A simple trend system tested on 8 markets since 2018, including $BTC and $ETH, after fees and slippage:
• 11% a year, Sharpe 0.73
• worst drawdown −27%
• 874 days below the previous peak (Jul 2022 – Dec 2024)
• 44% winning trades, average win 2× average loss
• costs: under 1% a year
Fees are not the real price of trend following. Waiting is. Most people quit in that flat stretch.
More in my book The Crowd of Machines.
Textbook system, not our model. Not investment advice.
• 11% a year, Sharpe 0.73
• worst drawdown −27%
• 874 days below the previous peak (Jul 2022 – Dec 2024)
• 44% winning trades, average win 2× average loss
• costs: under 1% a year
Fees are not the real price of trend following. Waiting is. Most people quit in that flat stretch.
More in my book The Crowd of Machines.
Textbook system, not our model. Not investment advice.
