February 2026 — Strategy Metrics (Attachment)¶
Current Strategies (as of 2026-03-01)¶
| Strategy | P&L | Win Rate | Margin (bps) | Sharpe | Trades | Volume |
|---|---|---|---|---|---|---|
| SMATrendFollowing_v2_ETHUSDT | +$2.23 | 57.1% | +40.6 | -0.17 | 14 | $549.65 |
| SMATrendFollowing_v2_BTCUSDT | +$1.08 | 71.4% | +36.2 | +0.14 | 7 | $299.34 |
| ClassificationStrategy_v1_BTCUSDT | -$1.02 | 50.0% | -9.3 | -0.18 | 26 | $1,098.78 |
| SMAMeanReversion_v4_ETHUSDT | -$0.79 | 0% | -52.9 | -3.55 | 3 | $150.03 |
| SMAMeanReversion_v4_BTCUSDT | -$0.87 | 20.0% | -43.6 | -0.42 | 5 | $199.96 |
| CrossVenueArb_v1_ETHUSDT | -$0.001 | 0% | -0.03 | — | 1 | $197.29 |
| CrossVenueArb_v1_BTCUSDT | $0 | — | — | — | 0 | $0 |
| StatsArb_v4_ETHUSDT_BTCUSDT | $0 | — | — | — | 0 | $0 |
Past Strategies (disabled/killed during February)¶
| Strategy (past) | Status | P&L | Cause |
|---|---|---|---|
| SMAMeanReversion_v2_ETHUSDT | KILLED | -$20.19 | Feb 15 incident (total loss breach) |
| StatsArb_v2_ETHUSDT_BTCUSDT | KILLED | -$18.72 | Feb 15 incident (position breach) |
| StatsArb_v3_ETHUSDT_BTCUSDT | DISABLED | -$1.97 | Unprofitable after SL fix |
| SMAMeanReversion_v1_ETHUSDT | DISABLED | -$1.50 | Superseded by v4 |
| SMATrendFollowing_v1_ETHUSDT | DISABLED | -$1.35 | Superseded by v2 |
| SMATrendFollowing_v1_BTCUSDT | ERROR | -$1.17 | StrategyDecisionError |
| SMAMeanReversion_v1_BTCUSDT | DISABLED | -$0.96 | Superseded by v4 |
| StatsArb_v1 | ERROR | -$0.80 | StrategyDecisionError |
| SMAMeanReversion_v2_BTCUSDT | DISABLED | -$0.21 | Superseded by v4 |
| SMAMeanReversion_v3_BTCUSDT | DISABLED | -$0.19 | Superseded by v4 |
| SMAMeanReversion_v3_ETHUSDT | DISABLED | +$0.11 | Superseded by v4 |
Live vs Paper Comparison¶
| Strategy | Metric | Paper (Jan) | Live (Feb) | Delta |
|---|---|---|---|---|
| CrossVenueArb ETHUSDT | P&L | +$4.00 | -$0.001 | Much worse — arb rare in live |
| SMATrendFollowing ETHUSDT | P&L | +$0.33 | +$2.23 | Better in live |
| Win Rate | 55.6% | 57.1% | Consistent | |
| SMATrendFollowing BTCUSDT | P&L | -$0.76 | +$1.08 | Better in live |
| Win Rate | 44.4% | 71.4% | Much better | |
| SMAMeanReversion ETHUSDT | P&L | -$1.27 | -$0.79 | Similar — still losing |
| SMAMeanReversion BTCUSDT | P&L | -$0.13 | -$0.87 | Worse in live |
| ClassificationStrategy | Trades | 0 | 26 | Fixed: signal threshold lowered |