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DCA or lump sum: a backtest of BTC and ETH
Across 136 twelve-month windows on BTC and ETH since 2020, putting 10,000 USDT in at once ended ahead of 52 weekly buys 93 times. DCA won the windows that started near the 2021 top — and had the smaller drawdown in every one of the 136.
3 min read
Setup
- Lump sum: 9,880 USDT of a 10,000 USDT account goes into BTC or ETH on the first bar of the window, then nothing happens until the window ends.
- DCA: 190 USDT every Monday, 52 times — the same 9,880 USDT spread over the year — then hold to the end.
- Windows: 12 months long, one starting on the 1st of every month from 2020-01 to 2025-08 — 68 windows per coin, 136 pairs of runs. Both positions are sold at the window's last close.
- Market and costs: Binance spot, daily candles, 0.1% fee and 0.05% slippage on every buy and sell, fills at the next day's open. Cash waiting to be invested earns nothing.
- Runs: two strategies — lump sum #35 and DCA #36 — 272 runs, #186–#457. Nothing was tuned.
Who ended the year ahead
Buying at once won 93 of the 136 windows: 48 of 68 on BTC and 45 of 68 on ETH. It won every window that started in 2020 or 2023, on both coins. DCA won every window that started between August 2021 and June 2022 — the year after the top — on both coins.
The rule behind it is simple: buying at once ends ahead exactly when its one buy was cheaper than the average price DCA paid over the year. The price at the end of the window cannot change the winner — after the last DCA buy both accounts hold only coins, and the gap between them is fixed.
| Window started | BTC: at once ahead | ETH: at once ahead |
|---|---|---|
| 2020 | 12 of 12 | 12 of 12 |
| 2021 | 4 of 12 | 7 of 12 |
| 2022 | 5 of 12 | 4 of 12 |
| 2023 | 12 of 12 | 12 of 12 |
| 2024 | 12 of 12 | 5 of 12 |
| 2025 (to Aug) | 3 of 8 | 5 of 8 |
The first window shows the size of what DCA gives up in a rising year:
Backtest
Lump sum: buy once, holdBTCUSDT · 1d · Spot · 2020-01-01 → 2021-01-01
- Return
- +303.60%
- Max drawdown
- 53.17%
- Sharpe
- 2.27
- Win rate
- 100.0%
- Trades
- 1
Backtest
DCA: 52 weekly buys, holdBTCUSDT · 1d · Spot · 2020-01-01 → 2021-01-01
- Return
- +191.80%
- Max drawdown
- 12.83%
- Sharpe
- 3.13
- Win rate
- 100.0%
- Trades
- 52
And what it saves in a falling one — the window that started at the November 2021 top:
Backtest
Lump sum: buy once, holdBTCUSDT · 1d · Spot · 2021-11-01 → 2022-11-01
- Return
- -65.62%
- Max drawdown
- 71.91%
- Sharpe
- -1.39
- Win rate
- 0.0%
- Trades
- 1
Backtest
DCA: 52 weekly buys, holdBTCUSDT · 1d · Spot · 2021-11-01 → 2022-11-01
- Return
- -31.67%
- Max drawdown
- 38.76%
- Sharpe
- -1.10
- Win rate
- 19.2%
- Trades
- 52
Drawdowns
DCA had the smaller max drawdown in all 136 windows. Buying at once fell 19.79–72.06% from a peak on BTC and 26.73–78.90% on ETH; DCA fell 12.07–59.05% and 13.86–68.80%. The worst year for buying at once was ETH from 2021-12, -71.33%; the worst for DCA was ETH from 2021-07, -60.20%. The best years run the other way: +1,334.18% at once against +559.40% for DCA, both on ETH in spring 2020.
Conclusion
- Over 2020–2026, buying at once ended the year ahead in about two windows out of three, on both coins.
- DCA paid off in the year after a top: every window that started between August 2021 and June 2022.
- DCA always fell less along the way — which is what it buys: a smaller drawdown, at the price of a lower return in most windows.
More research: the golden cross on the top-20 coins. How a backtest like this is put together: what backtesting is.
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