Event-Driven
Conditional Drift
An event-driven crypto strategy based on price tendencies that depend on the broader market context. Long flat stretches are part of its historical return profile.
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- 12-month return
- +137%
- Sharpe
- 2.23
- Max drawdown
- 0.0%
- Corr. to BTC
- −0.16
24 months: +137%
Annualised, monthly
Month-end
Beta −0.11
- 1M
- +2.8%
- 3M
- +18.5%
- 6M
- +78.2%
- 12M
- +137%
- 24M
- +137%
- 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, Conditional Drift returned +137.2% over 12 months and +137.2% over 24 months on fixed capital, with an annualised return of +68.6%, annualised volatility of 30.8%, Sharpe ratio of 2.23, and maximum month-end drawdown of 0.0% (10 active months, 100% positive).
Return and risk
- Annualised return
- +68.6%
- Annualised volatility
- 30.8%
- Sharpe ratio
- 2.23
- Sortino ratio
- —
Mean monthly return × 12
Std. dev. of monthly returns × √12
Return per unit of total volatility
No losing month in the period
Drawdown
- Max drawdown
- 0.0%
- Calmar ratio
- —
- Longest drawdown
- None
- Worst month
- 0.0%
Largest fall from a month-end peak
No drawdown at month-ends
Month-ends spent below a prior peak
Best month +28.2%
Consistency and market exposure
- Positive months
- 100%
- Profit factor
- —
- Correlation to BTC
- −0.16
- Beta to BTC
- −0.11
Of 10 months with trades
No losing month in the period
Monthly, vs Bitcoin buy and hold
Return change per 1% Bitcoin move
Live versus backtest
- Live or mixed months
- 2
- Live/mixed average month
- +5.32%
- Backtest average month
- +5.75%
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 | Conditional Drift | Bitcoin | Source |
|---|---|---|---|
| Oct 2026 | +2.79% | −7.24% | live |
| Sep 2026 | +7.85% | +6.40% | backtest + live |
| Aug 2026 | +7.86% | +24.96% | backtest |
| Jul 2026 | +12.35% | +7.26% | backtest |
| Jun 2026 | +19.15% | −20.43% | backtest |
| May 2026 | +28.21% | −3.48% | backtest |
| Apr 2026 | +25.15% | +11.82% | backtest |
| Mar 2026 | +1.80% | +1.95% | backtest |
| Feb 2026 | +16.76% | −14.95% | backtest |
| Jan 2026 | +15.30% | −10.16% | backtest |
| Dec 2025 | 0.00% | −3.00% | backtest |
| Nov 2025 | 0.00% | −17.56% | backtest |
Show 12 earlier months
| Month | Conditional Drift | Bitcoin | Source |
|---|---|---|---|
| Oct 2025 | 0.00% | −3.89% | backtest |
| Sep 2025 | 0.00% | +5.34% | backtest |
| Aug 2025 | 0.00% | −6.47% | backtest |
| Jul 2025 | 0.00% | +8.04% | backtest |
| Jun 2025 | 0.00% | +2.43% | backtest |
| May 2025 | 0.00% | +11.07% | backtest |
| Apr 2025 | 0.00% | +14.07% | backtest |
| Mar 2025 | 0.00% | −2.11% | backtest |
| Feb 2025 | 0.00% | −17.66% | backtest |
| Jan 2025 | 0.00% | +9.44% | backtest |
| Dec 2024 | 0.00% | −3.03% | backtest |
| Nov 2024 | 0.00% | +37.19% | backtest |
Research on event-driven markets
Studies of the same market area. They describe the market, not Conditional Drift’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 Conditional Drift yourself
The rules, sizing and execution notes are shared with approved subscribers. Run it in your own account on a major crypto exchange.