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 | ETH-BTC long-term momentum |
|---|---|
| Report created | 2024-08-14 11:29:13 |
| Backtesting data start | 2020-01-02 00:00:00 |
| Backtesting data end | 2024-08-12 00:00:00 |
| Backtesting data window | 1684 days, 0:00:00 |
| Trading period start | 2020-01-02 00:00:00 |
| Trading period end | 2024-08-12 00:00:00 |
| Trading period duration | 1684 days, 0:00:00 |
| Trades | 141 |
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 | BTC | ETH | |
|---|---|---|---|
| Start Period | 2020-01-02 | 2020-01-02 | 2020-01-02 |
| End Period | 2024-08-11 | 2024-08-11 | 2024-08-11 |
| Risk-Free Rate | 0.0% | 0.0% | 0.0% |
| Time in Market | 29.0% | 100.0% | 100.0% |
| Cumulative Return | 1,146.98% | 742.88% | 1,909.10% |
| CAGR﹪ | 72.85% | 58.77% | 91.69% |
| Sharpe | 1.73 | 1.04 | 1.2 |
| Prob. Sharpe Ratio | 100.0% | 98.53% | 99.43% |
| Sortino | 3.05 | 1.51 | 1.76 |
| Sortino/√2 | 2.16 | 1.07 | 1.25 |
| Omega | 1.63 | 1.63 | 1.63 |
| Max Drawdown | -33.89% | -76.63% | -79.3% |
| Longest DD Days | 293 | 846 | 1006 |
| Gain/Pain Ratio | 0.63 | 0.18 | 0.2 |
| Gain/Pain (1M) | 3.68 | 1.14 | 1.49 |
| Payoff Ratio | 1.57 | 1.35 | 1.46 |
| Profit Factor | 1.63 | 1.18 | 1.2 |
| Common Sense Ratio | 3.22 | 1.28 | 1.35 |
| CPC Index | 1.3 | 0.81 | 0.92 |
| Tail Ratio | 1.98 | 1.09 | 1.12 |
| Outlier Win Ratio | 14.71 | 3.53 | 3.13 |
| Outlier Loss Ratio | 2.93 | 3.34 | 2.95 |
| MTD | 0.0% | -9.15% | -20.95% |
| 3M | -1.16% | -3.43% | -12.19% |
| 6M | 44.65% | 22.96% | 2.21% |
| YTD | 43.8% | 38.85% | 11.99% |
| 1Y | 68.99% | 99.32% | 37.94% |
| 3Y (ann.) | 37.19% | 9.67% | -7.51% |
| 5Y (ann.) | 72.85% | 58.77% | 91.69% |
| 10Y (ann.) | 72.85% | 58.77% | 91.69% |
| All-time (ann.) | 72.85% | 58.77% | 91.69% |
| Avg. Drawdown | -5.42% | -9.58% | -10.98% |
| Avg. Drawdown Days | 37 | 39 | 38 |
| Recovery Factor | 33.85 | 9.69 | 24.07 |
| Ulcer Index | 0.1 | 0.42 | 0.46 |
| Serenity Index | 12.26 | 0.82 | 2.4 |
| Annualised return (raw) | 0.728478 | NaN | NaN |
| Benchmark start | 2020-01-02 00:00:00 | 2020-01-02 00:00:00 | 2020-01-02 00:00:00 |
| Start price | - | 6965.71 | 127.19 |
| End price | - | 58884.00 | 2573.33 |
| Price diff | - | 7.45 | 19.23 |
| Multiplier X | - | 8.45 | 20.23 |
| Candle freq | - | 1 days 00:00:00 | 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 % | 248.60% |
| Lifetime return % | 1146.98% |
| Realised PnL | $114,697.55 |
| Unrealised PnL | $0.00 |
| Trade period | 1684 days 0 hours |
| Time in market volatile | 26.31% |
| Total interest earned | $0.00 |
| Total funding cost | $0.00 |
| Holdings | |
|---|---|
| Total assets | $124,697.55 |
| Cash left | $124,697.55 |
| Open position value | $0.00 |
| Open positions | 0 |
| Winning | Losing | Delta Neutral | Total | |
|---|---|---|---|---|
| Closed Positions | ||||
| Number of positions | 24 | 23 | 0 | 47 |
| % of total | 51.06% | 48.94% | 0.00% | 100.00% |
| Average PnL % | 14.26% | -3.54% | - | 5.55% |
| Median PnL % | 11.26% | -2.25% | - | 0.89% |
| Biggest PnL % | 43.26% | -9.67% | - | - |
| Average duration | 17 days 10 hours | 6 days 20 hours | 0 hours 0 minutes | 12 days 6 hours |
| Max consecutive streak | 5 | 3 | 0 | - |
| Max runup / drawdown | 1271.08% | -33.89% | - | - |
| 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 | -9.47% |
| Average realised risk | -3.26% |
| Max pullback of capital | -28.42% |
| Sharpe Ratio | 1.73 |
| Sortino Ratio | 3.05 |
| Profit Factor | 1.63 |
More trading metrics¶
Trading metrics show how successfully the strategy trading is.
| 0 | |
|---|---|
| Trading period length | 1597 days 0 hours |
| Return % | 1146.98% |
| Annualised return % | 262.15% |
| Cash at start | $10,000.00 |
| Value at end | $124,697.55 |
| Time in market | 27.74% |
| Time in market volatile | 27.74% |
| Trade volume | $5,659,415.58 |
| Position win percent | 51.06% |
| Total positions | 47 |
| Won positions | 24 |
| Lost positions | 23 |
| 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 | 0 |
| Realised profit and loss | $114,697.55 |
| Unrealised profit and loss | $0.00 |
| Portfolio unrealised value | $0.00 |
| Extra returns on lending pool interest | $0.00 |
| Cash left at the end | $124,697.55 |
| Average winning position profit % | 14.26% |
| Average losing position loss % | -3.54% |
| Biggest winning position % | 43.26% |
| Biggest losing position % | -9.67% |
| Average duration of winning positions | 17 days 10 hours |
| Average duration of losing positions | 6 days 20 hours |
| Average duration between position openings | 34 days 13 hours |
| Average positions per day | 0.03 |
| Average interest paid | $0.00 |
| Median interest paid | $0.00 |
| Total interest paid | $0.00 |
| LP fees paid | $17,004.31 |
| LP fees paid % of volume | 0.30% |
| Average position | 5.55% |
| Median position | 0.89% |
| Most consecutive wins | 5 |
| Most consecutive losses | 3 |
| Biggest realised risk | -9.47% |
| Avg realised risk | -3.26% |
| Max pullback of total capital | -28.42% |
| Max loss risk at opening of position | 98.00% |
Periodic return distribution¶
Show performance variations for different timeframes.
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 | BTC-USDT spot | 22 | 70 | 136.39% | 74,828.93 | 43.26% | -9.67% | 6.20% | 1.28% | 2,947,817.04 | 12 | 10 | 0 | 0 | 0 | 12.97% |
| 0 | ETH-USDT spot | 25 | 71 | 124.59% | 39,868.62 | 36.84% | -8.47% | 4.98% | -0.03% | 2,711,598.54 | 12 | 13 | 0 | 0 | 0 | 12.05% |
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 | 2020-01-15 | 9 days | ETH | USDT | $9,800.00 | $-220.39 | -2.25% | $166.096800 | $162.361450 | 2 | $58.23 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #11 pair:ETH-USDT old weight:1.0000 old value:9,579.607855178427 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-9,579.607855178427 | ||
| Long | 2020-02-06 | 14 days | ETH | USDT | $9,584.02 | $2,498.01 | 26.06% | $204.391340 | $257.664680 | 2 | $65.11 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #28 pair:ETH-USDT old weight:1.0000 old value:12,082.03017779244 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-12,082.03017779244 | ||
| Long | 2020-04-30 | 11 days | BTC | USDT | $8,726.35 | $-107.35 | -1.23% | $8,804.915740 | $8,696.601690 | 2 | $52.11 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #54 pair:BTC-USDT old weight:0.7507 old value:8,618.998626453853 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-8,618.998626453853 | ||
| Long | 2020-04-30 | 32 days | ETH | USDT | $3,305.72 | $2,184.15 | 18.30% | $216.046200 | $230.865320 | 3 | $78.29 | Rebalance for signal {signal} Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #76 pair:ETH-USDT old weight:1.0000 old value:14,119.894430559438 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-14,119.894430559438 | ||
| Long | 2020-07-24 | 19 days | ETH | USDT | $14,067.34 | $5,181.83 | 36.84% | $276.135930 | $377.853030 | 2 | $100.12 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #98 pair:ETH-USDT old weight:1.0000 old value:19,249.168653441295 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-19,249.168653441295 | ||
| Long | 2020-10-22 | 36 days | BTC | USDT | $19,145.53 | $8,283.19 | 43.26% | $12,819.092250 | $17,098.021590 | 3 | $139.97 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #142 pair:BTC-USDT old weight:0.1800 old value:4,655.2115345083375 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-4,655.2115345083375 | ||
| Long | 2020-11-22 | 5 days | ETH | USDT | $22,667.93 | $-1,464.89 | -6.46% | $554.077260 | $518.270510 | 2 | $131.80 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #143 pair:ETH-USDT old weight:0.8200 old value:21,203.035556376646 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-21,203.035556376646 | ||
| Long | 2020-12-18 | 25 days | BTC | USDT | $25,827.46 | $9,849.44 | 24.52% | $22,865.541450 | $35,304.138890 | 4 | $271.00 | Rebalance for signal {signal} Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #179 pair:BTC-USDT old weight:0.4627 old value:18,572.089315511785 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-18,572.089315511785 | ||
| Long | 2021-01-04 | 8 days | ETH | USDT | $31,312.08 | $4,822.71 | 15.40% | $981.264990 | $1,083.739000 | 3 | $202.67 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #180 pair:ETH-USDT old weight:0.5373 old value:21,570.40305344639 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-21,570.40305344639 | ||
| Long | 2021-02-09 | 15 days | BTC | USDT | $40,206.17 | $1,927.88 | 4.79% | $46,513.984580 | $48,744.327000 | 2 | $247.40 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #197 pair:BTC-USDT old weight:1.0000 old value:42,134.05005802417 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-42,134.05005802417 | ||
| Long | 2021-03-14 | 2 days | BTC | USDT | $42,095.49 | $-4,069.88 | -9.67% | $61,371.945140 | $55,438.384400 | 2 | $240.71 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #201 pair:BTC-USDT old weight:1.0000 old value:38,025.617140696464 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-38,025.617140696464 | ||
| Long | 2021-04-03 | 1 days | ETH | USDT | $38,107.01 | $-2,448.84 | -6.43% | $2,140.091070 | $2,002.564230 | 2 | $221.62 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #204 pair:ETH-USDT old weight:1.0000 old value:35,658.17619240596 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-35,658.17619240596 | ||
| Long | 2021-04-16 | 2 days | ETH | USDT | $35,707.15 | $-2,986.26 | -8.36% | $2,521.582120 | $2,310.697050 | 2 | $205.58 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #208 pair:ETH-USDT old weight:1.0000 old value:32,720.890728705854 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-32,720.890728705854 | ||
| Long | 2021-05-02 | 12 days | ETH | USDT | $32,780.62 | $8,358.14 | 25.50% | $2,953.664490 | $3,706.766240 | 2 | $222.13 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #222 pair:ETH-USDT old weight:1.0000 old value:41,138.75527428648 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-41,138.75527428648 | ||
| Long | 2021-07-25 | 10 days | ETH | USDT | $40,971.59 | $706.99 | 0.89% | $2,191.454700 | $2,500.984470 | 6 | $480.76 | Rebalance for signal {signal} Rebalance for signal {signal} Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #243 pair:ETH-USDT old weight:1.0000 old value:45,017.165777880786 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-45,017.165777880786 | ||
| Long | 2021-07-26 | 7 days | BTC | USDT | $20,954.66 | $3,440.32 | 9.74% | $35,487.163060 | $39,730.719190 | 4 | $222.61 | Rebalance for signal {signal} Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #240 pair:BTC-USDT old weight:0.3515 old value:16,173.686373557126 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-16,173.686373557126 | ||
| Long | 2021-08-06 | 7 days | BTC | USDT | $45,035.96 | $3,606.18 | 8.01% | $40,985.047380 | $44,266.859820 | 2 | $281.47 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #252 pair:BTC-USDT old weight:1.0000 old value:48,642.14209961038 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-48,642.14209961038 | ||
| Long | 2021-10-07 | 15 days | BTC | USDT | $48,570.02 | $5,712.77 | 11.76% | $55,480.945000 | $62,006.570550 | 2 | $309.05 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #269 pair:BTC-USDT old weight:1.0000 old value:54,282.7861940515 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-54,282.7861940515 | ||
| Long | 2022-02-05 | 6 days | BTC | USDT | $12,476.03 | $525.22 | 1.47% | $41,696.415100 | $43,364.953680 | 4 | $215.99 | Rebalance for signal {signal} Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #284 pair:BTC-USDT old weight:0.2452 old value:13,366.123902713103 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-13,366.123902713103 | ||
| Long | 2022-02-05 | 6 days | ETH | USDT | $41,692.50 | $-183.22 | -0.28% | $3,003.974970 | $3,063.142920 | 4 | $387.11 | Rebalance for signal {signal} Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #285 pair:ETH-USDT old weight:0.7548 old value:41,152.30609824228 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-41,152.30609824228 | ||
| Long | 2022-02-16 | 1 days | BTC | USDT | $16,338.06 | $-342.48 | -2.10% | $44,678.484550 | $43,741.939320 | 2 | $97.15 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #290 pair:BTC-USDT old weight:0.3006 old value:15,995.587575326395 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-15,995.587575326395 | ||
| Long | 2022-02-16 | 44 days | ETH | USDT | $38,165.63 | $1,717.76 | 1.78% | $3,193.080590 | $3,271.665470 | 9 | $585.22 | Rebalance for signal {signal} Rebalance for signal {signal} Rebalance for signal {signal} Rebalance for signal {signal} Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #366 pair:ETH-USDT old weight:0.5989 old value:32,138.722257911988 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-32,138.722257911988 | ||
| Long | 2022-03-01 | 31 days | BTC | USDT | $36,983.51 | $-2,331.93 | -3.52% | $43,289.480000 | $45,373.818950 | 7 | $390.84 | Rebalance for signal {signal} Rebalance for signal {signal} Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #367 pair:BTC-USDT old weight:0.4011 old value:21,520.656515037495 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-21,520.656515037495 | ||
| Long | 2022-07-17 | 1 days | ETH | USDT | $53,566.18 | $-995.51 | -1.86% | $1,359.907520 | $1,334.634050 | 2 | $318.89 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #370 pair:ETH-USDT old weight:1.0000 old value:52,570.669684979155 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-52,570.669684979155 | ||
| Long | 2022-07-19 | 3 days | BTC | USDT | $52,590.58 | $1,362.35 | 2.59% | $22,499.877740 | $23,082.733430 | 2 | $320.12 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #375 pair:BTC-USDT old weight:1.0000 old value:53,952.93036832949 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-53,952.93036832949 | ||
| Long | 2022-07-28 | 3 days | ETH | USDT | $53,925.68 | $1,684.90 | 3.12% | $1,640.647220 | $1,691.909000 | 2 | $329.11 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #381 pair:ETH-USDT old weight:1.0000 old value:55,610.58336875939 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-55,610.58336875939 | ||
| Long | 2022-08-06 | 9 days | ETH | USDT | $55,576.89 | $5,981.74 | 10.76% | $1,742.020430 | $1,929.514040 | 2 | $351.96 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #393 pair:ETH-USDT old weight:1.0000 old value:61,558.62398130535 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-61,558.62398130535 | ||
| Long | 2022-09-10 | 2 days | ETH | USDT | $61,438.99 | $1,451.71 | 2.36% | $1,723.394720 | $1,760.821640 | 3 | $373.56 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #399 pair:ETH-USDT old weight:0.5849 old value:36,846.116821037045 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-36,846.116821037045 | ||
| Long | 2022-09-11 | 3 days | BTC | USDT | $26,090.58 | $-4,909.91 | -7.81% | $21,712.151630 | $20,113.099140 | 3 | $362.96 | Rebalance for signal {signal} Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #402 pair:BTC-USDT old weight:1.0000 old value:57,950.5777247304 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-57,950.5777247304 | ||
| Long | 2022-10-05 | 33 days | BTC | USDT | $58,049.96 | $-1,966.64 | -1.18% | $20,398.833460 | $20,842.863260 | 6 | $995.16 | Rebalance for signal {signal} Rebalance for signal {signal} Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #451 pair:BTC-USDT old weight:1.0000 old value:62,318.70753792989 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-62,318.70753792989 | ||
| Long | 2022-10-24 | 8 days | ETH | USDT | $49,611.50 | $7,240.38 | 14.59% | $1,368.282570 | $1,567.971930 | 2 | $319.90 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #441 pair:ETH-USDT old weight:0.8988 old value:56,851.886556049394 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-56,851.886556049394 | ||
| Long | 2022-11-05 | 1 days | ETH | USDT | $53,023.13 | $-887.58 | -1.67% | $1,649.714340 | $1,622.099060 | 2 | $315.95 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #449 pair:ETH-USDT old weight:0.8153 old value:52,135.54959712514 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-52,135.54959712514 | ||
| Long | 2022-12-14 | 2 days | BTC | USDT | $62,348.41 | $-1,833.33 | -2.94% | $17,829.147460 | $17,304.889120 | 2 | $369.14 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #455 pair:BTC-USDT old weight:1.0000 old value:60,515.077629154 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-60,515.077629154 | ||
| Long | 2023-01-05 | 3 days | ETH | USDT | $60,551.74 | $-19.83 | -0.03% | $1,260.680730 | $1,260.267820 | 2 | $363.80 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #460 pair:ETH-USDT old weight:1.0000 old value:60,531.91170867929 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-60,531.91170867929 | ||
| Long | 2023-01-09 | 22 days | BTC | USDT | $60,532.31 | $19,500.74 | 32.22% | $17,179.213490 | $22,758.897860 | 3 | $422.42 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #496 pair:BTC-USDT old weight:0.7351 old value:57,601.25626629535 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-57,601.25626629535 | ||
| Long | 2023-01-21 | 10 days | ETH | USDT | $22,117.42 | $-1,356.08 | -6.13% | $1,663.505590 | $1,561.511370 | 2 | $128.82 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #497 pair:ETH-USDT old weight:0.2649 old value:20,761.3415712341 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-20,761.3415712341 | ||
| Long | 2023-03-18 | 7 days | BTC | USDT | $78,314.08 | $-299.89 | -0.38% | $27,477.315390 | $27,372.096620 | 2 | $469.69 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #506 pair:BTC-USDT old weight:1.0000 old value:78,014.18948246948 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-78,014.18948246948 | ||
| Long | 2023-04-15 | 5 days | ETH | USDT | $78,020.19 | $-6,606.40 | -8.47% | $2,106.289970 | $1,927.938780 | 2 | $448.95 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #513 pair:ETH-USDT old weight:1.0000 old value:71,413.78762716705 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-71,413.78762716705 | ||
| Long | 2023-06-22 | 14 days | BTC | USDT | $71,545.92 | $783.42 | 1.09% | $30,083.871670 | $30,413.285600 | 2 | $432.28 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #529 pair:BTC-USDT old weight:1.0000 old value:72,329.33277719165 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-72,329.33277719165 | ||
| Long | 2023-09-20 | 1 days | BTC | USDT | $72,313.66 | $-657.76 | -0.91% | $27,291.880750 | $27,043.634970 | 2 | $432.56 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #532 pair:BTC-USDT old weight:1.0000 old value:71,655.90243527379 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-71,655.90243527379 | ||
| Long | 2023-09-29 | 4 days | ETH | USDT | $71,669.06 | $-23.18 | -0.03% | $1,657.959000 | $1,657.422770 | 2 | $430.59 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #539 pair:ETH-USDT old weight:1.0000 old value:71,645.87791097429 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-71,645.87791097429 | ||
| Long | 2023-10-05 | 41 days | BTC | USDT | $71,646.34 | $20,915.07 | 21.30% | $27,861.905710 | $35,444.546400 | 4 | $652.91 | Rebalance for signal {signal} Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #590 pair:BTC-USDT old weight:0.3797 old value:33,025.74286124001 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-33,025.74286124001 | ||
| Long | 2023-11-10 | 5 days | ETH | USDT | $85,880.41 | $-5,267.88 | -6.13% | $2,127.693990 | $1,973.461800 | 3 | $500.21 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #591 pair:ETH-USDT old weight:0.6203 old value:53,962.30821293182 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-53,962.30821293182 | ||
| Long | 2023-12-05 | 7 days | BTC | USDT | $86,980.58 | $-2,039.24 | -2.34% | $42,117.073300 | $41,129.649770 | 2 | $516.53 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #601 pair:BTC-USDT old weight:1.0000 old value:84,941.34751802603 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-84,941.34751802603 | ||
| Long | 2024-02-10 | 35 days | BTC | USDT | $84,982.13 | $17,480.73 | 7.71% | $47,274.178340 | $69,291.340480 | 8 | $1,415.05 | Rebalance for signal {signal} Rebalance for signal {signal} Rebalance for signal {signal} Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #672 pair:BTC-USDT old weight:1.0000 old value:123,558.53684906979 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-123,558.53684906979 | ||
| Long | 2024-02-13 | 31 days | ETH | USDT | $45,897.08 | $21,958.24 | 18.27% | $2,667.969970 | $3,870.044930 | 6 | $788.32 | Rebalance for signal {signal} Rebalance for signal {signal} Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #670 pair:ETH-USDT old weight:0.4352 old value:55,446.48053142947 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-55,446.48053142947 | ||
| Long | 2024-05-22 | 8 days | ETH | USDT | $123,632.32 | $-1,457.88 | -1.18% | $3,800.958770 | $3,756.137680 | 2 | $738.52 | Rebalance for signal {signal} Closing position, because the signal weight is below close position weight threshold: Signal #682 pair:ETH-USDT old weight:1.0000 old value:122,174.44241121753 raw signal:0.0000 normalised weight:0.0000 new value:0.0 adjust:-122,174.44241121753 |