Strategies： HiddenQuant TrendFollow CTA Strategy
In our quantitative investment philosophy, diversification is paramount—it’s the only "free lunch" available. With this principle at our core, we are dedicated to developing a portfolio of strategies that manage both our own and a select amount of custodial funds. Our diversified strategy suite includes, but is not limited to, time series trend-following, cross-sectional multi-factor, momentum, mean reversion, and statistical arbitrage strategies. Starting today, we will begin publishing a series of historical performance data for these strategies.
Let’s start with our CTA trend-following strategy, which features:
- Dynamic coin pool: Defines the tradable cryptocurrencies over a certain period based on market volatility levels and specific screening strategies.
- Multi-strategy signals: Incorporates hundreds of trend-following signals.
- Comprehensive parameter coverage: Aims to avoid overfitting by covering all retrospective periods.
- Multiple time periods: Includes 15-minute, 1-hour, 4-hour, daily, and weekly periods.
Below is the detailed performance report:
HiddenQuant TF CTA Strategy Backtest Range: 31 Dec, 2020 - 30 Sep, 2024
Key Performance Metrics
| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Cumulative Return | 3,621.54% |
| CAGR﹪ | 94.69% |
| Sharpe | 0.38 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 0.38 |
| Sortino | 0.56 |
| Smart Sortino | 0.55 |
| Sortino/√2 | 0.39 |
| Smart Sortino/√2 | 0.39 |
| Omega | 1.09 |
| Max Drawdown | -32.32% |
| Longest DD Days | 270 |
| Volatility (ann.) | 8.24% |
| Calmar | 2.93 |
| Skew | 0.39 |
| Kurtosis | 36.51 |
| Expected Daily | 0.01% |
| Expected Monthly | 8.18% |
| Expected Yearly | 106.13% |
| Kelly Criterion | 4.03% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.84% |
| Expected Shortfall (cVaR) | -0.84% |
| Max Consecutive Wins | 12 |
| Max Consecutive Losses | 11 |
| Gain/Pain Ratio | 0.47 |
| Gain/Pain (1M) | 6.04 |
| Payoff Ratio | 1.07 |
| Profit Factor | 1.09 |
| Common Sense Ratio | 1.19 |
| CPC Index | 0.59 |
| Tail Ratio | 1.1 |
| Outlier Win Ratio | 5.15 |
| Outlier Loss Ratio | 5.16 |
| MTD | 2.14% |
| 3M | 24.32% |
| 6M | 58.35% |
| YTD | 128.69% |
| 1Y | 170.1% |
| 3Y (ann.) | 51.62% |
| 5Y (ann.) | 94.69% |
| 10Y (ann.) | 94.69% |
| All-time (ann.) | 94.69% |
| Best Day | 11.07% |
| Worst Day | -11.63% |
| Best Month | 82.87% |
| Worst Month | -15.83% |
| Best Year | 562.48% |
| Worst Year | 0.0% |
| Avg. Drawdown | -3.16% |
| Avg. Drawdown Days | 6 |
| Recovery Factor | 12.56 |
| Ulcer Index | 0.11 |
| Serenity Index | 0.98 |
| Avg. Up Month | 13.52% |
| Avg. Down Month | -7.5% |
| Win Days | 50.3% |
| Win Month | 80.0% |
| Win Quarter | 86.67% |
| Win Year | 100.0% |
EOY Returns
| Year | Return | Cumulative |
|---|---|---|
| 2020 | 0.0% | 0.0% |
| 2021 | 211.65% | 562.48% |
| 2022 | 45.96% | 47.03% |
| 2023 | 57.59% | 67.07% |
| 2024 | 90.68% | 128.69% |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-13 | 2023-03-10 | -32.32 | 270 |
| 2024-03-05 | 2024-06-18 | -25.66 | 105 |
| 2021-01-10 | 2021-01-15 | -25.31 | 6 |
| 2021-01-29 | 2021-02-04 | -19.14 | 7 |
| 2021-06-22 | 2021-07-20 | -18.77 | 28 |
| 2021-05-19 | 2021-06-21 | -18.26 | 33 |
| 2021-02-20 | 2021-04-14 | -16.02 | 53 |
| 2022-02-24 | 2022-05-09 | -15.37 | 75 |
| 2023-06-13 | 2023-08-17 | -13.99 | 66 |
| 2021-01-07 | 2021-01-08 | -13.96 | 1 |
Disclaimer: All information provided by HiddenQuant.com is intended solely for the purpose of studying topics related to crypto trading and is in no way intended as a specific investment or trading recommendation. We are not a registered broker or investment advisor. I mention specific financial products, especially cryptocurrencies, always and only for the purpose of studying crypto trading. We are not responsible for the specific decisions of individual readers of this presentation. Trading and investing in financial instruments (and cryptocurrencies in particular) is high risk. The decision to trade cryptocurrencies is the responsibility of each individual and only they are fully responsible for their decisions. Never engage in trades that you do not fully understand the merits of. Remember, the crypto exchange has rules that you need to understand before risking your own money!