Strategy Report: Bubble Overlay OOS — dd th0.15 (whipsaw, 74% cut)

| Strategy Description

Key StatisticsBacktestLiveBacktestLive
Runtime Days1643{{$KPI-DAYS-LIVE}} Drawdown38.7%{{$KPI-LIVE-DRAWDOWN}}
Turnover1%{{$KPI-LIVE-TURNOVER}} Probabilistic SR13%{{$KPI-LIVE-PSR}}
CAGR8.6%{{$KPI-LIVE-CAGR}} Sharpe Ratio0.3{{$KPI-LIVE-SHARPE}}
Capacity (USD)80M Sortino Ratio0.3{{$KPI-LIVE-SORTINO}}
Trades per Day0.0{{$KPI-LIVE-TRADES-PER-DAY}} Information Ratio0.5{{$KPI-LIVE-INFORMATION-RATIO}}
Drawdown Recovery352{{$KPI-LIVE-DRAWDOWN-RECOVERY}}
Monthly Returns
Cumulative Returns
Annual Returns
Returns Per Trade
Asset Allocation
Drawdown
Strategy Report Summary: Bubble Overlay OOS — dd th0.15 (whipsaw, 74% cut)
Daily Returns
Rolling Portfolio Beta
Rolling Sharpe Ratio
Leverage
Long-Short Exposure
Strategy Report Summary: Bubble Overlay OOS — dd th0.15 (whipsaw, 74% cut)
Post-COVID Run-up 2020-2021
Russia Invades Ukraine 2022-2023
AI Boom 2022-Present
Strategy Report Summary: Bubble Overlay OOS — dd th0.15 (whipsaw, 74% cut)
Parameters
asset_class crypto symbol BTCUSD
signal_mode sign lookback 252
ma_period 200 long_only true
use_vol_target false use_ma_overlay false
target_vol 0.15 vol_lookback 63
max_leverage 1.0 base_weight 1.0
rebalance_days 21 rebal_threshold 0.05
buy_hold false periods_per_year 365
cut_mode dd theta 0.15
ema_period 20 para_mult 1.5
para_lookback 20 cool_off 3
peak_mode global arm_mode always
start 2022-01-01 end 2026-07-01
cost_bps 50 lambda 0.3