Bitcoin Backtesting Suggests Holding Strategy Trumps Allocation

Crypto investor Gregory Mall of Lionsoul Global has been exploring ways to manage risk when investing in Bitcoin. In his latest essay, he looked at sizing crypto risk, and now he's backtesting a 60/40 split between Bitcoin and other assets across different market conditions.

Mall used three regimes, bull, bear, and sideways markets, to test how a straight Bitcoin position, a large-cap basket, and a trend-managed sleeve perform. The results show that the way investors hold Bitcoin can have a significant impact on returns.

The backtest found that a straight Bitcoin position tends to underperform in bull and bear markets, while a large-cap basket fared better across all regimes. A trend-managed sleeve, which adjusts its exposure based on market conditions, performed best of all.