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 All-time high on Base
Report created 2025-04-25 11:28:03
Backtesting data start 2024-01-01 02:00:00
Backtesting data end 2025-03-12 00:00:00
Backtesting data window 435 days, 22:00:00
Trading period start 2024-01-01 02:00:00
Trading period end 2025-03-12 00:00:00
Trading period duration 435 days, 22:00:00
Trades 9740

Benchmark

This is the benchmark of this strategy.

Here we compare the returns and different risk metrics of the strategy performance:

  • The strategy estimated performance based on this backtest
  • Buy and hold -cryptocurrency indexes

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 cbBTC ETH
Start Period 2024-01-01 2024-01-01 2024-01-01
End Period 2025-03-11 2025-03-11 2025-03-11
Risk-Free Rate 0.0% 0.0% 0.0%
Time in Market 100.0% 40.0% 41.0%
Cumulative Return 435.87% 29.32% -25.37%
CAGR﹪ 164.45% 16.06% -15.59%
Sharpe 4.34 0.84 -0.33
Prob. Sharpe Ratio 100.0% 82.29% 36.06%
Smart Sharpe 4.17 0.82 -0.32
Sortino 10.54 1.31 -0.44
Smart Sortino 10.13 1.28 -0.42
Sortino/√2 7.45 0.92 -0.31
Smart Sortino/√2 7.17 0.9 -0.3
Omega 2.62 2.52 2.52
Max Drawdown -7.37% -26.84% -54.86%
Longest DD Days 108 83 94
Volatility (ann.) 33.71% 31.69% 44.51%
Calmar 22.32 0.6 -0.28
Skew 1.99 0.75 -0.58
Kurtosis 7.07 8.18 8.81
Expected Daily 0.39% 0.06% -0.07%
Expected Monthly 11.84% 1.73% -1.93%
Expected Yearly 131.49% 13.72% -13.61%
Kelly Criterion 45.21% 11.23% -0.58%
Risk of Ruin 0.0% 0.0% 0.0%
Daily Value-at-Risk -2.5% -2.66% -3.87%
Expected Shortfall (cVaR) -2.5% -2.66% -3.87%
Max Consecutive Wins 30 7 7
Max Consecutive Losses 8 6 6
Gain/Pain Ratio 1.62 0.21 -0.07
Gain/Pain (1M) 42.22 0.97 -0.29
Payoff Ratio 0.96 1.26 0.98
Profit Factor 2.62 1.21 0.93
Common Sense Ratio 6.55 1.47 0.84
CPC Index 1.84 0.77 0.46
Tail Ratio 2.5 1.22 0.9
Outlier Win Ratio 7.95 11.05 10.0
Outlier Loss Ratio 3.59 2.17 1.85
MTD -0.87% -7.84% -20.94%
3M 87.9% -20.7% -51.86%
6M 164.78% 29.32% -25.37%
YTD 52.8% -15.86% -45.43%
1Y 269.75% 29.32% -25.37%
3Y (ann.) 164.45% 16.06% -15.59%
5Y (ann.) 164.45% 16.06% -15.59%
10Y (ann.) 164.45% 16.06% -15.59%
All-time (ann.) 164.45% 16.06% -15.59%
Best Day 9.83% 10.48% 11.3%
Worst Day -5.25% -7.84% -13.83%
Best Month 52.07% 34.5% 35.16%
Worst Month -1.94% -19.71% -29.83%
Best Year 250.69% 53.69% 36.76%
Worst Year 52.8% -15.86% -45.43%
Avg. Drawdown -2.91% -4.58% -9.88%
Avg. Drawdown Days 12 9 14
Recovery Factor 23.72 1.18 0.32
Ulcer Index 0.03 0.05 0.13
Serenity Index 20.48 1.1 -0.13
Avg. Up Month 18.2% 16.86% 14.83%
Avg. Down Month -1.08% -7.84% -20.94%
Win Days 73.17% 50.57% 50.28%
Win Month 73.33% 57.14% 42.86%
Win Quarter 100.0% 66.67% 66.67%
Win Year 100.0% 50.0% 50.0%
Annualised return (raw) 1.644541 NaN NaN
Benchmark start 2024-01-01 02:00:00 2024-09-14 13:00:00 2024-09-14 13:00:00
Start price - 59733.64 2418.52
End price - 82738.00 1911.66
Price diff - 0.39 -0.21
Multiplier X - 1.39 0.79
Candle freq - 0 days 01:00:00 0 days 01:00:00

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