Comprehensive empirical validation of the BLT Engine across every major market regime from 2008 to 2025. All results on QuantConnect Institutional — identical parameters throughout.
Annual CAGR 2008–2025 (excl. 2013) · Crisis periods in dark red · Dashed = mean profitable years (+14.75%)
Cumulative equity growth from $1.00 · Final ×3.94 (+294%)
Monte Carlo simulation · n = 10,000 resamplings · Actual at 50.7th percentile
Sharpe vs Sortino by year · Sortino exceeds Sharpe in 11/13 profitable years
Market beta (β) by year · 95% Bootstrap CI [−0.080, 0.141] contains zero
Volatility–return scatter · r = 0.620 (p = 0.008) · 38% of CAGR variance explained by volatility — structural convexity confirmed
The BLT Engine demonstrates positive convexity: as market volatility increases, performance improves. Crisis-period CAGR mean of +19.6% vs +6.5% in normal periods.
Crisis & high-volatility periods
Normal & low-volatility periods
All four independent statistical methodologies confirm the zero-beta property. The observed performance is representative — not a statistical artifact.
Forward paper trading of the BLT Engine commenced in 2026. Live performance results will be published here transparently as they become available. A futures-based extension of the strategy is currently under active research and development — results to be disclosed upon completion of the validation process.
All 17 annual periods. Identical strategy parameters throughout. Crisis periods highlighted.
| Year | CAGR | Beta (β) | Alpha (α) | Sharpe | Sortino | Max DD | Win% | P/L | Trades |
|---|
Seven independent SSRN working papers underpin these results.
This website is for informational purposes only and does not constitute an offer or solicitation to buy or sell any financial instrument. All performance data is backtested and simulated — not live. Past performance does not guarantee future results. OrgaX LLC. For qualified professional and institutional investors only. · Full legal disclaimers →