Event-Driven
Event Repricing
An event-driven crypto strategy based on how markets reprice new information. Historically active in most months, with returns spread across many trades.
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- 12-month return
- +196%
- Sharpe
- 3.76
- Max drawdown
- −0.6%
- Corr. to BTC
- −0.08
24 months: +453%
Annualised, monthly
Month-end
Beta −0.11
- 1M
- +8.1%
- 3M
- +55.6%
- 6M
- +93.3%
- 12M
- +196%
- 24M
- +453%
- Record
- 1 live · 1 mixed · 22 backtest months
Performance
Live Backtest · Through Oct 2026 · cumulative is on fixed capital (months add).
Performance and risk metrics
Last 24 months (Nov 2024 to Oct 2026), from monthly returns on fixed capital; risk-free rate 0%. Definitions.
Over this 24-month window, Event Repricing returned +196.2% over 12 months and +452.9% over 24 months on fixed capital, with an annualised return of +226.5%, annualised volatility of 60.3%, Sharpe ratio of 3.76, and maximum month-end drawdown of −0.6% (23 active months, 96% positive).
Return and risk
- Annualised return
- +226.5%
- Annualised volatility
- 60.3%
- Sharpe ratio
- 3.76
- Sortino ratio
- n/m
Mean monthly return × 12
Std. dev. of monthly returns × √12
Return per unit of total volatility
Only 1 losing month: too few to measure
Drawdown
- Max drawdown
- −0.6%
- Calmar ratio
- n/m
- Longest drawdown
- 1 month
- Worst month
- −0.6%
Largest fall from a month-end peak
Drawdown too small to measure
Month-ends spent below a prior peak
Best month +73.1%
Consistency and market exposure
- Positive months
- 96%
- Profit factor
- n/m
- Correlation to BTC
- −0.08
- Beta to BTC
- −0.11
Of 23 months with trades
Too few losing months to measure
Monthly, vs Bitcoin buy and hold
Return change per 1% Bitcoin move
Live versus backtest
- Live or mixed months
- 2
- Live/mixed average month
- +16.23%
- Backtest average month
- +19.11%
Includes mixed backtest/live months
Mean of live and mixed months
Mean of earlier backtest months
2 live or mixed months are far too few to confirm or reject the backtest; this updates every month.
Month-end figures hide losses inside a month: open positions can be deeper underwater than any monthly number here. Studies how markets incorporate new information and adjust expectations around events.
Month by month
Newest first| Month | Event Repricing | Bitcoin | Source |
|---|---|---|---|
| Oct 2026 | +8.07% | −7.24% | live |
| Sep 2026 | +24.38% | +6.40% | backtest + live |
| Aug 2026 | +23.10% | +24.96% | backtest |
| Jul 2026 | +10.65% | +7.26% | backtest |
| Jun 2026 | +13.02% | −20.43% | backtest |
| May 2026 | +14.10% | −3.48% | backtest |
| Apr 2026 | +21.78% | +11.82% | backtest |
| Mar 2026 | −0.57% | +1.95% | backtest |
| Feb 2026 | +1.10% | −14.95% | backtest |
| Jan 2026 | +33.79% | −10.16% | backtest |
| Dec 2025 | +2.24% | −3.00% | backtest |
| Nov 2025 | +44.50% | −17.56% | backtest |
Show 12 earlier months
| Month | Event Repricing | Bitcoin | Source |
|---|---|---|---|
| Oct 2025 | +73.06% | −3.89% | backtest |
| Sep 2025 | +12.69% | +5.34% | backtest |
| Aug 2025 | 0.00% | −6.47% | backtest |
| Jul 2025 | +7.89% | +8.04% | backtest |
| Jun 2025 | +15.36% | +2.43% | backtest |
| May 2025 | +21.74% | +11.07% | backtest |
| Apr 2025 | +7.87% | +14.07% | backtest |
| Mar 2025 | +41.54% | −2.11% | backtest |
| Feb 2025 | +6.89% | −17.66% | backtest |
| Jan 2025 | +38.59% | +9.44% | backtest |
| Dec 2024 | +24.40% | −3.03% | backtest |
| Nov 2024 | +6.73% | +37.19% | backtest |
Research on event-driven markets
Studies of the same market area. They describe the market, not Event Repricing’s rules.
- Data studyDoes crypto news move prices or follow them? A timestamp auditRead →
- Data studyCrypto liquidity and order book depth: a historical data auditRead →
- Data studyDoes high trading volume predict crypto volatility? 41 coins testedRead →
- Data studyCrypto listing and delisting effects: an OKX price studyRead →
Run Event Repricing yourself
The rules, sizing and execution notes are shared with approved subscribers. Run it in your own account on a major crypto exchange.