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

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BTC Mean Reversion

ActiveCryptoBinance

mei.cConnected·Mean reversion · hoursView trader

Return 12m

+26.0%

856 days of history

Max drawdown

14.7%

Current 6.6%

Sortino

2.82

Sharpe 1.83 · PSR 1.00

Compliance

23/28

82% of Epochs kept

Risk score

44 · Medium

Capacity used

52%

164/316 seats · $950k

Trade analytics

Last 400 closed trades · risk measured at the initial stop

Avg risk / trade

0.79%

median 0.80% · max 0.98%

Avg planned R:R

1 : 0.89

target distance ÷ stop distance

Realized R:R

1 : 0.87

avg win +0.75R · avg loss −0.86R

Expectancy

+0.18R

per trade

SQN

2.32

Good

Kelly fraction

24.4%

optimal f · use ¼–½ in practice

Win rate

64.8%

profit factor 1.61

Consecutive W / L

11 / 7

longest streaks

Largest win / loss

+1.2R / −1.4R

Avg hold

3.0h / 3.3h

winners / losers

Avg MAE / MFE

0.54R / 0.73R

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 +73.3R

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	226	174
Win rate	66%	63%
Expectancy	+0.21R	+0.15R
Total R	+47.3R	+26.0R
Equity PnL	+39.6%	+20.3%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 6, 04:30	BTC short	0.67%	1:1.0	−0.60R	0.1h
Oct 6, 22:15	BTC short	0.95%	1:0.8	+0.61R	2.9h
Oct 6, 18:33	SOL short	0.68%	1:0.9	+0.84R	0.5h
Oct 5, 16:36	ETH long	0.81%	1:0.8	+0.64R	0.5h
Oct 5, 11:17	SOL short	0.90%	1:0.7	+0.75R	0.5h
Oct 4, 14:12	SOL long	0.90%	1:0.8	+0.71R	8.8h
Oct 4, 08:11	SOL short	0.74%	1:0.9	−0.82R	1.0h
Oct 4, 14:51	SOL short	0.70%	1:1.1	+0.84R	5.2h
Oct 3, 01:49	SOL short	0.85%	1:1.0	+0.74R	0.6h
Oct 3, 20:42	BTC short	0.68%	1:1.0	+0.79R	1.0h
Oct 3, 09:57	SOL long	0.82%	1:0.9	−0.92R	12.2h
Oct 3, 14:06	BTC short	0.69%	1:1.0	−0.82R	0.1h

Performance statistics

Based on 2,169 trades over 856 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	+2.8%	−4.7%	+4.4%	+13.1%	+13.6%	+26.0%	+118.8%
Followers	+2.8%	−4.9%	+3.9%	+12.0%	+11.9%	+23.6%	+109.0%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%	+187.9%
Excess vs BTC	+2.4%	−5.7%	−6.9%	−58.1%	−42.2%	−43.5%	−69.1%

Returns

Return 1m: −4.7%
Return 3m: +4.4%
Return 12m: +26.0%
Return since start: +118.8%
CAGR: +39.6%

Risk

Max drawdown: 14.7%
Volatility (ann.): 19.2%
Downside deviation: 12.5%
Ulcer index: 4.40%
VaR / CVaR 95% (daily): 1.40% / 2.02%
VaR / CVaR 99% (daily): 2.56% / 3.56%
Longest time under water: 99 days
Max / avg leverage: 3.8x / 1.7x
Top-3 trades share of PnL: 18%

Risk-adjusted

Sharpe: 1.83
Sortino: 2.82
Calmar: 2.70
Recovery factor: 8.08
Probabilistic Sharpe (PSR): 1.00
Omega ratio: 1.29
Gain-to-pain: 0.29

Trades

Trades: 2,169
Win rate: 60%
Payoff ratio: 0.83
Profit factor: 1.24
Expectancy: 2 bps
Tail ratio: 2.7
Avg holding time: 3.1 h

Consistency

Profitable months: 76%
Equity curve R²: 0.95
Longest losing streak: 7 days
Skew / kurtosis: 0.08 / 7.0
Consistency score: 67/100

Benchmark (vs BTC)

Beta: 0.07
Alpha (ann.): +30.9%
Correlation / R²: 0.21 / 0.04
Up / down capture: 11% / 3%
Tracking error: 54.2%
Information ratio: -0.46

Strategy vs BTC

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

Daily return pair365 daysFit · β0.07

BTC daily return →

Rolling 90-day beta & correlation

Oct 6, 2026Beta0.06Correlation0.16

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 6, 2026Sharpe 90d1.04Volatility 90d18.6%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−1.40%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−14.7%	Aug 9, 2024	Aug 31, 2024	Oct 7, 2024	22 d	37 d
2	−10.4%	Mar 5, 2026	May 3, 2026	May 23, 2026	59 d	20 d
3	−9.7%	Aug 28, 2026	Sep 30, 2026	Ongoing	33 d	—
4	−9.7%	Apr 24, 2025	May 15, 2025	Jun 3, 2025	21 d	19 d
5	−9.6%	Oct 16, 2025	Nov 12, 2025	Dec 13, 2025	27 d	31 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

62%

43%

54%

65%

50%

47%

62%

Exposure

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

Gross exposure83% of equityPeak157%

Average share of exposure

BTC48% · 44.5%
ETH31% · 28.6%
SOL22% · 20.5%

Performance by instrument

Share of net PnL