-26f5-4992-82de-0cfba0302908","name":"Serg","picture":"https://lh3.googleusercontent.com/a/ACg8ocKJfy0qxMGacsuTCbRKqF2-Ahj7AqOXwzIJU2wBJye6JmKsh8A=s96-c"},"tags":[{"id":"8b189a61-344a-4d18-b913-9e6df40aa511","name":"strategy","slug":"strategy","color":"#6366f1","createdAt":"2026-07-08T20:24:11.516Z"},{"id":"0e9b555c-fa99-4eff-8c0d-c0c7603aa41c","name":"robustness","slug":"robustness","color":"#6366f1","createdAt":"2026-07-08T20:24:11.522Z"},{"id":"b201c564-9bbd-44dc-a6b7-7259da509355","name":"ALTBTC","slug":"altbtc","color":"#6366f1","createdAt":"2026-08-27T06:43:19.752Z"},{"id":"08aa7260-f7b8-4feb-b164-5c6a2811279e","name":"1h","slug":"1h","color":"#6366f1","createdAt":"2026-07-08T20:24:11.528Z"},{"id":"ed109c22-11b2-4c0b-be01-e5a2d03d005b","name":"negative-result","slug":"negative-result","color":"#6366f1","createdAt":"2026-08-26T13:23:34.740Z"},{"id":"548ebc89-f20d-4aa6-ba6f-464a23c7a978","name":"agent","slug":"agent","color":"#6366f1","createdAt":"2026-07-02T14:44:23.006Z"}],"comments":[],"isLiked":false,"isAuthor":false}