How to read this report. Daily simulation. BTC Hold is the benchmark. Modeled costs: 10 bps per executed side; no base-case annual carry. The historical return is unusually high. It is a research result, not an annual return target.
References to internal testing describe what the published research reports; they are not certification by an external auditor. Positive historical windows, bootstrap frequencies and synthetic stress results are not probabilities or limits for the future.
Executive Summary (Net Base Case)
Equity Curve (Net Base Case)
Data & Methodology
Execution Model: The base model assumes a fully funded spot implementation with no leverage or margin borrowing. The complete instrument set, allocation limits, transition rules and internal safeguards are proprietary and are intentionally omitted from the public factsheet.
BTC Benchmark: BTC benchmark represents a buy-and-hold spot BTC position normalized to the same initial capital as the strategy, with no trading costs applied.
Turnover Measure: Spread and slippage stress tests use a consistent modeled portfolio-turnover reference. The exact allocation series and internal portfolio construction fields are not disclosed publicly.
Carry Assumptions: Additional carry scenarios are shown only as generic implementation-cost diagnostics. They are not part of the public base implementation, which is fully funded and spot-only.
Key Metrics (Strategy vs BTC Hold)
| Metric | Strategy | BTC Hold |
|---|---|---|
| CAGR (Lower-friction reference: 7.5 bps/side) | 159.43% | 60.52% |
| CAGR (Net: 10 bps/leg) | 158.33% | 60.52% |
| CAGR (Carry stress: +5% annual) | 145.41% | 60.52% |
| Maximum Drawdown (Lower-friction reference) | -27.01% | -83.62% |
| Maximum Drawdown (Net: 10 bps/leg) | -27.02% | -83.62% |
| Calmar Ratio (Net) | 5.86 | 0.72 |
| Sharpe Ratio (Net, rf=0) | 2.50 | 1.04 |
| Sortino Ratio (Net, rf=0) | 3.64 | 1.38 |
| Volatility (Net, ann.) | 41.36% | 67.38% |
| Ulcer Index (Net) | 7.99 | 41.81 |
| Observed loss-window frequency (12m) | 0.00% | 26.33% |
| Observed loss-window frequency (36m) | 0.00% | 0.19% |
| Worst Rolling 1Y Return (Net) · metrics.json | 10.34% | -83.56% |
| Worst Rolling 2Y Return (Net) · metrics.json | 73.09% | -65.42% |
| Worst Rolling 3Y Return (Net) · metrics.json | 301.29% | -9.80% |
| Outperformance vs BTC (CAGR, Net) | 97.81 pp | — |
| Drawdown Reduction vs BTC (Net) | 56.60 pp | — |
| Daily Historical VaR 95% (Net) | -2.60% | -5.25% |
| Daily Historical Expected Shortfall 95% (Net) | -4.51% | -8.25% |
| Daily Parametric VaR 95% (Net) | -3.28% | -5.61% |
| Daily Parametric Expected Shortfall 95% (Net) | -4.18% | -7.08% |
| Worst Daily Return Observed | -13.41% | -38.97% |
| Final Equity (Net, USD; initial $10,000) | $641,660,494.13 | $2,494,912.05 |
| Average Drawdown (Net) | -5.95% | -34.00% |
| Median Drawdown (Net) | -4.64% | -30.19% |
Daily Tail Risk: VaR & Expected Shortfall
All values below use metrics.json → risk_tail. The original static table and the JSON contained different values; the source choice is documented in the transparency notes. This is a consistency correction, not a backtest rerun.
| Series / source method | Daily VaR 95% | Expected shortfall 95% | Worst reported day |
|---|---|---|---|
| Strategy Net · historical | -2.60% | -4.51% | -13.41% |
| Strategy Net · supplied parametric estimate | -3.28% | -4.18% | Not applicable |
| BTC Hold · historical | -5.25% | -8.25% | -38.97% |
| BTC Hold · supplied parametric estimate | -5.61% | -7.08% | Not applicable |
The supplied parametric estimates must not be conflated with a zero-drift normal calculation. Raw returns and the calculation engine are not available in this package. VaR is not a maximum-loss estimate.
Implementation Scenarios & Generic Carry Stress
| Scenario | CAGR | Max DD | Sharpe | Prob Loss (12m) | Prob Loss (36m) |
|---|---|---|---|---|---|
| Lower-friction reference (7.5 bps/side) | 159.43% | -27.01% | 2.51 | 0.00% | 0.00% |
| Net base (10 bps/leg) | 158.33% | -27.02% | 2.50 | 0.00% | 0.00% |
| Carry stress (+5% annual) | 145.41% | -27.16% | 2.38 | 0.00% | 0.00% |
Out-of-Sample Validation (Time-Based Holdout)
The development/holdout labels are those of the published research. The chronological model-freeze record and untouched raw validation data are not included, so independence from model selection has not been established by this website review.
| Period | Strategy CAGR | Strategy Max DD | Strategy Sharpe | BTC CAGR | BTC Max DD | BTC Sharpe |
|---|---|---|---|---|---|---|
| Development (2015–2019) | 227.68% | -27.02% | 2.71 | 86.90% | -83.62% | 1.21 |
| Out-of-sample (2020–August 2026) | 116.20% | -17.89% | 2.35 | 43.21% | -76.67% | 0.90 |
Rolling Stability (1Y)
Rolling-window summary
metrics.json → extended_table reports 73.09% and 301.29%, respectively. The key-metrics table uses the JSON values consistently. The static distribution is retained here for traceability, not silently blended into the JSON series. Raw observations are required to resolve the discrepancy.| Window | Worst | Median | Mean | Positive windows |
|---|---|---|---|---|
| 6M | -20.84% | 45.19% | 80.45% | 94.9% |
| 1Y | 10.34% | 128.23% | 251.29% | 100.0% |
| 2Y | 68.79% | 489.56% | 1069.95% | 100.0% |
| 3Y | 290.49% | 1526.45% | 3246.63% | 100.0% |
Methodology & Governance
Fees & Slippage Sensitivity
| Cost (bps/side) | Round-trip (bps) | CAGR | Max DD | Sharpe | Calmar |
|---|---|---|---|---|---|
| 7.5 | 15 | 159.43% | -27.01% | 2.51 | 5.90 |
| 10 | 20 | 158.33% | -27.02% | 2.50 | 5.86 |
| 15 | 30 | 155.88% | -27.05% | 2.48 | 5.76 |
| 20 | 40 | 153.62% | -27.07% | 2.45 | 5.67 |
| 30 | 60 | 149.74% | -27.12% | 2.41 | 5.52 |
Implementation Scenarios
Strategy / BTC - 1.Cost Robustness Frontier
Cost Sensitivity
| Scenario | Venue | Fees+Slip (bps/side) | Carry (ann.) | Type | Assumptions | CAGR | Max DD | Calmar | Sharpe |
|---|---|---|---|---|---|---|---|---|---|
| Base (Spot) | Spot (exchange) | 10.0 | — | — | Fees+slip 10.0 bps/side (20.0 rt); Carry none | 158.33% | -27.02% | 5.86 | 2.50 |
| Carry stress (-3%/yr) | Generic carry stress | 10.0 | 3.00% | Carry | Fees+slip 10.0 bps/side (20.0 rt); Carry Carry 3.00% ann | Not supplied | Not supplied | Not supplied | Not supplied |
| Carry stress (-5%/yr) | Generic carry stress | 10.0 | 5.00% | Carry | Fees+slip 10.0 bps/side (20.0 rt); Carry Carry 5.00% ann | 145.41% | -27.16% | 5.35 | 2.38 |
| High carry stress (-8%/yr) | High carry stress | 10.0 | 8.00% | Carry | Fees+slip 10.0 bps/side (20.0 rt); Carry Carry 8.00% ann | Not supplied | Not supplied | Not supplied | Not supplied |
| High carry stress (-12%/yr) | High carry stress | 10.0 | 12.00% | Carry | Fees+slip 10.0 bps/side (20.0 rt); Carry Carry 12.00% ann | Not supplied | Not supplied | Not supplied | Not supplied |
| Stress: Fees+Slippage ×2 | Any | 20.0 | — | — | Fees+slip 20.0 bps/side (40.0 rt); Carry none | 153.62% | -27.07% | 5.67 | 2.45 |
meta.execution_assumptions.cost_sensitivity_overrides in metrics.json.Source consistency correction: the original website fallback repeated the base-case result for every carry rate. Only the 5% carry stress has a distinct result in metrics.json → headline.strategy_carry_stress. Outcomes for 3%, 8% and 12% are not supplied and have not been estimated. Original chart images are preserved and are not independent evidence for the missing outcomes.
Probability of Ruin & Recovery After Shock
| Metric | Value |
|---|---|
| Ruin threshold | 80% loss (equity < 20% of initial) |
| Probability of ruin (bootstrap, full sample) | 0.00% |
| Probability of ruin (rolling 12m windows) | 0.00% |
| Probability of ruin (rolling 36m windows) | 0.00% |
| Shock event date (synthetic) | 2020-03-12 |
| Recovery time after shock — Strategy (days) | 301 |
| Recovery time after shock — BTC (days) | 302 |
Synthetic Stress Scenarios
| Scenario | CAGR | Max DD | Vol |
|---|---|---|---|
| Vol_x2 | 101.12% | -76.28% | 82.73% |
| Shock_-80 | 124.91% | -83.42% | 47.66% |
| Sideways_zero_drift | -8.10% | -93.61% | 41.36% |
Stress Comparison vs BTC
| Scenario | Strategy CAGR | Strategy Max DD | BTC CAGR | BTC Max DD | CAGR Diff (pp) | DD Reduction (pp) |
|---|---|---|---|---|---|---|
| Vol_x2 | 101.12% | -76.28% | -22.26% | -99.96% | 123.38 pp | 23.68 pp |
| Shock_-80 | 124.91% | -83.42% | 39.80% | -95.01% | 85.11 pp | 11.59 pp |
| Sideways_zero_drift | -8.10% | -93.61% | -20.52% | -99.27% | 12.42 pp | 5.66 pp |
| Test family | Result |
|---|---|
| Nearby-parameter sensitivity | 304 of 304 tested neighboring configurations remained above BTC Hold and the strategy remained inside a broad viable region. |
| Independent starts | All tested annual start dates remained positive versus BTC Hold over the available endpoint. |
| Leave-cycle-out | The advantage remained after excluding each major cycle block. |
| Asset failure / unavailability | Anonymized component-removal and modeled disruption scenarios remained within the documented robustness range; component identities and exposure limits are confidential. |
| Order failure / missing signals | Random missed implementation events and retry delays generally preserved the historical edge; extreme repeated failures can materially reduce it. |
| Adverse path clustering | The main structural weakness in this diagnostic is a high concentration of severe adverse moves immediately after portfolio changes; sufficiently extreme clustering can materially reduce the historical edge. |
Operational robustness summary
| Anonymized implementation scenario | CAGR | Max DD | Calmar |
|---|---|---|---|
| Scenario A | 158.33% | -27.02% | 5.86 |
| Scenario B | 139.92% | -29.26% | 4.78 |
| Scenario C | 136.03% | -29.92% | 4.55 |
| Scenario D | 124.93% | -31.42% | 3.98 |
| Scenario E | 110.53% | -31.09% | 3.55 |
| Scenario F | 102.63% | -36.26% | 2.83 |
Operational implementation sensitivity
Execution & Structural Robustness
Robustness & Risk
Monte Carlo (Bootstrap)
Regime Analysis (Bull / Bear / Sideways) — Strategy vs BTC
| Regime | Days | Strategy CAGR | BTC CAGR | CAGR Diff (pp) | Strategy Max DD | BTC Max DD | DD Reduction (pp) | Strategy Vol | BTC Vol |
|---|---|---|---|---|---|---|---|---|---|
| Bull | 2228 | 383.83% | 349.02% | 34.81 pp | -27.02% | -57.97% | 30.95 pp | 49.80% | 68.56% |
| Bear | 1351 | 38.74% | -57.98% | 96.72 pp | -20.80% | -96.11% | 75.30 pp | 28.88% | 68.79% |
| Sideways | 681 | 13.35% | -20.98% | 34.33 pp | -23.28% | -61.83% | 38.55 pp | 29.22% | 58.64% |
Strategy Profile
The model is designed as a systematic, rules-based and low-turnover allocation framework rather than a high-frequency trading system.
The strategy has been backtested, stress-tested, source-reported against the internal engine package, and placed under a defined review protocol so that future parameter changes require evidence rather than discretionary adjustment.
Its objective is to improve long-horizon risk-adjusted outcomes relative to passive Bitcoin exposure through a proprietary systematic portfolio process.
Portfolio changes are systematic and relatively infrequent. The production decision logic is confidential.
The objective is not to maximize trading frequency, but to improve risk-adjusted performance relative to passive Bitcoin exposure through disciplined systematic portfolio management.
The strategy is therefore structurally different from leveraged or high-frequency crypto trading systems.
Capacity & Liquidity Considerations
- Primary implementation: fully funded spot allocation across a private approved instrument set; no leverage or short selling
- Turnover: moderate to low compared to high‑frequency crypto strategies
- Cost modeling: includes fees, slippage, and generic carry stress scenarios
- Capacity expected to scale with market liquidity conditions
Review & Optimization Protocol
Governance objective: preserve the strategy as a systematic, tested and auditable process. The review protocol exists to monitor degradation, execution risk, data quality and structural market changes without turning the model into discretionary or reactive optimization.
Recommendation: this should not be treated as a single automatic optimization every two years. The safer approach is a full biennial research review plus ongoing monitoring. Parameters remain frozen unless the evidence shows a real structural change and a candidate passes robustness gates.
Monthly / quarterly monitoring: rolling performance and risk, data quality, implementation quality, turnover, modeled costs and return concentration.
Every two years: re-run the complete backtest and refresh rolling, stress, Monte Carlo, resampling and implementation-sensitivity studies before considering any model change.
Change gates: any candidate must improve robustness without materially worsening Max DD, Ulcer, worst 1Y/2Y, average drawdown, trade concentration or execution burden. No parameter should be changed only because a new two-year date arrived.
Review decision: keep the strategy logic frozen and use this protocol as surveillance. Research changes require material evidence from data quality, implementation conditions and reported performance diagnostics.
Institutional Notes (Methodology & Interpretations)
End of the public factsheet.
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