Backtesting Results – Crypto Quant Models

In crypto markets, raw price action is rarely enough. At MenthorQ, we build data-driven strategies that combine behavioral signals, volatility regimes, and structural confirmations to actively manage exposure.

This post presents a backtest overview of three distinct Crypto Quant Models — Q-Crypto Risk On-Off, Q-RSI, and Q-Crypto Direction — each designed to capture opportunity while managing downside in very different ways. Whether the market trends, chops, or collapses, these models respond with precision.

Q-Crypto Risk On/Off

The chart above visualizes the performance comparison between our proprietary Risk On-Off Strategy and a simple buy-and-hold position in Ethereum (ETH) over a one-year period, from mid-2024 to mid-2025.

The green line represents the cumulative return of the Risk On-Off strategy, while the red line tracks the performance of ETH itself. The strategy is built on a binary risk signal: the model turns Risk-ON (long) when the signal is greater than 0, and Risk-OFF (short) when the signal is less than 0.

Strategy Assumptions

• Long when the Risk On/Off Indicator > 0
• Short when the Risk On/Off Indicator < 0
• Exit Long and Go Short when the Indicator crosses below 0
• Exit Short and Go Long when the Indicator crosses above 0
• The strategy is always in the market — either Long or Short
• Positions are updated only at zero-crossings of the indicator
• Returns are calculated based on daily ETH price changes aligned with the active position

While ETH declined more than -50%, the Risk On-Off Strategy posted strong returns, exceeding +100% at multiple points, with a peak near +200%.

This backtest underscores the power of a systematic long/short crypto model grounded in a reliable risk regime indicator. Unlike passive strategies that suffer in bear markets, our approach actively adapts to market conditions, delivering both upside participation and downside protection.

Q-RSI

The chart compares the cumulative return of a Q-RSI Strategy (green line) versus a buy-and-hold position in Bitcoin (BTC) (red line) over a multi-month period from late 2024 through mid-2025.

Unlike traditional RSI-based systems that sell in overbought conditions, this strategy embraces volatility and momentum extremes — buying into retracements after strong moves, and exiting with time-based logic rather than price targets or stop losses.

Strategy Assumptions

• Buy Condition #1 (Pullback Entry)
  • RSI < 20 at least once in the past 3 days, AND
  • Today’s close is above the 5-day SMA
• Buy Condition #2 (Overbought Retracement Entry)
  • RSI > 90 at least once in the past 3 days, AND
  • Today’s close is below the 5-day SMA
• Exit Rule:
  • No stop loss is used
  • Position is sold exactly 10 days after entry

This hybrid approach allows the strategy to:

• Buy confirmed mean reversion (RSI < 20 + SMA breakout),
• Buy retracements after overbought exhaustion (RSI > 90 + SMA failure),
• Let trades breathe without tight risk constraints (10-day holding period),
• Avoid whipsaw exits or false signals.

The Q-RSI Strategy showed consistent equity curve growth, avoiding drawdowns that plagued BTC in early 2025. By mid-2025, the strategy achieved over +18% cumulative return, while BTC remained around +10% with high volatility and deep pullbacks.

The Q-RSI Strategy blends quant-driven timing with a patient, rule-based structure designed for crypto markets. Rather than selling overbought, it buys into strength or retraces from strength, using RSI extremes as opportunity signals.

Q-Crypto Direction

This chart compares the cumulative returns of the Q-Crypto Direction Strategy (green line) with a buy-and-hold ETH position (red line) from December 2024 to July 2025.

While ETH experienced a sharp drawdown of over -50%, the Q-Direction strategy remained steady, preserving capital and ultimately finishing with a positive return exceeding +18%. This demonstrates the model’s ability to sidestep market crashes and capitalize on directional confirmation.

Strategy Assumptions

Signal Source: Q-Crypto Direction Indicator (Buy or Sell signals)

Trade Confirmation:

• Buy only if signal = Buy AND 5-day SMA > 20-day SMA
• Sell only if signal = Sell AND 5-day SMA < 20-day SMA

Risk Management:

• Stop Loss: -2% from entry
• Take Profit: +10% from entry

The strategy exits a position upon reaching either the Stop Loss or Take Profit target.

• ETH lost over half its value during the test period.
• The strategy entered relatively few trades — but when it did, they were high-probability setups.
• The tight 2% stop loss and 10% take profit setup allowed the strategy to risk little while gaining more.

Disclaimer

The information provided in this post is for educational and informational purposes only and should not be construed as financial advice, investment recommendation, or an offer to buy or sell any crypto asset or financial product.

Past performance, including hypothetical or backtested results, is not indicative of future performance. Trading cryptocurrencies involves significant risk and may not be suitable for all investors. Always do your own research and consult a licensed financial advisor before making any trading or investment decisions.