H-012: Volatility targeting (30%/yr) beats buy-and-hold on BTC, ETH, SOL
Weak Family: risk · Status: weak
Does volatility targeting beat holding BTC, ETH and SOL? The idea did a bit better than simply buying and holding, but not by enough to rule out luck. Treat it as unproven.
Result
oos: wins 0/3 (need 2), beats buy-and-hold 3/3
| Asset | Period | Sharpe | Hold Sharpe | CAGR | Hold CAGR | Max drawdown | Hold drawdown | In market | p-value | Beats hold | Counts as win |
|---|---|---|---|---|---|---|---|---|---|---|---|
| BTCUSDT | oos (2022-01-01 → 2026-10-13) | 0.54 | 0.50 | +13.2% | +13.1% | -47.1% | -66.9% | 68% | 0.224 | yes | no |
| ETHUSDT | oos (2022-01-01 → 2026-10-13) | 0.32 | 0.22 | +5.3% | -7.8% | -47.8% | -74.0% | 51% | 0.170 | yes | no |
| SOLUSDT | oos (2022-01-01 → 2026-10-13) | 0.45 | 0.36 | +10.0% | -9.2% | -52.2% | -94.6% | 39% | 0.253 | yes | no |
Equity curves
Growth of 1 unit, log scale, fees included. Only days on which the rule is fully defined are counted.
The same rule on every coin
Exploratory check of this rule on all coins since 2022-01-01. It is not part of the verdict above.
- ✓works (passed the chance check)
- ↑better than holding, could be luck
- ✗worse than holding
- ·not enough data
- original coin of the hypothesis
| Coin | ✓ | Result | Sharpe: rule / holding | CAGR | From |
|---|---|---|---|---|---|
| BTC | ↑ | better than holding, could be luck | 0.52 / 0.48 | +12% / +12% | 2022-01-01 |
| ETH | ↑ | better than holding, could be luck | 0.29 / 0.20 | +4% / -9% | 2022-01-01 |
| SOL | ↑ | better than holding, could be luck | 0.43 / 0.35 | +9% / -10% | 2022-01-01 |
| BNB | ↑ | better than holding, could be luck | 0.67 / 0.42 | +18% / +8% | 2022-01-01 |
| XRP | ↑ | better than holding, could be luck | 0.64 / 0.51 | +21% / +10% | 2022-01-01 |
| ADA | ↑ | better than holding, could be luck | 0.09 / -0.01 | -3% / -32% | 2022-01-01 |
| LTC | ↑ | better than holding, could be luck | 0.18 / 0.11 | +0% / -18% | 2022-01-01 |
| LINK | ↑ | better than holding, could be luck | 0.34 / 0.30 | +6% / -10% | 2022-01-01 |
| DOGE | ↑ | better than holding, could be luck | 0.50 / 0.26 | +12% / -15% | 2022-01-01 |
| XLM | ↑ | better than holding, could be luck | 0.38 / 0.30 | +7% / -9% | 2022-01-01 |
| TRX | ↑ | better than holding, could be luck | 1.08 / 0.74 | +38% / +36% | 2022-01-01 |
| EVER | ✗ | worse than holding | -0.69 / -0.18 | -35% / -70% | 2022-04-18 |
| GRAM | ✗ | worse than holding | 0.01 / 0.16 | -6% / -15% | 2023-04-13 |
Why it might work
Scaling exposure to a constant volatility target cuts exposure in turbulent periods, when crypto drawdowns cluster. Man Group reports about +0.4 Sharpe for BTC with ex-ante 30% vol scaling (2012-2024), following Harvey et al. (2018) 'The impact of volatility targeting'. Spot, no leverage (position capped at 1). Source: https://www.man.com/insights/crypto-too-hot-to-handle
Verdict history
- 2026-10-14: Weak (this engine, data to 2026-10-13)
Pre-registered specification
kind: timing_rule
rule:
type: vol_target
target: 0.3
lookback: 30
cap: 1.0
mode: long_flat
fee: 0.001
universe:
- BTCUSDT
- ETHUSDT
- SOLUSDT
periods:
- name: oos
start: '2022-01-01'
significance:
method: circular_shift
n: 2000
alpha: 0.0167
criterion:
min_wins:
oos: 2
require_significance: true