Kasasagi

Systematic Automated Strategy Vault
Backtest Results
69.6%
Win Rate
1.64
Profit Factor
3.5
MAR Ratio
5,740
Trades (2yr)
~8/day
Frequency
24h
Avg Hold
Cumulative Return (Backtest, 2 years) +143%
Backtest Performance (2 years)

Returns

Total return (2yr)+143%
Average trade+0.025%
Median trade+0.044%
Avg winner+0.093%
Avg loser-0.130%
Largest win+2.8%
Largest loss-3.0%

Risk

Max drawdown-4.1%
MAR ratio3.5
Market exposureHedged
BTC correlationLow
Win/loss ratio0.71x
Expectancy+0.025% / trade
Auto-shutdownNAV drawdown limit

Activity

Total trades5,740
Trades / day~8
Win rate69.6%
Profit factor1.64
Avg hold time24 hours
Max positions5
Instruments traded30
Backtest Validation

In-Sample vs Out-of-Sample

TradesWin RatePFReturnMax DDMAR
In-Sample (Y1)2,64968.8%1.55+65%-4.5%1.4
Out-of-Sample (Y2)2,94370.4%1.72+75%-2.4%3.1

Out-of-sample outperforms in-sample across all metrics.

Robustness

Parameter combos tested2,880
Profitable configs82%
OOS profitable100%
Parameter sensitivityLow
Instruments profitable100%
Backtest period2 years
Strategy Profile

Characteristics

TypeQuantitative / Systematic
DirectionLong and short
TimeframeIntraday to multi-day
ExecutionFully automated
Best conditionsVolatile, rotating markets
Worst conditionsRegime changes

Risk Management

Position sizingFixed fractional
Max positions5 concurrent
Leverage20x
Exit methodAdaptive trailing stop
Hard stopPer-trade risk limit
Circuit breakerNAV drawdown auto-halt
market-neutral quantitative automated mean-reversion low-correlation validated