← STRATEGY REGISTRYHistorical backtest

CROUSDTMean reversion

Trades price exhaustion and subsequent mean reversion.

Shortcrousdt-e708ec53e9

Data updated: 2026-10-19

ANNUAL RETURN (CAGR)51.10%

NET RETURN623.48%

MAX MARK DRAWDOWN44.69%

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: Fixed
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: 246
Profitable trades: 32.93%
Best calendar month: 66.96%
Worst calendar month: -31.16%
Longest daily underwater spell: 552 days
Daily return volatility: 2.91%

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 / %

YEARJANFEBMARAPRMAYJUNJULAUGSEPOCTNOVDEC20224.6%4.8%3.0%23.5%10.2%25.6%-22.3%-5.2%9.1%-7.7%39.4%10.6%2023-19.6%-3.8%3.6%-12.2%21.7%0.5%-2.9%9.1%-2.4%-19.6%6.4%-10.8%202426.0%-20.7%-2.2%-2.7%16.8%45.1%18.0%16.2%2.8%22.3%-28.7%16.7%202513.7%67.0%-17.2%2.4%-9.9%27.6%-31.2%-14.6%43.3%3.8%14.6%5.5%20265.0%8.0%1.5%2.6%4.9%18.1%-8.2%-6.5%-24.2%12.2%——

Calendar-year performance

Period	Strategy	BTC hold
2022	120.78%	-64.22%
2023	-32.11%	155.62%
2024	131.24%	121.29%
2025	95.44%	-6.33%
2026	6.81%	-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.