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

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ETH Mean Reversion Lite

ActiveCryptoBinance

leo.fqVerified·Mean reversion · hoursView trader

Return 12m

+29.7%

734 days of history

Max drawdown

12.1%

Current 4.8%

Sortino

1.80

Sharpe 1.17 · PSR 0.95

Compliance

21/24

88% of Epochs kept

Risk score

34 · Low

Capacity used

80%

354/443 seats · $1.3M

Trade analytics

Last 400 closed trades · risk measured at the initial stop

Avg risk / trade

0.67%

median 0.68% · max 0.84%

Avg planned R:R

1 : 0.91

target distance ÷ stop distance

Realized R:R

1 : 0.90

avg win +0.79R · avg loss −0.88R

Expectancy

+0.17R

per trade

SQN

2.03

Good

Kelly fraction

21.3%

optimal f · use ¼–½ in practice

Win rate

62.7%

profit factor 1.51

Consecutive W / L

9 / 6

longest streaks

Largest win / loss

+1.2R / −1.5R

Avg hold

4.5h / 5.0h

winners / losers

Avg MAE / MFE

0.57R / 0.75R

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 +67.3R

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	249	151
Win rate	62%	64%
Expectancy	+0.16R	+0.19R
Total R	+39.3R	+28.0R
Equity PnL	+27.1%	+19.9%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 6, 22:17	ETH long	0.78%	1:0.8	+0.85R	6.9h
Oct 6, 23:16	ETH long	0.83%	1:1.0	+0.78R	0.3h
Oct 6, 15:20	ETH short	0.59%	1:0.9	+0.50R	1.2h
Oct 5, 00:44	ETH long	0.76%	1:1.1	+0.90R	5.0h
Oct 2, 19:59	ETH long	0.71%	1:1.0	+1.07R	16.9h
Oct 1, 23:55	ETH short	0.83%	1:0.9	+0.90R	5.3h
Oct 1, 20:28	ETH short	0.68%	1:1.1	−0.94R	1.1h
Sep 30, 16:54	ETH short	0.81%	1:1.1	−0.91R	3.3h
Sep 29, 19:54	ETH short	0.74%	1:1.1	+0.87R	5.5h
Sep 29, 09:50	ETH long	0.61%	1:0.9	+0.67R	3.5h
Sep 28, 14:33	ETH short	0.72%	1:0.7	+0.73R	2.3h
Sep 28, 02:36	ETH long	0.65%	1:1.0	+0.89R	1.8h

Performance statistics

Based on 1,573 trades over 734 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	−3.3%	−2.1%	+0.3%	+14.7%	+23.9%	+29.7%	+23.6%
Followers	−3.4%	−2.2%	−0.0%	+13.8%	+22.5%	+27.8%	+20.0%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%	+174.2%
Excess vs BTC	−3.7%	−3.1%	−10.9%	−56.5%	−31.8%	−39.8%	−150.5%

Returns

Return 1m: −2.1%
Return 3m: +0.3%
Return 12m: +29.7%
Return since start: +23.6%
CAGR: +11.1%

Risk

Max drawdown: 12.1%
Volatility (ann.): 9.4%
Downside deviation: 6.1%
Ulcer index: 4.54%
VaR / CVaR 95% (daily): 0.77% / 0.95%
VaR / CVaR 99% (daily): 1.11% / 1.23%
Longest time under water: 289 days
Max / avg leverage: 3.4x / 1.6x
Top-3 trades share of PnL: 15%

Risk-adjusted

Sharpe: 1.17
Sortino: 1.80
Calmar: 0.92
Recovery factor: 1.95
Probabilistic Sharpe (PSR): 0.95
Omega ratio: 1.17
Gain-to-pain: 0.17

Trades

Trades: 1,573
Win rate: 62%
Payoff ratio: 0.85
Profit factor: 1.39
Expectancy: 2 bps
Tail ratio: 2.4
Avg holding time: 4.2 h

Consistency

Profitable months: 56%
Equity curve R²: 0.58
Longest losing streak: 7 days
Skew / kurtosis: 0.46 / 4.9
Consistency score: 73/100

Benchmark (vs BTC)

Beta: 0.03
Alpha (ann.): +8.8%
Correlation / R²: 0.20 / 0.04
Up / down capture: 4% / 2%
Tracking error: 54.1%
Information ratio: -1.01

Strategy vs BTC

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

Daily return pair365 daysFit · β0.03

BTC daily return →

Rolling 90-day beta & correlation

Oct 6, 2026Beta0.03Correlation0.17

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 6, 2026Sharpe 90d0.20Volatility 90d9.1%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−0.77%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−12.1%	Apr 15, 2025	Nov 4, 2025	Jan 30, 2026	203 d	87 d
2	−4.8%	Sep 23, 2026	Oct 6, 2026	Ongoing	13 d	—
3	−4.3%	Oct 8, 2024	Nov 26, 2024	Jan 9, 2025	49 d	44 d
4	−2.5%	Jul 15, 2026	Jul 23, 2026	Aug 6, 2026	8 d	14 d
5	−2.5%	May 28, 2026	Jun 6, 2026	Jun 13, 2026	9 d	7 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

69%

54%

56%

40%

44%

47%

53%

Exposure

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

Gross exposure288% of equityPeak358%

Average share of exposure

ETH100% · 258.6%

Performance by instrument

Share of net PnL