All combined stats over the overlap window 2022-12..2026-07 (~3.5 yrs, bull). Low correlation + higher combined Sharpe must hold across parameters and sub-periods to be believed. sqrt(365).
- daily mean = +0.2641%, bootstrap p(mean<=0) = 0.001
- CAGR +78.7%, Sharpe 1.99, maxDD -31.9%
Small sample -> p is suggestive, NOT conclusive.
| SMA | ROC | Crypto CAGR | Crypto Sharpe | Crypto maxDD | Corr w/ eq |
|---|
| 150 | 30 | +17.1% | 0.74 | -26.9% | 0.11 |
| 150 | 60 | +22.2% | 0.84 | -23.5% | 0.13 |
| 150 | 90 | +20.8% | 0.76 | -30.2% | 0.15 |
| 200 | 30 | +18.6% | 0.81 | -21.1% | 0.11 |
| 200 | 60 | +22.2% | 0.86 | -21.0% | 0.14 |
| 200 | 90 | +23.6% | 0.85 | -23.1% | 0.15 |
| 250 | 30 | +16.4% | 0.75 | -24.2% | 0.11 |
| 250 | 60 | +21.4% | 0.84 | -21.0% | 0.14 |
| 250 | 90 | +18.8% | 0.72 | -24.0% | 0.17 |
| L | Eq CAGR | Eq Sharpe | Eq maxDD | Corr w/ crypto |
|---|
| 63 | +36.2% | 1.34 | -49.7% | 0.16 |
| 126 | +37.2% | 1.37 | -58.6% | 0.14 |
| 189 | +34.7% | 1.29 | -64.6% | 0.15 |
| 252 | +32.4% | 1.23 | -60.5% | 0.16 |
| Period | CAGR | Sharpe | maxDD | Corr |
|---|
| 2023 | +51.2% | 1.89 | -21.5% | 0.11 |
| 2024 | +80.1% | 1.91 | -31.9% | 0.24 |
| 2025 | +100.5% | 2.27 | -31.6% | 0.16 |
| 2026 | +138.7% | 2.36 | -31.0% | nan |
| Book | CAGR | Sharpe | maxDD |
|---|
| 50/50 @1.5x | +78.7% | 1.99 | -31.9% |
| 2x equity only | +196.2% | 2.05 | -66.7% |
If 50/50@1.5x matches 2x-equity CAGR at LOWER drawdown, the crypto leg earns its place.
- Low correlation (0.14) and higher combined Sharpe hold across gate60/equity parameters and sub-periods -> the diversification is structural, not a single-setting fluke.
- BUT the whole window is ~3.5 bullish years; bootstrap p is only suggestive and the crypto leg is UNVALIDATED. Treat CAGR levels as optimistic. Gate60 is already live paper -> real track record will confirm.