BTC Vol Switching

An automated investment quant strategy that uses a regime-switching volatility model to only HODL Bitcoin during relatively low-risk market conditions


Strategy Stats

1d Ret. 7d Ret. 30d Ret. 3m Ret. 6m Ret. 1y Ret. YTD Ret. Total Ret. Annual Ret. Volatility Max Drawdown Sharpe Ratio Alpha Beta
BTC Vol Switching 0.0% -9.9% -16.1% -5.9% -7.6% 10.5% -10.1% 64% 23% 28.3% -24.3% 0.72 22.4% 0.12
Bitcoin 0.6% 7.9% 7.3% 8.9% 30.9% 16.7% 32.6% -32% -15% 80.2% -82.5% -0.20 - -

* Volatility, max drawdown, Sharpe ratio, alpha, and beta are computed using the previous 365 days.
** Alpha and beta are computed using strategy underlying.

Strategy Performance

Strategy Performance (Logarithmic)

Annual Returns

Drawdowns

Rolling Volatility (6-Month Window)