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BTC Mean Reversion

ActiveCryptoBybit

mateus.sVerified·Mean reversion · hoursView trader

Return 12m

−6.5%

768 days of history

Max drawdown

13.0%

Current 13.0%

Sortino

-14.72

Sharpe -22.11 · PSR 0.00

Compliance

20/25

80% of Epochs kept

Risk score

43 · Medium

Capacity used

14/303 seats · $910k

Trade analytics

Last 400 closed trades · risk measured at the initial stop

Avg risk / trade

0.77%

median 0.77% · max 0.97%

Avg planned R:R

1 : 0.68

target distance ÷ stop distance

Realized R:R

1 : 0.66

avg win +0.56R · avg loss −0.85R

Expectancy

+0.04R

per trade

SQN

0.58

Poor

Kelly fraction

7.2%

optimal f · use ¼–½ in practice

Win rate

63.0%

profit factor 1.13

Consecutive W / L

11 / 5

longest streaks

Largest win / loss

+0.9R / −1.6R

Avg hold

13.2h / 12.5h

winners / losers

Avg MAE / MFE

0.56R / 0.57R

adverse / favorable excursion

Capture ratio

85%

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 +16.3R

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	216	184
Win rate	63%	63%
Expectancy	+0.03R	+0.05R
Total R	+7.4R	+8.9R
Equity PnL	+6.5%	+7.8%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 3, 11:32	BTC long	0.62%	1:0.6	+0.32R	10.1h
Oct 3, 06:21	BTC long	0.83%	1:0.6	−0.98R	7.4h
Oct 2, 10:28	BTC long	0.87%	1:0.7	+0.67R	17.2h
Oct 2, 12:37	BTC long	0.91%	1:0.8	+0.46R	4.0h
Oct 1, 07:33	BTC long	0.80%	1:0.7	−0.80R	1.6h
Oct 1, 23:17	BTC short	0.94%	1:0.8	−0.62R	9.7h
Oct 1, 09:04	BTC long	0.60%	1:0.7	−1.04R	3.3h
Sep 30, 05:58	BTC short	0.79%	1:0.7	−1.04R	19.2h
Sep 21, 11:02	BTC long	0.71%	1:0.8	+0.63R	10.1h
Sep 21, 06:19	BTC long	0.64%	1:0.5	−0.75R	15.5h
Sep 17, 09:49	BTC short	0.64%	1:0.6	−0.61R	5.1h
Sep 16, 23:28	BTC short	0.93%	1:0.6	−0.75R	18.7h

Performance statistics

Based on 529 trades over 768 days. Metric set v1.4 · recomputable from raw exchange data.Thin sample — treat with caution

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%	−0.5%	−1.5%	−3.0%	−5.0%	−6.5%	−13.0%
Followers	−0.0%	−0.6%	−1.7%	−3.3%	−5.4%	−7.0%	−13.9%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%	+195.5%
Excess vs BTC	−0.4%	−1.5%	−12.8%	−74.2%	−60.7%	−76.0%	−208.5%

Returns

Return 1m: −0.5%
Return 3m: −1.5%
Return 12m: −6.5%
Return since start: −13.0%
CAGR: −6.4%

Risk

Max drawdown: 13.0%
Volatility (ann.): 0.3%
Downside deviation: 0.4%
Ulcer index: 7.61%
VaR / CVaR 95% (daily): 0.04% / 0.05%
VaR / CVaR 99% (daily): 0.05% / 0.06%
Longest time under water: 768 days
Max / avg leverage: 3.8x / 1.7x
Top-3 trades share of PnL: 17%

Risk-adjusted

Sharpe: -22.11
Sortino: -14.72
Calmar: -0.49
Recovery factor: -1.00
Probabilistic Sharpe (PSR): 0.00
Omega ratio: 0.06
Gain-to-pain: -0.94

Trades

Trades: 529
Win rate: 66%
Payoff ratio: 0.63
Profit factor: 1.22
Expectancy: 2 bps
Tail ratio: 2.6
Avg holding time: 12.4 h

Consistency

Profitable months: 0%
Equity curve R²: 1.00
Longest losing streak: 42 days
Skew / kurtosis: 0.30 / 3.4
Consistency score: 70/100

Benchmark (vs BTC)

Beta: 0.00
Alpha (ann.): −6.7%
Correlation / R²: 0.18 / 0.03
Up / down capture: −1% / 1%
Tracking error: 55.4%
Information ratio: -1.33

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, 2026Beta0.00Correlation0.28

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 6, 2026Sharpe 90d-22.72Volatility 90d0.3%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−0.04%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−13.0%	Aug 29, 2024	Oct 6, 2026	Ongoing	768 d	—

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

11%

15%

13%

14%

Exposure

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

Gross exposure284% of equityPeak381%

Average share of exposure

BTC100% · 261.4%

Performance by instrument

Share of net PnL