momentumhigh risk⚠ Data as of 2026-07-05 — refresh pending
Momentum Strategy on Hyperliquid
Does a momentum strategy work on Hyperliquid perps? Backtested on real Hyperliquid perps from 2024-08-15 to 2026-07-05, the default settings earned a Sharpe of 1.04 — +98.3% total return with a 39.0% worst drawdown across 968 trades, net of fees, slippage, and funding.
By Keel Research · Data as of 2026-07-05 · how this backtest was produced
Sharpe
1.04
default settings
Total return
+98.3%
Worst drawdown
−39.0%
Trades
968
2024-08-15 → 2026-07-05 · net of fees, slippage, and funding · price-only Sharpe 1.12 · these are the default settings, not a hand-picked best case.
At $1,000, this strategy’s worst historical dip was about $390. Free account, your own Hyperliquid keys — Keel only trades.
How it works
How it works
This is cross-sectional momentum: perps that have outperformed their peers over the past two weeks tend to keep leading for the next several days. In crypto the effect is amplified by attention and flow — rallies pull in volume, and volume pulls in more flow. Each day the strategy ranks the top-50 Hyperliquid perps by two-week momentum and buys the leading quarter, but only names trading on genuinely elevated volume, which filters out stale drifts. Holdings are long-only and sized inverse to volatility so each contributes roughly equal risk, and a market-wide trend filter moves the whole book to cash when the broad market rolls over.
When it works best
Broad risk-on regimes with real dispersion between coins — the book compounds hardest when a handful of names break away and lead for days or weeks, the alt-rotation pattern crypto tends to produce in bull markets. The trend filter keeps it invested while the market is rising and out of the way when it isn't.
When it struggles
Regime flips are the pain point: the trend filter exits a bar after the market turns, so the sharp momentum-crash bars right at the top are where the drawdowns come from — the maximum drawdown over the window was −39.0%, with long underwater stretches. Being long-only, it also pays funding while crowded on the popular side, and choppy, leaderless markets produce whipsaw entries and fees without follow-through.
How it’s built
The exact strategy behind this backtest — no black box. Switch to code to see or copy the full definition.
Configuration
Globalsconfig
target_timeframe1dbar_offset12h
UniverseassetsTop by Volume · HL Perps · 50 assets50 resolved
Executiontrading
rebalanceBufferedbuffer_threshold0.2buffer_moderelative+1
Factories
selectionfactory
Pipeline5 steps
PriceDataLoaderData Loader
timeframe15min
TargetTimeframeResamplerData Transform
Parallel3 branches
selection
selectioncall
market_regime
EWMAIndicator
window2
MarketTrendRegimeFilterRegime Detector
fast_period5slow_period17
vol
ReturnVolatilityIndicator
window36d
return_volstore
RegimeGateForecast Composer
signal_keyselectionindex_keymarket_regimeconditionindex > 0
VolWeightSizerPosition Sizer
vol_slotreturn_voltarget_leverage1max_weight0.15
Globals(target_timeframe="1d", bar_offset="12h")Universe(mode="top_volume", top_n=50, market="perp", resolved=["AAVE", "ADA", "ARB", "AVAX", "BCH", "BNB", "BTC", "CHIP", "CRV", "DOGE", "DYDX", "ENA", "ETH", "FARTCOIN", "FET", "GRAM", "HYPE", "JTO", "JUP", "LINK", "LIT", "LTC", "MET", "MON", "MORPHO", "NEAR", "ONDO", "PAXG", "PENDLE", "PENGU", "PUMP", "SOL", "SPX", "SUI", "TAO", "TIA", "TRUMP", "TRX", "UNI", "VVV", "WIF", "WLD", "WLFI", "XLM", "XMR", "XPL", "XRP", "ZEC", "kBONK", "kPEPE"], resolved_at="2026-07-06T17:21:56.486251+00:00")Execution( rebalance="buffered", buffer_threshold=0.2, buffer_mode="relative", rebalance_method="to_edge",)selection = Pipeline([ { "momentum_filter": [ ROC(period=14), QuantileRankTransform(), QuantileRangeSelector(low_quantile=75, high_quantile=100), ], "rel_vol_gate": [ RelativeVolume(lookback=20), QuantileRankTransform(), QuantileRangeSelector(low_quantile=50, high_quantile=100), ], }, MaskAnd(),], name="momentum_selection")Pipeline([ PriceDataLoader(timeframe="15min"), TargetTimeframeResampler(), { "selection": [selection], "market_regime": [EWMA(window=2), MarketTrendRegimeFilter(fast_period=5, slow_period=17)], "vol": [ReturnVolatility(window="36d"), Store("return_vol")], }, RegimeGate(signal_key="selection", index_key="market_regime", condition="index > 0"), VolWeightSizer(vol_slot="return_vol", target_leverage=1.0, max_weight=0.15),], name="momentum_hyperliquid")Explore the settings
precomputed · updates instantlyAdjust a setting to see the exact backtested result — including the ones that lost money.
Complete 18-cell public cross-product on explicit resolved universes.
Momentum lookback
Momentum selection cutoff
Rebalance buffer
Sharpe
1.04
Return
98.3%
Worst DD
−39.0%
Trades
968
At $1,000, these settings' worst historical dip was about $390. You land in the editor with this exact setup. Free account, your own keys.
Compare all 18 settings
| Settings | Sharpe | Return | Worst DD | Trades |
|---|---|---|---|---|
| Momentum 7 · Momentum 60 · Rebalance 0.1 | 0.74 | 58.7% | −44.0% | 1,960 |
| Momentum 7 · Momentum 60 · Rebalance 0.2 | 0.76 | 58.8% | −40.9% | 1,690 |
| Momentum 7 · Momentum 75 · Rebalance 0.1 | 0.88 | 79.8% | −41.6% | 1,279 |
| Momentum 7 · Momentum 75 · Rebalance 0.2 | 0.90 | 78.4% | −38.6% | 1,121 |
| Momentum 7 · Momentum 85 · Rebalance 0.1 | 0.74 | 52.4% | −34.1% | 765 |
| Momentum 7 · Momentum 85 · Rebalance 0.2 | 0.73 | 48.0% | −30.3% | 679 |
| Momentum 14 · Momentum 60 · Rebalance 0.1 | 0.82 | 73.5% | −45.4% | 1,803 |
| Momentum 14 · Momentum 60 · Rebalance 0.2 | 0.81 | 67.0% | −42.8% | 1,516 |
| Momentum 14 · Momentum 75 · Rebalance 0.1 | 1.02 | 104.3% | −42.3% | 1,117 |
| Momentum 14 · Momentum 75 · Rebalance 0.2default | 1.04 | 98.3% | −39.0% | 968 |
| Momentum 14 · Momentum 85 · Rebalance 0.1 | 0.98 | 83.6% | −30.7% | 632 |
| Momentum 14 · Momentum 85 · Rebalance 0.2 | 0.95 | 71.8% | −28.5% | 555 |
| Momentum 30 · Momentum 60 · Rebalance 0.1 | 0.55 | 33.1% | −43.1% | 1,636 |
| Momentum 30 · Momentum 60 · Rebalance 0.2 | 0.57 | 34.3% | −39.6% | 1,365 |
| Momentum 30 · Momentum 75 · Rebalance 0.1 | 0.79 | 59.6% | −33.6% | 983 |
| Momentum 30 · Momentum 75 · Rebalance 0.2 | 0.80 | 56.0% | −30.9% | 857 |
| Momentum 30 · Momentum 85 · Rebalance 0.1 | 0.92 | 63.5% | −23.0% | 515 |
| Momentum 30 · Momentum 85 · Rebalance 0.2 | 0.89 | 54.4% | −20.8% | 464 |
The data
Monthly returns
| Month | Return |
|---|---|
| 2024-08 | 0.0% |
| 2024-09 | +32.9% |
| 2024-10 | -7.1% |
| 2024-11 | +35.8% |
| 2024-12 | +5.8% |
| 2025-01 | -1.8% |
| 2025-02 | 0.0% |
| 2025-03 | -10.5% |
| 2025-04 | +35.0% |
| 2025-05 | -3.8% |
| 2025-06 | -7.5% |
| 2025-07 | +31.8% |
| 2025-08 | -5.6% |
| 2025-09 | 0.0% |
| 2025-10 | -20.0% |
| 2025-11 | -7.2% |
| 2025-12 | -5.1% |
| 2026-01 | +8.4% |
| 2026-02 | 0.0% |
| 2026-03 | +3.2% |
| 2026-04 | +4.5% |
| 2026-05 | +3.3% |
| 2026-06 | 0.0% |
| 2026-07 | 0.0% |
Which assets it traded
| Avg allocation | Days held | % of time held | Asset |
|---|---|---|---|
| 0.1192 | 91 | 13.21 | TAO |
| 0.1145 | 88 | 12.77 | ENA |
| 0.1362 | 77 | 11.18 | ETH |
| 0.1313 | 74 | 10.74 | SUI |
| 0.121 | 70 | 10.16 | PENDLE |
| 0.1128 | 68 | 9.87 | WIF |
| 0.1113 | 66 | 9.58 | HYPE |
| 0.1013 | 66 | 9.58 | PENGU |
| 0.1244 | 65 | 9.43 | AAVE |
| 0.1279 | 64 | 9.29 | kBONK |
| 0.0855 | 63 | 9.14 | SPX |
| 0.1226 | 61 | 8.85 | UNI |
| 0.1215 | 59 | 8.56 | CRV |
| 0.1235 | 59 | 8.56 | FET |
| 0.1244 | 59 | 8.56 | kPEPE |
| 0.0775 | 57 | 8.27 | FARTCOIN |
| 0.1439 | 53 | 7.69 | DOGE |
| 0.0883 | 53 | 7.69 | VVV |
| 0.1301 | 52 | 7.55 | TIA |
| 0.1429 | 51 | 7.4 | BCH |
| 0.1211 | 49 | 7.11 | MORPHO |
| 0.1279 | 49 | 7.11 | ONDO |
| 0.1179 | 49 | 7.11 | WLD |
| 0.1458 | 49 | 7.11 | XRP |
| 0.1493 | 46 | 6.68 | BTC |
| 0.1034 | 44 | 6.39 | JTO |
| 0.1388 | 41 | 5.95 | BNB |
| 0.1311 | 40 | 5.81 | ARB |
| 0.1376 | 37 | 5.37 | ADA |
| 0.0738 | 37 | 5.37 | ZEC |
| 0.1436 | 36 | 5.22 | TRX |
| 0.1274 | 35 | 5.08 | LTC |
| 0.1249 | 34 | 4.93 | JUP |
| 0.1345 | 34 | 4.93 | LINK |
| 0.1211 | 33 | 4.79 | DYDX |
| 0.1267 | 33 | 4.79 | NEAR |
| 0.1295 | 32 | 4.64 | XLM |
| 0.15 | 31 | 4.5 | PAXG |
| 0.1289 | 31 | 4.5 | SOL |
| 0.1086 | 24 | 3.48 | PUMP |
| 0.1481 | 23 | 3.34 | AVAX |
| 0.078 | 23 | 3.34 | TRUMP |
| 0.0962 | 17 | 2.47 | MON |
| 0.0871 | 12 | 1.74 | MET |
| 0.1052 | 12 | 1.74 | WLFI |
| 0.1008 | 12 | 1.74 | XPL |
| 0.0648 | 6 | 0.87 | LIT |
| 0.15 | 5 | 0.73 | XMR |
| 0 | 0 | 0 | CHIP |
| 0 | 0 | 0 | GRAM |
What this is: a historical backtest on real Hyperliquid market data, net of fees, slippage, and funding. Its worst historical drawdown was 39.0% — expect drawdowns of that order or worse. Past performance does not predict future results, and this is not investment advice. Size your account so a full drawdown is survivable.