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 enzyme-polygon-eth-rolling-ratio
Report created 2024-08-14 20:02:00
Backtesting data start 2020-01-02 00:00:00
Backtesting data end 2024-07-15 00:00:00
Backtesting data window 1656 days, 0:00:00
Trading period start 2020-03-06 00:00:00
Trading period end 2024-07-15 00:00:00
Trading period duration 1592 days, 0:00:00
Trades 68

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 BTC ETH
Start Period 2020-01-02 2020-01-02 2020-01-02
End Period 2024-07-14 2024-07-14 2024-07-14
Risk-Free Rate 0.0% 0.0% 0.0%
Time in Market 35.0% 97.0% 97.0%
Cumulative Return 2,903.71% 565.78% 1,225.17%
CAGR﹪ 111.78% 51.91% 76.81%
Sharpe 2.02 0.97 1.11
Prob. Sharpe Ratio 100.0% 97.89% 98.99%
Sortino 3.97 1.41 1.62
Sortino/√2 2.81 1.0 1.15
Omega 1.74 1.74 1.74
Max Drawdown -26.67% -76.63% -79.3%
Longest DD Days 158 846 978
Gain/Pain Ratio 0.74 0.17 0.19
Gain/Pain (1M) 6.21 1.07 1.36
Payoff Ratio 1.55 1.29 1.24
Profit Factor 1.74 1.17 1.19
Common Sense Ratio 2.87 1.26 1.35
CPC Index 1.42 0.77 0.77
Tail Ratio 1.65 1.08 1.14
Outlier Win Ratio 13.17 4.04 3.51
Outlier Loss Ratio 3.0 3.41 3.0
MTD 0.0% -3.14% -5.62%
3M 9.16% -4.89% 7.92%
6M 16.45% 41.89% 25.87%
YTD 34.96% 43.79% 42.21%
1Y 53.33% 93.29% 61.89%
3Y (ann.) 71.07% 8.59% -0.8%
5Y (ann.) 111.78% 51.91% 76.81%
10Y (ann.) 111.78% 51.91% 76.81%
All-time (ann.) 111.78% 51.91% 76.81%
Avg. Drawdown -5.24% -11.09% -13.81%
Avg. Drawdown Days 13 44 47
Recovery Factor 108.87 7.38 15.45
Ulcer Index 0.08 0.42 0.45
Serenity Index 50.34 0.61 1.51
Annualised return (raw) 1.117817 NaN NaN
Benchmark start 2020-03-06 00:00:00 2020-03-06 00:00:00 2020-03-06 00:00:00
Start price - 9131.88 244.88
End price - 64724.14 3483.39
Price diff - 6.09 13.22
Multiplier X - 7.09 14.22
Candle freq - 1 days 00:00:00 1 days 00:00:00

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 % 640.01%
Lifetime return % 2903.71%
Realised PnL $290,371.17
Unrealised PnL $0.00
Trade period 1656 days 0 hours
Time in market volatile 32.97%
Total interest earned $0.00
Total funding cost $0.00
Holdings
Total assets $300,371.17
Cash left $300,371.17
Open position value $0.00
Open positions 0
Winning Losing Delta Neutral Total
Closed Positions
Number of positions 27 7 0 34
% of total 79.41% 20.59% 0.00% 100.00%
Average PnL % 18.27% -13.90% - 11.65%
Median PnL % 16.53% -13.74% - 16.08%
Biggest PnL % 33.81% -15.51% - -
Average duration 15 days 1 hours 19 days 20 hours 0 hours 0 minutes 16 days 1 hours
Max consecutive streak 6 1 0 -
Max runup / drawdown 3377.96% -26.67% - -
Stop losses Take profits
Position Exits
Triggered exits 7 27
Percent winning 0.00% 100.00%
Percent losing 100.00% 0.00%
Percent of total 20.59% 79.41%
Risk Analysis
Biggest realised risk -15.20%
Average realised risk -13.62%
Max pullback of capital -17.93%
Sharpe Ratio 2.02
Sortino Ratio 3.97
Profit Factor 1.74

More trading metrics

Trading metrics show how successfully the strategy trading is.

0
Trading period length 1517 days 0 hours
Return % 2903.71%
Annualised return % 698.65%
Cash at start $10,000.00
Value at end $300,371.17
Time in market 35.99%
Time in market volatile 35.99%
Trade volume $6,572,971.31
Position win percent 79.41%
Total positions 34
Won positions 27
Lost positions 7
Stop losses triggered 7
Stop loss % of all 20.59%
Winning stop losses 0
Winning stop losses percent 0.00%
Losing stop losses 7
Losing stop losses percent 100.00%
Take profits triggered 27
Take profit % of all 79.41%
Take profit % of won 100.00%
Zero profit positions 0
Positions open at the end 0
Realised profit and loss $290,371.17
Unrealised profit and loss $0.00
Portfolio unrealised value $0.00
Extra returns on lending pool interest $0.00
Cash left at the end $300,371.17
Average winning position profit % 18.27%
Average losing position loss % -13.90%
Biggest winning position % 33.81%
Biggest losing position % -15.51%
Average duration of winning positions 15 days 1 hours
Average duration of losing positions 19 days 20 hours
Average duration between position openings 45 days 7 hours
Average positions per day 0.02
Average interest paid $0.00
Median interest paid $0.00
Total interest paid $0.00
LP fees paid $3,287.34
LP fees paid % of volume 0.05%
Average position 11.65%
Median position 16.08%
Most consecutive wins 6
Most consecutive losses 1
Biggest realised risk -15.20%
Avg realised risk -13.62%
Max pullback of total capital -17.93%
Max loss risk at opening of position 11.80%

Periodic return distribution

Show performance variations for different timeframes.

No description has been provided for this image

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
0 ETH-USDT spot 34 68 396.10% 290,371.17 33.81% -15.51% 11.65% 16.08% 6,572,971.31 27 7 27 7 0 13.69%

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 Notes
TP Long 2020-03-27 11 days ETH USDT $9,800.00 $2,318.92 23.66% $138.469200 $171.234340 2 $10.96
TP Long 2020-04-09 21 days ETH USDT $12,072.54 $2,930.79 24.28% $173.236575 $215.292300 2 $13.54
TP Long 2020-05-21 10 days ETH USDT $14,944.71 $2,382.47 15.94% $210.094995 $243.588145 2 $16.14
TP Long 2020-10-06 17 days ETH USDT $17,279.53 $2,926.73 16.94% $353.806815 $413.733030 2 $18.75
SL Long 2020-11-24 3 days ETH USDT $20,147.72 $-2,955.37 -14.67% $608.884290 $519.570085 2 $18.67 Stoploss:535.5504000000001 mid-price:519.83
TP Long 2020-12-25 4 days ETH USDT $17,251.46 $3,306.55 19.17% $612.616155 $730.034800 2 $18.91
TP Long 2020-12-29 6 days ETH USDT $20,491.88 $6,928.41 33.81% $730.765200 $977.840835 2 $23.96
TP Long 2021-01-04 3 days ETH USDT $27,281.72 $6,391.80 23.43% $978.819165 $1,208.145625 2 $30.49
TP Long 2021-03-04 5 days ETH USDT $33,545.69 $5,642.90 16.82% $1,568.463840 $1,832.303390 2 $36.38
SL Long 2021-03-10 15 days ETH USDT $39,075.73 $-6,062.45 -15.51% $1,871.435250 $1,581.089060 2 $36.05 Stoploss:1646.04 mid-price:1581.88
TP Long 2021-04-03 12 days ETH USDT $33,134.53 $4,603.92 13.89% $2,134.756845 $2,431.373705 2 $35.45
TP Long 2021-06-28 3 days ETH USDT $37,646.37 $5,529.11 14.69% $1,983.261135 $2,274.542160 2 $40.42
SL Long 2021-07-02 18 days ETH USDT $43,064.90 $-5,918.69 -13.74% $2,107.463205 $1,817.820635 2 $40.11 Stoploss:1853.6408 mid-price:1818.73
TP Long 2021-07-20 4 days ETH USDT $37,264.58 $6,216.61 16.68% $1,819.639365 $2,123.197870 2 $40.38
TP Long 2021-07-26 6 days ETH USDT $43,356.86 $6,707.01 15.47% $2,190.914910 $2,529.834450 2 $46.72
TP Long 2021-08-02 6 days ETH USDT $49,929.72 $11,758.47 23.55% $2,556.777750 $3,158.899760 2 $55.82
TP Long 2021-10-10 11 days ETH USDT $61,453.02 $10,011.40 16.29% $3,576.617415 $4,159.289315 2 $66.48
TP Long 2021-10-25 15 days ETH USDT $71,264.19 $12,583.60 17.66% $4,084.371165 $4,805.576010 2 $77.58
TP Long 2022-01-22 14 days ETH USDT $83,596.12 $13,822.47 16.53% $2,568.753735 $2,993.492505 2 $90.53
SL Long 2022-02-06 15 days ETH USDT $97,142.14 $-12,680.96 -13.05% $3,014.146320 $2,620.679005 2 $90.82 Stoploss:2651.1232 mid-price:2621.99
TP Long 2022-03-19 11 days ETH USDT $84,714.80 $13,210.09 15.59% $2,940.309420 $3,398.809745 2 $91.34
SL Long 2022-05-18 9 days ETH USDT $97,660.69 $-14,026.13 -14.36% $2,091.765360 $1,791.343880 2 $90.67 Stoploss:1839.8336 mid-price:1792.24
TP Long 2022-07-16 3 days ETH USDT $83,915.09 $23,731.34 28.28% $1,231.865625 $1,580.239485 2 $95.81
TP Long 2022-09-28 29 days ETH USDT $107,171.80 $19,088.60 17.81% $1,328.674005 $1,565.326945 2 $116.75
TP Long 2023-01-02 10 days ETH USDT $125,878.62 $19,682.14 15.64% $1,200.930165 $1,388.705300 2 $135.76
TP Long 2023-01-29 52 days ETH USDT $145,167.12 $20,991.54 14.46% $1,572.886050 $1,800.329385 2 $155.70
TP Long 2023-03-22 24 days ETH USDT $165,738.82 $27,297.04 16.47% $1,802.130615 $2,098.940005 2 $179.44
SL Long 2023-06-25 59 days ETH USDT $192,489.93 $-24,802.01 -12.88% $1,875.887475 $1,634.182500 2 $180.13 Stoploss:1649.9560000000001 mid-price:1635.0
TP Long 2023-09-15 51 days ETH USDT $168,183.96 $23,493.87 13.97% $1,627.293240 $1,854.612230 2 $179.98
TP Long 2023-11-11 47 days ETH USDT $191,207.95 $27,447.55 14.35% $2,078.758860 $2,377.160825 2 $204.99
TP Long 2024-01-08 3 days ETH USDT $218,106.54 $35,382.05 16.22% $2,222.530710 $2,583.077815 2 $235.86
TP Long 2024-02-14 7 days ETH USDT $252,780.95 $35,600.76 14.08% $2,641.309995 $3,013.302595 2 $270.65
SL Long 2024-03-25 20 days ETH USDT $287,669.69 $-37,550.00 -13.05% $3,456.717495 $3,005.506495 2 $268.96 Stoploss:3040.3912 mid-price:3007.01
TP Long 2024-04-30 22 days ETH USDT $250,870.70 $44,380.66 17.69% $3,218.348370 $3,787.695205 2 $273.13