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

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SOL Mean Reversion

PausedCryptoBybit

sana.aVerified·Mean reversion · hoursView trader

Strategy paused

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

Return (all)

+12.4%

361 days of history

Max drawdown

6.7%

Current 4.8%

Sortino

1.27

Sharpe 0.88 · PSR 0.81

Compliance

11/12

92% of Epochs kept

Risk score

31 · Low

Capacity used

37%

166/453 seats · $1.4M

Trade analytics

Last 226 closed trades · risk measured at the initial stop

Avg risk / trade

0.65%

median 0.65% · max 0.80%

Avg planned R:R

1 : 0.98

target distance ÷ stop distance

Realized R:R

1 : 0.96

avg win +0.82R · avg loss −0.85R

Expectancy

+0.04R

per trade

SQN

0.51

Poor

Kelly fraction

5.2%

optimal f · use ¼–½ in practice

Win rate

53.5%

profit factor 1.11

Consecutive W / L

9 / 7

longest streaks

Largest win / loss

+1.3R / −1.3R

Avg hold

14.9h / 15.2h

winners / losers

Avg MAE / MFE

0.61R / 0.72R

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 +9.7R

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	121	105
Win rate	50%	57%
Expectancy	+0.01R	+0.08R
Total R	+1.7R	+8.1R
Equity PnL	+0.5%	+4.1%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 4, 19:40	SOL long	0.53%	1:0.9	+0.59R	2.7h
Oct 3, 11:22	BTC long	0.66%	1:0.8	−0.83R	8.0h
Oct 3, 01:41	ETH short	0.65%	1:0.8	+0.78R	8.4h
Oct 2, 06:12	SOL long	0.60%	1:0.9	−0.78R	17.4h
Sep 30, 22:49	SOL short	0.79%	1:0.9	+0.59R	17.7h
Sep 29, 23:46	ETH long	0.52%	1:1.0	−0.84R	5.8h
Sep 27, 19:44	BTC short	0.68%	1:0.9	+0.73R	5.8h
Sep 20, 18:39	BTC short	0.66%	1:1.0	+1.04R	1.6d
Sep 19, 17:14	SOL long	0.60%	1:1.2	+1.05R	11.8h
Sep 16, 08:36	BTC short	0.61%	1:0.8	+0.71R	1.6h
Sep 15, 09:15	BTC short	0.80%	1:1.0	−0.73R	20.2h
Sep 15, 07:04	SOL long	0.49%	1:0.8	+0.75R	12.8h

Performance statistics

Based on 226 trades over 361 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	−0.3%	−1.6%	−2.4%	+5.8%	+11.7%	+12.4%
Followers	−0.3%	−1.7%	−2.5%	+5.6%	+11.3%	+11.9%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%
Excess vs BTC	−0.7%	−2.6%	−13.7%	−65.4%	−44.0%	−57.1%

Returns

Return 1m: −1.6%
Return 3m: −2.4%
Return 12m: Insufficient data
Return since start: +12.4%
CAGR: +12.5%

Risk

Max drawdown: 6.7%
Volatility (ann.): 14.7%
Downside deviation: 10.2%
Ulcer index: 3.10%
VaR / CVaR 95% (daily): 1.26% / 1.66%
VaR / CVaR 99% (daily): 2.02% / 2.46%
Longest time under water: 101 days
Max / avg leverage: 3.3x / 1.5x
Top-3 trades share of PnL: 14%

Risk-adjusted

Sharpe: 0.88
Sortino: 1.27
Calmar: 1.87
Recovery factor: 1.85
Probabilistic Sharpe (PSR): 0.81
Omega ratio: 1.13
Gain-to-pain: 0.13

Trades

Trades: 226
Win rate: 56%
Payoff ratio: 0.92
Profit factor: 1.17
Expectancy: 2 bps
Tail ratio: 2.3
Avg holding time: 12.8 h

Consistency

Profitable months: 62%
Equity curve R²: 0.82
Longest losing streak: 7 days
Skew / kurtosis: 0.05 / 5.1
Consistency score: 81/100

Benchmark (vs BTC)

Beta: 0.04
Alpha (ann.): +9.8%
Correlation / R²: 0.17 / 0.03
Up / down capture: 6% / 4%
Tracking error: 56.4%
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 pair361 daysFit · β0.04

BTC daily return →

Rolling 90-day beta & correlation

Oct 5, 2026Beta0.06Correlation0.23

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 5, 2026Sharpe 90d-0.12Volatility 90d13.4%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−1.26%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−6.7%	Dec 13, 2025	Jan 5, 2026	Feb 25, 2026	23 d	51 d
2	−6.7%	Jun 27, 2026	Sep 2, 2026	Ongoing	67 d	—
3	−5.5%	Apr 4, 2026	Apr 18, 2026	Apr 28, 2026	14 d	10 d
4	−5.0%	May 29, 2026	Jun 18, 2026	Jun 22, 2026	20 d	4 d
5	−4.2%	Oct 15, 2025	Nov 7, 2025	Dec 2, 2025	23 d	25 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

48%

52%

53%

41%

67%

63%

56%

Exposure

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

Gross exposure64% of equityPeak134%

Average share of exposure

SOL88% · 88.5%
ETH7% · 7%
BTC6% · 5.6%

Performance by instrument

Share of net PnL