June 2026
Drawdown, Recovery, and the Value of Process
June was the most volatile month of the year for crypto markets. It was also the most informative month for the strategy.
Bitcoin fell from approximately $73,000 to $59,100 during the first week, recovered sharply on a US-Iran ceasefire framework mid-month, then sold off again into month-end - reaching a 2026 low of $58,200 on June 26 as record ETF outflows and a hawkish Fed reset risk appetite. The strategy operated through all of it.
The strategy returned +7.22% net.
01 / Performance
The strategy returned +7.22% net across 29 active trading days. 28 of those days closed positive. One day - June 4 - recorded a net loss, the second negative day in the strategy's 2026 reporting history.
Nine trades closed at a loss during the month, with realized losses absorbed across otherwise positive daily books. This is the first time the letter has reported multiple losing trades. I want to be direct about what that means: the system encountered conditions where individual entries did not resolve favorably. In every case, losses were contained by position sizing and risk gating. None were systemic. The win rate for the month was 98.3%.
The more interesting development was directional breadth. The long/short split widened to 80/20 - materially broader than prior months. This was not a discretionary decision. The system identified qualifying setups on both sides of the market as dislocations occurred in both directions throughout the month.
All returns are reported net of commissions and funding costs.
02 / Market Structure
June's price action divided into three distinct regimes.
The first week was a liquidation cascade. Bitcoin dropped from $67,000 to $59,100 between June 4 and June 6, triggering over $3 billion in forced liquidations across crypto derivatives markets. Open interest had climbed above $111 billion heading into the month, heavily skewed long. When price broke $63,000, it punched through dense liquidation clusters that had built between $65,000 and $60,000. Long positions accounted for approximately 85% of all Bitcoin liquidations on the worst session.
The second phase was a geopolitical reversal. On June 14, a US-Iran ceasefire framework surfaced - a 60-day memorandum covering nuclear enrichment, sanctions relief, and reopened passage through the Strait of Hormuz. Bitcoin rallied from the low $60,000s back above $66,000 within days. This was a macro risk-on reset rather than a crypto-specific catalyst.
The third phase was institutional withdrawal. The FOMC held rates at 3.5%-3.75% on June 17 in Kevin Warsh's first meeting as Fed chair, but the committee removed its prior easing bias and nine of eighteen members projected rate hikes before year-end. Spot Bitcoin ETFs posted record outflows of approximately $4.1 billion for the month, with BlackRock's IBIT accounting for roughly $3.3 billion. By June 26, Bitcoin had fallen to $58,200 - a new 2026 low, erasing the ceasefire gains entirely.
Each regime produced a different type of forced-flow event. The early cascade was violent and directional. The ceasefire rally squeezed shorts. The late-month withdrawal ground positioning down gradually. The system engaged with all three.
03 / Risk & Execution
Maximum drawdown was 0.55% - a single event on June 4. This is the strategy's largest realized drawdown in the 2026 reporting period.
I want to discuss this directly because it reflects something important about how the system manages adverse conditions.
During the month's largest drawdown event, one position remained open significantly longer than is typical. The strategy's layered entry process continued to function as designed, improving the average entry price as the market moved against the position. The trade ultimately recovered operationally, but the extended holding period resulted in elevated funding and transaction costs that offset the gross gain, producing a small net loss.
This is a tradeoff inherent in the strategy's design. In most cases, the entry process resolves favorably within its expected timeframe. In extended holds, fixed costs - particularly funding rates - can erode the gross gain. June's funding costs across the full book were the highest of any month, reflecting both this position and broader market conditions.
The cost was understood and accepted. Risk was contained throughout.
04 / Looking Ahead
June reinforced something we have observed repeatedly: market volatility alone is not what drives the strategy. What matters is the quality of the dislocations that volatility creates.
June produced three very different environments within a single month - a liquidation cascade, a macro-driven relief rally, and a slow institutional de-risking. Each presented its own challenges. The system adapted to each without changing its underlying process. That adaptability - within a fixed framework - is what gives us confidence going forward.
The system continues to operate within all defined parameters.