The summary statistics for the Cross-Sectional Momentum Strategy are shown in the following table. The results use the following settings and assumptions:

• Backtest duration: 01/01/2018 – 01/01/2026 (BTC and ETH), 01/06/2020 – 01/01/2026 (SOL)
• Tax assumption: 45% annually (at the end of each year and on gains only)
• Leverage settings: Depending on ATR; Shown for ATR multiplier value 1.5 (the lower the tighter the stop-loss)
• Loss %: Percentage loss per trade as options: 5 % (note that each asset is only 1/3 of the total balance and three assets are traded)
• Initial Capital of $10,000

BTC – Equity and Drawdown Curve

ETC – Equity and Drawdown Curve

SOL – Equity and Drawdown Curve