Two Crypto strategies from the top of the return-to-drawdown ranking, compared on the same measures: how far each fell, how fast each grew, and how much return each bought per unit of risk.
| Asymmetric Sharpe Perpetual Corridor | Quarter-Hour Microstructure Flow | |
|---|---|---|
| Max drawdown | -16.8% | -26.9% |
| CAGR | +18.6% | +18.9% |
| Calmar (CAGR ÷ drawdown) | 1.11 | 0.70 |
| Sharpe | 1.17 | 1.01 |
| Total return | +203.6% | +226.0% |
| Risk tier | Moderate drawdown | High drawdown |
| Strategy type | Momentum rotation | Intraday & microstructure |
| Period | 2020-03-28 – 2026-10-03 | 2019-11-30 – 2026-10-03 |
Asymmetric Sharpe Perpetual Corridor had the shallower worst fall (-16.8%). Quarter-Hour Microstructure Flow compounded faster (+18.9% a year). On return per unit of drawdown Asymmetric Sharpe Perpetual Corridor leads, 1.11 against 0.70; the two backtests cover different periods, so read the comparison with that in mind.
$10,000 start, 2020-03-28 – 2026-10-03, SPY dashed.
$10,000 start, 2019-11-30 – 2026-10-03, SPY dashed.
Asymmetric Sharpe Perpetual Corridor, at -16.8%.
Asymmetric Sharpe Perpetual Corridor on the Calmar ratio (1.11 vs 0.70); Asymmetric Sharpe Perpetual Corridor on the Sharpe ratio (1.17).
Both are Crypto strategies re-run with their current code on historical prices, over 2020-03-28 – 2026-10-03 and 2019-11-30 – 2026-10-03.
All strategy backtests, lowest drawdown first
Disclosure. Backtests are hypothetical simulations on historical data. They do not include every real-world cost, are not live results, and do not guarantee future returns. Educational research only, not investment advice.