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	Base equally-weighted memecoin index
Report created	2025-01-08 23:34:44
Backtesting data start	2024-03-01 04:00:00
Backtesting data end	2025-01-03 00:00:00
Backtesting data window	307 days, 20:00:00
Trading period start	2024-03-01 04:00:00
Trading period end	2025-01-03 00:00:00
Trading period duration	307 days, 20:00:00
Trades	16757

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	2024-03-01	2024-03-01
End Period	2025-01-02	2025-01-02
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	98.0%
Cumulative Return	3,060.28%	-11.82%
CAGR﹪	1602.34%	-9.81%
Sharpe	3.75	0.09
Prob. Sharpe Ratio	99.99%	53.21%
Smart Sharpe	3.7	0.09
Sortino	7.52	0.13
Smart Sortino	7.42	0.13
Sortino/√2	5.32	0.09
Smart Sortino/√2	5.25	0.09
Omega	1.7	1.7
Max Drawdown	-50.78%	-44.97%
Longest DD Days	117	296
Volatility (ann.)	131.92%	64.6%
Calmar	31.55	-0.22
Skew	0.91	0.66
Kurtosis	1.38	4.93
Expected Daily	1.13%	-0.04%
Expected Monthly	36.88%	-1.14%
Expected Yearly	462.16%	-6.1%
Kelly Criterion	21.29%	7.53%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-10.0%	-5.55%
Expected Shortfall (cVaR)	-10.0%	-5.55%
Max Consecutive Wins	13	7
Max Consecutive Losses	10	6
Gain/Pain Ratio	0.7	0.01
Gain/Pain (1M)	20.25	0.09
Payoff Ratio	1.58	1.14
Profit Factor	1.7	1.01
Common Sense Ratio	3.21	0.96
CPC Index	1.39	0.59
Tail Ratio	1.89	0.94
Outlier Win Ratio	3.41	6.7
Outlier Loss Ratio	2.83	4.02
MTD	7.32%	1.7%
3M	335.12%	29.12%
6M	309.11%	-1.71%
YTD	7.32%	1.7%
1Y	3060.28%	-11.82%
3Y (ann.)	1602.34%	-9.81%
5Y (ann.)	1602.34%	-9.81%
10Y (ann.)	1602.34%	-9.81%
All-time (ann.)	1602.34%	-9.81%
Best Day	30.83%	19.74%
Worst Day	-14.67%	-13.36%
Best Month	240.17%	35.16%
Worst Month	-21.34%	-23.06%
Best Year	2844.76%	1.7%
Worst Year	7.32%	-13.3%
Avg. Drawdown	-10.69%	-23.71%
Avg. Drawdown Days	10	148
Recovery Factor	8.21	0.11
Ulcer Index	0.2	0.25
Serenity Index	3.88	0.01
Avg. Up Month	62.42%	11.55%
Avg. Down Month	-14.92%	-13.01%
Win Days	51.83%	50.67%
Win Month	81.82%	45.45%
Win Quarter	80.0%	40.0%
Win Year	100.0%	50.0%
Annualised return (raw)	16.023362	NaN
Benchmark start	2024-03-01 04:00:00	2024-03-01 04:00:00
Start price	-	3377.52
End price	-	3446.09
Price diff	-	0.02
Multiplier X	-	1.02
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