Prehistoric Vaults β RevertX
Risk Level: Medium
π Lab Journal Entry #03
Title: RevertX: Mean Reversion Under Observation Author: Byteceratops, Vault Systems Engineer Recovered From: Strategy Terminal Ξ-9, Signal Behavior Unit
Purpose
This log outlines the trading behavior and mechanics of the RevertX Strategy. This vault is designed to hunt for mean-reversion between $ETH and $BTC using a dynamic, signal-driven trading model.
Overview
RevertX was developed to hunt price symmetry between $ETH and $BTC β a behavior weβve observed frequently in the wild. When the relationship between the two assets drifts beyond a defined threshold, the vault opens long/short positions to capitalize on the expected snap-back.
Target Assets: $ETH / $BTC
Style: Pairs Trading (Mean Reversion)
Core Signal: Deviation from regression-based fair value
Trade Entry Rule: Signal > 1.5Γ standard deviation
Signal Mechanics
The strategy opens a long or short position when $ETH's price meaningfully diverges from its expected value relative to $BTC. This expected value is calculated via a regression that updates daily using the past 20 days of price data.
Signal Formula
Signal = ETH Price β (Ξ²β Γ BTC Price + Ξ²β)
Where Ξ²β β 0.077 and Ξ²β captures longer-term drift.
The RevertX-trained Rexes are conditioned to strike only when this signal breaches Β±1.5Ο β filtering noise, conserving energy, and maximizing trade precision.
Backtest Results
To observe RevertX in the wild, we deployed it across historical terrain spanning late 2017 to early 2024. Using real market data and a consistent $1,000 trade size, the system completed 372 full excursions β each representing a signal-triggered round-trip trade.
Annualized Return
~53%
Max Drawdown
$112 (11.2% of trade size)
Average Trade Duration
~5 days
Win Rate
33.6%
Despite a low win rate, the strategy remained net-profitable due to its strong reward-to-risk dynamic, favoring frequent small losses and infrequent large gains.
Notable Behavior
RevertX prefers frequent small losses to wait for occasional large wins
All trades are stat-tested for signal stationarity
Optimized for short trade cycles and capital rotation
π§ͺ REX Technicianβs Log
We fed the RevertX-trained Rexes a steady diet of $ETH-$BTC residuals. When the signal roared above threshold, they struck with precision. Most excursions resolved in under 5 days β unless the jungle changed its rules.
End of Strategy Log
Signed: Byteceratops β authenticated Reviewed by: Dr. Morales, Risk Oversight Unit
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