Cryptos Fund Trading

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(BTC) Performance

3 Jan, 2020 - 4 Feb, 2021

*Cumulative Returns vs Benchmark

Cumulative Returns vs Benchmark

*Cumulative Returns vs Benchmark (Log Scaled)

Cumulative Returns vs Benchmark (Log Scaled)

EOY Returns vs Benchmark

EOY Returns Vs Benchmark

Key Performance Metrics/ Trading Unleveraged

MetricStrategyBenchmark
Risk-Free Rate0.00%0.00%
Time in Market100.00%100.00%
*Cumulative Returns857.62%422.58%
CAGR%694.03%355.62%
Sharpe5.412.61
Sortino25.394.1
Max Drawdown-7.16%-53.28%
Longest DD Days58167
Volatility (ann.)53.64%95.73%
R^20.080.08
Calmar96.936.67
Skew2.57-0.59
Kurtosis7.9813.01
Expected Daily %1.10%0.80%
Expected Monthly %17.51%12.54%
Expected Yearly %209.45%128.60%
Kelly Criterion40.92%48.60%
Risk of Ruin0.00%0.00%
Daily Value-at-Risk-4.41%-8.93%
Expected Shortfall (cVaR)-4.41%-8.93%
Payoff Ratio3.823.19
Profit Factor4.151.83
Common Sense Ratio24.113.72
CPC Index8.443.55
Tail Ratio5.82.03
Outlier Win Ratio5.374.22
Outlier Loss Ratio10.412.68

Distribution of Monthly Returns

Distribution of Monthly Returns

Daily Returns

Daily Returns

Rolling Beta to Benchmark

Rolling Beta to Benchmark

Rolling Volatility (6-Months)

Rolling Volatility (6-Months)
MetricStrategyBenchmark
MTD(1 Feb 2021 to 4 Feb 2021)12.56%11.83%
3M314.59%172.03%
6M394.44%229.43%
YTD (1 Jan 2021 to 4 Feb 2021)70.27%27.22%
1Y772.64%300.30%
3Y (ann.)NDND
5Y (ann.)NDND
10Y (ann.)NDND
*Cumulative Returns857.62%422.58%
All-time (ann.)694.03%355.62%
Worst Day-4.49%-39.61%
Best Month59.14%63.35%
Worst Month-3.80%-24.48%
Best Year462.42%310.77%
Worst Year70.27%27.22%
Avg. Drawdown-2.30%-8.34%
Avg. Drawdown Days1118
Recovery Factor119.777.93
Ulcer Index0.941.03
Avg. Up Month26.48%27.37%
Avg. Down Monthnan%nan%
Win Days %53.17%60.87%
Win Month %85.71%71.43%
Win Quarter %100.00%80.00%
Win Year %100.00%100.00%
Beta0.16-
Alpha2.51-

Rolling Sharpe (6-Months)

Rolling Sharpe (6-Months)

EOY Returns vs Benchmark

YearBenchmarkStrategyMultiplierWon
2018-21.58%58.52%-2.71+
20198.78%448.63%51.1+
2020310.77%462.42%1.49+
202127.22%70.27%2.58+

Rolling Sortino (6-Months)

Rolling Sortino (6-Months)

Top 5 Drawdown Periods

Top 5 Drawdown Periods

Underwater Plot

Underwater Plot

Monthly Returns (%)

Monthly Returns (%)

Worst 10 Drawdowns

StartedRecoveredDrawdownDays
2018/12/012019/04/03-26.87%123
2018/09/062018/11/21-20.73%76
2019/11/262020/02/16-19.82%82
2019/07/172019/08/05-14.05%19
2019/10/222019/10/26-12.47%4
2019/10/292019/11/25-12.07%27
2019/05/172019/05/27-11.72%10
2019/07/052019/07/16-11.51%11
2020/04/092020/04/30-7.16%21
2020/02/132020/03/09-6.90%25
2020/09/202020/10/23-6.58%33
2020/07/092020/09/05-5.89%58
2021/01/132021/01/18-4.63%5
2020/05/252020/07/05-4.35%40
2020/05/082020/05/18-2.13%9
2020/03/152020/03/19-1.84%4
2021/01/232021/01/28-1.54%5
2021/01/182021/01/21-1.48%2

Return Quantiles

Return Quantiles

2018/2019/2020

Graph 2018/2019/2020

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