/usr/local/lib/python3.11/site-packages/dataclasses_json/core.py:187: RuntimeWarning: 'NoneType' object value of non-optional type exchange_address detected when decoding TradingPairIdentifier.
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 | Master vault strategy |
|---|---|
| Report created | 2026-01-14 23:36:14 |
| Backtesting data start | 2025-01-08 00:00:00 |
| Backtesting data end | 2026-01-01 00:00:00 |
| Backtesting data window | 358 days, 0:00:00 |
| Trading period start | 2025-01-08 00:00:00 |
| Trading period end | 2025-12-29 00:04:01 |
| Trading period duration | 355 days, 0:04:01 |
| Trades | 39 |
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 | 2025-01-06 | 2025-01-06 |
| End Period | 2025-12-29 | 2025-12-29 |
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 15.0% | 98.0% |
| Cumulative Return | 15.46% | -10.1% |
| CAGR﹪ | 15.84% | -10.32% |
| Sharpe | 4.09 | 0.23 |
| Prob. Sharpe Ratio | 100.0% | 58.86% |
| Smart Sharpe | 3.91 | 0.22 |
| Sortino | 187.1 | 0.34 |
| Smart Sortino | 178.71 | 0.33 |
| Sortino/√2 | 132.3 | 0.24 |
| Smart Sortino/√2 | 126.36 | 0.23 |
| Omega | 186.29 | 186.29 |
| Max Drawdown | -0.08% | -57.61% |
| Longest DD Days | 7 | 180 |
| Volatility (ann.) | 3.6% | 75.07% |
| Calmar | 203.15 | -0.18 |
| Skew | 7.18 | 0.57 |
| Kurtosis | 62.23 | 4.11 |
| Expected Daily | 0.04% | -0.03% |
| Expected Monthly | 1.21% | -0.88% |
| Expected Yearly | 15.46% | -10.1% |
| Kelly Criterion | 97.51% | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.27% | -6.42% |
| Expected Shortfall (cVaR) | -0.27% | -6.42% |
| Max Consecutive Wins | 1 | 9 |
| Max Consecutive Losses | 1 | 6 |
| Gain/Pain Ratio | 185.29 | 0.03 |
| Gain/Pain (1M) | - | 0.19 |
| Payoff Ratio | 3.73 | - |
| Profit Factor | 186.29 | 1.03 |
| Common Sense Ratio | - | 1.18 |
| CPC Index | 680.49 | - |
| Tail Ratio | - | 1.14 |
| Outlier Win Ratio | 23.7 | 2.43 |
| Outlier Loss Ratio | -0.0 | 1.78 |
| MTD | 0.57% | -1.89% |
| 3M | 2.5% | -29.18% |
| 6M | 7.02% | 20.42% |
| YTD | 15.46% | -10.1% |
| 1Y | 15.46% | -10.1% |
| 3Y (ann.) | 15.84% | -10.32% |
| 5Y (ann.) | 15.84% | -10.32% |
| 10Y (ann.) | 15.84% | -10.32% |
| All-time (ann.) | 15.84% | -10.32% |
| Best Day | 2.2% | 21.79% |
| Worst Day | -0.08% | -14.75% |
| Best Month | 2.5% | 48.7% |
| Worst Month | 0.33% | -32.2% |
| Best Year | 15.46% | -10.1% |
| Worst Year | 15.46% | -10.1% |
| Avg. Drawdown | -0.08% | -17.44% |
| Avg. Drawdown Days | 7 | 42 |
| Recovery Factor | 185.29 | 0.29 |
| Ulcer Index | 0.0 | 0.29 |
| Serenity Index | 12907.73 | 0.04 |
| Avg. Up Month | 1.21% | 27.37% |
| Avg. Down Month | - | - |
| Win Days | 98.04% | 49.86% |
| Win Month | 100.0% | 33.33% |
| Win Quarter | 100.0% | 50.0% |
| Win Year | 100.0% | 0.0% |
| Annualised return (raw) | 0.158374 | NaN |
| Benchmark start | 2025-01-08 00:00:00 | 2025-01-08 00:00:00 |
| Start price | - | 3326.57 |
| End price | - | 3000.70 |
| Price diff | - | -0.10 |
| Multiplier X | - | 0.90 |
| Candle freq | - | 1 days 00:00:00 |
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
Monthly returns¶
Here we show the backtested returns by each month, and visualise the streaks of good and bad months.
Trading metrics¶
Overview of the performance of trades this strategy took.
- How many winning and losing trades we had
- How much on average each trade made
| Returns | |
|---|---|
| Annualised return % | 15.77% |
| Lifetime return % | 15.46% |
| Realised PnL | $4,278.61 |
| Unrealised PnL | $10,667.57 |
| Trade period | 358 days 0 hours |
| Trade start | 2025-01-08 00:00:00 |
| Trade end | 2026-01-01 00:00:00 |
| Time in market volatile | 100.56% |
| Total interest earned | $0.00 |
| Total funding cost | $0.00 |
| Holdings | |
|---|---|
| Total assets | $115,464.69 |
| Cash left | $6,110.35 |
| Open position value | $109,354.34 |
| Open positions | 4 |
| Winning | Losing | Delta Neutral | Total | |
|---|---|---|---|---|
| Closed Positions | ||||
| Number of positions | 7 | 1 | 0 | 8 |
| % of total | 87.50% | 12.50% | 0.00% | 100.00% |
| Average PnL % | 2.60% | -0.64% | - | 2.19% |
| Median PnL % | 0.62% | -0.64% | - | 0.42% |
| Biggest PnL % | 13.09% | -0.64% | - | - |
| Average duration | 67 days 0 hours | 7 days 0 hours | 0 hours 0 minutes | 59 days 12 hours |
| Max consecutive streak | 4 | 1 | 0 | - |
| Max runup / drawdown | 15.46% | -0.08% | - | - |
| Stop losses | Take profits | |
|---|---|---|
| Position Exits | ||
| Triggered exits | 0 | 0 |
| Percent winning | - | - |
| Percent losing | - | - |
| Percent of total | 0.00% | 0.00% |
| Risk Analysis | |
|---|---|
| Biggest realised risk | -0.15% |
| Average realised risk | -0.15% |
| Max pullback of capital | -0.15% |
| Sharpe Ratio | -0.86 |
| Sortino Ratio | -0.86 |
| Profit Factor | 186.29 |
More trading metrics¶
Trading metrics show how successfully the strategy trading is.
| 0 | |
|---|---|
| Trading period length | 273 days 0 hours |
| Trading start | None |
| Trading end | None |
| Return % | 15.46% |
| Annualised return % | 20.68% |
| Cash at start | $100,000.00 |
| Value at end | $115,464.69 |
| Time in market | 0.00% |
| Time in market volatile | 0.00% |
| Trade volume | $474,955.77 |
| Trade volume, no vault | $0.00 |
| Trade volume, taxed tokens | $0.00 |
| Token tax paid | $0.00 |
| Position win percent | 87.50% |
| Total positions | 8 |
| Won positions | 7 |
| Lost positions | 1 |
| Stop losses triggered | 0 |
| Stop loss % of all | 0.00% |
| Winning stop losses | 0 |
| Winning stop losses percent | - |
| Losing stop losses | 0 |
| Losing stop losses percent | - |
| Take profits triggered | 0 |
| Take profit % of all | 0.00% |
| Take profit % of won | 0.00% |
| Zero profit positions | 0 |
| Positions open at the end | 4 |
| Realised profit and loss | $4,278.61 |
| Unrealised profit and loss | $10,667.57 |
| Portfolio unrealised value | $109,354.34 |
| Extra returns on lending pool interest | $0.00 |
| Cash left at the end | $6,110.35 |
| Average winning position profit % | 2.60% |
| Average losing position loss % | -0.64% |
| Biggest winning position % | 13.09% |
| Biggest losing position % | -0.64% |
| Average duration of winning positions | 67 days 0 hours |
| Average duration of losing positions | 7 days 0 hours |
| Average duration between position openings | 0 hours 0 minutes |
| Average positions per day | 0.03 |
| Average interest paid | $0.00 |
| Median interest paid | $0.00 |
| Total interest paid | $0.00 |
| LP fees paid | $0.00 |
| LP fees paid % of volume | 0.00% |
| LP fees paid, no vault | $0.00 |
| LP fees paid % of volume, no vault | 0.00% |
| Average position | 2.19% |
| Median position | 0.42% |
| Most consecutive wins | 4 |
| Most consecutive losses | 1 |
| Biggest realised risk | -0.15% |
| Avg realised risk | -0.15% |
| Max pullback of total capital | -0.15% |
| Max loss risk at opening of position | 23.75% |
Periodic return distribution¶
Show performance variations for different timeframes.
Asset weights¶
Show weights of different assets during the backtest period.
Trading pair breakdown¶
- Profit and loss breakdown per pair
| Trading pair | Positions | Trades | Total return % | Total PnL USD | Best | Worst | Avg | Median | Volume | Wins | Losses | Take profits | Stop losses | Trailing stop losses | Volatility | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | HYPE++ | 1 | 7 | 31.44% | 7,466.73 | 31.44% | 31.44% | 31.44% | 31.44% | 27,504.55 | 1 | 0 | 0 | 0 | 0 | 0.00% |
| 8 | Plutus Hedge Token | 1 | 7 | 13.09% | 3,230.32 | 13.09% | 13.09% | 13.09% | 13.09% | 52,586.98 | 1 | 0 | 0 | 0 | 0 | 0.00% |
| 0 | gTrade (Gains Network USDC) | 1 | 4 | 10.62% | 2,663.47 | 10.62% | 10.62% | 10.62% | 10.62% | 25,177.28 | 1 | 0 | 0 | 0 | 0 | 0.00% |
| 7 | IPOR USDC Arbitrum Optimizer | 1 | 6 | 3.04% | 803.51 | 3.04% | 3.04% | 3.04% | 3.04% | 53,611.17 | 1 | 0 | 0 | 0 | 0 | 0.00% |
| 3 | Hyperithm USDC | 1 | 1 | 2.13% | 568.82 | 2.13% | 2.13% | 2.13% | 2.13% | 26,730.54 | 1 | 0 | 0 | 0 | 0 | 0.00% |
| 2 | Gauntlet USDC Core | 1 | 1 | 1.84% | 487.06 | 1.84% | 1.84% | 1.84% | 1.84% | 26,483.24 | 1 | 0 | 0 | 0 | 0 | 0.00% |
| 5 | Llama Lend CRV / crvUSD | 2 | 5 | 1.50% | 263.75 | 0.88% | 0.62% | 0.75% | 0.75% | 70,283.90 | 2 | 0 | 0 | 0 | 0 | 0.13% |
| 4 | Fluid USD Coin | 3 | 6 | 0.56% | 135.30 | 0.23% | 0.15% | 0.19% | 0.18% | 144,536.87 | 3 | 0 | 0 | 0 | 0 | 0.03% |
| 6 | gmUSDC | 1 | 2 | -0.64% | -154.27 | -0.64% | -0.64% | -0.64% | -0.64% | 48,041.23 | 0 | 1 | 0 | 0 | 0 | 0.00% |
Trade notes¶
Examine the trade notes of the last few decision cycles in the backtest.
| 0 | |
|---|---|
| 2025-12-29 00:00:00 | Cycle: #52 Rebalanced: 👎 Open/about to open positions: 4 Max position value change: 452.56 USD Rebalance threshold: 500.00 USD Trades decided: 0 Pairs total: 17 Pairs meeting inclusion criteria: 16 Pairs meeting TVL inclusion criteria: 17 Signals created: 16 Total equity: 115,464.69 USD Cash: 6,110.35 USD Investable equity: 109,691.46 USD Accepted investable equity: 109,691.46 USD Allocated to signals: 109,691.46 USD Discarted allocation because of lack of lit liquidity: 0.00 USD Rebalance volume: 0.00 USD Top signal pair: gUSDC-USDC Top signal value: 1.0 Top signal weight: 1.0 Top signal weight (normalised): 25.00 % (got 100.00 % of asked size) Signals with flag max_adjust_too_small: 4 |
| 2025-12-22 00:00:00 | Cycle: #51 Rebalanced: 👎 Open/about to open positions: 4 Max position value change: 453.88 USD Rebalance threshold: 500.00 USD Trades decided: 0 Pairs total: 17 Pairs meeting inclusion criteria: 16 Pairs meeting TVL inclusion criteria: 17 Signals created: 16 Total equity: 115,388.68 USD Cash: 6,110.35 USD Investable equity: 109,619.25 USD Accepted investable equity: 109,619.25 USD Allocated to signals: 109,619.25 USD Discarted allocation because of lack of lit liquidity: 0.00 USD Rebalance volume: 0.00 USD Top signal pair: gUSDC-USDC Top signal value: 1.0 Top signal weight: 1.0 Top signal weight (normalised): 25.00 % (got 100.00 % of asked size) Signals with flag max_adjust_too_small: 4 |
| 2025-12-15 00:00:00 | Cycle: #50 Rebalanced: 👎 Open/about to open positions: 4 Max position value change: 403.07 USD Rebalance threshold: 500.00 USD Trades decided: 0 Pairs total: 17 Pairs meeting inclusion criteria: 16 Pairs meeting TVL inclusion criteria: 17 Signals created: 16 Total equity: 115,095.46 USD Cash: 6,110.35 USD Investable equity: 109,340.69 USD Accepted investable equity: 109,340.69 USD Allocated to signals: 109,340.69 USD Discarted allocation because of lack of lit liquidity: 0.00 USD Rebalance volume: 0.00 USD Top signal pair: gUSDC-USDC Top signal value: 1.0 Top signal weight: 1.0 Top signal weight (normalised): 25.00 % (got 100.00 % of asked size) Signals with flag max_adjust_too_small: 4 |
Individual trading position analysis¶
Examine the data of every individual trading position entry, exit and profitability.
| Remarks | Type | Opened at | Duration | Exchange | Base asset | Quote asset | Position max value | PnL USD | PnL % | Open mid price USD | Close mid price USD | Trade count | LP fees | Notes |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Long | 2025-01-06 | Gains Network | gUSDC | USDC | $23,750.00 | $1.138566 | 4 | $0.00 | ||||||
| Long | 2025-01-06 | HYPE++ | USDC | $23,750.00 | $1.060303 | 7 | $0.00 | |||||||
| Long | 2025-01-06 | 224 days | ipUSDCfusion | USDC | $23,750.00 | $803.51 | 3.04% | $1.026550 | $1.060338 | 6 | $0.00 | Closing position, because the signal weight is below close position weight threshold: Signal #271 pair:ipUSDCfusion-USDC old weight:0.2477 old value:26,048.364558782218 raw signal:0.0000 normalised weight:0.0000 new value:0 adjust:-26,048.364558782218 | ||
| Long | 2025-01-06 | 7 days | fUSDC | USDC | $23,750.00 | $54.48 | 0.23% | $1.037481 | $1.039861 | 2 | $0.00 | Closing position, because the signal weight is below close position weight threshold: Signal #15 pair:fUSDC-USDC old weight:0.2501 old value:23,804.482925470442 raw signal:0.0000 normalised weight:0.0000 new value:0 adjust:-23,804.482925470442 | ||
| Long | 2025-01-13 | 21 days | cvcrvUSD | crvUSD | $18,265.83 | $160.47 | 0.88% | $0.001126 | $0.001136 | 3 | $0.00 | Closing position, because the signal weight is below close position weight threshold: Signal #40 pair:cvcrvUSD-crvUSD old weight:0.1964 old value:17,691.046820901774 raw signal:0.0000 normalised weight:0.0000 new value:0 adjust:-17,691.046820901774 | ||
| Long | 2025-02-03 | 7 days | gmUSDC | USDC | $24,097.75 | $-154.27 | -0.64% | $1.104845 | $1.097772 | 2 | $0.00 | Closing position, because the signal weight is below close position weight threshold: Signal #47 pair:gmUSDC-USDC old weight:0.2493 old value:23,943.48190629366 raw signal:0.0000 normalised weight:0.0000 new value:0 adjust:-23,943.48190629366 | ||
| Long | 2025-02-10 | 7 days | fUSDC | USDC | $24,078.96 | $43.87 | 0.18% | $1.047251 | $1.049159 | 2 | $0.00 | Closing position, because the signal weight is below close position weight threshold: Signal #56 pair:fUSDC-USDC old weight:0.2505 old value:24,122.834597838388 raw signal:0.0000 normalised weight:0.0000 new value:0 adjust:-24,122.834597838388 | ||
| Long | 2025-02-17 | 14 days | cvcrvUSD | crvUSD | $16,744.25 | $103.28 | 0.62% | $0.001145 | $0.001152 | 2 | $0.00 | Closing position, because the signal weight is below close position weight threshold: Signal #71 pair:cvcrvUSD-crvUSD old weight:0.1871 old value:16,847.53090349398 raw signal:0.0000 normalised weight:0.0000 new value:0 adjust:-16,847.53090349398 | ||
| Long | 2025-03-03 | 7 days | fUSDC | USDC | $24,371.82 | $36.95 | 0.15% | $1.052781 | $1.054377 | 2 | $0.00 | Closing position, because the signal weight is below close position weight threshold: Signal #79 pair:fUSDC-USDC old weight:0.2514 old value:24,408.768327532 raw signal:0.0000 normalised weight:0.0000 new value:0 adjust:-24,408.768327532 | ||
| Long | 2025-03-10 | 189 days | plvHedge | USDC | $18,785.13 | $3,230.32 | 13.09% | $1.002108 | $1.138729 | 7 | $0.00 | Closing position, because the signal weight is below close position weight threshold: Signal #323 pair:plvHedge-USDC old weight:0.2517 old value:26,712.321637558292 raw signal:0.0000 normalised weight:0.0000 new value:0 adjust:-26,712.321637558292 | ||
| Long | 2025-08-18 | gtUSDCc | USDC | $26,483.24 | $1.001021 | 1 | $0.00 | |||||||
| Long | 2025-09-15 | hyperUSDC | USDC | $26,730.54 | $1.001841 | 1 | $0.00 |