H-017: BTC regime filter: hold altcoins only while BTC is above its 200-day average

Fail Family: trend · Status: rejected

Does Bitcoin's 200-day average help time altcoins? The idea did not beat simply buying the coin and holding it. It is rejected.

Result

full: wins 1/8 (need 6), beats buy-and-hold 1/8; recent: wins 7/8 (need 6), beats buy-and-hold 7/8

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)	0.97	1.15	+53.8%	+85.2%	-70.0%	-76.1%	58%	—	no	no
BNBUSDT	recent (2022-01-01 → 2026-10-13)	0.68	0.42	+20.9%	+8.1%	-43.3%	-62.9%	52%	—	yes	yes
XRPUSDT	full (2019-01-01 → 2026-10-13)	0.64	0.65	+23.0%	+19.2%	-75.8%	-83.2%	58%	—	no	no
XRPUSDT	recent (2022-01-01 → 2026-10-13)	0.76	0.51	+36.3%	+11.0%	-50.7%	-72.0%	52%	—	yes	yes
ADAUSDT	full (2019-01-01 → 2026-10-13)	0.64	0.71	+23.5%	+25.4%	-82.5%	-95.2%	58%	—	no	no
ADAUSDT	recent (2022-01-01 → 2026-10-13)	0.36	0.02	+3.1%	-30.1%	-70.8%	-91.0%	52%	—	yes	yes
LTCUSDT	full (2019-01-01 → 2026-10-13)	0.38	0.55	+2.6%	+9.6%	-84.8%	-89.4%	58%	—	no	no
LTCUSDT	recent (2022-01-01 → 2026-10-13)	0.28	0.12	+0.5%	-16.6%	-51.9%	-72.9%	52%	—	yes	yes
LINKUSDT	full (2019-01-17 → 2026-10-13)	0.84	0.93	+44.0%	+52.5%	-85.2%	-90.2%	58%	—	no	no
LINKUSDT	recent (2022-01-01 → 2026-10-13)	0.46	0.33	+9.9%	-8.3%	-66.0%	-81.7%	52%	—	yes	yes
DOGEUSDT	full (2019-07-06 → 2026-10-13)	0.70	0.73	+60.6%	+52.7%	-87.6%	-92.3%	58%	—	no	no
DOGEUSDT	recent (2022-01-01 → 2026-10-13)	0.42	0.27	+6.1%	-13.6%	-72.1%	-85.2%	52%	—	yes	yes
XLMUSDT	full (2019-01-01 → 2026-10-13)	0.57	0.54	+17.2%	+7.3%	-73.8%	-90.3%	58%	—	yes	yes
XLMUSDT	recent (2022-01-01 → 2026-10-13)	0.59	0.32	+21.8%	-6.8%	-62.8%	-75.7%	52%	—	yes	yes
TRXUSDT	full (2019-01-01 → 2026-10-13)	0.49	0.84	+12.8%	+44.4%	-75.5%	-78.2%	58%	—	no	no
TRXUSDT	recent (2022-01-01 → 2026-10-13)	0.54	0.74	+19.5%	+35.9%	-49.1%	-51.1%	52%	—	no	no

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	0.93 / 0.48	+29% / +12%	2022-01-01
ETH	↑	better than holding, could be luck	0.63 / 0.20	+20% / -9%	2022-01-01
SOL	↑	better than holding, could be luck	0.81 / 0.35	+37% / -10%	2022-01-01
BNB	↑	better than holding, could be luck	0.68 / 0.42	+21% / +8%	2022-01-01
XRP	↑	better than holding, could be luck	0.75 / 0.51	+35% / +10%	2022-01-01
ADA	↑	better than holding, could be luck	0.32 / -0.01	+0% / -32%	2022-01-01
LTC	↑	better than holding, could be luck	0.26 / 0.11	-1% / -18%	2022-01-01
LINK	↑	better than holding, could be luck	0.43 / 0.30	+7% / -10%	2022-01-01
DOGE	↑	better than holding, could be luck	0.39 / 0.26	+5% / -15%	2022-01-01
XLM	↑	better than holding, could be luck	0.56 / 0.30	+19% / -9%	2022-01-01
TRX	✗	worse than holding	0.54 / 0.74	+20% / +36%	2022-01-01
EVER	↑	better than holding, could be luck	0.10 / -0.15	-39% / -68%	2022-03-19
GRAM	✗	worse than holding	-0.15 / 0.13	-23% / -17%	2023-03-14

Why it might work

Altcoins move with high beta to Bitcoin and their worst drawdowns happen in BTC bear markets. Using BTC's long-term trend (a less noisy signal than each alt's own price, which failed in H-005) as the on/off switch should cut those drawdowns without missing alt rallies, which mostly happen in BTC bull phases.

Verdict history

2026-10-14: Fail (this engine, data to 2026-10-13)

Pre-registered specification

kind: timing_rule
rule:
  type: asset_above_sma
  asset: BTCUSDT
  window: 200
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