← STRATEGY REGISTRYHistorical backtest

CROUSDTMean reversion

Trades price exhaustion and subsequent mean reversion.

Shortcrousdt-7080f4dae4

Data updated: 2026-10-19

ANNUAL RETURN (CAGR)55.43%

NET RETURN728.35%

MAX MARK DRAWDOWN47.07%

BTC BUY & HOLD76.24%

Cumulative return

StrategyBTC spot buy-and-hold

Drawdown

StrategyBTC spot buy-and-hold

Daily observations. Headline Max Mark DD uses the full native-resolution simulation.

Strategy profile

Direction: Short
BTC filter: No
Protective stop: ATR
Signal exit: Yes
Exit rules: Signal / stop loss
Position sizing: Notional allocation
Backtest start: 2022-01-01
Backtest end: 2026-10-18 (exclusive)
Closed positions: 306
Profitable trades: 35.62%
Best calendar month: 55.08%
Worst calendar month: -29.74%
Longest daily underwater spell: 553 days
Daily return volatility: 2.66%

Rolling 12-month return

StrategyBTC spot buy-and-hold

Trailing calendar-year return, without annualizing shorter windows. The first 12 months have no values.

Quarterly returns

StrategyBTC spot buy-and-hold

Full calendar quarters only; partial quarters excluded. Consistency is the share of these quarters with a positive strategy return.

Time below previous peak

StrategyBTC spot buy-and-hold

Days since the previous daily equity peak; resets to zero when that peak is recovered.

Rolling 90-day BTC correlation

Strategy versus BTC

Correlation of daily returns over 90 complete daily observations, from −1 to +1. Gaps mean undefined correlation. This does not indicate whether BTC is used in signals.

Monthly returns / %

YEARJANFEBMARAPRMAYJUNJULAUGSEPOCTNOVDEC2022-10.5%-3.4%4.0%25.2%16.6%16.8%5.1%-0.0%12.3%-6.0%55.1%10.6%2023-16.3%-7.5%8.6%-15.3%24.8%-2.9%4.6%5.3%-6.3%-20.0%14.3%-8.1%202416.1%-19.5%-3.8%8.4%17.9%21.3%21.0%-0.7%3.5%14.1%-29.7%6.0%2025-17.0%38.4%-22.7%9.0%-4.3%18.5%-18.6%-5.0%30.4%39.5%14.8%11.6%202610.0%17.8%-3.2%-3.8%-4.0%0.3%15.6%0.7%-11.4%8.7%——

Calendar-year performance

Period	Strategy	BTC hold
2022	191.61%	-64.22%
2023	-25.18%	155.62%
2024	47.46%	121.29%
2025	97.65%	-6.33%
2026	30.26%	-7.02%

First and last periods may be partial. Returns are not annualized.

Reading this report

Both curves begin at zero percent on the same effective start date. BTC is a spot buy-and-hold benchmark.

Profitable trades counts fully closed positions after costs and funding. It is not the percentage of positive days.

Different start dates describe different market histories; compare periods before comparing rankings.

Methodology & limitations

Historical simulation. Closed-bar signals and next-open execution; fees, slippage and historical funding included. BTC spot benchmark includes entry costs and no perpetual funding. Account value is compounded continuously without annual resets.

Observed research periods are not untouched out-of-sample data. Daily analytics use QuantStats; headline financial metrics use the saved backtest. Current instrument constraints are applied retrospectively. Leveraged simulations do not model exchange liquidation. Calculation cutoff: 2026-10-18, exclusive.