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Cross-Market

Cross-Market crypto strategies

Studies how information and investor behaviour transmit between traditional and crypto markets. Compare 24-month fixed-capital returns, drawdowns and Bitcoin correlation across 2 systematic cross-market strategies.

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In category
2

Cross-Market strategies

Median Sharpe
2.10

Bitcoin: 0.32

Median corr. to BTC
−0.29

Monthly, last 24 months

Related research
7

Empirical studies

Cross-Market strategy comparison

Click a column to sort. Returns are sums of monthly returns on fixed capital; Bitcoin compounds.

Cross-Market strategy return leaderboard, 2024-11–2026-10; trailing periods up to 24 months. Strategy returns use fixed capital, non-compounded; Bitcoin compounds. Returns and month-end drawdowns are percentages.
Strategy24M trend1M3M12M24MSharpeMax DDCorr. BTC
Session RhythmCross-Market 0.0%−0.1%+14.5%+28.4% 3.12−0.5%−0.30
Market SpilloverCross-Market 0.0%+1.8%+13.3%+19.8% 1.08−3.1%−0.27
BitcoinBuy and hold benchmark−7.2%+23.3%−29.2%+10.2%0.32−49.3%1.00

Monthly returns

Each bar is one month. Live Backtest

Research on cross-market markets

Studies of the same market area. They describe the market, not individual strategy rules.

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Rules, position sizing and execution notes are shared with approved subscribers.

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