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ETH Mean Reversion

ActiveCryptoBinance

lucas.mVerified+·Mean reversion · hoursView trader

Return 12m

+27.6%

430 days of history

Max drawdown

10.5%

Current 5.5%

Sortino

3.34

Sharpe 2.24 · PSR 0.99

Compliance

12/13

92% of Epochs kept

Risk score

37 · Low

Capacity used

96%

121/126 seats · $380k

Trade analytics

Last 400 closed trades · risk measured at the initial stop

Avg risk / trade

0.71%

median 0.71% · max 0.88%

Avg planned R:R

1 : 1.17

target distance ÷ stop distance

Realized R:R

1 : 1.17

avg win +1.01R · avg loss −0.86R

Expectancy

+0.31R

per trade

SQN

3.31

Excellent

Kelly fraction

30.6%

optimal f · use ¼–½ in practice

Win rate

62.5%

profit factor 1.96

Consecutive W / L

9 / 4

longest streaks

Largest win / loss

+1.6R / −1.5R

Avg hold

6.6h / 6.1h

winners / losers

Avg MAE / MFE

0.57R / 0.90R

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 +123.2R

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	223	177
Win rate	62%	63%
Expectancy	+0.30R	+0.32R
Total R	+67.0R	+56.2R
Equity PnL	+48.1%	+39.7%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 6, 10:23	ETH long	0.79%	1:0.9	+0.79R	4.0h
Oct 6, 11:50	ETH long	0.79%	1:1.2	−0.69R	9.4h
Oct 6, 07:43	ETH long	0.54%	1:1.0	−0.79R	3.7h
Oct 6, 13:37	ETH short	0.70%	1:1.1	−0.61R	0.7h
Oct 5, 13:08	ETH long	0.70%	1:1.4	+1.03R	3.6h
Oct 5, 07:16	ETH short	0.84%	1:1.3	+1.44R	10.4h
Oct 5, 13:05	ETH short	0.67%	1:1.4	−0.73R	2.5h
Oct 4, 06:20	ETH short	0.70%	1:1.4	+1.57R	0.4h
Oct 4, 18:38	ETH long	0.76%	1:1.2	+0.96R	1.6h
Oct 4, 03:57	ETH long	0.68%	1:1.2	−0.94R	2.2h
Oct 4, 02:06	BTC short	0.75%	1:1.1	+0.65R	9.5h
Oct 4, 04:46	ETH short	0.81%	1:0.9	+1.03R	3.3h

Performance statistics

Based on 1,700 trades over 430 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	−3.9%	−2.3%	+6.5%	+9.1%	+16.6%	+27.6%	+36.1%
Followers	−3.9%	−2.5%	+5.7%	+7.5%	+14.1%	+24.0%	+31.5%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%	+94.2%
Excess vs BTC	−4.2%	−3.3%	−4.8%	−62.1%	−39.1%	−41.9%	−58.1%

Returns

Return 1m: −2.3%
Return 3m: +6.5%
Return 12m: +27.6%
Return since start: +36.1%
CAGR: +29.9%

Risk

Max drawdown: 10.5%
Volatility (ann.): 12.0%
Downside deviation: 8.0%
Ulcer index: 3.12%
VaR / CVaR 95% (daily): 0.94% / 1.27%
VaR / CVaR 99% (daily): 1.68% / 2.26%
Longest time under water: 92 days
Max / avg leverage: 3.6x / 1.6x
Top-3 trades share of PnL: 16%

Risk-adjusted

Sharpe: 2.24
Sortino: 3.34
Calmar: 2.85
Recovery factor: 3.43
Probabilistic Sharpe (PSR): 0.99
Omega ratio: 1.35
Gain-to-pain: 0.35

Trades

Trades: 1,700
Win rate: 60%
Payoff ratio: 1.10
Profit factor: 1.65
Expectancy: 2 bps
Tail ratio: 2.5
Avg holding time: 7 h

Consistency

Profitable months: 73%
Equity curve R²: 0.88
Longest losing streak: 8 days
Skew / kurtosis: -0.38 / 4.7
Consistency score: 77/100

Benchmark (vs BTC)

Beta: 0.05
Alpha (ann.): +23.3%
Correlation / R²: 0.23 / 0.05
Up / down capture: 7% / 2%
Tracking error: 54.6%
Information ratio: -0.83

Strategy vs BTC

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

Daily return pair365 daysFit · β0.05

BTC daily return →

Rolling 90-day beta & correlation

Oct 6, 2026Beta0.06Correlation0.22

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 6, 2026Sharpe 90d2.02Volatility 90d13.0%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−0.94%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−10.5%	Apr 7, 2026	May 4, 2026	Jul 9, 2026	27 d	66 d
2	−5.5%	Aug 14, 2026	Oct 6, 2026	Ongoing	53 d	—
3	−3.9%	Dec 3, 2025	Dec 11, 2025	Dec 25, 2025	8 d	14 d
4	−3.3%	Feb 5, 2026	Feb 27, 2026	Mar 12, 2026	22 d	13 d
5	−2.7%	Sep 29, 2025	Oct 8, 2025	Oct 19, 2025	9 d	11 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

60%

56%

61%

49%

57%

54%

60%

Exposure

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

Gross exposure212% of equityPeak259%

Average share of exposure

ETH62% · 116.2%
BTC38% · 69.9%

Performance by instrument

Share of net PnL

ETH Mean Reversion

ActiveCryptoBinance

lucas.mVerified+·Mean reversion · hoursView trader

Return 12m

+27.6%

430 days of history

Max drawdown

10.5%

Current 5.5%

Sortino

3.34

Sharpe 2.24 · PSR 0.99

Compliance

12/13

92% of Epochs kept

Risk score

37 · Low

Capacity used

96%

121/126 seats · $380k

Trade analytics

Last 400 closed trades · risk measured at the initial stop

Avg risk / trade

0.71%

median 0.71% · max 0.88%

Avg planned R:R

1 : 1.17

target distance ÷ stop distance

Realized R:R

1 : 1.17

avg win +1.01R · avg loss −0.86R

Expectancy

+0.31R

per trade

SQN

3.31

Excellent

Kelly fraction

30.6%

optimal f · use ¼–½ in practice

Win rate

62.5%

profit factor 1.96

Consecutive W / L

9 / 4

longest streaks

Largest win / loss

+1.6R / −1.5R

Avg hold

6.6h / 6.1h

winners / losers

Avg MAE / MFE

0.57R / 0.90R

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 +123.2R

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	223	177
Win rate	62%	63%
Expectancy	+0.30R	+0.32R
Total R	+67.0R	+56.2R
Equity PnL	+48.1%	+39.7%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 6, 10:23	ETH long	0.79%	1:0.9	+0.79R	4.0h
Oct 6, 11:50	ETH long	0.79%	1:1.2	−0.69R	9.4h
Oct 6, 07:43	ETH long	0.54%	1:1.0	−0.79R	3.7h
Oct 6, 13:37	ETH short	0.70%	1:1.1	−0.61R	0.7h
Oct 5, 13:08	ETH long	0.70%	1:1.4	+1.03R	3.6h
Oct 5, 07:16	ETH short	0.84%	1:1.3	+1.44R	10.4h
Oct 5, 13:05	ETH short	0.67%	1:1.4	−0.73R	2.5h
Oct 4, 06:20	ETH short	0.70%	1:1.4	+1.57R	0.4h
Oct 4, 18:38	ETH long	0.76%	1:1.2	+0.96R	1.6h
Oct 4, 03:57	ETH long	0.68%	1:1.2	−0.94R	2.2h
Oct 4, 02:06	BTC short	0.75%	1:1.1	+0.65R	9.5h
Oct 4, 04:46	ETH short	0.81%	1:0.9	+1.03R	3.3h

Performance statistics

Based on 1,700 trades over 430 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	−3.9%	−2.3%	+6.5%	+9.1%	+16.6%	+27.6%	+36.1%
Followers	−3.9%	−2.5%	+5.7%	+7.5%	+14.1%	+24.0%	+31.5%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%	+94.2%
Excess vs BTC	−4.2%	−3.3%	−4.8%	−62.1%	−39.1%	−41.9%	−58.1%

Returns

Return 1m: −2.3%
Return 3m: +6.5%
Return 12m: +27.6%
Return since start: +36.1%
CAGR: +29.9%

Risk

Max drawdown: 10.5%
Volatility (ann.): 12.0%
Downside deviation: 8.0%
Ulcer index: 3.12%
VaR / CVaR 95% (daily): 0.94% / 1.27%
VaR / CVaR 99% (daily): 1.68% / 2.26%
Longest time under water: 92 days
Max / avg leverage: 3.6x / 1.6x
Top-3 trades share of PnL: 16%

Risk-adjusted

Sharpe: 2.24
Sortino: 3.34
Calmar: 2.85
Recovery factor: 3.43
Probabilistic Sharpe (PSR): 0.99
Omega ratio: 1.35
Gain-to-pain: 0.35

Trades

Trades: 1,700
Win rate: 60%
Payoff ratio: 1.10
Profit factor: 1.65
Expectancy: 2 bps
Tail ratio: 2.5
Avg holding time: 7 h

Consistency

Profitable months: 73%
Equity curve R²: 0.88
Longest losing streak: 8 days
Skew / kurtosis: -0.38 / 4.7
Consistency score: 77/100

Benchmark (vs BTC)

Beta: 0.05
Alpha (ann.): +23.3%
Correlation / R²: 0.23 / 0.05
Up / down capture: 7% / 2%
Tracking error: 54.6%
Information ratio: -0.83

Strategy vs BTC

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

Daily return pair365 daysFit · β0.05

BTC daily return →

Rolling 90-day beta & correlation

Oct 6, 2026Beta0.06Correlation0.22

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 6, 2026Sharpe 90d2.02Volatility 90d13.0%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−0.94%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−10.5%	Apr 7, 2026	May 4, 2026	Jul 9, 2026	27 d	66 d
2	−5.5%	Aug 14, 2026	Oct 6, 2026	Ongoing	53 d	—
3	−3.9%	Dec 3, 2025	Dec 11, 2025	Dec 25, 2025	8 d	14 d
4	−3.3%	Feb 5, 2026	Feb 27, 2026	Mar 12, 2026	22 d	13 d
5	−2.7%	Sep 29, 2025	Oct 8, 2025	Oct 19, 2025	9 d	11 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

60%

56%

61%

49%

57%

54%

60%

Exposure

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

Gross exposure212% of equityPeak259%

Average share of exposure

ETH62% · 116.2%
BTC38% · 69.9%

Performance by instrument

Share of net PnL