index-regimehigh riskindex
Regime-Gated Crypto Index (Risk-Managed, Top-15)
Does a regime-gated crypto index work? Backtested on real Hyperliquid perps from 2024-08-15 to 2026-07-05, the default settings earned a Sharpe of 1.05 — +127.8% total return with a 42.6% worst drawdown across 349 trades, net of fees, slippage, and funding.
By Keel Research · Data as of 2026-07-05 · how this backtest was produced
Sharpe
1.05
default settings
Total return
+127.8%
Worst drawdown
−42.6%
Trades
349
2024-08-15 → 2026-07-05 · net of fees, slippage, and funding · price-only Sharpe 1.20 · these are the default settings, not a hand-picked best case.
At $1,000, this strategy’s worst historical dip was about $426. Free account, your own Hyperliquid keys — Keel only trades.
How it works
How it works
Crypto has two structural features this strategy leans on: trends persist for long stretches, and crashes tend to grind lower over weeks rather than gap in a single day. It holds a broad, equal-weight basket of the top-15 perpetuals by volume at full 1x exposure — but only while BTC, the asset that leads the whole complex, trades above its 100-day trend line. When BTC closes below that line, the strategy goes entirely to cash: no shorting, no leverage, one switch. The basket is deliberately simple; the BTC risk-off switch is the edge, stepping out ahead of the worst of a downturn.
When it works best
It profits in BTC uptrends: while BTC holds its 100-day line, the strategy rides the full basket and compounds the up-leg. Breadth beyond the four majors adds diversification without giving back much return, up to around 12–15 names. A plain always-invested version of the same basket lost money over the window — the gate is what turns it positive.
When it struggles
Two conditions hurt. First, whipsaws: when BTC chops back and forth across its trend line, each false switch costs a round-trip and a re-entry lag. Second, and more important, beta drawdown inside risk-on periods — the gate only reacts to BTC's trend, so a sharp basket sell-off while BTC is still above its line is absorbed in full. That is why the worst drawdown was 42.6% even with the gate. This is a risk-managed index, not a low-risk one — that drawdown is genuine crypto beta the switch does not remove.
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 · 15 assets
Executiontrading
rebalanceBufferedbuffer_threshold0.1buffer_moderelative+1
Factories
btc_trendfactory
Pipeline5 steps
PriceDataLoaderData Loader
timeframe15min
TargetTimeframeResamplerData Transform
Parallel2 branches
basket
ConstantForecastForecast Mapper
value10
btc_regime
btc_trendcall
RegimeGateForecast Composer
signal_keybasketindex_keybtc_regimeconditionindex > 0
EqualWeightSizerPosition Sizer
target_leverage1max_weight0.15
Globals(target_timeframe="1d", bar_offset="12h")Universe(mode="top_volume", top_n=15, market="perp", resolved=[], resolved_at="")Execution(rebalance="buffered", buffer_threshold=0.1, buffer_mode="relative", rebalance_method="to_edge")btc_trend = Pipeline([ AssetSelect(symbols=["BTC"]), EWMA(window=2), MarketTrendRegimeFilter(fast_period=2, slow_period=100, index_method="equal_weight"),], name="btc_trend")Pipeline([ PriceDataLoader(timeframe="15min"), TargetTimeframeResampler(), { "basket": [ConstantForecast(value=10.0)], "btc_regime": [btc_trend], }, RegimeGate(signal_key="basket", index_key="btc_regime", condition="index > 0"), EqualWeightSizer(target_leverage=1.0, max_weight=0.15),], name="regime_gated_crypto_index")Explore the settings
precomputed · updates instantlyAdjust a setting to see the exact backtested result — including the ones that lost money.
BTC trend-line length
Universe size (by volume)
Sharpe
1.05
Return
127.9%
Worst DD
−42.6%
Trades
349
At $1,000, these settings' worst historical dip was about $426. You land in the editor with this exact setup. Free account, your own keys.
Compare all 7 settings
| Settings | Sharpe | Return | Worst DD | Trades |
|---|---|---|---|---|
| BTC 100d · Universe 15default | 1.05 | 127.9% | −42.6% | 349 |
| BTC 100d · Universe 10 | 0.90 | 86.9% | −35.5% | 217 |
| BTC 100d · Universe 12 | 1.10 | 133.2% | −36.4% | 256 |
| BTC 100d · Universe 20 | 0.70 | 55.9% | −46.5% | 498 |
| BTC 100d · Universe 30 | 0.60 | 40.8% | −46.4% | 678 |
| BTC 50d · Universe 15 | 0.84 | 80.0% | −46.5% | 367 |
| BTC 200d · Universe 15 | 0.21 | -5.5% | −46.6% | 295 |
The data
Monthly returns
| Month | Return |
|---|---|
| 2024-08 | 0.0% |
| 2024-09 | 0.0% |
| 2024-10 | +13.7% |
| 2024-11 | +84.5% |
| 2024-12 | +7.9% |
| 2025-01 | -0.3% |
| 2025-02 | -30.0% |
| 2025-03 | 0.0% |
| 2025-04 | +8.8% |
| 2025-05 | +6.8% |
| 2025-06 | -0.5% |
| 2025-07 | +19.2% |
| 2025-08 | +9.5% |
| 2025-09 | +3.5% |
| 2025-10 | -14.8% |
| 2025-11 | 0.0% |
| 2025-12 | 0.0% |
| 2026-01 | 0.0% |
| 2026-02 | 0.0% |
| 2026-03 | 0.0% |
| 2026-04 | -3.0% |
| 2026-05 | +11.7% |
| 2026-06 | 0.0% |
| 2026-07 | 0.0% |
Which assets it traded
| Avg allocation | Days held | % of time held | Asset |
|---|---|---|---|
| 0.0993 | 348 | 50.51 | BTC |
| 0.0993 | 348 | 50.51 | DOGE |
| 0.0993 | 348 | 50.51 | ETH |
| 0.0993 | 348 | 50.51 | LINK |
| 0.0993 | 348 | 50.51 | SOL |
| 0.0993 | 348 | 50.51 | SUI |
| 0.0993 | 348 | 50.51 | XRP |
| 0.0993 | 348 | 50.51 | kPEPE |
| 0.0938 | 287 | 41.65 | HYPE |
| 0.0898 | 233 | 33.82 | VVV |
| 0.0813 | 127 | 18.43 | PUMP |
| 0.0764 | 84 | 12.19 | XPL |
| 0.0735 | 59 | 8.56 | ZEC |
| 0.0714 | 37 | 5.37 | LIT |
| 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 42.6% — 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.