btc_etf_proxy_ibit_biti_paper_v1
Pipeline: paw_auto_research eval_strategy.py
Backtest: 2024-05-08 → 2026-05-11
| periods/year: 252
| generated: 2026-06-03 08:38
Performance Metrics
Gross
| Sharpe | 1.956 |
|---|---|
| CAGR | +110.24% |
| Ann Vol | 42.67% |
| Max DD | -22.49% |
| Calmar | 4.902 |
| Sortino | 2.850 |
| Win Rate | 43.74% |
| VaR 95% | -3.588% |
| CVaR 95% | -5.483% |
| Best Day | +13.458% |
| Worst Day | -14.406% |
| Days | 503 |
Net of TC
| Sharpe | 1.895 |
|---|---|
| CAGR | +104.80% |
| Ann Vol | 42.66% |
| Max DD | -22.64% |
| Calmar | 4.629 |
| Sortino | 2.741 |
| Win Rate | 43.74% |
| VaR 95% | -3.588% |
| CVaR 95% | -5.493% |
| Best Day | +13.458% |
| Worst Day | -14.406% |
| Days | 503 |
Cumulative Return
Drawdown
Monthly Return Heatmap (% / month, gross)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Annual |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | — | — | — | — | -0.27 | -13.28 | +16.34 | -2.59 | +9.81 | +10.10 | +48.55 | +6.75 | +87.92 |
| 2025 | +16.83 | +1.01 | +9.74 | -2.12 | +15.87 | -4.81 | +4.22 | -1.62 | +2.85 | -7.08 | +3.91 | -2.95 | +38.16 |
| 2026 | +1.97 | +5.42 | +20.40 | +22.25 | +7.27 | — | — | — | — | — | — | — | +69.74 |
Transaction Cost Analysis
Costs computed from per-asset rates supplied by user.
| Component | % NAV/yr | $/yr @ $5M |
|---|---|---|
| Fee Signal | −2.6302% | −$131,511/yr |
| Fee Roll | −0.0000% | −$0/yr |
| Slip Signal | −0.0000% | −$0/yr |
| Slip Roll | −0.0000% | −$0/yr |
| Total | −2.6302% NAV/yr | −$131,511/yr |
Capacity Analysis — Cost Scaling with AUM
Market-impact drag at increasing AUM (square-root model).
| AUM | Signal MI | Roll MI | Total MI |
|---|---|---|---|
| $5M | −18.438% | −0.000% | −18.438% |
| $25M | −41.228% | −0.000% | −41.228% |
| $100M | −82.457% | −0.000% | −82.457% |
| $500M | −184.379% | −0.000% | −184.379% |
| $1.0B | −260.751% | −0.000% | −260.751% |
| $2.5B | −412.284% | −0.000% | −412.284% |
| $5.0B | −583.057% | −0.000% | −583.057% |
| $10.0B | −824.567% | −0.000% | −824.567% |
Capacity — Per-Instrument Participation Rate
Max-day participation = (peak trade size × AUM / notional) ÷ ADV. Binding constraint is typically 5–10% for clean execution.
| Instrument | $100M | $500M | $1.0B | $2.5B | $5.0B | $10.0B |
|---|---|---|---|---|---|---|
| BITI | 40.0%* | 200.0%* | 400.0%* | 1000.0%* | 2000.0%* | 4000.0%* |
| IBIT | 0.8% | 4.0% | 8.0% | 20.0%! | 40.0%* | 80.0%* |
● <5% (clean) ● 5–20% (! >10%, stressed) ● >20% (* infeasible cleanly)