Strategy Tearsheet · Crypto Perpetuals
The TRIAD Book
A diversified systematic book on the largest crypto perpetual futures — five price signals, a crowd-positioning fade, and a perp-spot basis trade, blended and adversarially audited. Here is the full held-out tearsheet.
return per unit of risk — above 2 is excellent
Held out means the test window (Apr 2023–Jul 2026) was never used to build the signals. Robust across sampling: hourly +2.9 · daily +3.0 · weekly +2.8 · monthly +2.3 — quote the conservative +2.3 for monthly-reported returns.
Growth of $1 — steadiness is the point
Buy & hold made more in raw total, riding the 2020–21 supercycle in the training era. But look at the held-out test (shaded): the strategy compounds quietly while buy & hold round-trips through brutal crashes. Same coins, a fraction of the risk. The curve below runs the strategy at its volatility-targeted leverage setting; the unlevered book returns 2.2×.
A fair fight — matched, recent windows
The supercycle flatters buy & hold. Trim the start date to more recent, same-length windows and the picture inverts — the strategy compounds while buy & hold loses money through ~70% drawdowns:
| Window | This strategy | Buy & hold |
|---|---|---|
| Held-out test (3.2y) | 1.71× · -3% | 1.03× · -74% |
| Last 2 years | 1.33× · -3% | 0.57× · -74% |
| Last 12 months | 1.12× · -3% | 0.48× · -70% |
Consistency and cost
The edge is not one lucky year: it is positive in six of seven calendar years (2022, a broad crypto bear, is the exception). And it survives realistic trading costs — even at market-order fees it clears +2.2, because the three blocks diversify fee damage the same way they diversify risk.
Capital policy — leverage is a dial, not an edge
Sharpe is invariant to leverage (~+2.9 at any setting) — leverage scales risk and reward together. The choice is a drawdown-appetite decision. The recommended policy, VT-20, smooths to a 20% volatility target weekly and caps at 4×; funding on leverage and liquidation gaps are not modeled, so read the levered rows as upper bounds.
| Policy | Return/yr | Vol | Max DD | $1 → |
|---|---|---|---|---|
| 1× fixed | +18% | 6% | -3% | 1.70× |
| 2× fixed | +38% | 11% | -6% | 2.87× |
| 3× fixed | +62% | 17% | -8% | 4.79× |
| VT-20 (vol-target) | +71% | 19% | -11% | 5.69× |
Why it works: the diversification arithmetic
No single coin drives this. The best coin runs a Sharpe of only +1.8; the average coin barely +1.0. The portfolio Sharpe is far higher because the 14 coins' profit streams are nearly uncorrelated — averaging them keeps the return but cancels most of the risk:
avg coin +1.0 × diversification ×2.9 ≈ portfolio +2.9
×2.9 = √( 14 / (1 + 13×0.05) ), with a measured average pairwise correlation of 0.05
Correlations are not constant, though — in a common shock they spike toward 1 and this multiplier collapses toward 1. Diversification is weakest exactly when it's needed most, which is why realized correlation is the first thing to watch forward. Every coin's own contribution, sorted:
| Coin | Sharpe | $1 → | Max DD | Vol | Share of profit |
|---|---|---|---|---|---|
| ADA | +1.8 | 2.77× | -12% | 19% | 15% |
| BTC | +1.8 | 1.93× | -7% | 12% | 9% |
| DOGE | +1.5 | 2.02× | -12% | 15% | 10% |
| SOL | +1.4 | 1.89× | -13% | 15% | 9% |
| BCH | +1.4 | 2.25× | -11% | 19% | 12% |
| AVAX | +1.4 | 1.73× | -11% | 13% | 8% |
| ETH | +1.2 | 1.54× | -11% | 12% | 6% |
| XRP | +1.1 | 1.74× | -19% | 18% | 8% |
| MATIC | +0.9 | 1.26× | -15% | 8% | 3% |
| 1000SHIB | +0.9 | 1.59× | -12% | 18% | 7% |
| LINK | +0.8 | 1.43× | -32% | 14% | 5% |
| BNB | +0.6 | 1.27× | -21% | 13% | 4% |
| OP | +0.6 | 1.46× | -30% | 26% | 7% |
| LTC | -0.7 | 0.73× | -40% | 13% | -4% |
Profit is broad — ten of fourteen coins carry meaningful weight, and only one (LTC) is a net drag. There is no hidden single-name dependency behind the headline number.
What's inside
Twelve sleeves across three mechanically independent blocks — price behavior, crowd positioning, and the perp-spot basis — combined 60/20/20. Nothing here is exotic; the work is in the blending and the auditing.
| Signal | What it does |
|---|---|
| Weekday clock | long the weekday that's been strongest recently, short the weakest |
| Trend | long coins trending up over 1–3 months, short those trending down |
| Yearly-high | long coins nearest their yearly high, short those furthest below |
| Patient momentum | momentum that ignores the latest week, so it doesn't chase spikes |
| Volume surge | buy unusual volume spikes that close strong; hold about 10 hours |
| Crowd fade | fade a coin when its long/short account ratio hits a 90-day extreme |
| Basis convergence | a two-leg perp-vs-spot dislocation trade, funding credited, patient |
Know the limits
- Majors only. the edge does not show up on smaller alt-coins (tested there: Sharpe ~+0.4).
- The universe is a rule. the 14 coins are the top-40 by pre-2023 volume that have 6 years of history; survivors are over-represented.
- Cheap execution preferred. at market-order costs the basis leg turns negative and the book eases to +2.2.
- Weights are a menu pick. the 60/20/20 blend won a disclosed three-way menu; equal thirds prints +2.3.
- The basis edge is decaying. documented ~11%/yr shrinkage in the dislocation it trades.
- The real verdict is live. only forward performance after the strategy was frozen can confirm any of this.
How it's built
For completeness, the frozen specification — enough for an engineer to reproduce the book from public data:
This tearsheet is research and commentary for educational purposes only. It is not investment advice, an offer, or a solicitation, and it describes hypothetical backtested results that do not represent actual trading and were prepared with the benefit of hindsight. Simulated and past performance do not indicate future results. Trading leveraged crypto derivatives carries a substantial risk of loss.