STRATEGIES
← STRATEGY REGISTRYHistorical backtest

POLUSDTMean reversion

TW

Trades price exhaustion and subsequent mean reversion.

Shortpolusdt-04f3891f3d

Data updated:

ANNUAL RETURN (CAGR)152.95%
NET RETURN612.12%
MAX MARK DRAWDOWN26.97%
BTC BUY & HOLD42.81%

Cumulative return

StrategyBTC spot buy-and-hold
Strategy versus BTC spot buy-and-hold cumulative return, percent

Drawdown

StrategyBTC spot buy-and-hold
Daily strategy and BTC drawdown, percent

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

Strategy profile

Direction
Short
BTC filter
No
Protective stop
Trailing
Signal exit
Yes
Exit rules
Signal / stop loss
Position sizing
Notional allocation
Backtest start
2024-09-05
Backtest end
2026-10-18 (exclusive)
Closed positions
108
Profitable trades
50.00%
Best calendar month
53.47%
Worst calendar month
-21.15%
Longest daily underwater spell
191 days
Daily return volatility
2.64%

Rolling 12-month return

StrategyBTC spot buy-and-hold
Rolling 12-month return

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

Quarterly returns

StrategyBTC spot buy-and-hold
Quarterly returns

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
Time below previous peak

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

Rolling 90-day BTC correlation

Strategy versus BTC
Rolling 90-day BTC correlation

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 / %

YEARJANFEBMARAPRMAYJUNJULAUGSEPOCTNOVDEC2024————————-0.8%1.9%4.3%19.0%202512.5%2.6%14.8%1.5%12.8%28.5%-0.4%-21.1%9.9%53.5%21.1%23.3%202618.8%9.4%-5.1%5.2%-4.5%11.0%-1.1%11.0%-18.3%19.4%——

Calendar-year performance

PeriodStrategyBTC hold
202425.42%63.98%
2025285.85%-6.33%
202647.15%-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.