February 2026
The strategy returned +0.95% net in February with zero drawdown during the worst crypto deleveraging event since FTX.
February produced the most violent deleveraging event in crypto market history since the FTX collapse. Bitcoin fell 52% from its October 2025 all-time high of approximately $126,000, breaking below $60,000 on February 6. The first weekend of the month — labelled "Black Sunday II" by traders — produced $2.56 billion in liquidations alone. On February 5, record realized losses of approximately $3.2 billion were recorded across the market, surpassing the peak single-day losses during the FTX collapse. The Fear & Greed index reached 5, the lowest reading ever registered.
The strategy returned +0.95% net with zero drawdown. This was by design.
01 / Performance
The strategy returned +0.95% net in February across 18 active trading days. Every trading day was positive. Activity was minimal — the lowest of any month in the strategy's operating history — with the system operating selectively throughout the period.
All returns are reported net of commissions and funding costs.
02 / Market Structure
The February crash was driven by a cascade of macro triggers compounding into a sustained liquidation event across perpetual futures markets. The sequence began with disappointing Microsoft earnings — which triggered a broad tech equity selloff — followed by institutional spot Bitcoin ETF outflows exceeding $3 billion in January that removed a critical source of buying pressure. AI-adjacent crypto miners, pursuing high-performance computing strategies, were simultaneously forced to liquidate Bitcoin holdings as financing conditions tightened, adding persistent selling pressure disconnected from derivatives positioning.
These factors compounded into a rapid unwind of leverage across perpetual venues. BTC futures open interest collapsed from approximately $61 billion to $49 billion within days, a 20% decline in notional exposure. Bitcoin lost 19% in a single week and fell below $63,000 for the first time in 16 months.
This environment was structurally different from the conditions the strategy is designed to capture. The market dislocations during the acute phase of the correction were directionally persistent rather than transient. As volatility began to stabilize in the second half of the month, the system identified isolated opportunities and executed selectively.
03 / Risk & Execution
Maximum drawdown was zero — no peak-to-trough decline was recorded at any point during the period. The strategy operated at a fraction of its normal capacity for the entire month.
This is the risk framework functioning as intended. The system does not force activity to generate returns in conditions where its edge is absent. Capital preservation takes precedence.
The system remained fully systematic with no discretionary overrides.
04 / Closing
February was a month of capital preservation. While the broader crypto market experienced a drawdown of historic proportions — the worst single-day realized losses ever recorded, a 52% peak-to-trough decline from the cycle high — the strategy maintained a positive return with zero drawdown by standing down when conditions fell outside its operating parameters.
The structural conditions that drive the strategy's performance did not disappear in February — they were temporarily overwhelmed by a sustained deleveraging event. As market structure normalizes and leveraged positioning rebuilds, those conditions are expected to return.
The system continues to operate within all defined parameters.