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

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ETH Mean Reversion

PausedCryptoBinance

oliver.hVerified+·Mean reversion · hoursView trader

Strategy paused

Hard breach this Epoch: daily loss exceeded the contract limit. Copying stopped and fees were refunded.

Return (all)

+21.8%

335 days of history

Max drawdown

13.2%

Current 1.6%

Sortino

1.90

Sharpe 1.33 · PSR 0.89

Compliance

9/11

82% of Epochs kept

Risk score

30 · Low

Capacity used

66%

274/413 seats · $1.2M

Trade analytics

Last 121 closed trades · risk measured at the initial stop

Avg risk / trade

0.63%

median 0.63% · max 0.79%

Avg planned R:R

1 : 0.86

target distance ÷ stop distance

Realized R:R

1 : 0.85

avg win +0.74R · avg loss −0.86R

Expectancy

+0.18R

per trade

SQN

2.30

Good

Kelly fraction

24.6%

optimal f · use ¼–½ in practice

Win rate

65.3%

profit factor 1.60

Consecutive W / L

7 / 4

longest streaks

Largest win / loss

+1.1R / −1.4R

Avg hold

8.9h / 10.3h

winners / losers

Avg MAE / MFE

0.54R / 0.70R

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 +21.9R

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	70	51
Win rate	66%	65%
Expectancy	+0.17R	+0.20R
Total R	+11.8R	+10.1R
Equity PnL	+6.9%	+6.3%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 4, 01:20	ETH long	0.50%	1:0.8	+0.83R	12.9h
Oct 3, 22:30	ETH short	0.53%	1:0.9	+1.00R	13.1h
Oct 1, 18:57	ETH short	0.76%	1:1.0	−0.68R	2.0h
Sep 29, 12:19	ETH long	0.66%	1:1.0	+0.84R	0.4h
Sep 11, 00:50	ETH long	0.66%	1:0.9	+0.66R	3.9h
Sep 11, 22:13	ETH long	0.53%	1:0.8	−0.99R	0.6h
Sep 10, 16:20	ETH short	0.61%	1:1.0	−0.81R	10.7h
Sep 9, 20:07	ETH short	0.72%	1:0.8	+0.47R	2.6h
Sep 8, 00:17	ETH long	0.55%	1:0.9	+0.70R	8.2h
Sep 7, 18:00	ETH long	0.60%	1:0.9	−1.05R	2.0h
Sep 7, 15:44	ETH long	0.66%	1:0.7	−1.23R	6.4h
Sep 6, 22:59	ETH short	0.50%	1:0.9	−0.97R	2.1h

Performance statistics

Based on 121 trades over 335 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	All
Strategy	+3.2%	+12.5%	+5.5%	+11.5%	+19.4%	+21.8%
Followers	+3.2%	+12.5%	+5.5%	+11.3%	+19.2%	+21.5%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+81.3%
Excess vs BTC	+2.8%	+11.5%	−5.7%	−59.7%	−36.3%	−59.5%

Returns

Return 1m: +12.5%
Return 3m: +5.5%
Return 12m: Insufficient data
Return since start: +21.8%
CAGR: +24.0%

Risk

Max drawdown: 13.2%
Volatility (ann.): 17.3%
Downside deviation: 12.1%
Ulcer index: 5.53%
VaR / CVaR 95% (daily): 1.49% / 2.10%
VaR / CVaR 99% (daily): 2.46% / 3.31%
Longest time under water: 109 days
Max / avg leverage: 3.3x / 1.5x
Top-3 trades share of PnL: 14%

Risk-adjusted

Sharpe: 1.33
Sortino: 1.90
Calmar: 1.82
Recovery factor: 1.65
Probabilistic Sharpe (PSR): 0.89
Omega ratio: 1.20
Gain-to-pain: 0.20

Trades

Trades: 121
Win rate: 60%
Payoff ratio: 0.80
Profit factor: 1.20
Expectancy: 4 bps
Tail ratio: 2.3
Avg holding time: 10.4 h

Consistency

Profitable months: 67%
Equity curve R²: 0.36
Longest losing streak: 9 days
Skew / kurtosis: -0.45 / 5.0
Consistency score: 75/100

Benchmark (vs BTC)

Beta: 0.09
Alpha (ann.): +15.5%
Correlation / R²: 0.30 / 0.09
Up / down capture: 11% / 6%
Tracking error: 52.5%
Information ratio: -1.08

Strategy vs BTC

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

Daily return pair335 daysFit · β0.09

BTC daily return →

Rolling 90-day beta & correlation

Oct 5, 2026Beta0.08Correlation0.24

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 5, 2026Sharpe 90d1.56Volatility 90d16.4%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−1.49%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−13.2%	Jun 14, 2026	Aug 16, 2026	Oct 2, 2026	63 d	47 d
2	−8.5%	Mar 13, 2026	May 4, 2026	Jun 3, 2026	52 d	30 d
3	−5.2%	Nov 14, 2025	Nov 25, 2025	Dec 17, 2025	11 d	22 d
4	−3.9%	Jan 27, 2026	Feb 6, 2026	Feb 24, 2026	10 d	18 d
5	−2.8%	Dec 17, 2025	Dec 26, 2025	Jan 1, 2026	9 d	6 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

52%

54%

55%

50%

63%

48%

60%

Exposure

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

Gross exposure178% of equityPeak249%

Average share of exposure

ETH100% · 100.2%

Performance by instrument

Share of net PnL