Auditing 40,000 backtests, our Fibonacci retracement strategy was one of the weakest. The obvious move would be to quietly delete it. Instead we asked the question most platforms skip: is this the strategy — or is it our configuration?
The answer is instructive, because it's both.
The suspect: a fixed target
Our Fibonacci strategy buys the pullback to the 61.8% retracement in an uptrend and sells at a fixed target: the 1.272 extension. That's textbook — and exactly the problem. A fixed target caps the upside. In a crypto bull market where Buy & Hold just keeps running, a fixed-target strategy exits while the market runs away.
So we tested it instead of asserting it.
The repair test
Same entry logic, different exit: a trailing stop (ATR chandelier) instead of the fixed target — "let winners run." Across eight liquid crypto pairs, daily bars from 2018, versus Buy & Hold (pre-cost):
| Variant | Median ΔCAGR vs B&H | beats B&H |
|---|---|---|
| v1 (fixed 1.272 target) | −29.5 pp | 2 of 8 |
| Trailing exit | −9.6 pp | 3 of 8 |
The fixed exit really was a bottleneck — about 20 percentage points sat in it alone. The skepticism was warranted.
Why we're retiring it anyway
Here's where it gets interesting. Two things argue against keeping it, even with the better exit:
1. Repaired isn't enough. Even with a trailing exit, the strategy stays negative on liquid majors (beats B&H on 3 of 8). Unlike our squeeze strategy, which a correct rebuild flipped into positive territory, Fibonacci doesn't clear the bar.
2. The nominal "beats B&H" is flattered. Across all 61 pairs tested, Fibonacci edges Avg B&H at the median — +1.9 percentage points. Sounds like edge. It isn't: the average B&H of those pairs is −9.7%. The strategy "wins" on dead alt-coins by sitting in cash while Buy & Hold collapses. Losing less is not an edge.
Run-weighted across the full production history, it sits at −9.2% median vs B&H.
The real bar: our own roster
Even the best Fibonacci variant is far below the strategies we already run. On crypto, a simple EMA cross beats Buy & Hold by a median of +24 points, Supertrend by +23 — both with fewer trades. A strategy that at best plays breakeven and needs ~50 trades per run to do it is negative after trading costs — and it costs a slot that a better strategy deserves.
That has become our standard: "beats Buy & Hold" is not the bar. The bar is whether a strategy earns its place against our best. If it doesn't, it's ballast — and ballast dilutes the signals that matter.
What happens to the data
The strategy leaves the backtester, but not the platform: the accumulated backtest data stays visible in Strategy Insights and the Strategy Library, now tagged with the retirement finding and the numbers. The insight is part of the product — anyone who wants to know why Fibonacci pullbacks don't work on crypto finds the answer, with the data.
What Backtesting Arena contributes here
We audit our own strategies as hard as anyone else's. Retiring a strategy that nominally beats Buy & Hold is uncomfortable — but it keeps the platform honest: we crystallize the few strategies that earn their place instead of maintaining a long menu where half of them net nothing after costs. Fewer strategies, more signal.
FAQ
You're retiring it even though it beats Avg B&H — isn't that contradictory? The nominal +1.9% is flattered by dead alt-coins (whose B&H is −9.7% — "losing less" isn't edge). On liquid majors the strategy loses. And even read positively: breakeven before costs at ~50 trades is negative after fees. "Beats B&H" alone isn't our standard — earning a slot against our best strategies is.
Was it a bug? No. The fixed 1.272-target exit was a weak design choice, not an error — and a trailing exit lifted the result by ~20 points. But even repaired, the strategy doesn't clear the bar.
Can I still see the data? Yes. The backtest data stays in Strategy Insights and the Strategy Library, tagged as retired, with the numbers. It's just no longer offered in the backtester.
What does "wins by sitting in cash" mean? When a coin loses 90% over years, any strategy that goes to cash in between is "better than Buy & Hold" — it just loses less. That's not a usable advantage, it's an artifact of dying assets.
Will it come back? Only if a future version clears the bar against our roster — not as a revival of the same logic.