report-Copy1

May 13, 2021

0.1 Basics
Start depo: 7000 USD
Trading days in the market 482
Start date: 2020-01-16 00:00:00
End date: 2021-05-12 00:00:00

0.2 Equity curve

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0.3 Strategies

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0.4 Stats
Annualized returns based on the last 7, 30, 90 and alltime days of trading history.

algo 7 days 30 days 90 days 482 days

2 C 121.479 136.191 85.964 21.7644
1 B 97.394 127.28 50.5487 17.7586
5 F 76.4843 58.1046 28.2728 13.2143
6 G 22.284 24.0414 52.6471 20.6953
3 D 6.2578 5.73697 9.35327 2.5344
7 H 0.791611 -0.807421 7.99357 3.53736
4 E -37.0212 -8.74974 -0.164125 0.119725
0 A 16.4238 -47.541 -33.4539 -4.10133

Annualized volatility based on the last 7, 30, 90 and alltime days of trading history

algo 7 days 30 days 90 days 482 days

0 A 6.24832 11.8904 12.2627 5.87199
5 F 8.18504 10.7564 10.392 7.82885
1 B 10.2069 10.27 10.0165 5.58252
2 C 2.38983 4.23187 3.8365 2.47202

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6 G 2.2456 3.97838 17.2711 8.92615
4 E 2.8043 1.56827 1.04627 0.668163
3 D 0.698276 1.07046 1.21619 0.959065
7 H 0.4539 0.742726 1.44357 1.25378

Annualized sharpe based on the last 7, 30, 90 and alltime days of trading history

algo 7 days 30 days 90 days 482 days

2 C 50.8317 32.1822 22.4069 8.80429
1 B 9.54196 12.3934 5.04654 3.1811
6 G 9.9234 6.04302 3.04827 2.3185
5 F 9.3444 5.40187 2.72062 1.6879
3 D 8.96179 5.35936 7.6906 2.64258
7 H 1.74402 -1.08711 5.53737 2.82136
0 A 2.62852 -3.99828 -2.72809 -0.698458
4 E -13.2016 -5.57923 -0.156867 0.179185

0.5 Drawdown

Basic stats comparison

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 Scrypto Bitcoin
annual_std, % 15.3802 78.8255
returns, % 153.658 549.885
annual_sharpe 4.65306 2.22149
max_ddown, % -9.77801 -53.5979
mean_ddown, % -1.87821 -10.2489
max_dd_duration, days 123 163

0.6 Trading Volume

In USD terms

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As strategy C makes most part of the volume, let’s see the same plot but without it.

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0.7 Conclusions
• Portfolio of strategies showed twice as better sharpe ratio for the analysed period compare to
BTCUSD;
• There was only one major drawdown with max depth of 10%;
• Average drawdown and maximum drawdown duration are better compare to BTCUSD;
• Strategies A, B and F contribute the most in terms of volatility;
• Strategie C makes the most volume and has the highest sharpe ratio;
• Strategies G, D have good sharpe ratio across all time windows but undercapitalized - worth
more risk;
• Strategie A is underperforming recently and need to be scaled down;
• There is some correlation with BTCUSD, but delta (directional) exposure is diversified across
strategies/factors/time horizon.