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SOL Mean Reversion

ActiveCryptoBinance

omar.fVerified·Mean reversion · hoursView trader

Return 12m

+10.7%

761 days of history

Max drawdown

7.7%

Current 3.7%

Sortino

1.26

Sharpe 0.87 · PSR 0.89

Compliance

21/25

84% of Epochs kept

Risk score

42 · Medium

Capacity used

57%

166/293 seats · $880k

Trade analytics

Last 400 closed trades · risk measured at the initial stop

Avg risk / trade

0.76%

median 0.77% · max 0.95%

Avg planned R:R

1 : 0.98

target distance ÷ stop distance

Realized R:R

1 : 0.98

avg win +0.84R · avg loss −0.86R

Expectancy

+0.19R

per trade

SQN

2.19

Good

Kelly fraction

22.1%

optimal f · use ¼–½ in practice

Win rate

61.5%

profit factor 1.56

Consecutive W / L

10 / 5

longest streaks

Largest win / loss

+1.3R / −1.4R

Avg hold

9.4h / 9.4h

winners / losers

Avg MAE / MFE

0.57R / 0.79R

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 +74.5R

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	228	172
Win rate	64%	58%
Expectancy	+0.23R	+0.13R
Total R	+52.9R	+21.6R
Equity PnL	+42.0%	+15.5%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 5, 17:55	BTC long	0.73%	1:0.8	+0.88R	12.2h
Oct 5, 20:59	SOL long	0.90%	1:1.1	+1.22R	7.6h
Oct 4, 09:16	SOL short	0.88%	1:1.0	−1.00R	4.2h
Oct 4, 03:07	SOL long	0.59%	1:1.0	+1.05R	7.5h
Oct 4, 09:41	BTC long	0.63%	1:1.1	+0.69R	1.4d
Oct 2, 15:42	SOL short	0.68%	1:1.1	+1.23R	13.5h
Oct 2, 23:51	SOL short	0.90%	1:1.0	−0.93R	1.2d
Oct 2, 19:40	SOL long	0.64%	1:1.0	+0.88R	3.2h
Sep 30, 04:36	SOL long	0.84%	1:1.0	+1.02R	3.6h
Sep 30, 17:52	BTC long	0.94%	1:0.8	+0.56R	2.9h
Sep 29, 20:57	SOL long	0.61%	1:0.8	+0.48R	1.2h
Sep 28, 04:31	SOL long	0.74%	1:1.0	+0.59R	3.8h

Performance statistics

Based on 597 trades over 761 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	+1.2%	−0.4%	−3.5%	+5.6%	+5.4%	+10.7%	+17.2%
Followers	+1.2%	−0.5%	−3.6%	+5.3%	+4.9%	+10.0%	+15.8%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%	+191.5%
Excess vs BTC	+0.9%	−1.4%	−14.8%	−65.6%	−50.3%	−58.8%	−174.2%

Returns

Return 1m: −0.4%
Return 3m: −3.5%
Return 12m: +10.7%
Return since start: +17.2%
CAGR: +7.9%

Risk

Max drawdown: 7.7%
Volatility (ann.): 9.3%
Downside deviation: 6.4%
Ulcer index: 3.25%
VaR / CVaR 95% (daily): 0.70% / 0.99%
VaR / CVaR 99% (daily): 1.04% / 1.70%
Longest time under water: 218 days
Max / avg leverage: 3.7x / 1.7x
Top-3 trades share of PnL: 17%

Risk-adjusted

Sharpe: 0.87
Sortino: 1.26
Calmar: 1.03
Recovery factor: 2.24
Probabilistic Sharpe (PSR): 0.89
Omega ratio: 1.13
Gain-to-pain: 0.13

Trades

Trades: 597
Win rate: 59%
Payoff ratio: 0.91
Profit factor: 1.31
Expectancy: 2 bps
Tail ratio: 2.6
Avg holding time: 9.4 h

Consistency

Profitable months: 54%
Equity curve R²: 0.83
Longest losing streak: 8 days
Skew / kurtosis: -0.20 / 8.2
Consistency score: 64/100

Benchmark (vs BTC)

Beta: 0.02
Alpha (ann.): +6.4%
Correlation / R²: 0.15 / 0.02
Up / down capture: 3% / 2%
Tracking error: 54.7%
Information ratio: -1.07

Strategy vs BTC

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

Daily return pair365 daysFit · β0.02

BTC daily return →

Rolling 90-day beta & correlation

Oct 5, 2026Beta0.03Correlation0.17

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 5, 2026Sharpe 90d-1.31Volatility 90d9.3%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−0.70%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−7.7%	Mar 10, 2025	Sep 25, 2025	Oct 15, 2025	199 d	20 d
2	−5.2%	Jul 22, 2026	Sep 26, 2026	Ongoing	66 d	—
3	−4.0%	Sep 28, 2024	Nov 21, 2024	Jan 15, 2025	54 d	55 d
4	−3.8%	May 2, 2026	May 13, 2026	Jun 14, 2026	11 d	32 d
5	−3.4%	Dec 30, 2025	Jan 9, 2026	Feb 1, 2026	10 d	23 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

52%

44%

58%

57%

52%

47%

49%

Exposure

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

Gross exposure93% of equityPeak240%

Average share of exposure

BTC52% · 66.5%
SOL48% · 61.4%

Performance by instrument

Share of net PnL

SOL Mean Reversion

ActiveCryptoBinance

omar.fVerified·Mean reversion · hoursView trader

Return 12m

+10.7%

761 days of history

Max drawdown

7.7%

Current 3.7%

Sortino

1.26

Sharpe 0.87 · PSR 0.89

Compliance

21/25

84% of Epochs kept

Risk score

42 · Medium

Capacity used

57%

166/293 seats · $880k

Trade analytics

Last 400 closed trades · risk measured at the initial stop

Avg risk / trade

0.76%

median 0.77% · max 0.95%

Avg planned R:R

1 : 0.98

target distance ÷ stop distance

Realized R:R

1 : 0.98

avg win +0.84R · avg loss −0.86R

Expectancy

+0.19R

per trade

SQN

2.19

Good

Kelly fraction

22.1%

optimal f · use ¼–½ in practice

Win rate

61.5%

profit factor 1.56

Consecutive W / L

10 / 5

longest streaks

Largest win / loss

+1.3R / −1.4R

Avg hold

9.4h / 9.4h

winners / losers

Avg MAE / MFE

0.57R / 0.79R

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 +74.5R

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	228	172
Win rate	64%	58%
Expectancy	+0.23R	+0.13R
Total R	+52.9R	+21.6R
Equity PnL	+42.0%	+15.5%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 5, 17:55	BTC long	0.73%	1:0.8	+0.88R	12.2h
Oct 5, 20:59	SOL long	0.90%	1:1.1	+1.22R	7.6h
Oct 4, 09:16	SOL short	0.88%	1:1.0	−1.00R	4.2h
Oct 4, 03:07	SOL long	0.59%	1:1.0	+1.05R	7.5h
Oct 4, 09:41	BTC long	0.63%	1:1.1	+0.69R	1.4d
Oct 2, 15:42	SOL short	0.68%	1:1.1	+1.23R	13.5h
Oct 2, 23:51	SOL short	0.90%	1:1.0	−0.93R	1.2d
Oct 2, 19:40	SOL long	0.64%	1:1.0	+0.88R	3.2h
Sep 30, 04:36	SOL long	0.84%	1:1.0	+1.02R	3.6h
Sep 30, 17:52	BTC long	0.94%	1:0.8	+0.56R	2.9h
Sep 29, 20:57	SOL long	0.61%	1:0.8	+0.48R	1.2h
Sep 28, 04:31	SOL long	0.74%	1:1.0	+0.59R	3.8h

Performance statistics

Based on 597 trades over 761 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	+1.2%	−0.4%	−3.5%	+5.6%	+5.4%	+10.7%	+17.2%
Followers	+1.2%	−0.5%	−3.6%	+5.3%	+4.9%	+10.0%	+15.8%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%	+191.5%
Excess vs BTC	+0.9%	−1.4%	−14.8%	−65.6%	−50.3%	−58.8%	−174.2%

Returns

Return 1m: −0.4%
Return 3m: −3.5%
Return 12m: +10.7%
Return since start: +17.2%
CAGR: +7.9%

Risk

Max drawdown: 7.7%
Volatility (ann.): 9.3%
Downside deviation: 6.4%
Ulcer index: 3.25%
VaR / CVaR 95% (daily): 0.70% / 0.99%
VaR / CVaR 99% (daily): 1.04% / 1.70%
Longest time under water: 218 days
Max / avg leverage: 3.7x / 1.7x
Top-3 trades share of PnL: 17%

Risk-adjusted

Sharpe: 0.87
Sortino: 1.26
Calmar: 1.03
Recovery factor: 2.24
Probabilistic Sharpe (PSR): 0.89
Omega ratio: 1.13
Gain-to-pain: 0.13

Trades

Trades: 597
Win rate: 59%
Payoff ratio: 0.91
Profit factor: 1.31
Expectancy: 2 bps
Tail ratio: 2.6
Avg holding time: 9.4 h

Consistency

Profitable months: 54%
Equity curve R²: 0.83
Longest losing streak: 8 days
Skew / kurtosis: -0.20 / 8.2
Consistency score: 64/100

Benchmark (vs BTC)

Beta: 0.02
Alpha (ann.): +6.4%
Correlation / R²: 0.15 / 0.02
Up / down capture: 3% / 2%
Tracking error: 54.7%
Information ratio: -1.07

Strategy vs BTC

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

Daily return pair365 daysFit · β0.02

BTC daily return →

Rolling 90-day beta & correlation

Oct 5, 2026Beta0.03Correlation0.17

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 5, 2026Sharpe 90d-1.31Volatility 90d9.3%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−0.70%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−7.7%	Mar 10, 2025	Sep 25, 2025	Oct 15, 2025	199 d	20 d
2	−5.2%	Jul 22, 2026	Sep 26, 2026	Ongoing	66 d	—
3	−4.0%	Sep 28, 2024	Nov 21, 2024	Jan 15, 2025	54 d	55 d
4	−3.8%	May 2, 2026	May 13, 2026	Jun 14, 2026	11 d	32 d
5	−3.4%	Dec 30, 2025	Jan 9, 2026	Feb 1, 2026	10 d	23 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

52%

44%

58%

57%

52%

47%

49%

Exposure

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

Gross exposure93% of equityPeak240%

Average share of exposure

BTC52% · 66.5%
SOL48% · 61.4%

Performance by instrument

Share of net PnL