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 2025-03-27 11:13:20
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 12363

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 ETH
Start Period 2024-01-01 2024-01-01
End Period 2025-03-11 2025-03-11
Risk-Free Rate 0.0% 0.0%
Time in Market 100.0% 100.0%
Cumulative Return 387.56% -24.0%
CAGR﹪ 150.37% -14.7%
Sharpe 4.17 -0.01
Prob. Sharpe Ratio 100.0% 49.65%
Smart Sharpe 4.06 -0.01
Sortino 9.22 -0.01
Smart Sortino 8.98 -0.01
Sortino/√2 6.52 -0.01
Smart Sortino/√2 6.35 -0.01
Omega 2.51 2.51
Max Drawdown -8.83% -55.3%
Longest DD Days 108 364
Volatility (ann.) 33.19% 67.08%
Calmar 17.02 -0.27
Skew 1.66 0.2
Kurtosis 6.57 3.75
Expected Daily 0.36% -0.06%
Expected Monthly 11.14% -1.81%
Expected Yearly 120.81% -12.82%
Kelly Criterion 44.83% 12.03%
Risk of Ruin 0.0% 0.0%
Daily Value-at-Risk -2.48% -5.78%
Expected Shortfall (cVaR) -2.48% -5.78%
Max Consecutive Wins 35 7
Max Consecutive Losses 5 6
Gain/Pain Ratio 1.51 -0.0
Gain/Pain (1M) 32.0 -0.01
Payoff Ratio 0.86 1.26
Profit Factor 2.51 1.0
Common Sense Ratio 6.23 0.91
CPC Index 1.6 0.64
Tail Ratio 2.48 0.92
Outlier Win Ratio 8.09 3.3
Outlier Loss Ratio 3.72 2.61
MTD 0.26% -20.94%
3M 67.5% -51.86%
6M 131.35% -22.82%
YTD 47.39% -45.43%
1Y 257.7% -53.73%
3Y (ann.) 150.37% -14.7%
5Y (ann.) 150.37% -14.7%
10Y (ann.) 150.37% -14.7%
All-time (ann.) 150.37% -14.7%
Best Day 10.15% 19.74%
Worst Day -6.02% -13.83%
Best Month 51.94% 47.33%
Worst Month -3.24% -29.83%
Best Year 230.79% 39.28%
Worst Year 47.39% -45.43%
Avg. Drawdown -2.73% -9.04%
Avg. Drawdown Days 11 41
Recovery Factor 18.69 0.01
Ulcer Index 0.03 0.25
Serenity Index 17.48 -0.0
Avg. Up Month 14.41% 17.57%
Avg. Down Month -2.58% -26.44%
Win Days 74.54% 51.04%
Win Month 86.67% 40.0%
Win Quarter 100.0% 40.0%
Win Year 100.0% 50.0%
Annualised return (raw) 1.503685 NaN
Benchmark start 2024-01-01 02:00:00 2024-01-01 02:00:00
Start price - 2293.00
End price - 1911.66
Price diff - -0.17
Multiplier X - 0.83
Candle freq - 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
No description has been provided for this image

Monthly returns

Here we show the backtested returns by each month, and visualise the streaks of good and bad months.

No description has been provided for this image

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 % 324.51%
Lifetime return % 387.56%
Realised PnL $387,004.15
Unrealised PnL $551.82
Trade period 435 days 22 hours
Trade start 2024-01-01 02:00:00
Trade end 2025-03-12 00:00:00
Time in market volatile 208.74%
Total interest earned $15,920.40
Total funding cost $0.00
Holdings
Total assets $487,555.96
Cash left $24,350.88
Open position value $463,205.09
Open positions 1
Winning Losing Delta Neutral Total
Closed Positions
Number of positions 86 94 1274 1454
% of total 5.91% 6.46% 87.62% 100.00%
Average PnL % 15.56% -9.10% 0.01% 2.68%
Median PnL % 11.68% -7.72% 0.00% -0.60%
Biggest PnL % 100.01% -31.78% 0.46% -
Average duration 8 days 2 hours 3 days 4 hours 8 hours 0 minutes 5 days 12 hours
Max consecutive streak 7 12 66 -
Max runup / drawdown 434.67% -12.41% - -
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 -4.14%
Average realised risk -0.42%
Max pullback of capital -5.01%
Sharpe Ratio 4.09
Sortino Ratio 8.69
Profit Factor 1.28

More trading metrics

Trading metrics show how successfully the strategy trading is.

All Long Short
Trading period length 435 days 22 hours - -
Trading start 2024-01-01 02:00:00 2024-01-01 02:00:00 2024-01-01 02:00:00
Trading end 2025-03-12 00:00:00 2025-03-12 00:00:00 2025-03-12 00:00:00
Return % 387.56% 371.08% 0.00%
Annualised return % 324.51% 310.71% -
Cash at start $100,000.00 - -
Value at end $487,555.96 - -
Time in market 99.90% 51.63% 0.00%
Time in market volatile 208.74% 51.63% 0.00%
Trade volume $7,694,487.33 $7,694,487.33 $0.00
Position win percent 5.91% 47.78% -
Total positions 1454 180 0
Won positions 86 86 0
Lost positions 94 94 0
Stop losses triggered 0 0 0
Stop loss % of all 0.00% 0.00% -
Winning stop losses 0 0 0
Winning stop losses percent - - -
Losing stop losses 0 0 0
Losing stop losses percent - - -
Take profits triggered 0 0 0
Take profit % of all 0.00% 0.00% -
Take profit % of won 0.00% 0.00% -
Zero profit positions 0 0 0
Positions open at the end 1 0 0
Realised profit and loss $387,004.15 $371,083.74 $0.00
Unrealised profit and loss $551.82 $0.00 $0.00
Portfolio unrealised value $463,205.09 $0.00 $0.00
Extra returns on lending pool interest $0.00 $0.00 $0.00
Cash left at the end $24,350.88 - -
Average winning position profit % 15.56% 15.56% 0.00%
Average losing position loss % -9.10% -9.10% 0.00%
Biggest winning position % 100.01% 100.01% -
Biggest losing position % -31.78% -31.78% -
Average duration of winning positions 8 days 2 hours 8 days 2 hours 0 hours 0 minutes
Average duration of losing positions 3 days 4 hours 3 days 4 hours 0 hours 0 minutes
Average bars of winning positions 194 bars 194 bars 0 bars
Average bars of losing positions 76 bars 76 bars 0 bars
Average duration between position openings 7 hours 0 minutes 2 days 4 hours 0 hours 0 minutes
Average positions per day 3.34 0.41 0.00
Average interest paid $0.00 $0.00 -
Median interest paid $0.00 $0.00 -
Total interest paid $0.00 $0.00 $0.00
LP fees paid $56,948.39 $56,948.39 $0.00
LP fees paid % of volume 0.74% 0.74% 0.00%
Average position 2.68% 2.68% 0.00%
Median position -0.60% -0.60% 0.00%
Most consecutive wins 7 7 0
Most consecutive losses 12 12 0
Biggest realised risk -4.14% -4.14% 0.00%
Avg realised risk -0.42% -0.42% 0.00%
Max pullback of total capital -5.01% - -
Max loss risk at opening of position 95.00% 9.57% 0.00%
Max drawdown -12.41% - -

Periodic return distribution

Show performance variations for different timeframes.

No description has been provided for this image

Asset weights

Show weights of different assets during the backtest period.

Trading pair breakdown

  • Profit and loss breakdown per pair
Trading pair Positions Trades Total return % Total PnL USD Best Worst Avg Median Volume Wins Losses Take profits Stop losses Trailing stop losses Volatility
52 AKUMA-WETH spot 2 144 86.97% 46,609.71 100.01% -13.04% 43.49% 43.49% 156,098.03 1 1 0 0 0 56.53%
1 DEGEN-WETH spot 6 600 64.45% 64,072.44 37.19% -7.37% 10.74% 0.19% 653,842.55 3 3 0 0 0 18.73%
16 EAI-WETH spot 4 169 53.90% 6,723.22 24.58% -9.22% 13.47% 19.27% 75,068.91 3 1 0 0 0 13.71%
35 SKI-WETH spot 2 259 51.36% 27,641.52 31.02% 20.34% 25.68% 25.68% 226,089.68 2 0 0 0 0 5.34%
3 CIRCLE-WETH spot 3 221 46.85% 12,871.18 28.66% 4.92% 15.62% 13.27% 192,913.11 3 0 0 0 0 9.83%
54 FAI-WETH spot 2 229 46.65% 34,825.34 32.20% 14.45% 23.32% 23.32% 336,613.49 2 0 0 0 0 8.88%
36 AEROBUD-WETH spot 3 178 41.50% 6,352.05 44.32% -18.03% 13.83% 15.22% 81,261.83 2 1 0 0 0 25.47%
67 XCN-USDC spot 1 125 41.43% 7,428.94 41.43% 41.43% 41.43% 41.43% 43,293.13 1 0 0 0 0 0.00%
46 BEATS-WETH spot 1 52 38.21% 3,088.15 38.21% 38.21% 38.21% 38.21% 19,254.30 1 0 0 0 0 0.00%
63 DICKBUTT-WETH spot 1 140 37.51% 33,774.00 37.51% 37.51% 37.51% 37.51% 213,840.75 1 0 0 0 0 0.00%
15 BENJI-WETH spot 5 262 37.30% 9,112.57 19.78% -4.66% 7.46% 3.73% 169,885.23 3 2 0 0 0 10.09%
13 KEYCAT-WETH spot 5 375 35.34% 5,500.12 21.37% -10.32% 7.07% 11.73% 237,718.08 3 2 0 0 0 13.91%
40 AGENT-USDC spot 1 9 30.46% 647.17 30.46% 30.46% 30.46% 30.46% 4,896.20 1 0 0 0 0 0.00%
19 OM-WETH spot 5 130 27.53% 2,435.12 25.15% -5.32% 5.51% 2.93% 83,887.82 4 1 0 0 0 10.35%
53 REI-WETH spot 2 225 25.32% 28,448.59 16.79% 8.54% 12.66% 12.66% 454,429.01 2 0 0 0 0 4.12%
25 ALU-WETH spot 5 167 24.48% 3,672.96 30.01% -9.82% 4.90% -0.11% 59,482.52 2 3 0 0 0 13.48%
28 MOXIE-USDC spot 2 35 21.82% 282.70 29.20% -7.39% 10.91% 10.91% 13,248.11 1 1 0 0 0 18.30%
21 AIM-USDC spot 4 78 18.81% 2,699.30 35.49% -8.74% 4.70% -3.97% 44,438.05 1 3 0 0 0 17.93%
26 PEPE-WETH spot 4 337 18.49% 5,141.40 9.58% 0.39% 4.62% 4.26% 276,194.72 4 0 0 0 0 4.25%
38 LVLY-USDC spot 1 38 17.74% 1,734.11 17.74% 17.74% 17.74% 17.74% 21,286.97 1 0 0 0 0 0.00%
55 VADER-WETH spot 1 95 15.08% 4,256.36 15.08% 15.08% 15.08% 15.08% 60,715.48 1 0 0 0 0 0.00%
12 SNORT-WETH spot 1 18 13.59% 993.23 13.59% 13.59% 13.59% 13.59% 15,611.28 1 0 0 0 0 0.00%
65 Fartcoin-WETH spot 1 84 12.99% 12,393.50 12.99% 12.99% 12.99% 12.99% 203,197.55 1 0 0 0 0 0.00%
23 MIGGLES-WETH spot 3 231 11.91% 12,292.32 24.06% -17.62% 3.97% 5.46% 184,816.67 2 1 0 0 0 17.05%
37 TIG-USDC spot 2 134 11.84% 2,587.84 10.22% 1.62% 5.92% 5.92% 120,040.31 2 0 0 0 0 4.30%
48 MEY-WETH spot 1 44 11.64% 870.09 11.64% 11.64% 11.64% 11.64% 15,823.68 1 0 0 0 0 0.00%
47 SKICAT-WETH spot 1 91 11.38% 2,191.22 11.38% 11.38% 11.38% 11.38% 40,707.79 1 0 0 0 0 0.00%
11 Mog-WETH spot 6 130 9.88% 3,323.41 19.70% -10.70% 1.65% -0.39% 73,995.14 3 3 0 0 0 9.42%
42 dream-WETH spot 2 122 8.88% 570.99 22.23% -13.35% 4.44% 4.44% 63,933.47 1 1 0 0 0 17.79%
61 NATIVE-WETH spot 1 91 8.05% 4,410.07 8.05% 8.05% 8.05% 8.05% 114,013.62 1 0 0 0 0 0.00%
0 aBasUSDC-USDC credit 1275 3987 7.93% 16,472.22 0.45% 0.00% 0.01% 0.00% 522,926,207.18 1275 0 0 0 0 0.02%
30 FROK-WETH spot 6 44 5.85% 392.91 8.69% -4.07% 0.97% -0.00% 58,122.33 3 3 0 0 0 3.89%
44 XGP-USDC spot 2 58 5.41% 221.82 12.82% -7.41% 2.70% 2.70% 17,530.85 1 1 0 0 0 10.11%
31 bsdETH-WETH spot 1 17 4.29% 147.80 4.29% 4.29% 4.29% 4.29% 7,044.46 1 0 0 0 0 0.00%
49 XSWAP-WETH spot 2 41 1.85% 197.94 8.78% -6.93% 0.92% 0.92% 12,225.89 1 1 0 0 0 7.85%
20 PRIME-WETH spot 4 97 1.84% 443.23 10.60% -6.86% 0.46% -0.95% 41,416.15 2 2 0 0 0 7.24%
51 PIGGY-WETH spot 1 2 1.80% 29.96 1.80% 1.80% 1.80% 1.80% 3,360.63 1 0 0 0 0 0.00%
4 BRETT-WETH spot 5 325 1.22% 19,595.83 25.92% -8.20% 0.24% -6.10% 301,544.13 1 4 0 0 0 13.00%
43 MASQ-WETH spot 1 4 1.06% 16.12 1.06% 1.06% 1.06% 1.06% 3,051.29 1 0 0 0 0 0.00%
34 RUSSELL-WETH spot 3 132 0.36% 1,738.82 16.44% -9.26% 0.12% -6.82% 49,076.97 1 2 0 0 0 11.58%
9 NPC-WETH spot 6 181 -0.04% 266.26 10.83% -10.78% -0.01% -0.13% 70,117.74 3 3 0 0 0 6.87%
17 VAB-WETH spot 1 3 -0.18% -3.53 -0.18% -0.18% -0.18% -0.18% 3,844.21 0 1 0 0 0 0.00%
8 BALD-WETH spot 1 34 -0.67% -46.49 -0.67% -0.67% -0.67% -0.67% 13,930.09 0 1 0 0 0 0.00%
7 CHUCK-WETH spot 2 134 -1.91% 4,060.60 14.56% -16.46% -0.95% -0.95% 79,050.18 1 1 0 0 0 15.51%
45 COPI-WETH spot 1 28 -2.17% -269.84 -2.17% -2.17% -2.17% -2.17% 24,604.75 0 1 0 0 0 0.00%
60 SPX-USDC spot 1 87 -2.24% -771.87 -2.24% -2.24% -2.24% -2.24% 68,145.23 0 1 0 0 0 0.00%
2 TOSHI-WETH spot 7 490 -3.77% 29,496.20 14.19% -14.77% -0.54% -5.82% 824,897.03 3 4 0 0 0 10.71%
39 UNI-WETH spot 1 3 -4.02% -70.41 -4.02% -4.02% -4.02% -4.02% 3,431.45 0 1 0 0 0 0.00%
50 VIRTUAL-WETH spot 2 136 -5.18% -1,058.49 1.41% -6.59% -2.59% -2.59% 81,876.21 1 1 0 0 0 4.00%
32 DOG-WETH spot 1 8 -8.01% -208.06 -8.01% -8.01% -8.01% -8.01% 4,983.94 0 1 0 0 0 0.00%
27 BUILD-WETH spot 1 8 -9.31% -550.02 -9.31% -9.31% -9.31% -9.31% 11,259.72 0 1 0 0 0 0.00%
59 CLANKFUN-WETH spot 1 39 -11.40% -1,929.34 -11.40% -11.40% -11.40% -11.40% 31,921.44 0 1 0 0 0 0.00%
64 BNKR-WETH spot 3 187 -11.55% 19,268.30 29.61% -25.06% -3.85% -16.10% 238,650.33 1 2 0 0 0 23.94%
5 BOOMER-WETH spot 5 209 -13.33% 2,875.27 21.35% -19.88% -2.67% -8.43% 82,694.54 2 3 0 0 0 13.94%
62 ORA-WETH spot 1 44 -14.86% -2,790.37 -14.86% -14.86% -14.86% -14.86% 34,772.92 0 1 0 0 0 0.00%
41 CLANKER-WETH spot 3 121 -15.73% -4,408.26 4.87% -16.93% -5.24% -3.67% 194,301.57 1 2 0 0 0 8.97%
6 CHAD-WETH spot 5 123 -15.75% 4,264.05 48.74% -31.78% -3.15% -7.36% 60,849.79 1 4 0 0 0 27.80%
56 CHAOS-WETH spot 1 59 -17.12% -13,890.37 -17.12% -17.12% -17.12% -17.12% 148,397.72 0 1 0 0 0 0.00%
10 KING-WETH spot 1 11 -19.22% -593.00 -19.22% -19.22% -19.22% -19.22% 5,576.48 0 1 0 0 0 0.00%
58 SIM-WETH spot 1 22 -22.48% -1,436.45 -22.48% -22.48% -22.48% -22.48% 11,345.41 0 1 0 0 0 0.00%
33 HELP-WETH spot 6 66 -23.70% -1,525.38 2.59% -14.51% -3.95% -2.75% 56,539.72 2 4 0 0 0 5.48%
24 imgnAI-WETH spot 3 177 -24.26% -8,349.78 -7.54% -8.37% -8.09% -8.35% 191,641.92 0 3 0 0 0 0.39%
29 BTCB-WETH spot 2 14 -24.72% -1,603.36 -0.60% -24.12% -12.36% -12.36% 17,107.40 0 2 0 0 0 11.76%
22 $mfer-WETH spot 4 118 -26.47% -4,439.63 -1.82% -12.04% -6.62% -6.30% 151,515.24 0 4 0 0 0 4.23%
57 AIXBT-USDC spot 3 103 -29.59% -804.29 6.36% -18.20% -9.86% -17.75% 105,283.10 1 2 0 0 0 11.48%
14 MOCHI-WETH spot 7 227 -34.10% -3,367.19 6.18% -16.51% -4.87% -6.60% 192,221.67 3 4 0 0 0 8.19%
66 MOR-WETH spot 2 21 -39.43% -1,407.34 -11.22% -28.21% -19.71% -19.71% 11,771.27 0 2 0 0 0 8.50%
18 SPEC-WETH spot 5 190 -41.59% -9,357.50 -2.54% -16.59% -8.32% -5.00% 223,786.07 0 5 0 0 0 5.60%

Trade notes

Examine the trade notes of the last few decision cycles in the backtest.

  0
2025-03-11 22:00:00 Cycle: #5231 Rebalanced: 👎 Open/about to open positions: 1 Max position value change: 0.00 USD Rebalance threshold: 125.00 USD Trades decided: 0 Pairs total: 256 Pairs meeting inclusion criteria: 60 Pairs meeting volume inclusion criteria: 109 Pairs meeting TVL inclusion criteria: 87 Signals created: 13 Total equity: 487,555.96 USD Cash: 24,350.88 USD Investable equity: 463,178.17 USD Accepted investable equity: 0.00 USD Allocated to signals: 0.00 USD Discarted allocation because of lack of lit liquidity: 0.00 USD Credit deposit flow: 26.92 USD Credit trades: [] Rebalance volume: 0.00 USD
2025-03-11 20:00:00 Cycle: #5230 Rebalanced: 👎 Open/about to open positions: 1 Max position value change: 0.00 USD Rebalance threshold: 125.00 USD Trades decided: 0 Pairs total: 256 Pairs meeting inclusion criteria: 60 Pairs meeting volume inclusion criteria: 107 Pairs meeting TVL inclusion criteria: 87 Signals created: 13 Total equity: 487,551.60 USD Cash: 24,350.88 USD Investable equity: 463,174.02 USD Accepted investable equity: 0.00 USD Allocated to signals: 0.00 USD Discarted allocation because of lack of lit liquidity: 0.00 USD Credit deposit flow: 26.70 USD Credit trades: [] Rebalance volume: 0.00 USD
2025-03-11 18:00:00 Cycle: #5229 Rebalanced: 👎 Open/about to open positions: 1 Max position value change: 0.00 USD Rebalance threshold: 125.00 USD Trades decided: 0 Pairs total: 256 Pairs meeting inclusion criteria: 60 Pairs meeting volume inclusion criteria: 108 Pairs meeting TVL inclusion criteria: 87 Signals created: 13 Total equity: 487,547.23 USD Cash: 24,350.88 USD Investable equity: 463,169.87 USD Accepted investable equity: 0.00 USD Allocated to signals: 0.00 USD Discarted allocation because of lack of lit liquidity: 0.00 USD Credit deposit flow: 26.48 USD Credit trades: [] Rebalance volume: 0.00 USD

Individual trading position analysis

Examine the data of every individual trading position entry, exit and profitability.

TODO: Currently disabled for lending-based strategies. Need to add lending data export.