Three portfolio variants backtested across 60 months (April 2021 — December 2025). In-sample period used for model calibration. Out-of-sample period is true forward testing on unseen data.
| Month | Regime | Portfolio | BTC | NAV | BTC NAV |
|---|---|---|---|---|---|
| 2024-01 | BULL | -4.6% | -2.5% | $9,541 | $9,746 |
| 2024-02 | BULL | +53.2% | +44.9% | $14,615 | $14,126 |
| 2024-03 | BULL | +35.8% | +11.6% | $19,840 | $15,767 |
| 2024-04 | BULL | +0.2% | -16.4% | $19,884 | $13,186 |
| 2024-05 | BEAR | +1.9% | +16.2% | $20,271 | $15,323 |
| 2024-06 | BULL | +7.0% | -7.2% | $21,695 | $14,218 |
| 2024-07 | BULL | +15.0% | +3.9% | $24,942 | $14,775 |
| 2024-08 | BULL | +0.5% | -12.2% | $25,060 | $12,968 |
| 2024-09 | BEAR | -12.1% | +6.1% | $22,019 | $13,754 |
| 2024-10 | BULL | +14.8% | +14.3% | $25,288 | $15,719 |
| 2024-11 | BULL | +36.5% | +40.0% | $34,525 | $22,009 |
| 2024-12 | BULL | +6.5% | -3.0% | $36,777 | $21,357 |
| 2025-01 | BULL | +16.6% | +6.6% | $42,865 | $22,766 |
| 2025-02 | BULL | +2.6% | -14.5% | $43,978 | $19,470 |
| 2025-03 | BULL | -0.6% | -1.0% | $43,710 | $19,271 |
| 2025-04 | BULL | +15.5% | +13.3% | $50,484 | $21,838 |
| 2025-05 | BULL | -6.0% | +9.5% | $47,434 | $23,916 |
| 2025-06 | BULL | +10.1% | +0.0% | $52,218 | $23,921 |
| 2025-07 | BULL | +22.3% | +7.1% | $63,851 | $25,627 |
| 2025-08 | BULL | +2.8% | -3.5% | $65,642 | $24,720 |
| 2025-09 | BULL | +29.1% | +8.6% | $84,744 | $26,849 |
| 2025-10 | BULL | +11.3% | -7.2% | $94,358 | $24,912 |
| 2025-11 | BULL | -0.5% | -21.6% | $93,903 | $19,527 |
| 2025-12 | BEAR | +0.3% | +2.8% | $94,222 | $20,079 |
Investment-grade tokens rated A1, A2, or A3 on the ZARQ Trust Score scale (formerly rated as MAJOR category). Stablecoins excluded. Typical universe: 25–35 tokens per month.
Composite score calculated from five pillars weighted [0.10, 0.30, 0.30, 0.15, 0.15]. Top quartile candidates for long positions, bottom quartile for short. Pairs formed by matching highest-rated longs with lowest-rated shorts.
Each pair scored: 40% × composite_spread + 60% × DtD_differential. Top 5 pairs selected by conviction. Maximum 2 appearances per token across all pairs.
Three variants with regime-dependent allocation. Regime determined by BTC drawdown from 12-month ATH. Bear regime (>20% DD) shifts allocation toward cash and reduces pair exposure.
Conservative: BULL: 15% L/S + 35% BTC + 50% cash. BEAR: 20% L/S + 5% BTC + 75% cash.
Growth: BULL: 20% L/S + 40% BTC + 40% cash. BEAR: 30% L/S + 10% BTC + 60% cash.
Aggressive: BULL: 100% L/S. BEAR: 100% cash (skip month).
Monthly rebalance. 90-day hold period per pair. Returns capped at ±100% per leg. No leverage. No transaction costs modeled (conservative assumption for institutional execution).
In-sample period (36 months) used for parameter calibration. Out-of-sample period (24 months) represents true forward performance on unseen data. Paper trading live since March 2026 with SHA-256 hash-chained audit trail for independent verification.
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