BTC ETF Proxy IBIT/BITI Review Package
Strategy btc_etf_proxy_ibit_biti_paper_v1. Paper-only Alpaca ETF proxy for a BTC/ETH residual signal. Generated for PAW CEO review on 2026-06-03.
Eval decision
FAIL gate
P0 bias/lookahead gate requires review before promotion.
Net Sharpe
1.89
5bp turnover cost model.
Net CAGR
104.8%
Window 2024-05-08 to 2026-05-11.
Net MaxDD
-22.6%
Drawdown remains material.
Core Metrics
| Metric | Gross | Net |
|---|---|---|
| Sharpe | 1.956 | 1.895 |
| CAGR | 110.24% | 104.80% |
| Max drawdown | -22.49% | -22.64% |
| Annual vol | 42.67% | 42.66% |
| TC drag | 2.63% NAV/year | |
| Trades/year | 50.8; avg 7.19 days/trade | |
Current Paper Status
Shared account: alpaca_paper_main. Current position: IBIT 0.650398043 MV $24.66. Latest signal: target IBIT, z-score -2.2158132378207513, signal timestamp 2026-06-01T00:00:00+00:00. Latest strategy order: buy IBIT at 2026-06-02T14:45:04.659753+00:00, status filled.
Known Risks
- Automated strategy-eval reports P0 bias/lookahead failure; timestamp alignment needs manual review.
- Backtest approximates daily ETF execution; paper uses Alpaca market orders.
- Shared paper account: isolation depends on strategy state plus
av_btcetfproxibitbiti_*client order IDs. - Duplicate-submit guard and schedule guard must be reviewed before increasing notional or cadence.
- No factor returns or existing strategy returns supplied; portfolio correlation remains
needs_input. - No hidden OOS; the included OOS metric is a temporal split only.
Review Entrypoints
| Main code | ../paper_trader.py |
| Review notes | REVIEW_NOTES.md |
| Eval dashboard | eval_dashboard.html |
| Eval summary | summary.md / summary.json |
| Bias report | bias_report.html |
| Internal report | internal_report.html |
| Eval inputs | positions.csv, asset_returns.csv, gross_returns.csv, metadata.json |
| Paper status snapshot | current_paper_status.json |