Backtest → 02 May, 2024 01:01:17 → MAGen-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	97.0%	100.0%
Cumulative Return	-20.67%	90.73%
CAGR﹪	-20.72%	91.07%
Sharpe	-0.46	1.45
Smart Sharpe	-0.42	1.32
Sortino	-0.64	2.38
Smart Sortino	-0.58	2.17
Sortino/√2	-0.45	1.68
Smart Sortino/√2	-0.41	1.53
Omega	0.94	0.94
Max Drawdown	-33.04%	-46.13%
Longest DD Days	175	173
Volatility (ann.)	36.3%	54.93%
R^2	0.04	0.04
Calmar	-0.63	1.97
Skew	-0.01	0.96
Kurtosis	1.91	6.43
Expected Daily %	-0.06%	0.18%
Expected Monthly %	-1.91%	5.53%
Expected Yearly %	-20.67%	90.73%
Kelly Criterion	-5.11%	19.62%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.17%	-4.51%
Expected Shortfall (cVaR)	-3.17%	-4.51%
Gain/Pain Ratio	-0.06	0.27
Gain/Pain (1M)	-0.33	1.31
Payoff Ratio	1.06	1.63
Profit Factor	0.94	1.27
Common Sense Ratio	0.93	1.44
CPC Index	0.45	1.04
Tail Ratio	0.99	1.14
Outlier Win Ratio	5.24	3.56
Outlier Loss Ratio	4.72	3.95
MTD	-1.43%	-4.64%
3M	-16.44%	-9.39%
6M	-19.96%	-36.7%
YTD	-20.67%	90.73%
1Y	-20.67%	90.73%
3Y (ann.)	-20.72%	91.07%
5Y (ann.)	-20.72%	91.07%
10Y (ann.)	-20.72%	91.07%
All-time (ann.)	-20.72%	91.07%
Best Day	7.24%	18.14%
Worst Day	-7.67%	-10.24%
Best Month	13.74%	50.8%
Worst Month	-13.08%	-16.35%
Best Year	-20.67%	90.73%
Worst Year	-20.67%	90.73%
Avg. Drawdown	-16.56%	-8.19%
Avg. Drawdown Days	89	23
Recovery Factor	-0.63	1.97
Ulcer Index	0.21	0.22
Serenity Index	-0.06	0.3
Avg. Up Month	9.48%	40.85%
Avg. Down Month	-7.37%	-8.01%
Win Days %	46.02%	50.14%
Win Month %	41.67%	50.0%
Win Quarter %	25.0%	50.0%
Win Year %	0.0%	100.0%
Beta	0.13	-
Alpha	-0.27	-