Cryptosystems - CONTROLLED ALPHA
Internal Analytics Dashboard • Generated on April 28, 2026 at 07:34:11 UTC
📊 Executive Summary - See detailed disclaimers at the bottom of the page
📈 Strategy Performance
📉 Drawdown Analysis
📅 Monthly Returns
📊 Performance Breakdown
Return Analysis
Periodic Returns
Strategy Risk-Adjusted Performance
Sharpe Ratio — Methodology Comparison
The Arithmetic Sharpe uses the average daily return — the classical textbook approach that treats each day independently.
The Geometric (CAGR) Sharpe uses the compound growth rate — what the investor actually earns after the effects of compounding. The gap between the two is the variance drain: typically, volatility erodes compound returns, making the Geometric Sharpe lower. When the Geometric Sharpe is higher, it means strong compound growth is outpacing the volatility penalty.
For a long-term allocator, the Geometric Sharpe is the more honest metric — it reflects what ends up in the account.
Rolling Sharpe (8h bars — 365 / 90 / 60 Days)
Downside Risk Analysis
Drawdown Recovery Velocity
Deeper drawdowns that recover slowly indicate trending equity; fast recovery indicates mean-reverting equity.
Return Convexity vs BTC
Upward-bending curve = convexity: strategy gains more on BTC up-moves than it loses on down-moves.
Conditional Risk Metrics by Market Regime
Risk exposure changes dramatically across regimes. If CVaR in bear markets is 2–3× the bull market CVaR, the strategy has asymmetric risk.
Trade Performance Analysis
Trade Execution Analysis
📊 Excursion Analysis
⬇️ MAE (Maximum Adverse Excursion)
⬆️ MFE (Maximum Favorable Excursion)
Performance Comparison
Asset Performance Heatmap
Asset Performance Analysis
📈 Strategy Performance — Last 30 Days
📈 Strategy Performance — Last 90 Days
📈 Strategy Performance — YTD
📉 30-Day Rolling Correlation
Rolling Correlation — Last 30 Days
Average correlation: Strategy vs BTC -0.01, Strategy vs TOTAL2ES -0.01
Rolling Correlation — YTD
Average YTD correlation: Strategy vs BTC -0.06, Strategy vs TOTAL2ES -0.05
📊 30-Day Rolling Volatility
Rolling Volatility — Last 30 Days
Annualized volatility (last 30 days): Strategy 25.2%, BTC 44.0%, TOTAL2ES 48.1%
Rolling Volatility — YTD
Annualized volatility YTD: Strategy 24.4%, BTC 46.0%, TOTAL2ES 52.9%
📊 Net Exposure
Net exposure = (Long% - Short%) based on strategy capacity. Green = net long, Red = net short.
Net Exposure — Last 30 Days
Net Exposure — YTD
📋 The Numbers
Monthly
| Strategy | Return | Sharpe | Max DD | Vol (ann.) |
|---|---|---|---|---|
| Strategy | -7.53% | -2.27 | -11.54% | 27.07% |
| BTC | +1.68% | +0.46 | -11.86% | 48.81% |
| TOTAL2ES | +0.82% | +0.20 | -12.43% | 50.88% |
YTD
| Strategy | YTD Return | CAGR | Sharpe | Max DD | Vol (ann.) |
|---|---|---|---|---|---|
| Strategy | -3.99% | -3.99% | -0.45 | -16.50% | 26.72% |
| BTC | -12.29% | -12.29% | -0.71 | -35.13% | 47.60% |
| TOTAL2ES | -20.95% | -20.95% | -0.96 | -40.89% | 54.07% |
Since Live - 2025-10-06 08:00:00+00:00
| Strategy | Total Return | CAGR | Sharpe | Max DD | Vol (ann.) |
|---|---|---|---|---|---|
| Strategy | -7.74% | -7.74% | -0.53 | -16.50% | 25.53% |
| BTC | -38.50% | -38.50% | -1.24 | -49.68% | 47.07% |
| TOTAL2ES | -51.15% | -51.15% | -1.22 | -58.35% | 59.47% |
📊 Market Regime Analysis
Up/Down Capture Ratio (monthly)
Average monthly strategy return divided by average monthly BTC return, split across
BTC-up and BTC-down months since January 2022.
1.0 = matched BTC, 0 = flat, negative down capture = gained while BTC fell.
(29 up months, 22 down months since Jan 2022)
| Strategy | Up Capture | Down Capture |
|---|---|---|
| Strategy | 0.97 | -0.23 |
| TOTAL2ES | 1.01 | 1.27 |
Conditional Performance (avg monthly %)
Average monthly return of each asset conditional on the BTC return bucket that month, since January 2022.
| Condition | n | BTC | Strategy | TOTAL2ES |
|---|---|---|---|---|
| BTC > +10% | 15 | +20.2% | +17.4% | +19.2% |
| BTC +5% to +10% | 7 | +7.1% | +14.5% | +12.5% |
| BTC 0% to +5% | 7 | +2.1% | -0.8% | -0.6% |
| BTC -5% to 0% | 7 | -3.3% | +4.7% | -7.4% |
| BTC < -5% | 15 | -14.4% | +1.5% | -16.7% |
Strategy averages +1.5% during BTC crash months (< −5%)
Win Rate & Consistency (monthly)
Percentage of positive months, average gain in winning months, and average loss in losing months — full available history.
| Asset | Win % | Avg Win | Avg Loss | Best | Worst |
|---|---|---|---|---|---|
| Strategy | 64.7% | +14.9% | -4.4% | +79.6% | -10.0% |
| BTC | 56.9% | +12.7% | -10.9% | +43.8% | -37.3% |
| TOTAL2ES | 49.0% | +15.9% | -12.6% | +64.9% | -36.0% |
Monte Carlo Simulation (12 Months Forward)
1,000 simulations resampling from strategy-level daily returns
Cumulative Returns by Year
📋 Detailed Metrics
⚠ Important — Historical Data Is Not a Forecast: The performance figures, maximum drawdown, and all risk metrics presented here reflect historical backtested and current results only. They do not predict, project, or bound future performance or risk. Historical data is inherently incomplete — it captures only the market regimes and conditions that have already occurred. Future market environments, regime shifts, and structural changes will produce outcomes that differ from anything observed in the past. The actual range of future returns and drawdowns may be materially larger or smaller than any historical measurement.
Systematic Execution: Performance data presented represents the historical output of the proprietary execution engines. Past performance is not indicative of future
results. The equity curve is based on systematic trade logic and may not reflect the impact of liquidity limitations or execution slippage in all market conditions.
Risk & Sovereignty: Trading digital assets involves significant risk of loss. Strategies are intended for sophisticated allocators capable of evaluating the merits and risks of
algorithmic execution. CryptoSystems provides execution infrastructure, not investment advice. All operations are non-custodial; users retain full sovereignty and control
of their assets at all times.