Strategy backtest information¶
This notebook provides the information about the strategy performance
- The strategy backtesting methodology
- Benchmarking against cryptocurrency indexes
- Success of trading
| Strategy name | ETH-BTC-USDC momentum |
|---|---|
| Report created | 2024-04-09 11:16:03 |
| Backtesting period start | 2019-01-02 00:00:00 |
| Backtesting period end | 2024-03-15 00:00:00 |
| Trades | 182 |
Performance and risk metrics¶
Side-by-side comparison of strategy and buy and portfolio performance and risk metrics.
See risk-adjusted return to learn more about how to compare risk and reward ratios of different trading strategies.
| Strategy | BTC | ETH | |
|---|---|---|---|
| Start Period | 2019-01-02 | 2019-01-02 | 2019-01-02 |
| End Period | 2024-03-14 | 2024-03-14 | 2024-03-14 |
| Risk-Free Rate | 0.0% | 0.0% | 0.0% |
| Time in Market | 30.0% | 100.0% | 100.0% |
| Cumulative Return | 2,299.58% | 1,750.14% | 2,453.58% |
| CAGR﹪ | 84.25% | 75.26% | 86.47% |
| Sharpe | 1.78 | 1.18 | 1.17 |
| Prob. Sharpe Ratio | 100.0% | 99.57% | 99.56% |
| Sortino | 3.1 | 1.73 | 1.71 |
| Sortino/√2 | 2.19 | 1.23 | 1.21 |
| Omega | 1.65 | 1.65 | 1.65 |
| Max Drawdown | -33.89% | -76.63% | -79.3% |
| Longest DD Days | 293 | 846 | 856 |
| Gain/Pain Ratio | 0.65 | 0.21 | 0.2 |
| Gain/Pain (1M) | 4.22 | 1.37 | 1.38 |
| Payoff Ratio | 1.57 | 1.36 | 1.43 |
| Profit Factor | 1.65 | 1.21 | 1.2 |
| Common Sense Ratio | 3.41 | 1.31 | 1.34 |
| CPC Index | 1.33 | 0.84 | 0.89 |
| Tail Ratio | 2.06 | 1.09 | 1.12 |
| Outlier Win Ratio | 15.64 | 3.82 | 3.29 |
| Outlier Loss Ratio | 2.83 | 3.5 | 3.14 |
| MTD | 15.49% | 16.78% | 16.22% |
| 3M | 53.72% | 66.53% | 71.74% |
| 6M | 80.65% | 172.25% | 141.46% |
| YTD | 53.72% | 68.83% | 70.11% |
| 1Y | 66.81% | 196.05% | 131.96% |
| 3Y (ann.) | 55.98% | 4.05% | 19.66% |
| 5Y (ann.) | 94.45% | 71.34% | 90.47% |
| 10Y (ann.) | 84.25% | 75.26% | 86.47% |
| All-time (ann.) | 84.25% | 75.26% | 86.47% |
| Avg. Drawdown | -6.2% | -10.17% | -13.66% |
| Avg. Drawdown Days | 36 | 46 | 45 |
| Recovery Factor | 67.86 | 22.84 | 30.94 |
| Ulcer Index | 0.11 | 0.42 | 0.46 |
| Serenity Index | 21.89 | 2.02 | 3.06 |
| Annualised return (raw) | 0.842514 | NaN | NaN |
Equity curve¶
The equity curve allows to examine how stable the strategy profitability is.
Here we plot
- The strategy equity curve
- Maximum drawdown
- Daily profit
Monthly returns¶
Here we show the backtested returns by each month, and visualise the streaks of good and bad months.
Trading metrics¶
Overview of the performance of trades this strategy took.
- How many winning and losing trades we had
- How much on average each trade made
| Returns | |
|---|---|
| Annualised return % | 441.99% |
| Lifetime return % | 2299.58% |
| Realised PnL | $146,101.61 |
| Unrealised PnL | $58,597.43 |
| Trade period | 1899 days 0 hours |
| Time in market volatile | 26.80% |
| Total interest earned | $0.00 |
| Total funding cost | $0.00 |
| Holdings | |
|---|---|
| Total assets | $239,958.48 |
| Cash left | $4,380.27 |
| Open position value | $235,578.22 |
| Open positions | 2 |
| Winning | Losing | Delta Neutral | Total | |
|---|---|---|---|---|
| Closed Positions | ||||
| Number of positions | 31 | 28 | 0 | 59 |
| % of total | 52.54% | 47.46% | 0.00% | 100.00% |
| Average PnL % | 12.93% | -4.02% | - | 4.89% |
| Median PnL % | 8.01% | -3.64% | - | 1.09% |
| Biggest PnL % | 43.26% | -9.87% | - | - |
| Average duration | 14 days 19 hours | 5 days 19 hours | 0 hours 0 minutes | 10 days 13 hours |
| Max consecutive streak | 5 | 4 | 0 | - |
| Max runup / drawdown | 2588.54% | -33.89% | - | - |
| Stop losses | Take profits | |
|---|---|---|
| Position Exits | ||
| Triggered exits | 0 | 0 |
| Percent winning | - | - |
| Percent losing | - | - |
| Percent of total | 0.00% | 0.00% |
| Risk Analysis | |
|---|---|
| Biggest realised risk | -9.47% |
| Average realised risk | -3.51% |
| Max pullback of capital | -28.42% |
| Sharpe Ratio | 1.78 |
| Sortino Ratio | 3.10 |
| Profit Factor | 1.65 |
More trading metrics¶
Trading metrics show how successfully the strategy trading is.
| 0 | |
|---|---|
| Trading period length | 1847 days 0 hours |
| Return % | 2299.58% |
| Annualised return % | 454.44% |
| Cash at start | $10,000.00 |
| Value at end | $239,958.48 |
| Time in market | 25.34% |
| Trade volume | $9,697,726.45 |
| Position win percent | 52.54% |
| Total positions | 59 |
| Won positions | 31 |
| Lost positions | 28 |
| Stop losses triggered | 0 |
| Stop loss % of all | 0.00% |
| Winning stop losses | 0 |
| Winning stop losses percent | - |
| Losing stop losses | 0 |
| Losing stop losses percent | - |
| Take profits triggered | 0 |
| Take profit % of all | 0.00% |
| Take profit % of won | 0.00% |
| Zero profit positions | 0 |
| Positions open at the end | 2 |
| Realised profit and loss | $146,101.61 |
| Unrealised profit and loss | $58,597.43 |
| Portfolio unrealised value | $235,578.22 |
| Extra returns on lending pool interest | $0.00 |
| Cash left at the end | $4,380.27 |
| Average winning position profit % | 12.93% |
| Average losing position loss % | -4.02% |
| Biggest winning position % | 43.26% |
| Biggest losing position % | -9.87% |
| Average duration of winning positions | 14 days 19 hours |
| Average duration of losing positions | 5 days 19 hours |
| Average duration between position openings | 31 days 10 hours |
| Average positions per day | 0.03 |
| Average interest paid | $0.00 |
| Median interest paid | $0.00 |
| Total interest paid | $0.00 |
| LP fees paid | $29,136.93 |
| LP fees paid % of volume | 0.30% |
| Average position | 4.89% |
| Median position | 1.09% |
| Most consecutive wins | 5 |
| Most consecutive losses | 4 |
| Biggest realised risk | -9.47% |
| Avg realised risk | -3.51% |
| Max pullback of total capital | -28.42% |
| Max loss risk at opening of position | 98.00% |
Periodic return distribution¶
Show performance variations for different timeframes.
Individual trading position analysis¶
Examine the data of every individual trading position entry, exit and profitability.
| Remarks | Type | Opened at | Duration | Exchange | Base asset | Quote asset | Position max value | PnL USD | PnL % | Open mid price USD | Close mid price USD | Trade count | LP fees |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Long | 2019-02-19 | 6 days | BTC | USDT | $404.41 | $-18.28 | -4.52% | $3,909.042050 | $3,732.329320 | 2 | $2.38 | ||
| Long | 2019-02-19 | 6 days | ETH | USDT | $9,395.59 | $-927.38 | -9.87% | $146.127070 | $131.703700 | 2 | $53.67 | ||
| Long | 2019-04-03 | 9 days | BTC | USDT | $7,310.45 | $322.07 | 4.41% | $4,871.761570 | $5,002.317890 | 3 | $44.90 | ||
| Long | 2019-04-03 | 9 days | ETH | USDT | $1,562.80 | $-276.32 | -4.74% | $163.749780 | $163.567820 | 3 | $34.21 | ||
| Long | 2019-05-05 | 18 days | BTC | USDT | $8,918.09 | $3,178.73 | 35.64% | $5,847.319490 | $7,604.916600 | 4 | $63.15 | ||
| Long | 2019-05-15 | 8 days | ETH | USDT | $5,699.91 | $585.35 | 6.02% | $217.049200 | $242.948960 | 3 | $60.22 | ||
| Long | 2019-06-22 | 6 days | BTC | USDT | $12,606.89 | $1,367.86 | 10.85% | $10,190.339580 | $11,296.000030 | 2 | $79.87 | ||
| Long | 2019-09-18 | 6 days | ETH | USDT | $13,947.39 | $-523.67 | -3.75% | $208.473550 | $200.646250 | 2 | $82.23 | ||
| Long | 2020-01-07 | 3 days | BTC | USDT | $1,471.28 | $-540.07 | -4.07% | $7,782.176700 | $7,794.286780 | 3 | $78.02 | ||
| Long | 2020-01-07 | 1 days | ETH | USDT | $11,962.91 | $-182.11 | -1.52% | $144.572420 | $142.371600 | 2 | $71.34 | ||
| Long | 2020-01-11 | 1 days | BTC | USDT | $8,740.29 | $-241.81 | -2.77% | $8,223.456580 | $7,995.949970 | 2 | $51.79 | ||
| Long | 2020-01-11 | 9 days | ETH | USDT | $3,986.17 | $1,219.48 | 7.36% | $145.264490 | $166.289630 | 5 | $103.24 | ||
| Long | 2020-01-13 | 7 days | BTC | USDT | $5,511.58 | $365.56 | 6.63% | $8,209.524910 | $8,675.614840 | 3 | $34.22 | ||
| Long | 2020-01-28 | 7 days | BTC | USDT | $14,042.83 | $517.41 | 3.68% | $8,934.292710 | $9,263.475950 | 2 | $85.94 | ||
| Long | 2020-02-06 | 14 days | ETH | USDT | $14,549.89 | $3,792.34 | 26.06% | $204.391340 | $257.664680 | 2 | $98.84 | ||
| Long | 2020-04-07 | 34 days | BTC | USDT | $886.26 | $1,918.64 | 4.62% | $7,351.889700 | $8,696.601690 | 7 | $255.40 | ||
| Long | 2020-04-07 | 1 days | ETH | USDT | $17,380.13 | $-779.61 | -4.49% | $171.833960 | $164.126140 | 2 | $102.09 | ||
| Long | 2020-04-17 | 3 days | ETH | USDT | $15,943.60 | $613.75 | 3.85% | $172.826930 | $179.479940 | 2 | $97.65 | ||
| Long | 2020-04-24 | 38 days | ETH | USDT | $9,992.53 | $5,448.00 | 19.76% | $186.126710 | $230.865320 | 4 | $182.03 | ||
| Long | 2020-07-24 | 19 days | ETH | USDT | $25,323.16 | $9,328.01 | 36.84% | $276.135930 | $377.853030 | 2 | $180.24 | ||
| Long | 2020-10-22 | 36 days | BTC | USDT | $34,464.60 | $14,910.88 | 43.26% | $12,819.092250 | $17,098.021590 | 3 | $251.97 | ||
| Long | 2020-11-22 | 5 days | ETH | USDT | $40,805.41 | $-2,637.01 | -6.46% | $554.077260 | $518.270510 | 2 | $237.27 | ||
| Long | 2020-12-18 | 25 days | BTC | USDT | $46,492.99 | $17,730.36 | 24.52% | $22,865.541450 | $35,304.138890 | 4 | $487.84 | ||
| Long | 2021-01-04 | 8 days | ETH | USDT | $56,366.06 | $8,681.55 | 15.40% | $981.264990 | $1,083.739000 | 3 | $364.83 | ||
| Long | 2021-02-09 | 15 days | BTC | USDT | $72,376.66 | $3,470.46 | 4.79% | $46,513.984580 | $48,744.327000 | 2 | $445.36 | ||
| Long | 2021-03-14 | 2 days | BTC | USDT | $75,777.70 | $-7,326.34 | -9.67% | $61,371.945140 | $55,438.384400 | 2 | $433.31 | ||
| Long | 2021-04-03 | 1 days | ETH | USDT | $68,597.89 | $-4,408.25 | -6.43% | $2,140.091070 | $2,002.564230 | 2 | $398.94 | ||
| Long | 2021-04-16 | 2 days | ETH | USDT | $64,277.81 | $-5,375.68 | -8.36% | $2,521.582120 | $2,310.697050 | 2 | $370.07 | ||
| Long | 2021-05-02 | 12 days | ETH | USDT | $59,009.64 | $15,045.81 | 25.50% | $2,953.664490 | $3,706.766240 | 2 | $399.86 | ||
| Long | 2021-07-25 | 10 days | ETH | USDT | $73,754.53 | $1,272.68 | 0.89% | $2,191.454700 | $2,500.984470 | 6 | $865.43 | ||
| Long | 2021-07-26 | 7 days | BTC | USDT | $37,721.28 | $6,193.05 | 9.74% | $35,487.163060 | $39,730.719190 | 4 | $400.72 | ||
| Long | 2021-08-06 | 7 days | BTC | USDT | $81,070.95 | $6,491.63 | 8.01% | $40,985.047380 | $44,266.859820 | 2 | $506.69 | ||
| Long | 2021-10-07 | 15 days | BTC | USDT | $87,432.74 | $10,283.77 | 11.76% | $55,480.945000 | $62,006.570550 | 2 | $556.33 | ||
| Long | 2022-02-05 | 6 days | BTC | USDT | $22,458.58 | $945.48 | 1.47% | $41,696.415100 | $43,364.953680 | 4 | $388.81 | ||
| Long | 2022-02-05 | 6 days | ETH | USDT | $75,052.26 | $-329.82 | -0.28% | $3,003.974970 | $3,063.142920 | 4 | $696.85 | ||
| Long | 2022-02-16 | 1 days | BTC | USDT | $29,410.77 | $-616.51 | -2.10% | $44,678.484550 | $43,741.939320 | 2 | $174.88 | ||
| Long | 2022-02-16 | 44 days | ETH | USDT | $68,703.41 | $3,092.20 | 1.78% | $3,193.080590 | $3,271.665470 | 9 | $1,053.48 | ||
| Long | 2022-03-01 | 31 days | BTC | USDT | $66,575.43 | $-4,197.80 | -3.52% | $43,289.480000 | $45,373.818950 | 7 | $703.57 | ||
| Long | 2022-07-17 | 1 days | ETH | USDT | $96,426.53 | $-1,792.06 | -1.86% | $1,359.907520 | $1,334.634050 | 2 | $574.04 | ||
| Long | 2022-07-19 | 3 days | BTC | USDT | $94,670.31 | $2,452.42 | 2.59% | $22,499.877740 | $23,082.733430 | 2 | $576.26 | ||
| Long | 2022-07-28 | 3 days | ETH | USDT | $97,073.68 | $3,033.05 | 3.12% | $1,640.647220 | $1,691.909000 | 2 | $592.44 | ||
| Long | 2022-08-06 | 9 days | ETH | USDT | $100,046.07 | $10,767.96 | 10.76% | $1,742.020430 | $1,929.514040 | 2 | $633.58 | ||
| Long | 2022-09-10 | 2 days | ETH | USDT | $110,598.67 | $2,613.28 | 2.36% | $1,723.394720 | $1,760.821640 | 3 | $672.45 | ||
| Long | 2022-09-11 | 3 days | BTC | USDT | $46,966.65 | $-8,838.51 | -7.81% | $21,712.151630 | $20,113.099140 | 3 | $653.37 | ||
| Long | 2022-10-05 | 33 days | BTC | USDT | $104,497.95 | $-3,540.22 | -1.18% | $20,398.833460 | $20,842.863260 | 6 | $1,791.42 | ||
| Long | 2022-10-24 | 8 days | ETH | USDT | $89,307.56 | $13,033.69 | 14.59% | $1,368.282570 | $1,567.971930 | 2 | $575.87 | ||
| Long | 2022-11-05 | 1 days | ETH | USDT | $95,448.95 | $-1,597.76 | -1.67% | $1,649.714340 | $1,622.099060 | 2 | $568.75 | ||
| Long | 2022-12-14 | 2 days | BTC | USDT | $112,235.74 | $-3,300.24 | -2.94% | $17,829.147460 | $17,304.889120 | 2 | $664.50 | ||
| Long | 2023-01-05 | 3 days | ETH | USDT | $109,001.50 | $-35.70 | -0.03% | $1,260.680730 | $1,260.267820 | 2 | $654.89 | ||
| Long | 2023-01-09 | 22 days | BTC | USDT | $108,966.52 | $35,104.03 | 32.22% | $17,179.213490 | $22,758.897860 | 3 | $760.41 | ||
| Long | 2023-01-21 | 10 days | ETH | USDT | $39,814.42 | $-2,441.13 | -6.13% | $1,663.505590 | $1,561.511370 | 2 | $231.90 | ||
| Long | 2023-03-18 | 7 days | BTC | USDT | $140,976.16 | $-539.84 | -0.38% | $27,477.315390 | $27,372.096620 | 2 | $845.51 | ||
| Long | 2023-04-15 | 5 days | ETH | USDT | $140,447.12 | $-11,892.43 | -8.47% | $2,106.289970 | $1,927.938780 | 2 | $808.17 | ||
| Long | 2023-06-22 | 14 days | BTC | USDT | $128,792.53 | $1,410.26 | 1.09% | $30,083.871670 | $30,413.285600 | 2 | $778.16 | ||
| Long | 2023-09-20 | 1 days | BTC | USDT | $130,174.59 | $-1,184.06 | -0.91% | $27,291.880750 | $27,043.634970 | 2 | $778.66 | ||
| Long | 2023-09-29 | 4 days | ETH | USDT | $129,014.21 | $-41.73 | -0.03% | $1,657.959000 | $1,657.422770 | 2 | $775.12 | ||
| Long | 2023-10-05 | 41 days | BTC | USDT | $128,973.31 | $37,650.01 | 21.30% | $27,861.905710 | $35,444.546400 | 4 | $1,175.32 | ||
| Long | 2023-11-10 | 5 days | ETH | USDT | $154,596.60 | $-9,482.92 | -6.13% | $2,127.693990 | $1,973.461800 | 3 | $900.44 | ||
| Long | 2023-12-05 | 7 days | BTC | USDT | $156,577.07 | $-3,670.91 | -2.34% | $42,117.073300 | $41,129.649770 | 2 | $929.83 | ||
| Long | 2024-02-10 | BTC | USDT | $152,979.58 | $47,274.178340 | 6 | $1,579.45 | ||||||
| Long | 2024-02-13 | ETH | USDT | $82,621.08 | $2,667.969970 | 5 | $1,118.75 |