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Quantoshi Emerald Balanced Alpha

Quantoshi Emerald Balanced Alpha

Balanced approach with consistent asymmetric returns

January 7, 2023 - November 30, 2025

Performance Metrics

Cumulative Return Total period return
+11897.2%
CAGR Annualized return
+420.7%
Sharpe Ratio Risk-adjusted returns
4.78
Sortino Ratio Downside risk-adjusted
9.56
Calmar Ratio Return vs drawdown
32.65
Max Drawdown Peak-to-trough decline
-12.9%
Volatility Annualized volatility
+35.9%
Max DD Duration Longest drawdown period
46 days

Risk Metrics

1-Day VaR (95%) Value at Risk (95%)
-2.07%
1-Month VaR (99%) Monthly VaR (99%)
-6.26%
CVaR (95%) Expected shortfall (95%)
-3.41%
CVaR (99%) Expected shortfall (99%)
-4.54%
Omega Ratio Probability-weighted returns
2.32
Gain/Pain Ratio Monthly gain vs pain
46.54
Tail Ratio Right vs left tail
1.95
Gini Coefficient Return inequality
0.64

Rolling Sharpe Ratios

90d Sharpe (Mean) 4.89
90d Sharpe (Last) 3.46
365d Sharpe (Mean) 5.01
365d Sharpe (Last) 4.51

Period Returns

MTD +5.6%
3M +26.3%
6M +64.9%
YTD +222.9%

vs Bitcoin Benchmark

Metric Strategy BTC
Return +11897.2% +436.2%
Sharpe 4.78 1.46
Max DD -12.9% -32.0%
Volatility +35.9% +47.0%

Performance Charts

Strategy Overview

Quantoshi Emerald is our flagship volatility-driven, regime-agnostic algorithmic strategy. Built entirely on our proprietary tick-by-tick data framework, it delivers uncorrelated returns across all market conditions.

Key Features

  • 12 Independent Volatility Strategies: Six long, six short, all operating on different volatility signatures
  • Regime-Agnostic Performance: Works in bull, bear, chop, and liquidation cascades
  • Live Performance Matches Backtest: Zero overfitting, proven reliability
  • Configurable Risk Controls: Strict maximum drawdown and loss-per-trade limits

Risk Profile: Balanced

This configuration provides a middle-ground approach, offering strong asymmetric returns with carefully controlled downside exposure. It balances growth objectives with institutional-grade risk management.

Target Characteristics:

  • Maximum Drawdown: -6.60%
  • Annualized Return: 135.4%
  • Sharpe Ratio: 4.83
  • Sortino Ratio: 9.73
  • Calmar Ratio: 20.56

Performance Period

Data Range: January 7, 2023 to November 1, 2025

The moderate profile maintains exceptional risk-adjusted metrics while constraining drawdowns to levels suitable for institutional mandates with moderate risk tolerance. The consistent Sharpe and Sortino ratios demonstrate the strategy's inherent stability.

Ideal For

  • Institutional portfolios with moderate risk mandates
  • Multi-asset allocators seeking BTC exposure
  • Treasury operations with balanced objectives
  • Allocators transitioning to higher risk profiles

How It Works

Emerald operates on our proprietary data engine that ingests full tick-by-tick tape data, analyzing market microstructure through dimensions and filters no competitor has access to. This structural information advantage enables us to identify volatility patterns invisible to funds relying on candles, indicators, or traditional datasets.

The moderate configuration fine-tunes position sizing and risk parameters to deliver strong returns while keeping maximum drawdown below 7%, suitable for allocators who want substantial growth without aggressive risk exposure.

Live Verification

Our backtest methodology streams historical tick data "as if live," producing identical behavior in backtests and forward tests. Emerald's live performance has matched its backtest with exceptional precision, confirming zero overfitting and demonstrating the integrity and reliability of our proprietary data engine.