BTC vs ETH
Backtest Report
2022-01-01 → 2025-12-30 · 1460 trading days
Total Return
134.08%
CAGR
15.81%
Sharpe
0.56
Max Drawdown
-64.07%
Volatility
43.16%
Win Rate
51.51%
Cumulative Returns
Key Performance
Performance Metrics
| metric | strategy | benchmark |
|---|---|---|
| Total Return | 134.08% | -4.13% |
| CAGR | 15.81% | -0.73% |
| Sharpe Ratio | 0.56 | 0.28 |
| Sortino Ratio | 0.81 | 0.41 |
| Max Drawdown | -64.07% | -72.85% |
| Calmar Ratio | 0.25 | -0.01 |
| Volatility (ann.) | 43.16% | 59.11% |
| Win Rate | 51.51% | 52.23% |
| Profit Factor | 1.11 | 1.05 |
| Best Day | 15.83% | 26.04% |
| Worst Day | -15.00% | -18.64% |
| Avg Win | 1.90% | 2.52% |
| Avg Loss | -1.82% | -2.62% |
| Daily VaR (95%) | -4.05% | -5.92% |
| CVaR (95%) | -6.30% | -8.64% |
| Recovery Factor | 2.09 | -0.06 |
| Skewness | -0.01 | 0.18 |
| Kurtosis | 4.07 | 4.89 |
| Best Month | 49.88% | 52.86% |
| Worst Month | -32.34% | -38.02% |
| Best Year | 177.78% | 103.22% |
| Worst Year | -60.66% | -64.71% |
| Positive Months | 58.33% | 54.17% |
| Positive Years | 50.00% | 50.00% |
| Alpha | 13.89% | — |
| Beta | 0.61 | — |
| Correlation | 0.83 | — |
| Information Ratio | 0.22 | — |
| Excess Return | 138.74% | — |
Period Performance
| period | strategy | benchmark |
|---|---|---|
| MTD | 3.05% | 8.55% |
| QTD | -21.11% | -27.01% |
| YTD | -9.35% | -16.03% |
| 1Y | -8.77% | -16.60% |
| 3Y | 496.73% | 172.80% |
| 5Y | — | — |
| SI | 134.61% | -4.13% |
Top Drawdowns
| start | trough | recovery | max_dd | drawdown_days | recovery_days |
|---|---|---|---|---|---|
| 2022-03-27 | 2022-12-29 | 2023-12-03 | -64.07% | 277 | 339 |
| 2024-06-04 | 2024-09-05 | 2024-11-05 | -32.64% | 93 | 61 |
| 2025-01-18 | 2025-04-07 | 2025-07-10 | -32.20% | 79 | 94 |
| 2025-10-05 | 2025-12-17 | — | -30.20% | 73 | — |
| 2022-01-01 | 2022-01-22 | 2022-03-24 | -25.78% | 21 | 61 |
Monthly Returns Heatmap
Daily Return Distribution
Rolling Sharpe
Rolling Volatility
Day-of-Week Statistics
| dow | mean_return | win_rate | total_return | count | dow_name |
|---|---|---|---|---|---|
| 1 | 0.13% | 51.20% | 20.43% | 209 | Mon |
| 2 | 0.37% | 51.20% | 98.51% | 209 | Tue |
| 3 | -0.27% | 45.67% | -47.16% | 208 | Wed |
| 4 | 0.03% | 49.04% | -3.83% | 208 | Thu |
| 5 | -0.02% | 59.62% | -7.26% | 208 | Fri |
| 6 | 0.22% | 53.59% | 53.48% | 209 | Sat |
| 7 | 0.20% | 50.24% | 35.38% | 209 | Sun |
Day-of-Week Analysis
Regime Analysis
| regime | n_days | cagr | sharpe | max_drawdown | win_rate |
|---|---|---|---|---|---|
| bull_low_vol | 496 | 136.55% | 2.4318 | -19.24% | 54.84% |
| bull_high_vol | 216 | 5.39% | 0.3245 | -15.18% | 53.70% |
| bear_low_vol | 185 | 6.09% | 0.3447 | -31.66% | 50.81% |
| bear_high_vol | 363 | -24.07% | -0.4168 | -42.47% | 49.59% |