When we ran Carver’s Strategy 9 with 15 Instruments, we noticed how most of the returns were driven by crypto. However, that had only the three big coins – BTC, ETF and SOL. Since hand selecting instruments to trend-follow is also a form of overfitting, we expanded the universe to include all x-USDT coins listed in Binance since before the year 2019. There are 21 of those.
Once you expand the universe, the sheen wears off.
While the highest returns came from using a Binary Long-Only Equal-weight strategy, it came with a 60% drawdown, ruling out leverage.
Digging into the coin-level metrics, we see how a fair number of coins have negative contributions.
While the Big 3 coins had favorable trend-following returns, expanding the universe did not yield a better portfolio.
Code and charts on github.