Backtest → 01 May, 2024 21:16:43 → IFR2-Bitfinex Spot-BTC-USD-1h

1 Jan, 2019 - 31 Dec, 2019

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	30.0%	100.0%
Cumulative Return	0.49%	90.73%
CAGR﹪	0.49%	91.07%
Sharpe	0.11	1.45
Smart Sharpe	0.1	1.32
Sortino	0.13	2.38
Smart Sortino	0.12	2.18
Sortino/√2	0.09	1.68
Smart Sortino/√2	0.08	1.54
Omega	1.04	1.04
Max Drawdown	-8.11%	-46.13%
Longest DD Days	146	173
Volatility (ann.)	15.29%	54.93%
R^2	0.02	0.02
Calmar	0.06	1.97
Skew	-5.06	0.96
Kurtosis	46.89	6.43
Expected Daily %	0.0%	0.18%
Expected Monthly %	0.04%	5.53%
Expected Yearly %	0.49%	90.73%
Kelly Criterion	6.9%	9.91%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.31%	-4.51%
Expected Shortfall (cVaR)	-1.31%	-4.51%
Gain/Pain Ratio	0.04	0.27
Gain/Pain (1M)	0.13	1.31
Payoff Ratio	0.6	1.24
Profit Factor	1.04	1.27
Common Sense Ratio	2.04	1.44
CPC Index	0.4	0.79
Tail Ratio	1.97	1.14
Outlier Win Ratio	39.04	2.78
Outlier Loss Ratio	4.18	3.18
MTD	2.49%	-4.64%
3M	0.49%	-9.39%
6M	-0.23%	-36.7%
YTD	0.49%	90.73%
1Y	0.49%	90.73%
3Y (ann.)	0.49%	91.07%
5Y (ann.)	0.49%	91.07%
10Y (ann.)	0.49%	91.07%
All-time (ann.)	0.49%	91.07%
Best Day	2.54%	18.14%
Worst Day	-8.11%	-10.24%
Best Month	3.79%	50.8%
Worst Month	-7.05%	-16.35%
Best Year	0.49%	90.73%
Worst Year	0.49%	90.73%
Avg. Drawdown	-3.53%	-8.19%
Avg. Drawdown Days	36	23
Recovery Factor	0.06	1.97
Ulcer Index	0.04	0.22
Serenity Index	0.01	0.3
Avg. Up Month	1.91%	32.22%
Avg. Down Month	-2.64%	-9.42%
Win Days %	65.09%	50.14%
Win Month %	66.67%	50.0%
Win Quarter %	50.0%	50.0%
Win Year %	100.0%	100.0%
Beta	0.04	-
Alpha	-0.02	-