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Rough Path Momentum Strategy Backtest BTC-USD 40.52% Return With 75% Win Rate
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Most momentum strategies look at one return window. Rough path methods look at the shape of the return path. In this BTC-USD test, that approach produced a 40.52% return, 75% win rate, and no open trade at the end of the run.
The test used BTC-USD daily candles from July 27, 2024 to July 27, 2026. The benchmark was BTC buy-and-hold over the same period.
Why This Strategy Matters
RoughPathMomentumStrategy is a path-signature momentum with trailing stops strategy.
The strategy is interesting because it uses path structure instead of a single indicator threshold. It calculates signature-style components from recent return increments, checks whether the structure is stable, and trades only when the momentum signature is strong enough.
The strategy logic is:
- Store recent return increments as a path.
- Calculate level 1, level 2, and level 3 signature components.
