Portfolio Risk Metrics
- VaR 95% (1d)
- -$184.00
- VaR 99% (1d)
- -$312.00
- CVaR 95%
- -$231.00
- Beta BTC 90d
- 0.12
- Beta ETH 90d
- 0.08
- Gross Exposure
- $9.6K
- Net Exposure
- -$120.00
- Capital Deployed
- 64%
- Time in Drawdown (90d)
- 12d
Kill Switch — All Conditions
T1IBIT
No kill conditions defined
T2S2d
No kill conditions defined
T3S_NEW_06
No kill conditions defined
No kill conditions defined
T2S_NEW_20
No kill conditions defined
T3S_NEW_21
No kill conditions defined
T1S_NEW_34
live_oos_maxdd_dur_days > 402.0 (Tukey P75+1.5×IQR from 171 CPCV folds; P75=222.0, IQR=120.0)
Max DD: 0.29109650000000004%
T2S_NEW_37
live_oos_maxdd_dur_days > 463.5 (Tukey P75+1.5×IQR from 171 CPCV folds; P75=243.0, IQR=147.0)
Max DD: 0.115687%
T1S_NEW_49
live_oos_maxdd_dur_days > 280.0 (Tukey P75+1.5×IQR from 171 CPCV folds; P75=169.0, IQR=74.0)
Max DD: 0.09899425%
T2S_NEW_53
No kill conditions defined
T2S_NEW_56
live_oos_maxdd_dur_days > 777.0 (Tukey P75+1.5×IQR from 171 CPCV folds; P75=441.0, IQR=224.0)
Max DD: 0.154889%
live_oos_maxdd_dur_days > 257.5 (Tukey P75+1.5×IQR from 171 CPCV folds; P75=163.0, IQR=63.0)
Max DD: 0.14239000000000002%
live_oos_maxdd_dur_days > 997.5 (Tukey P75+1.5×IQR from 171 CPCV folds; P75=504.0, IQR=329.0)
Max DD: 0.2940795%
T3S_NEW_62
live_oos_maxdd_dur_days > 206.0 (Tukey P75+1.5×IQR from 171 CPCV folds; P75=119.0, IQR=58.0)
Max DD: 0.1544375%
live_oos_maxdd_dur_days > 297.0 (Tukey P75+1.5×IQR from 153 CPCV folds; P75=180.0, IQR=78.0)
Max DD: 0.2239525%
Stress Scenarios
| Scenario | Est. P&L | Est. P&L % |
|---|---|---|
| BTC +30% | $420.00 | +3.27% |
| BTC -30% | -$580.00 | -4.52% |
| ETH -50% | -$740.00 | -5.76% |
| Funding Flip | -$890.00 | -6.93% |
| Vol +100% | -$310.00 | -2.41% |
Strategy Correlation Matrix
90d rolling returns · Blue = negative · Red = positive
| S006b | 1.00 | 0.20 | 0.20 | 0.20 | 0.20 |
| S6b | 0.20 | 1.00 | 0.20 | 0.20 | 0.20 |
| S6b-TSMOM | 0.20 | 0.20 | 1.00 | 0.20 | 0.20 |
| strategy_002b | 0.20 | 0.20 | 0.20 | 1.00 | 0.20 |
| strategy_002b_modeB | 0.20 | 0.20 | 0.20 | 0.20 | 1.00 |
Alert History
| Time | Type | Strategy | Severity | Message | Resolved | Ack |
|---|---|---|---|---|---|---|
| 5d ago | data_stale | — | WARNING | OI collector stale for 6h | 5d ago | ✓ |
| 8d ago | regime_change | — | INFO | Regime changed SIDEWAYS → BULL (78% confidence) | 8d ago | ✓ |
| 10d ago | kill_amber | S1k | WARNING | S1k kill proximity reached 67% — monitoring | 10d ago | ✓ |