Z-Score Adaptive SMA100 2x/Cash
A systematic BTC strategy that uses the 100-day moving average for trend detection and Z-score volatility for dynamic leverage sizing.
Key Performance Metrics (2017/8 – 2026/3, incl. 0.1% fees)
How It Works
Two simple rules drive the entire strategy: SMA100 determines when to be in or out of the market, and Z-score volatility determines how much leverage to use.
Entry
BTC Close > SMA100 × 1.02Price must be 2% above the 100-day moving average to trigger entry. This buffer filters out false breakouts.
Exit
BTC Close < SMA100 × 0.98Price must drop 2% below the 100-day moving average to exit. After exit, hold 100% cash until the next entry signal.
Z-Score Dynamic Leverage (when in market)
z = (vol_30d - mean_365d) / stddev_365dWhy It Works
Four structural advantages that compound over BTC market cycles.
SMA100 Filters Bear Markets
BTC's biggest crashes (2018 -83%, 2022 -77%) all happened below the 100-day moving average. SMA100 gets you out at the start of a crash, avoiding the worst losses.
Z-Score Adapts to Any Era
BTC's absolute volatility has structurally declined as market cap grew. Fixed thresholds become stale over time. Z-score uses rolling 365-day stats to automatically adapt to the current volatility regime.
2% Buffer Kills Whipsaws
BTC price often bounces around the moving average. The 2% buffer filters out 60% of false signals, reducing trades from 13/year to just 5/year — with better returns.
No Prediction Required
No need to guess tops or bottoms. No need to judge bull or bear. Just check one number daily: close vs SMA100. Volatility is calculated objectively — zero subjectivity.
Strategy Comparison
Z-Score Adaptive delivers the best risk-adjusted return across all tested strategies.
| Strategy | CAGR | Max DD | Risk-Adj |
|---|---|---|---|
| 1x Spot Hold | +28.5% | -83.2% | 0.34 |
| 2x Pure Hold | +14.5% | -99.1% | 0.15 |
| SMA100 2x/cash (fixed 2x) | +82.8% | -89.3% | 0.93 |
| Fixed Vol-Adjusted (40%/100%) | +69.0% | -57.9% | 1.19 |
| Z-Score Adaptive SMA100 | +79.0% | -56.2% | 1.44 |
| Dual MA 50/200 | +26.7% | -94.9% | 0.28 |
| Deviation Strategy | +48.0% | -61.0% | 0.79 |
See It In Action
Try the interactive simulator with real BTC data from 2010 to today. Pick any start date, set your investment amount, and see how the strategy performs — including trading fees.
Launch Simulator