Strategy backtest informationΒΆ

This notebook provides the information about the strategy performance

  • The strategy backtesting methodology
  • Benchmarking against cryptocurrency indexes
  • Success of trading
Strategy name ETH-MATIC-USDC momentum
Report created 2024-04-08 20:39:34
Backtesting period start 2022-01-01 08:00:00
Backtesting period end 2024-03-15 00:00:00
Trades 76

BenchmarkΒΆ

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 metricsΒΆ

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 MATIC
Start Period 2022-01-01 2022-01-01 2022-01-01
End Period 2024-03-14 2024-03-14 2024-03-14
Risk-Free Rate 0 0 0
Time in Market 12.0 77.0 77.0
Cumulative Return 48.6 213.63 117.25
CAGRοΉͺ 19.73 68.13 42.29
Sharpe 1.03 1.23 0.83
Prob. Sharpe Ratio 94.97 96.69 89.77
Sortino 1.87 1.9 1.34
Sortino/√2 1.32 1.34 0.95
Omega 1.54 1.54 1.54
Max Drawdown -22.61 -44.52 -67.01
Longest DD Days 412 242 390
Gain/Pain Ratio 0.54 0.25 0.16
Gain/Pain (1M) 2.31 2.72 1.14
Payoff Ratio 1.21 0.94 0.98
Profit Factor 1.54 1.25 1.16
Common Sense Ratio - 1.51 1.37
CPC Index 1.05 0.59 0.57
Tail Ratio - 1.21 1.19
Outlier Win Ratio 28.36 4.46 3.86
Outlier Loss Ratio 1.58 2.91 2.25
MTD 8.24 16.1 21.97
3M 27.11 71.66 37.66
6M 35.28 141.61 137.92
YTD 27.11 70.21 25.91
1Y 12.07 131.03 2.11
3Y (ann.) 19.73 68.13 42.29
5Y (ann.) 19.73 68.13 42.29
10Y (ann.) 19.73 68.13 42.29
All-time (ann.) 19.73 68.13 42.29
Avg. Drawdown -5.42 -7.53 -22.94
Avg. Drawdown Days 73 25 75
Recovery Factor 2.15 4.8 1.75
Ulcer Index 0.11 0.17 0.35
Serenity Index 0.23 1.06 0.21
Annualised return (raw) 0.197258 NaN NaN

Equity curveΒΆ

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 returnsΒΆ

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 metricsΒΆ

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 % 22.07%
Lifetime return % 48.60%
Realised PnL $4,859.81
Unrealised PnL $0.00
Trade period 803 days 16 hours
Time in market volatile 9.70%
Total interest earned $0.00
Total funding cost $0.00
Holdings
Total assets $14,859.81
Cash left $14,859.81
Open position value $0.00
Open positions 0
Winning Losing Delta Neutral Total
Closed Positions
Number of positions 11 9 0 20
% of total 55.00% 45.00% 0.00% 100.00%
Average PnL % 6.63% -3.15% - 2.23%
Median PnL % 5.84% -1.70% - 0.87%
Biggest PnL % 17.42% -9.80% - -
Average duration 4 days 2 hours 4 days 19 hours 0 hours 0 minutes 4 days 10 hours
Max consecutive streak 3 5 0 -
Max runup / drawdown 49.01% -23.12% - -
Stop losses Take profits
Position Exits
Triggered exits 9 0
Percent winning 100.00% -
Percent losing 0.00% -
Percent of total 45.00% 0.00%
Risk Analysis
Biggest realised risk -9.60%
Average realised risk -3.31%
Max pullback of capital -25.90%
Sharpe Ratio 1.09
Sortino Ratio 1.99
Profit Factor 1.29

More trading metricsΒΆ

Trading metrics show how successfully the strategy trading is.

0
Trading period length 599 days 8 hours
Return % 48.60%
Annualised return % 29.60%
Cash at start $10,000.00
Value at end $14,859.81
Time in market 13.00%
Trade volume $523,535.54
Position win percent 55.00%
Total positions 20
Won positions 11
Lost positions 9
Stop losses triggered 9
Stop loss % of all 45.00%
Winning stop losses 9
Winning stop losses percent 100.00%
Losing stop losses 0
Losing stop losses percent 0.00%
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 0
Realised profit and loss $4,859.81
Unrealised profit and loss $0.00
Portfolio unrealised value $0.00
Extra returns on lending pool interest $0.00
Cash left at the end $14,859.81
Average winning position profit % 6.63%
Average losing position loss % -3.15%
Biggest winning position % 17.42%
Biggest losing position % -9.80%
Average duration of winning positions 4 days 2 hours
Average duration of losing positions 4 days 19 hours
Average duration between position openings 31 days 8 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 $261.83
LP fees paid % of volume 0.05%
Average position 2.23%
Median position 0.87%
Most consecutive wins 3
Most consecutive losses 5
Biggest realised risk -9.60%
Avg realised risk -3.31%
Max pullback of total capital -25.90%
Max loss risk at opening of position 19.64%

Periodic return distributionΒΆ

Show performance variations for different timeframes.

No description has been provided for this image

Individual trading position analysisΒΆ

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
SL Long 2022-07-18 9 hours Uniswap v3 WMATIC USDC $9,800.00 $536.37 5.47% $0.901413 $0.945166 3 $10.07
Long 2022-07-18 6 days 16 hours Uniswap v3 WETH USDC $2,038.72 $-311.07 -3.01% $1,521.628122 $1,522.998059 3 $10.17
SL Long 2022-10-26 17 hours Uniswap v3 WETH USDC $10,020.79 $585.63 5.84% $1,461.236389 $1,546.632566 2 $10.32
SL Long 2022-11-04 3 days 9 hours Uniswap v3 WMATIC USDC $10,594.70 $1,002.33 9.46% $1.139052 $1.246814 2 $11.10
SL Long 2023-01-09 5 days 2 hours Uniswap v3 WETH USDC $11,576.99 $2,016.15 17.42% $1,312.571623 $1,521.932386 3 $12.59
Long 2023-01-14 4 days 8 hours Uniswap v3 WMATIC USDC $8,483.78 $-278.50 -1.45% $1.005819 $0.975021 10 $19.10
Long 2023-01-15 4 days Uniswap v3 WETH USDC $6,351.81 $-291.43 -1.54% $1,551.279275 $1,511.316589 9 $18.82
Long 2023-04-14 5 days 8 hours Uniswap v3 WETH USDC $12,994.29 $-768.92 -5.92% $2,108.263432 $1,983.509182 2 $12.61
Long 2023-06-22 4 days 16 hours Uniswap v3 WETH USDC $12,240.74 $-339.16 -2.77% $1,911.464095 $1,858.502108 2 $12.07
Long 2023-07-14 3 days Uniswap v3 WMATIC USDC $11,908.36 $-1,166.53 -9.80% $0.850790 $0.767448 2 $11.33
Long 2023-09-29 3 days 16 hours Uniswap v3 WETH USDC $10,765.17 $126.68 1.01% $1,684.511835 $1,662.589646 4 $12.65
Long 2023-10-02 3 days 16 hours Uniswap v3 WMATIC USDC $8,463.79 $-206.58 -1.63% $0.568719 $0.550864 4 $12.61
SL Long 2023-10-23 3 days 11 hours Uniswap v3 WMATIC USDC $10,686.86 $539.30 4.40% $0.609588 $0.644825 5 $12.52
Long 2023-10-24 8 days 16 hours Uniswap v3 WETH USDC $4,014.59 $94.00 0.74% $1,768.750508 $1,792.251516 5 $12.83
SL Long 2023-11-09 3 days 12 hours Uniswap v3 WMATIC USDC $11,307.50 $489.48 3.09% $0.829702 $0.883299 6 $16.11
Long 2023-11-10 4 days 16 hours Uniswap v3 WETH USDC $5,831.53 $-277.59 -1.70% $2,121.374612 $2,037.179504 6 $16.22
Long 2023-12-04 7 days Uniswap v3 WETH USDC $11,515.15 $-59.72 -0.52% $2,248.495601 $2,236.834240 2 $11.49
SL Long 2024-02-13 7 days 1 hours Uniswap v3 WETH USDC $11,456.62 $1,175.75 10.26% $2,660.869506 $2,933.945242 2 $12.05
SL Long 2024-02-28 5 days 11 hours Uniswap v3 WETH USDC $12,608.86 $968.40 7.68% $3,245.738862 $3,495.020590 2 $13.10
SL Long 2024-03-05 3 days 16 hours Uniswap v3 WETH USDC $13,557.89 $1,025.23 7.56% $3,632.195884 $3,906.858887 2 $14.07