Cross-Market
Market Spillover
A cross-market crypto strategy based on the transmission of information across financial markets. Historically sparse activity, with returns concentrated in fewer opportunities.
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- 12-month return
- +13.3%
- Sharpe
- 1.08
- Max drawdown
- −3.1%
- Corr. to BTC
- −0.27
24 months: +19.8%
Annualised, monthly
Month-end
Beta −0.05
- 1M
- 0.0%
- 3M
- +1.8%
- 6M
- −0.4%
- 12M
- +13.3%
- 24M
- +19.8%
- 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, Market Spillover returned +13.3% over 12 months and +19.8% over 24 months on fixed capital, with an annualised return of +9.9%, annualised volatility of 9.1%, Sharpe ratio of 1.08, and maximum month-end drawdown of −3.1% (8 active months, 63% positive).
Return and risk
- Annualised return
- +9.9%
- Annualised volatility
- 9.1%
- Sharpe ratio
- 1.08
- Sortino ratio
- 4.26
Mean monthly return × 12
Std. dev. of monthly returns × √12
Return per unit of total volatility
Return per unit of downside volatility
Drawdown
- Max drawdown
- −3.1%
- Calmar ratio
- 3.17
- Longest drawdown
- 6 months
- Worst month
- −2.4%
Largest fall from a month-end peak
Annualised return ÷ max drawdown
Month-ends spent below a prior peak
Best month +9.3%
Consistency and market exposure
- Positive months
- 63%
- Profit factor
- 4.75
- Correlation to BTC
- −0.27
- Beta to BTC
- −0.05
Of 8 months with trades
Sum of gains ÷ sum of losses
Monthly, vs Bitcoin buy and hold
Return change per 1% Bitcoin move
Live versus backtest
- Live or mixed months
- 2
- Live/mixed average month
- 0.00%
- Backtest average month
- +0.90%
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 information and investor behaviour transmit between traditional and crypto markets.
Month by month
Newest first| Month | Market Spillover | Bitcoin | Source |
|---|---|---|---|
| Oct 2026 | 0.00% | −7.24% | live |
| Sep 2026 | 0.00% | +6.40% | backtest + live |
| Aug 2026 | +1.75% | +24.96% | backtest |
| Jul 2026 | 0.00% | +7.26% | backtest |
| Jun 2026 | 0.00% | −20.43% | backtest |
| May 2026 | −2.15% | −3.48% | backtest |
| Apr 2026 | 0.00% | +11.82% | backtest |
| Mar 2026 | 0.00% | +1.95% | backtest |
| Feb 2026 | +4.40% | −14.95% | backtest |
| Jan 2026 | 0.00% | −10.16% | backtest |
| Dec 2025 | 0.00% | −3.00% | backtest |
| Nov 2025 | +9.28% | −17.56% | backtest |
Show 12 earlier months
| Month | Market Spillover | Bitcoin | Source |
|---|---|---|---|
| Oct 2025 | 0.00% | −3.89% | backtest |
| Sep 2025 | 0.00% | +5.34% | backtest |
| Aug 2025 | +2.51% | −6.47% | backtest |
| Jul 2025 | 0.00% | +8.04% | backtest |
| Jun 2025 | 0.00% | +2.43% | backtest |
| May 2025 | +7.15% | +11.07% | backtest |
| Apr 2025 | 0.00% | +14.07% | backtest |
| Mar 2025 | −0.75% | −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 | −2.37% | +37.19% | backtest |
Research on cross-market markets
Studies of the same market area. They describe the market, not Market Spillover’s rules.
- Data study · chartsDo XRP and Solana ETF flows move the price? First-year dataRead →
- Data study · chartsDo Ethereum ETF flows move the ETH price? Two years of daily dataRead →
- Data studyDo Bitcoin ETF flows predict the price? 684 days of daily flowsRead →
- Data study · chartsBitcoin institutional adoption: CME, spot ETFs and SPY correlationRead →
Run Market Spillover yourself
The rules, sizing and execution notes are shared with approved subscribers. Run it in your own account on a major crypto exchange.