King Hang Siu

Backtest result of ADA Momentum bot(with Meta Labelling): Jul 2020 ~ Jul 2021

terencesiu — Sat, 22 Jan 2022 14:29:18 +0000

Random Forest used

Tearsheet (generated by QuantStats)

ADA 5
6 Jul, 2020 – 1 Jul, 2021

Generated by QuantStats (v. 0.0.34)

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	38.0%

Cumulative Return	94.66%
CAGR%	96.47%

Sharpe	3.8
Sortino	14.95
Sortino/√2	10.57

Max Drawdown	-2.93%
Longest DD Days	43
Volatility (ann.)	12.44%
Calmar	32.9
Skew	3.4
Kurtosis	14.3

Expected Daily %	0.18%
Expected Monthly %	5.26%
Expected Yearly %	39.52%
Kelly Criterion	43.92%
Risk of Ruin	0.0%
Daily Value-at-Risk	-1.1%
Expected Shortfall (cVaR)	-1.1%

Gain/Pain Ratio	3.57
Gain/Pain (1M)	17.62

Payoff Ratio	3.56
Profit Factor	4.57
Common Sense Ratio	23.09
CPC Index	9.16
Tail Ratio	5.05
Outlier Win Ratio	13.31
Outlier Loss Ratio	2.87

MTD	0.0%
3M	4.18%
6M	53.55%
YTD	53.55%
1Y	94.66%
3Y (ann.)	96.47%
5Y (ann.)	96.47%
10Y (ann.)	96.47%
All-time (ann.)	96.47%

Best Day	5.23%
Worst Day	-2.09%
Best Month	26.54%
Worst Month	-2.31%
Best Year	53.55%
Worst Year	26.78%

Avg. Drawdown	-0.64%
Avg. Drawdown Days	10
Recovery Factor	32.28
Ulcer Index	inf

Avg. Up Month	7.56%
Avg. Down Month	-1.92%
Win Days %	56.2%
Win Month %	83.33%
Win Quarter %	100.0%
Win Year %	100.0%

EOY Returns

Year	Return	Cumulative
2020	24.01%	26.78%
2021	43.74%	53.55%

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2021-03-27	2021-05-09	-2.93	43
2021-02-25	2021-03-16	-2.87	19
2021-05-30	2021-07-01	-1.55	32
2020-07-28	2020-08-29	-1.13	32
2020-09-02	2020-09-25	-0.87	23
2020-12-14	2020-12-16	-0.76	2
2020-12-25	2020-12-29	-0.68	4
2020-10-20	2020-11-06	-0.66	17
2021-05-14	2021-05-15	-0.48	1
2021-05-16	2021-05-26	-0.45	10

Backtest result of ADA Momentum bot: Jul 2020 ~ Jul 2021

terencesiu — Sat, 22 Jan 2022 14:27:47 +0000

Tearsheet (generated by QuantStats)

ADA 5
6 Jul, 2020 – 1 Jul, 2021

Generated by QuantStats (v. 0.0.34)

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	44.0%

Cumulative Return	70.36%
CAGR%	71.62%

Sharpe	2.82
Sortino	7.61
Sortino/√2	5.38

Max Drawdown	-7.5%
Longest DD Days	115
Volatility (ann.)	13.53%
Calmar	9.55
Skew	2.83
Kurtosis	12.47

Expected Daily %	0.15%
Expected Monthly %	4.18%
Expected Yearly %	30.52%
Kelly Criterion	28.4%
Risk of Ruin	0.0%
Daily Value-at-Risk	-1.25%
Expected Shortfall (cVaR)	-1.25%

Gain/Pain Ratio	1.57
Gain/Pain (1M)	5.85

Payoff Ratio	2.96
Profit Factor	2.57
Common Sense Ratio	7.15
CPC Index	3.53
Tail Ratio	2.78
Outlier Win Ratio	12.01
Outlier Loss Ratio	3.22

MTD	0.0%
3M	4.22%
6M	51.05%
YTD	51.3%
1Y	70.36%
3Y (ann.)	71.62%
5Y (ann.)	71.62%
10Y (ann.)	71.62%
All-time (ann.)	71.62%

Best Day	5.5%
Worst Day	-2.88%
Best Month	27.97%
Worst Month	-4.9%
Best Year	51.3%
Worst Year	12.6%

Avg. Drawdown	-1.85%
Avg. Drawdown Days	21
Recovery Factor	9.38
Ulcer Index	inf

Avg. Up Month	7.5%
Avg. Down Month	-3.09%
Win Days %	46.5%
Win Month %	75.0%
Win Quarter %	75.0%
Win Year %	100.0%

EOY Returns

Year	Return	Cumulative
2020	12.2%	12.6%
2021	42.4%	51.3%

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2020-07-29	2020-11-21	-7.50	115
2021-03-27	2021-05-09	-4.55	43
2020-11-29	2021-01-03	-3.22	35
2021-02-25	2021-03-16	-3.01	19
2021-01-19	2021-02-01	-2.44	13
2021-05-30	2021-07-01	-1.63	32
2021-01-15	2021-01-16	-0.59	1
2021-05-14	2021-05-15	-0.51	1
2021-05-16	2021-05-26	-0.47	10
2020-11-22	2020-11-23	-0.08	1

Backtest result of ETH Momentum bot(with Meta Labelling): Jul 2020 ~ Jul 2021

terencesiu — Thu, 20 Jan 2022 18:29:13 +0000

Machine learning model: Random Forest

Tearsheet (generated by QuantStats)

ETH momentum with RF
6 Jul, 2020 – 1 Jul, 2021

Generated by QuantStats (v. 0.0.34)

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	53.0%

Cumulative Return	213.3%
CAGR%	218.31%

Sharpe	4.3
Sortino	24.2
Sortino/√2	17.11

Max Drawdown	-2.25%
Longest DD Days	47
Volatility (ann.)	18.98%
Calmar	96.95
Skew	4.12
Kurtosis	22.46

Expected Daily %	0.32%
Expected Monthly %	9.18%
Expected Yearly %	77.0%
Kelly Criterion	44.87%
Risk of Ruin	0.0%
Daily Value-at-Risk	-1.64%
Expected Shortfall (cVaR)	-1.64%

Gain/Pain Ratio	4.93
Gain/Pain (1M)	152.09

Payoff Ratio	5.06
Profit Factor	5.93
Common Sense Ratio	44.51
CPC Index	16.21
Tail Ratio	7.5
Outlier Win Ratio	11.21
Outlier Loss Ratio	3.71

MTD	-0.77%
3M	18.7%
6M	76.57%
YTD	76.71%
1Y	213.3%
3Y (ann.)	218.31%
5Y (ann.)	218.31%
10Y (ann.)	218.31%
All-time (ann.)	218.31%

Best Day	10.52%
Worst Day	-2.0%
Best Month	30.47%
Worst Month	-0.77%
Best Year	77.29%
Worst Year	76.71%

Avg. Drawdown	-0.62%
Avg. Drawdown Days	8
Recovery Factor	94.73
Ulcer Index	0.96

Avg. Up Month	10.29%
Avg. Down Month	-0.77%
Win Days %	53.97%
Win Month %	92.31%
Win Quarter %	80.0%
Win Year %	100.0%

EOY Returns

Year	Return	Cumulative
2020	58.35%	77.29%
2021	58.52%	76.71%

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2021-05-12	2021-06-28	-2.25	47
2021-04-21	2021-05-01	-2.09	10
2020-11-02	2020-11-06	-2.00	4
2021-02-09	2021-03-07	-1.51	26
2020-08-05	2020-08-30	-1.46	25
2020-12-01	2020-12-13	-1.22	12
2020-07-27	2020-07-31	-1.21	4
2021-01-25	2021-02-02	-1.05	8
2020-09-13	2020-10-09	-0.81	26
2021-06-30	2021-07-01	-0.77	1

Backtest result of ETH Momentum bot: Jul 2020 ~ Jul 2021

terencesiu — Thu, 20 Jan 2022 18:20:21 +0000

Tearsheet (generated by QuantStats)

ETH momentum
6 Jul, 2020 – 1 Jul, 2021

Generated by QuantStats (v. 0.0.34)

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	71.0%

Cumulative Return	159.27%
CAGR%	162.72%

Sharpe	3.39
Sortino	10.28
Sortino/√2	7.27

Max Drawdown	-8.28%
Longest DD Days	69
Volatility (ann.)	20.23%
Calmar	19.65
Skew	3.33
Kurtosis	19.87

Expected Daily %	0.26%
Expected Monthly %	7.6%
Expected Yearly %	61.02%
Kelly Criterion	31.4%
Risk of Ruin	0.0%
Daily Value-at-Risk	-1.82%
Expected Shortfall (cVaR)	-1.82%

Gain/Pain Ratio	2.2
Gain/Pain (1M)	121.59

Payoff Ratio	3.81
Profit Factor	3.2
Common Sense Ratio	14.12
CPC Index	5.56
Tail Ratio	4.41
Outlier Win Ratio	8.64
Outlier Loss Ratio	5.07

MTD	-0.81%
3M	19.71%
6M	62.03%
YTD	62.17%
1Y	159.27%
3Y (ann.)	162.72%
5Y (ann.)	162.72%
10Y (ann.)	162.72%
All-time (ann.)	162.72%

Best Day	10.95%
Worst Day	-5.17%
Best Month	22.58%
Worst Month	-0.81%
Best Year	62.17%
Worst Year	59.87%

Avg. Drawdown	-1.28%
Avg. Drawdown Days	11
Recovery Factor	19.23
Ulcer Index	inf

Avg. Up Month	8.5%
Avg. Down Month	-0.81%
Win Days %	45.67%
Win Month %	92.31%
Win Quarter %	80.0%
Win Year %	100.0%

EOY Returns

Year	Return	Cumulative
2020	48.22%	59.87%
2021	50.01%	62.17%

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2020-09-13	2020-11-21	-8.28	69
2021-02-04	2021-03-13	-4.04	37
2021-01-05	2021-01-19	-2.87	14
2021-05-12	2021-06-28	-2.37	47
2021-04-21	2021-05-01	-2.22	10
2020-07-27	2020-08-01	-1.86	5
2021-03-17	2021-03-29	-1.65	12
2020-08-06	2020-08-30	-1.64	24
2021-04-12	2021-04-13	-1.54	1
2020-12-01	2020-12-13	-1.35	12

King Hang Siu

Backtest result of ADA Momentum bot(with Meta Labelling): Jul 2020 ~ Jul 2021

ADA 5 6 Jul, 2020 – 1 Jul, 2021

Generated by QuantStats (v. 0.0.34)

Key Performance Metrics

EOY Returns

Worst 10 Drawdowns

Backtest result of ADA Momentum bot: Jul 2020 ~ Jul 2021

ADA 5 6 Jul, 2020 – 1 Jul, 2021

Generated by QuantStats (v. 0.0.34)

Key Performance Metrics

EOY Returns

Worst 10 Drawdowns

Backtest result of ETH Momentum bot(with Meta Labelling): Jul 2020 ~ Jul 2021

ETH momentum with RF 6 Jul, 2020 – 1 Jul, 2021

Generated by QuantStats (v. 0.0.34)

Key Performance Metrics

EOY Returns

Worst 10 Drawdowns

Backtest result of ETH Momentum bot: Jul 2020 ~ Jul 2021

ETH momentum 6 Jul, 2020 – 1 Jul, 2021

Generated by QuantStats (v. 0.0.34)

Key Performance Metrics

EOY Returns

Worst 10 Drawdowns

ADA 5
6 Jul, 2020 – 1 Jul, 2021

ADA 5
6 Jul, 2020 – 1 Jul, 2021

ETH momentum with RF
6 Jul, 2020 – 1 Jul, 2021

ETH momentum
6 Jul, 2020 – 1 Jul, 2021