RESEARCH
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RELATIVE VALUE · RESEARCH MODEL

Relative Value

Market-neutral relative-value allocation across liquid crypto markets.
EXPLORATORY
NET RETURN+38.3%AFTER MODELED COSTS
ANNUALIZED+84.0%SHORT SAMPLE
MAX DRAWDOWN-13.5%PEAK TO TROUGH
SHARPE1.92DAILY · ANNUALIZED
NET EQUITY CURVE$13.8K
START $10K · AFTER MODELED COSTS
Mar 15, 2026Sep 25, 2026

Anchored walk-forward

FIXED RULES · TEMPORAL STABILITY
4 CHRONOLOGICAL TEST FOLDS
COMPOUNDED TEST RETURN+8.0%
MEDIAN FOLD+5.4%
POSITIVE FOLDS75%
WORST FOLD DD-11.5%
FoldTrain throughTest windowReturnMax DDSharpe
01Jun 12, 2026Jun 13, 2026 – Jul 7, 2026+6.9%-4.7%3.02
02Jul 7, 2026Jul 8, 2026 – Aug 1, 2026-11.4%-11.5%-8.46
03Aug 1, 2026Aug 2, 2026 – Aug 26, 2026+9.8%-4.8%3.86
04Aug 26, 2026Aug 27, 2026 – Sep 20, 2026+3.8%-3.3%3.04
This is a temporal-stability check for fixed rules, not an untouched future holdout or live performance.

Month by month

NET RETURNS
YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2026+0.6%+1.7%+36.2%+6.0%-12.1%+12.5%-5.3%+38.3%

Research profile

PUBLIC SUMMARY
Markets
BTC · ETH · SOL · HYPE · XRP · DOGE · SUI · LINK
Data frequency
1d completed bars
Rebalance profile
Weekly
Modeled volume
$35.8K
Trading costs
$43
Funding impact
$121

Methodology boundary

WHAT IS PUBLIC

The model thesis, markets, costs and outputs are disclosed. Signal code, parameters, position logic and implementation details remain server-side.

  • Current active-market universe introduces survivorship bias.
  • Daily bars; no intraday execution or order-book capacity model.
  • No liquidation, partial-fill or tax model.
  • Anchored fixed-rule walk-forward measures temporal stability but is not an untouched future holdout after product selection.

STRATEGY SETUP

Configure strategy

Private draft. Saving does not sign or execute anything; venue authorization is a separate explicit step.
NOT CONFIGURED
Research only. Past simulated performance does not guarantee future results. Saving a draft grants no wallet or order authority.