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Quantoshi Emerald Controlled Alpha

Quantoshi Emerald Controlled Alpha

Controlled risk exposure with systematic downside protection

January 7, 2023 - November 30, 2025

Performance Metrics

Cumulative Return Total period return
+1049.5%
CAGR Annualized return
+132.0%
Sharpe Ratio Risk-adjusted returns
4.78
Sortino Ratio Downside risk-adjusted
9.56
Calmar Ratio Return vs drawdown
20.05
Max Drawdown Peak-to-trough decline
-6.6%
Volatility Annualized volatility
+18.0%
Max DD Duration Longest drawdown period
46 days

Risk Metrics

1-Day VaR (95%) Value at Risk (95%)
-1.04%
1-Month VaR (99%) Monthly VaR (99%)
-3.13%
CVaR (95%) Expected shortfall (95%)
-1.70%
CVaR (99%) Expected shortfall (99%)
-2.27%
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 +2.9%
3M +12.7%
6M +29.0%
YTD +81.8%

vs Bitcoin Benchmark

Metric Strategy BTC
Return +1049.5% +436.2%
Sharpe 4.78 1.46
Max DD -6.6% -32.0%
Volatility +18.0% +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: Controlled

This configuration emphasizes capital preservation while maintaining access to volatility-driven returns. With strict downside protection, it's designed for allocators who prioritize stability and controlled risk exposure.

Target Characteristics:

  • Maximum Drawdown: -8.60%
  • Annualized Return: 207.4%
  • Sharpe Ratio: 4.83
  • Sortino Ratio: 9.73
  • Calmar Ratio: 24.02

Performance Period

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

The conservative configuration delivers triple-digit annualized returns with single-digit maximum drawdown, representing an exceptional risk-return profile for institutional mandates with strict risk limits.

Ideal For

  • Risk-averse institutional allocators
  • Pension funds and endowments
  • Conservative family offices
  • Allocators with strict drawdown mandates

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 conservative configuration employs tighter stop-losses and reduced position sizing to maintain the same high-quality Sharpe ratios while significantly constraining maximum drawdown 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.