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OperationalRisk Engine 14msEpoch ends in —Solanaslot —· 0.4s

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BTC Basis Arb

ActiveCryptoBinance

lucas.mVerified+·Delta-neutral basisView trader

Return 12m

+8.9%

480 days of history

Max drawdown

1.8%

Current 0.2%

Sortino

5.22

Sharpe 3.11 · PSR 1.00

Compliance

13/13

100% of Epochs kept

Risk score

10 · Low

Capacity used

77%

512/666 seats · $2M

Trade analytics

Last 340 closed trades · risk measured at the initial stop

Avg risk / trade

0.41%

median 0.41% · max 0.51%

Avg planned R:R

1 : 0.65

target distance ÷ stop distance

Realized R:R

1 : 0.66

avg win +0.54R · avg loss −0.82R

Expectancy

+0.34R

per trade

SQN

6.85

Excellent

Kelly fraction

63.2%

optimal f · use ¼–½ in practice

Win rate

85.3%

profit factor 3.85

Consecutive W / L

21 / 3

longest streaks

Largest win / loss

+0.9R / −1.3R

Avg hold

5.6d / 6.2d

winners / losers

Avg MAE / MFE

0.43R / 0.62R

adverse / favorable excursion

Capture ratio

84%

of MFE kept by winners

R-multiple distribution

How many trades ended at each multiple of initial risk

Cumulative R

Trade-by-trade equity in R units · total +116.8R

Risk per trade

% of equity at risk on each trade, with the average line

Performance by time

Total R by day of week or close hour (UTC)

Long vs short

	Long	Short
Trades	202	138
Win rate	85%	86%
Expectancy	+0.34R	+0.35R
Total R	+68.4R	+48.5R
Equity PnL	+28.1%	+20.2%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 4, 20:55	BTC short	0.36%	1:0.7	+0.74R	21.7h
Oct 3, 03:49	BTC short	0.47%	1:0.7	+0.53R	1.9d
Oct 1, 20:01	BTC long	0.49%	1:0.8	−0.75R	3.3d
Oct 1, 11:00	BTC short	0.49%	1:0.6	+0.61R	18.9h
Oct 1, 23:08	BTC long	0.36%	1:0.7	+0.54R	1.5d
Sep 28, 10:22	BTC short	0.45%	1:0.6	+0.65R	8.0d
Sep 26, 16:38	BTC long	0.38%	1:0.7	+0.50R	2.4d
Sep 24, 03:03	BTC long	0.41%	1:0.7	−0.67R	16.6d
Sep 23, 21:55	BTC short	0.43%	1:0.6	+0.62R	3.5d
Sep 23, 15:08	BTC long	0.32%	1:0.7	+0.77R	1.8d
Sep 22, 01:31	BTC long	0.33%	1:0.5	+0.59R	4.7d
Sep 21, 08:36	BTC short	0.42%	1:0.6	+0.54R	7.8d

Performance statistics

Based on 340 trades over 480 days. Metric set v1.4 · recomputable from raw exchange data.

Trailing returns

Strategy NAV, realized follower results after costs, and BTC over the same windows

Period	1W	1M	3M	6M	YTD	1Y	All
Strategy	+0.0%	+0.1%	+0.5%	+0.7%	+4.3%	+8.9%	+15.1%
Followers	−0.0%	+0.1%	+0.4%	+0.5%	+4.1%	+8.5%	+14.6%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%	+108.8%
Excess vs BTC	−0.4%	−0.9%	−10.8%	−70.5%	−51.4%	−60.6%	−93.7%

Returns

Return 1m: +0.1%
Return 3m: +0.5%
Return 12m: +8.9%
Return since start: +15.1%
CAGR: +11.3%

Risk

Max drawdown: 1.8%
Volatility (ann.): 3.5%
Downside deviation: 2.1%
Ulcer index: 0.57%
VaR / CVaR 95% (daily): 0.26% / 0.33%
VaR / CVaR 99% (daily): 0.43% / 0.49%
Longest time under water: 85 days
Max / avg leverage: 2.6x / 1.2x
Top-3 trades share of PnL: 9%

Risk-adjusted

Sharpe: 3.11
Sortino: 5.22
Calmar: 6.28
Recovery factor: 8.40
Probabilistic Sharpe (PSR): 1.00
Omega ratio: 1.53
Gain-to-pain: 0.53

Trades

Trades: 340
Win rate: 86%
Payoff ratio: 0.60
Profit factor: 3.69
Expectancy: 2 bps
Tail ratio: 1.7
Avg holding time: 5.8 d

Consistency

Profitable months: 76%
Equity curve R²: 0.85
Longest losing streak: 7 days
Skew / kurtosis: 0.31 / 4.3
Consistency score: 90/100

Benchmark (vs BTC)

Beta: 0.00
Alpha (ann.): +10.5%
Correlation / R²: 0.05 / 0.00
Up / down capture: 1% / −1%
Tracking error: 55.7%
Information ratio: -1.09

Strategy vs BTC

Daily return pairs with the regression fit (slope = beta), and how beta and correlation change over time

Daily return pair365 daysFit · β0.00

BTC daily return →

Rolling 90-day beta & correlation

Oct 6, 2026Beta0.00Correlation0.06

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 6, 2026Sharpe 90d0.62Volatility 90d3.4%

Volatility (ann.)

Return distribution

Daily returns vs a fitted normal curve — bars beyond the curve are fat-tail days

Up daysDown daysNormal fitVaR 95%−0.26%

Worst drawdowns

The five deepest peak-to-trough episodes and how long recovery took

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−1.8%	Mar 23, 2026	May 5, 2026	May 28, 2026	43 d	23 d
2	−1.4%	May 28, 2026	Jul 18, 2026	Aug 22, 2026	51 d	35 d
3	−1.1%	Feb 12, 2026	Mar 4, 2026	Mar 15, 2026	20 d	11 d
4	−0.8%	Aug 28, 2026	Sep 18, 2026	Oct 3, 2026	21 d	15 d
5	−0.5%	Aug 11, 2025	Aug 14, 2025	Aug 20, 2025	3 d	6 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

65%

51%

59%

56%

53%

54%

52%

Exposure

Gross exposure, % of equity (last 120 days), and where it sits

Gross exposure74% of equityPeak136%

Average share of exposure

BTC100% · 51.9%

Performance by instrument

Share of net PnL