Institutional Factsheet · Quantalyze

Midas ML Factor

directional, market_neutral · machine learning, factor model · crypto_spot · Binance, OKX · leverage 1x

Gradient-boosted factor model on cross-asset technical + on-chain features. Weekly rebalance, target 10% vol.

Computed · old

May 27, 2026(89d)

AUM

$4M/ $12M

Cum. Return

+136.6%

CAGR

+42.5%

Sharpe

2.06

Sortino

3.18

Calmar

2.82

Max DD

-15.1%

Ann. Vol

17.3%

α vs BTC

+35.7%

IR vs BTC

-0.07

Display
Compare strategies
Compare to
Timeline2023-11-01 → 2026-04-08
2023202420252026

Performance

Hide
Arrow keys pan the timeline. Plus and minus zoom around the center. Home or zero resets the view. Mouse wheel zooms toward the cursor. Drag inside the plot to pan; drag the left axis to scale Y; drag the bottom axis to scale X.

Cumulative Returns

vs BTC-USD

Export
+0.0%+50.0%+100.0%+200.0%2023202420252026
Arrow keys pan the timeline. Plus and minus zoom around the center. Home or zero resets the view. Mouse wheel zooms toward the cursor. Drag inside the plot to pan; drag the left axis to scale Y; drag the bottom axis to scale X.

Cumulative Returns vs Benchmark

strategy ÷ comparator, rebased to 1.0

Export
-40.0%-20.0%+0.0%+20.0%2023202420252026
Arrow keys pan the timeline. Plus and minus zoom around the center. Home or zero resets the view. Mouse wheel zooms toward the cursor. Drag inside the plot to pan; drag the left axis to scale Y; drag the bottom axis to scale X.

Cumulative Returns — Volatility Matched

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

Export
+0.0%+50.0%+100.0%+150.0%2023202420252026
Arrow keys pan the timeline. Plus and minus zoom around the center. Home or zero resets the view. Mouse wheel zooms toward the cursor. Drag inside the plot to pan; drag the left axis to scale Y; drag the bottom axis to scale X.

Daily Returns

vs BTC-USD

Export
-15.0%-10.0%-5.0%-0.0%+5.0%+10.0%+15.0%2023202420252026
Arrow keys pan the timeline. Plus and minus zoom around the center. Home or zero resets the view. Mouse wheel zooms toward the cursor. Drag inside the plot to pan; drag the left axis to scale Y; drag the bottom axis to scale X.

Rolling Volatility (6mo)

vs BTC-USD

Export
N<126 — noisy+20.0%+30.0%+40.0%+50.0%+60.0%2023202420252026avg 17.2%
Arrow keys pan the timeline. Plus and minus zoom around the center. Home or zero resets the view. Mouse wheel zooms toward the cursor. Drag inside the plot to pan; drag the left axis to scale Y; drag the bottom axis to scale X.

Rolling Sharpe (6mo)

vs BTC-USD

Export
N<126 — noisy-2.00+0.00+2.00+4.002023202420252026avg 2.00
Arrow keys pan the timeline. Plus and minus zoom around the center. Home or zero resets the view. Mouse wheel zooms toward the cursor. Drag inside the plot to pan; drag the left axis to scale Y; drag the bottom axis to scale X.

Rolling Sortino (6mo)

vs BTC-USD

Export
N<126 — noisy-4.00-2.00+0.00+2.00+4.00+6.00+8.002023202420252026avg 3.26
Arrow keys pan the timeline. Plus and minus zoom around the center. Home or zero resets the view. Mouse wheel zooms toward the cursor. Drag inside the plot to pan; drag the left axis to scale Y; drag the bottom axis to scale X.

Rolling β (90d) vs Comparator

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

Export
N<90 — noisy-0.08-0.06-0.04-0.02+0.00+0.02+0.042023202420252026
Arrow keys pan the timeline. Plus and minus zoom around the center. Home or zero resets the view. Mouse wheel zooms toward the cursor. Drag inside the plot to pan; drag the left axis to scale Y; drag the bottom axis to scale X.

Worst 10 Drawdown Periods

strategy equity · shaded bands mark the deepest 10 drawdowns

Export
+0.0%+50.0%+100.0%+150.0%2023202420252026#1 -15.1%#2 -7.6%#3 -5.3%#4 -4.7%#5 -4.4%#6 -4.3%#7 -4.1%#8 -4.1%#9 -4.0%#10 -3.8%
Arrow keys pan the timeline. Plus and minus zoom around the center. Home or zero resets the view. Mouse wheel zooms toward the cursor. Drag inside the plot to pan; drag the left axis to scale Y; drag the bottom axis to scale X.

Underwater Chart for Accumulated Capital

drawdown from running peak

Export
-15.0%-10.0%-5.0%-0.0%2023202420252026

Distribution

Hide

Distribution of Daily Returns

636 samples in visible window · overlay: BTC-USD · 2 strategy · 143 BTC outside range

Midas ML FactorBTC-USDWheel to zoom · double-click to reset
-3.4%0%+3.4%

Daily-Return Quantile Box

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

P5 -1.7%P95 +1.8%-3.3%0%+4.0%

P5

-1.7%

P25

-0.6%

Median

+0.2%

P75

+0.9%

P95

+1.8%

End-of-Year Returns vs BTC

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

Midas ML FactorBTC-USD2023+22.6%+18.8%2024+68.8%+122.4%2025+17.7%-6.3%2026-2.8%-18.9%

Cross-Asset Correlation

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

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

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

Midas ML Fa…BTCETHSPXGoldIEFMidas ML Fa…1.00-0.00-0.010.030.010.06BTC-0.001.000.820.350.11-0.08ETH-0.010.821.000.420.10-0.03SPX0.030.350.421.000.130.04Gold0.010.110.100.131.000.16IEF0.06-0.08-0.030.040.161.00

Heatmaps

Hide

Stress Windows

Hide

Stress Windows

strategy vs BTC compounded return + max drawdown during named market events · evaluating 2 of 10 catalogued events; 8 outside observation period

EventWindowDaysStrategyStrat DDBTCBTC DD
Aug 2024 unwind
JPY carry-trade unwind
2024-08-02 → 2024-08-096d+0.0%-1.5%-6.9%-17.3%
Apr 2025 tariffs
tariff escalation shock
2025-04-02 → 2025-04-096d-2.6%-2.6%-3.0%-10.4%

Streaks

Hide

Consecutive-Day Streak Distribution

153 winning streaks · 152 losing streaks · max win streak 12d · max loss streak 7d

Wins

0204060Length 1: 60 streaksLength 2: 44 streaksLength 3: 20 streaksLength 4: 15 streaksLength 5: 10 streaksLength 6: 2 streaksLength 11: 1 streakLength 12: 1 streak13579111314+

Losses

020406080100Length 1: 82 streaksLength 2: 37 streaksLength 3: 18 streaksLength 4: 7 streaksLength 5: 4 streaksLength 6: 3 streaksLength 7: 1 streak13579111314+