Institutional Factsheet · Quantalyze

Polaris Cross-Exchange Arb

arbitrage · cross exchange, latency arb · BTC · ETH · SOL · crypto_spot · Binance, Bybit · leverage 1x

Latency-arbitrage between Binance and Bybit on the top-20 liquid USDT pairs. Co-located on AWS Tokyo. Capacity-constrained at ~$25M.

Computed · old

May 27, 2026(89d)

AUM

$18M/ $25M

Cum. Return

+46.0%

CAGR

+9.7%

Sharpe

1.77

Sortino

2.78

Calmar

2.04

Max DD

-4.7%

Ann. Vol

5.1%

α vs BTC

+9.1%

IR vs BTC

-0.51

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Timeline2022-03-01 → 2026-04-08
20222023202420252026

Performance

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Cumulative Returns

vs BTC-USD

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+0.0%+50.0%+100.0%+200.0%+400.0%20222023202420252026
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Cumulative Returns vs Benchmark

strategy ÷ comparator, rebased to 1.0

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-60.0%-40.0%-20.0%+0.0%+20.0%20222023202420252026
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Cumulative Returns — Volatility Matched

comparator returns scaled so its ann vol equals the strategy's

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+0.0%+10.0%+20.0%+30.0%+40.0%+50.0%20222023202420252026
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Daily Returns

vs BTC-USD

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-15.0%-10.0%-5.0%-0.0%+5.0%+10.0%+15.0%20222023202420252026
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Rolling Volatility (6mo)

vs BTC-USD

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N<126 — noisy+0.0%+10.0%+20.0%+30.0%+40.0%+50.0%+60.0%20222023202420252026avg 5.1%
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Rolling Sharpe (6mo)

vs BTC-USD

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N<126 — noisy-2.00+0.00+2.00+4.0020222023202420252026avg 1.68
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Rolling Sortino (6mo)

vs BTC-USD

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N<126 — noisy-4.00-2.00+0.00+2.00+4.00+6.00+8.0020222023202420252026avg 2.73
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Rolling β (90d) vs Comparator

rolling regression β of strategy on comparator · first 90d are warmup

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N<90 — noisy-0.10-0.05+0.0020222023202420252026
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Worst 10 Drawdown Periods

strategy equity · shaded bands mark the deepest 10 drawdowns

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+0.0%+10.0%+20.0%+30.0%+40.0%+50.0%20222023202420252026#1 -4.7%#2 -3.5%#3 -2.3%#4 -2.3%#5 -2.2%#6 -2.1%#7 -1.9%#8 -1.9%#9 -1.7%#10 -1.7%
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Underwater Chart for Accumulated Capital

drawdown from running peak

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-5.0%-4.0%-3.0%-2.0%-1.0%+0.0%20222023202420252026

Distribution

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Distribution of Daily Returns

1,072 samples in visible window · overlay: BTC-USD · 3 strategy · 512 BTC outside range

Polaris Cross-Exchange ArbBTC-USDWheel to zoom · double-click to reset
-0.92%0%+0.92%

Daily-Return Quantile Box

5-number summary · whiskers at min/max · box P25–P75 · median accent line

P5 -0.5%P95 +0.6%-0.9%0%+1.2%

P5

-0.5%

P25

-0.2%

Median

+0.0%

P75

+0.3%

P95

+0.6%

End-of-Year Returns vs BTC

compounded annual returns · scale ±122% · strategy in accent, BTC in muted

Polaris Cross-Exchange ArbBTC-USD2022+12.2%+0.0%2023+6.8%+48.0%2024+2.3%+122.4%2025+15.4%-6.3%2026+3.2%-18.9%

Cross-Asset Correlation

Pearson ρ on aligned daily returns · ρ near 0 implies diversification benefit

-1.0-0.50.00.51.0BTC-0.01ETH-0.00S&P 500-0.02Gold-0.06US 10Y (IEF)+0.03

ρ measured against the strategy's observation dates with each benchmark forward-filled to the same calendar.

Returns Correlations

Pearson ρ on aligned daily returns · diagonal = 1.00 · pairwise off-diagonal

Polaris Cro…BTCETHSPXGoldIEFPolaris Cro…1.00-0.01-0.00-0.02-0.060.03BTC-0.011.000.820.340.10-0.04ETH-0.000.821.000.400.09-0.00SPX-0.020.340.401.000.120.05Gold-0.060.100.090.121.000.20IEF0.03-0.04-0.000.050.201.00

Heatmaps

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Stress Windows

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Stress Windows

strategy vs BTC compounded return + max drawdown during named market events · evaluating 6 of 10 catalogued events; 4 outside observation period

EventWindowDaysStrategyStrat DDBTCBTC DD
SVB / banking
regional-bank run
2023-03-08 → 2023-03-178d+0.0%-0.3%+0.0%0.0%
Aug 2024 unwind
JPY carry-trade unwind
2024-08-02 → 2024-08-096d+0.5%-0.2%-6.9%-17.3%
Apr 2025 tariffs
tariff escalation shock
2025-04-02 → 2025-04-096d+0.8%-0.6%-3.0%-10.4%
TerraLuna collapsepartial
UST depeg → cascade
2022-05-09 → 2022-05-2010d/13+0.4%-0.3%+0.0%0.0%
3AC / Celsiuspartial
crypto credit unwind
2022-06-08 → 2022-06-3017d/23+2.5%-0.8%+0.0%0.0%
FTX failurepartial
SBF / Alameda collapse
2022-11-07 → 2022-11-2212d/17+1.0%-0.5%+0.0%0.0%

Streaks

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Consecutive-Day Streak Distribution

270 winning streaks · 271 losing streaks · max win streak 10d · max loss streak 8d

Wins

050100150Length 1: 125 streaksLength 2: 70 streaksLength 3: 38 streaksLength 4: 16 streaksLength 5: 9 streaksLength 6: 6 streaksLength 7: 4 streaksLength 9: 1 streakLength 10: 1 streak13579111314+

Losses

050100150Length 1: 139 streaksLength 2: 76 streaksLength 3: 33 streaksLength 4: 12 streaksLength 5: 7 streaksLength 6: 1 streakLength 7: 2 streaksLength 8: 1 streak13579111314+