← STRATEGY REGISTRYHistorical backtest

CROUSDTMean reversion

Trades price exhaustion and subsequent mean reversion.

Shortcrousdt-7587ddb0ba

Data updated: 2026-10-19

ANNUAL RETURN (CAGR)66.85%

NET RETURN1,063.55%

MAX MARK DRAWDOWN46.73%

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: 199
Profitable trades: 35.18%
Best calendar month: 47.31%
Worst calendar month: -25.71%
Longest daily underwater spell: 553 days
Daily return volatility: 3.03%

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 / %

YEARJANFEBMARAPRMAYJUNJULAUGSEPOCTNOVDEC20223.8%5.1%2.6%28.9%23.9%10.3%-18.6%2.3%9.6%-7.6%33.6%15.6%2023-25.7%-10.9%28.7%-14.9%19.8%1.1%-6.7%13.3%-2.4%-22.3%15.2%-11.7%202422.1%-16.3%-8.7%7.4%16.9%22.4%17.4%15.4%4.7%12.7%-10.8%4.4%202514.4%42.1%-18.2%-0.1%-4.8%10.0%-19.5%-6.3%47.3%27.9%17.4%12.7%20267.0%3.8%-2.0%-1.1%1.2%13.7%0.4%-2.2%-20.2%17.0%——

Calendar-year performance

Period	Strategy	BTC hold
2022	156.53%	-64.22%
2023	-28.46%	155.62%
2024	113.46%	121.29%
2025	161.84%	-6.33%
2026	13.43%	-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.