OLTA Research · Backtest Programme

OLTA Research

Backtest-driven research on the OLTA index library. Findings, methodology, and the case for cross-asset construction. Every number traces back to the engine in lib/backtest.js.

Papers

Total words

26,365

Programme

2026-05-21

Status

Pre-publication

Programme entry

OLTA Backtest Research

The OLTA backtest programme is a complete rebuild of the index library's evidence base. Through Q1 and Q2 of 2026, the team built a backtest engine, backfilled two years of daily price data for the crypto constituents and five years of daily data for the underlying equities behind the tokenised-equity baskets (routed through Dinari for single stocks and Backed Finance for ETFs). The engine simulates each of the 74 indices under its configured rebalance strategy across the available window, computes the standard institutional performance metrics, and stress-tests the results against eight historical crisis windows.

788 words·Index + table of contents

Open programme

BTC reference

Sharpe by anchor

Bitcoin's risk-adjusted profile depends materially on the window chosen. The figures below are computed from the same daily OHLC the OLTA backtest pipeline consumes, with zero risk-free rate and 252 trading-day annualisation.

Anchor	Window	Years	Sharpe	Ann return	Vol	MaxDD
2010-07-17	Inception	15.9y	1.68	145.7%	86.6%	-93.1%
2014-01-01	Post-mania	12.4y	0.59	—	—	—
2017-08-17	Binance era	8.8y	0.69	39.1%	56.8%	-83.2%
2020-01-01	Rolling 5y	6.4y	0.87	—	—	—

Notes

2010-07-17 · Includes the 2010-2013 early-cycle mania phase. Not directly comparable to modern institutional references because the base price is below $1 for the first three years.

2014-01-01 · Canonical base used by Bitwise and Fidelity research. Drops the early mania phase and captures four complete cycles.

2017-08-17 · Anchored at the first Binance trading day. Apples-to-apples with the basket Sharpes shown on /index pages whose constituents share the same listing-era window.

2020-01-01 · Matches the rolling-5y convention used by Galaxy Digital research and aligns with the Bitwise BITW factsheet headline. The most directly comparable figure for external institutional references.

Source · CryptoCompare histoday + Binance SpotRefreshed 2026-05-25

M01

Methodology · Benchmarks

How OLTA benchmarks baskets · BTC and OCBE100

Why two references, how OCBE100 is constructed, why per-basket windows are aligned, and how to read the vs-BTC and vs-OCBE100 deltas.

M02

Methodology · Custody framework

Where your assets live · segregation and regulator coverage

How OLTA segregates client assets, the regulator coverage stack across studied jurisdictions, and the maturity path from public preview to mainnet settlement.

Papers · 13

Reading order

OLTA Backtest Programme: Executive Summary

Across 74 indices in the OLTA library, the highest Sharpe ratio belongs to OSHARP6 (Sharpe Max), which sits in the [1.5, 1.6] band versus a Bitcoin reference of 0.14 over the 729-day window ending 2026-05-21. Total return was in the high-double-digit range at roughly 23 percent volatility, versus BTC's +11.2% at 38.0% volatility. Maximum drawdown was in the mid-twenties percent versus BTC's -49.5%.

1,370 wordsRead

OLTA Backtest Methodology

Two distinct data layers feed the engine:

2,884 wordsRead

Current-State Analysis: 74 Indices Across the 2-Year Window

The BTC reference for the entire report:

1,880 wordsRead

The Diversified Family: Design, Backtest, and Thesis

The Diversified family answers one question. If a basket can hold any asset (crypto, tokenised equity, tokenised gold, tokenised treasuries), what is the construction that maximises Sharpe in a multi-regime forward distribution?

2,373 wordsRead

Stress Test Report: Crisis Window Behavior Across Families

Eight scenarios are predefined. Four predate the 2y crypto backfill and four fall inside it.

2,151 wordsRead

Sharpe Decomposition: Why the Winners Win

For each high-Sharpe basket, we identify:

2,119 wordsRead

Outperformance vs BTC: Counting the Winners

Filtering the full backtest library for Sharpe strictly above the BTC reference of 0.14 yields 23 names. The conservative count, which restricts to baskets with a backtest window of at least 365 days, yields 14 names.

1,478 wordsRead

Family Summaries: Per-Family Findings and Recommendations

Family thesis. A market-cap-weighted top-N crypto basket, expressing the simplest possible "I want crypto exposure" allocation. Three variants by size: concentrated, balanced, and broad market beta.

1,744 wordsRead

The Multi-Source Historical Price Pipeline

Binance Spot is the deepest liquidity venue in crypto today. Its kline endpoint serves clean daily OHLC for 200+ symbols against USDT, going back to each symbol's USDT-pair listing date. For most institutional crypto research desks, the Binance series is the de facto canonical history.

1,998 wordsRead

Correcting Construction Drift After a Cycle

A basket whose constituents were chosen at the top of a cycle and never reviewed afterwards is carrying dead weight whether or not it acknowledges it.

1,990 wordsRead

The Cycle-Tested Construction Doctrine

A basket's backtest window is bounded by the intersection of its constituents' available daily histories. The window starts on the latest day on which every constituent has at least one observed close and ends on the earliest day on which every constituent's series ends. If a basket holds ten constituents and nine have ten years of daily history but one listed in 2023, the basket's backtest starts in 2023.

1,982 wordsRead

A Downside-Risk Framework for the Index Book

The Sharpe ratio answers one question well: how much excess return did a basket earn per unit of total volatility. It is the right first number and OLTA reports it on every surface. But it is a second-moment statistic. It treats an upside surprise and a downside surprise as equally costly, and it assumes the return distribution is well-behaved enough that mean and variance describe it. Crypto violates both assumptions.

3,015 wordsRead

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OLTA Index Methodology Changelog

This file tracks weighting, constituent, and rebalance cadence adjustments to the live index catalog. Detailed weight tables and expected-impact estimates are maintained in a private appendix issued to institutional counterparties and grant reviewers under NDA on request.

593 wordsRead