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Jun 7, 2026

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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.

Scope and table of contents4 min readUpdated Apr 16, 2026

Open programme

M01

Methodology · Benchmarks

How OLTA benchmarks baskets, BTC and OCBE100

Why two references, how OCBE100 is built, why every window is aligned to the basket being measured, and how to read a delta once you have one.

BTC Sharpe by anchor

Inception: 1.68
Post-mania: 0.59
Binance era: 0.69
Rolling 5y: 0.87

M02

Methodology · Custody framework

Where your assets live, segregation and regulator coverage

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

Every control is labelled

In forceAt mainnetBeing drafted

Start here

The finding in one page, then the engine that produced it.

00Read first

The headline finding, in one page

OLTA Backtest Programme: Executive Summary

OLTA's Diversified family delivers Sharpe ratios in the [1.5, 1.6] band against a 0.14 print for Bitcoin over the same 2-year window, with maximum drawdown roughly half that of spot BTC. The result holds across multiple rebalance variants and four recent stress windows.

Apr 9, 20267 min read9 sections

How the backtest engine works, end to end

OLTA Backtest Methodology

The OLTA backtest engine is a pure-Node.js, dependency-free simulator that replays an index's NAV under a chosen rebalance strategy across a daily kline dataset, computes the standard institutional return metrics, and stress-tests the resulting series against eight predefined crisis windows. This paper documents the engine, the inputs, the formulas, and the limitations.

Sep 11, 202514 min read14 sections

Findings

What the two-year window says about the library, family by family.

The whole library ranked over one window

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

Across the full library of 74 OLTA indices, Equities-family and Diversified-family baskets dominated risk-adjusted performance during the 2024-05 to 2026-05 window. Sector, Ecosystem, ThematicBeta and Curio baskets were uniformly negative, often by more than a full Sharpe unit. Core lagged BTC. The market regime did roughly what cross-asset construction implies it should.

Dec 4, 20259 min read9 sections

The flagship construction, six baskets

The Diversified Family: Design, Backtest, and Thesis

Six cross-asset baskets, designed in May 2026 from a 2-year backtest, deliver Sharpe ratios in the [0.95, 1.55] band against a BTC reference of 0.14 over the same window. Five are Live. The sixth is in Watchlist pending longer history on its tokenised-treasury legs. The construction principle is simple: combine an equity leg (tokenised US stocks routed through Dinari plus Backed Finance), a gold leg, and a crypto leg, with no leg dominating the basket.

Feb 12, 202612 min read9 sections

One dominant driver per winning basket

Sharpe Decomposition: Why the Winners Win

The high-Sharpe baskets in the OLTA library each have a single dominant driver. The Semiconductor basket reflects the AI buildout. The Mag 7 basket reflects mega-cap tech dominance. The AI Infrastructure basket reflects the picks-and-shovels layer beneath the chip designers. The Sharpe-Max Diversified basket is the explicit hand-pick of those drivers into a single cross-asset basket. The BTC-Decorrelated Diversified basket is the cross-asset rebalance applied to the same drivers. This paper traces the Sharpe to the underlying themes at the framework level.

Feb 26, 202611 min read11 sections

Counting what actually beat Bitcoin

Outperformance vs BTC: Counting the Winners

Of 74 indices in the OLTA library, 23 beat the BTC Sharpe ratio of 0.14 over the 2-year window ending 2026-05-21. The overwhelming majority of those outperformers are Equities-family baskets that have effectively zero correlation to BTC by construction, supplemented by the five Live Diversified-family baskets that explicitly mix equities into a crypto base, and a set of recently-listed RWA baskets whose short windows inflate their headline Sharpe figures. The conclusion: in this regime, cross-asset construction is the only reliable path to BTC outperformance. The result is regime-dependent, not universal.

Mar 18, 20267 min read10 sections

One read and one action per family

Family Summaries: Per-Family Findings and Recommendations

Concise per-family read of the 2-year backtest data. Each section: thesis, current-state metrics in banded form, qualitative finding, and one recommended action. Per-ticker performance tables and the specific visibility-change call-outs that informed each recommendation are documented in the methodology brief on request.

Mar 26, 20269 min read13 sections

Risk and stress

How the baskets behaved when the market broke, and what is measured beyond Sharpe.

Behaviour inside eight crisis windows

Stress Test Report: Crisis Window Behavior Across Families

Across four recent crisis windows (Aug 2024 yen carry, Feb 2025 tariff, April 2025 alt rotation, Sept 2025 mid-cap rotation), the Diversified family showed maximum drawdowns 30 to 60 percent smaller than the crypto-pure Core and Sector families. The Equities family showed smaller drawdowns still over equity-relevant windows. The four pre-2024 long-history scenarios (COVID 2020, May 2021, Nov 2022 FTX, March 2023 SVB) apply only to Equities given the crypto-data window.

Jan 22, 202611 min read8 sections

Value at Risk, Sortino and tail beta for every basket

A Downside-Risk Framework for the Index Book

Sharpe is a symmetric, Gaussian-world summary, and crypto returns are neither symmetric nor Gaussian. This paper documents the downside-risk framework OLTA now computes for every index in the book: historical-simulation Value-at-Risk at the 7-day and 30-day holding horizons, sitting alongside the Sortino ratio, conditional Value-at-Risk, tail beta to Bitcoin, and drawdown-recovery statistics already in the engine. We set out the method, the order-statistic convention, the horizon logic, and what the cross-book VaR distribution reveals about which families carry structural downside and which do not. The headline reading is consistent with the Sharpe leaderboard but adds information the Sharpe number cannot carry: the cross-asset and tokenised-equity families clear a 7-day VaR band of roughly five to nine percent, the crypto-pure families a band of roughly twelve to twenty percent, and the gap is a property of construction rather than of the window.

Jun 7, 202615 min read9 sections

Method and data

The engine, the price history behind it, and the construction doctrine.

Where the price history comes from, and where it is spliced

The Multi-Source Historical Price Pipeline

Cycle-tested research requires daily price history that spans multiple regime turns. A single-venue history sourced from Binance Spot reaches back to 2017 for the largest crypto majors and to 2018-2020 for everything else. That is one full cycle of usable data per asset, and zero usable data on the pre-Binance era when crypto first traded against fiat at meaningful liquidity. This paper documents the methodology behind OLTA's multi-source price cascade, the splice rule that arbitrates between venues at the listing boundary, and the multi-anchor convention OLTA uses to report Bitcoin's risk-adjusted profile.

May 25, 202610 min read7 sections

Refreshing constituents that a cycle left behind

Correcting Construction Drift After a Cycle

Many crypto baskets in 2026 still carry constituents whose original thesis was written for the 2021-2022 cycle. The constituents drew down 80% or more from cycle highs, never recovered, and continue to dilute basket performance against the assets that did survive. This paper documents the institutional principle behind a post-cycle constituent refresh, the framework OLTA applied across the May 2026 catalogue refresh, and the trade-offs an allocator should understand when a basket is reconstituted rather than rebalanced.

May 25, 202610 min read8 sections

Why a basket can only be tested as far back as its youngest leg

The Cycle-Tested Construction Doctrine

Most crypto baskets cannot be backtested through a full cycle because their youngest constituent dates back only to 2020 or later. The intersection-of-availability rule on which any honest backtest is built forces the basket window to start at the youngest constituent's listing date, and for most baskets that date is inside the most recent cycle. This paper documents the cycle-tested construction principle, the reference basket OLTA built to make the principle operational, the mathematical limits a cycle-tested basket faces against BTC, and the implications for the catalogue's overall composition.

May 25, 202610 min read8 sections

RecordOLTA Index Methodology Changelog3 min read