H-013: Volatility targeting (30%/yr) beats buy-and-hold on 8 independent coins

Weak Family: risk · Status: weak

Does volatility targeting work on altcoins? The idea did a bit better than simply buying and holding, but not by enough to rule out luck. Treat it as unproven.

Result

full: wins 5/8 (need 6), beats buy-and-hold 5/8; recent: wins 8/8 (need 6), beats buy-and-hold 8/8

Sharpe: return per unit of risk (higher is better). CAGR: average yearly growth. Max drawdown: worst fall from a peak. p-value: chance the result is luck (lower is better). “Hold” columns are buy-and-hold for the same asset and days. Glossary

Asset	Period	Sharpe	Hold Sharpe	CAGR	Hold CAGR	Max drawdown	Hold drawdown	In market	p-value	Beats hold	Counts as win
BNBUSDT	full (2019-01-01 → 2026-10-13)	1.08	1.15	+35.2%	+85.2%	-46.1%	-76.1%	53%	—	no	no
BNBUSDT	recent (2022-01-01 → 2026-10-13)	0.67	0.42	+18.2%	+8.1%	-41.9%	-62.9%	64%	—	yes	yes
XRPUSDT	full (2019-01-01 → 2026-10-13)	0.79	0.65	+27.8%	+19.2%	-47.9%	-83.2%	45%	—	yes	yes
XRPUSDT	recent (2022-01-01 → 2026-10-13)	0.65	0.51	+21.6%	+11.0%	-47.9%	-72.0%	49%	—	yes	yes
ADAUSDT	full (2019-01-01 → 2026-10-13)	0.60	0.71	+15.9%	+25.4%	-56.3%	-95.2%	38%	—	no	no
ADAUSDT	recent (2022-01-01 → 2026-10-13)	0.12	0.02	-1.8%	-30.1%	-55.0%	-91.0%	43%	—	yes	yes
LTCUSDT	full (2019-01-01 → 2026-10-13)	0.59	0.55	+15.1%	+9.6%	-47.8%	-89.4%	43%	—	yes	yes
LTCUSDT	recent (2022-01-01 → 2026-10-13)	0.20	0.12	+1.0%	-16.6%	-47.8%	-72.9%	49%	—	yes	yes
LINKUSDT	full (2019-02-16 → 2026-10-13)	0.88	0.94	+26.6%	+55.6%	-44.2%	-90.2%	35%	—	no	no
LINKUSDT	recent (2022-01-01 → 2026-10-13)	0.37	0.33	+6.9%	-8.3%	-42.5%	-81.7%	40%	—	yes	yes
DOGEUSDT	full (2019-08-05 → 2026-10-13)	0.88	0.76	+30.4%	+59.6%	-43.4%	-92.3%	41%	—	yes	yes
DOGEUSDT	recent (2022-01-01 → 2026-10-13)	0.52	0.27	+12.5%	-13.6%	-43.4%	-85.2%	42%	—	yes	yes
XLMUSDT	full (2019-01-01 → 2026-10-13)	0.59	0.54	+16.1%	+7.3%	-51.9%	-90.3%	43%	—	yes	yes
XLMUSDT	recent (2022-01-01 → 2026-10-13)	0.40	0.32	+8.6%	-6.8%	-46.2%	-75.7%	49%	—	yes	yes
TRXUSDT	full (2019-01-01 → 2026-10-13)	1.16	0.84	+41.7%	+44.4%	-39.4%	-78.2%	61%	—	yes	yes
TRXUSDT	recent (2022-01-01 → 2026-10-13)	1.08	0.74	+38.4%	+35.9%	-29.6%	-51.1%	78%	—	yes	yes

Equity curves

Growth of 1 unit, log scale, fees included. Only days on which the rule is fully defined are counted.

Asset and period:

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

Confirmation of H-012 on coins not used to design it. Same rule, same fee; Sharpe must beat holding on most coins in the full history and since 2022.

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:
- BNBUSDT
- XRPUSDT
- ADAUSDT
- LTCUSDT
- LINKUSDT
- DOGEUSDT
- XLMUSDT
- TRXUSDT
periods:
- name: full
  start: '2019-01-01'
- name: recent
  start: '2022-01-01'
criterion:
  min_wins:
    full: 6
    recent: 6