/usr/local/lib/python3.11/site-packages/dataclasses_json/core.py:187: RuntimeWarning:

'NoneType' object value of non-optional type exchange_address detected when decoding TradingPairIdentifier.

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 2025-08-29 16:01:11
Backtesting data start 2024-01-01 04:00:00
Backtesting data end 2025-06-01 00:00:00
Backtesting data window 516 days, 20:00:00
Trading period start 2024-01-01 04:00:00
Trading period end 2025-06-01 00:00:00
Trading period duration 516 days, 20:00:00
Trades 9042

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 2025-05-31 2025-05-31 2025-05-31
Risk-Free Rate 0.0% 0.0% 0.0%
Time in Market 100.0% 50.0% 50.0%
Cumulative Return 219.36% 73.25% 3.68%
CAGR﹪ 76.31% 30.79% 1.78%
Sharpe 2.57 1.31 0.31
Prob. Sharpe Ratio 99.99% 94.43% 64.5%
Smart Sharpe 2.43 1.25 0.3
Sortino 5.88 2.11 0.46
Smart Sortino 5.57 2.02 0.44
Sortino/√2 4.16 1.49 0.33
Smart Sortino/√2 3.94 1.43 0.31
Omega 1.75 1.73 1.73
Max Drawdown -15.39% -27.96% -63.52%
Longest DD Days 227 153 175
Volatility (ann.) 34.1% 34.03% 53.12%
Calmar 4.96 1.1 0.03
Skew 3.24 0.73 0.63
Kurtosis 21.26 6.19 10.97
Expected Daily 0.22% 0.11% 0.01%
Expected Monthly 7.07% 3.29% 0.21%
Expected Yearly 78.71% 31.62% 1.82%
Kelly Criterion 26.06% 12.73% 4.92%
Risk of Ruin 0.0% 0.0% 0.0%
Daily Value-at-Risk -2.7% -2.81% -4.53%
Expected Shortfall (cVaR) -2.7% -2.81% -4.53%
Max Consecutive Wins 38 7 7
Max Consecutive Losses 6 6 6
Gain/Pain Ratio 0.75 0.31 0.07
Gain/Pain (1M) 6.91 2.34 0.38
Payoff Ratio 1.13 1.27 1.15
Profit Factor 1.75 1.31 1.07
Common Sense Ratio 3.24 1.65 1.19
CPC Index 1.2 0.85 0.6
Tail Ratio 1.85 1.26 1.11
Outlier Win Ratio 7.51 7.58 7.3
Outlier Loss Ratio 3.99 2.15 2.0
MTD 1.09% 10.05% 39.58%
3M 8.78% 22.91% 7.89%
6M 55.68% 8.87% -29.23%
YTD 35.27% 12.73% -24.19%
1Y 71.96% 73.25% 3.68%
3Y (ann.) 76.31% 30.79% 1.78%
5Y (ann.) 76.31% 30.79% 1.78%
10Y (ann.) 76.31% 30.79% 1.78%
All-time (ann.) 76.31% 30.79% 1.78%
Best Day 16.81% 10.48% 20.49%
Worst Day -4.28% -7.87% -13.83%
Best Month 79.25% 34.5% 39.58%
Worst Month -8.48% -19.71% -29.83%
Best Year 136.09% 53.69% 36.76%
Worst Year 35.27% 12.73% -24.19%
Avg. Drawdown -4.22% -4.79% -10.66%
Avg. Drawdown Days 26 14 22
Recovery Factor 8.07 2.26 0.37
Ulcer Index 0.07 0.08 0.23
Serenity Index 2.31 0.95 0.06
Avg. Up Month 14.78% 16.85% 19.05%
Avg. Down Month -3.09% -19.71% -29.83%
Win Days 60.74% 51.18% 49.22%
Win Month 64.71% 66.67% 55.56%
Win Quarter 66.67% 75.0% 75.0%
Win Year 100.0% 100.0% 50.0%
Annualised return (raw) 0.763107 NaN NaN
Benchmark start 2024-01-01 04:00:00 2024-09-14 13:00:00 2024-09-14 13:00:00
Start price - 59733.64 2418.52
End price - 104497.94 2525.79
Price diff - 0.75 0.04
Multiplier X - 1.75 1.04
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