Backtest → 01 May, 2024 23:28:50 → SMACrossover-Bitfinex Spot-BTC-USD-4h

1 Jan, 2019 - 31 Dec, 2019

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	71.75%	90.73%
CAGR﹪	72.01%	91.07%
Sharpe	1.14	1.45
Smart Sharpe	1.06	1.35
Sortino	1.65	2.38
Smart Sortino	1.54	2.21
Sortino/√2	1.17	1.68
Smart Sortino/√2	1.09	1.57
Omega	1.2	1.2
Max Drawdown	-39.35%	-46.13%
Longest DD Days	173	173
Volatility (ann.)	67.57%	54.93%
R^2	0.04	0.04
Calmar	1.83	1.97
Skew	-0.04	0.96
Kurtosis	5.36	6.43
Expected Daily %	0.15%	0.18%
Expected Monthly %	4.61%	5.53%
Expected Yearly %	71.75%	90.73%
Kelly Criterion	11.07%	12.28%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.61%	-4.51%
Expected Shortfall (cVaR)	-5.61%	-4.51%
Gain/Pain Ratio	0.2	0.27
Gain/Pain (1M)	2.08	1.31
Payoff Ratio	1.09	1.32
Profit Factor	1.2	1.27
Common Sense Ratio	1.1	1.44
CPC Index	0.7	0.84
Tail Ratio	0.92	1.14
Outlier Win Ratio	4.12	4.83
Outlier Loss Ratio	3.77	5.35
MTD	-0.12%	-4.64%
3M	-19.39%	-9.39%
6M	-29.87%	-36.7%
YTD	71.75%	90.73%
1Y	71.75%	90.73%
3Y (ann.)	72.01%	91.07%
5Y (ann.)	72.01%	91.07%
10Y (ann.)	72.01%	91.07%
All-time (ann.)	72.01%	91.07%
Best Day	19.8%	18.14%
Worst Day	-17.15%	-10.24%
Best Month	50.78%	50.8%
Worst Month	-20.02%	-16.35%
Best Year	71.75%	90.73%
Worst Year	71.75%	90.73%
Avg. Drawdown	-9.14%	-8.19%
Avg. Drawdown Days	22	23
Recovery Factor	1.82	1.97
Ulcer Index	0.2	0.22
Serenity Index	0.35	0.3
Avg. Up Month	20.65%	28.05%
Avg. Down Month	-5.72%	-9.61%
Win Days %	53.57%	50.14%
Win Month %	58.33%	50.0%
Win Quarter %	50.0%	50.0%
Win Year %	100.0%	100.0%
Beta	0.26	-
Alpha	0.57	-