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 (18 years from equity curve) · Crisis periods highlighted · Dashed = full-period CAGR +7.22%
Cumulative equity growth from $1.00 · Final ×3.51 (+251%)
Monte Carlo · n = 1,000 deterministic resamplings · P(positive 5y) = 76.7%
Sharpe vs Sortino · Isolated tests (11 years) · Sortino exceeds Sharpe in 6/11 years
Market beta (β) · 11 isolated tests · Mean −0.007 · Median −0.061 · 10/11 with |β|<0.20
Volatility–return scatter · 18 years · Crisis regimes (gold) cluster at high vol & high return — convexity confirmed
The BLT Engine demonstrates positive convexity: as market volatility increases, performance improves. Across 11 isolated annual tests, crisis-regime mean CAGR is +42.5% vs −7.5% in calm regimes — a 50-point differential.
Crisis & high-volatility periods (isolated tests)
Calm & low-volatility periods (isolated tests)
Three independent beta estimators converge near zero: the full-period regression, the mean of 11 isolated tests, and the median of 11 isolated tests. The structural decorrelation property is validated under each methodology.
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.
Annual return derived from the 18-year continuous backtest equity curve. This reflects the strategy's behavior in a real production deployment where each year inherits the capital state and open positions from the previous year.
| Year | CAGR | Regime | Market context |
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Each year tested as a standalone backtest with fresh $1M capital, no inherited state. This is the rigorous statistical test of the strategy's per-year characteristics. Three independent beta estimators (full-period +0.075, mean isolated −0.007, median −0.061) all converge near zero.
| Year | CAGR | Beta (β) | Alpha (α) | Sharpe | Sortino | Max DD | Win% | P/L | Trades |
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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 →