Today, let us introduce the HiddenQuant Momentum Strategy, a cross-sectional multi-factor strategy. This approach systematically selects two groups of cryptocurrencies from the entire market: one to go long on with strong momentum and another to short with weak momentum, aiming to capitalize on the profit differential between the two.
Due to the short hedging, the overall drawdown is relatively low. The performance report below employs a leverage of two times:
HiddenQuant MOM Strategy
Backtest Range: 31 Dec, 2020 - 10 Oct, 2024
Key Performance Metrics
Metric
Strategy
Risk-Free Rate
0.0%
Time in Market
100.0%
Cumulative Return
54,830.58%
CAGR﹪
216.99%
Sharpe
0.63
Prob. Sharpe Ratio
100.0%
Smart Sharpe
0.62
Sortino
1.02
Smart Sortino
1.0
Sortino/√2
0.72
Smart Sortino/√2
0.71
Omega
1.14
Max Drawdown
-30.26%
Longest DD Days
66
Volatility (ann.)
8.16%
Calmar
7.17
Skew
2.56
Kurtosis
46.53
Expected Daily
0.02%
Expected Monthly
14.37%
Expected Yearly
253.15%
Kelly Criterion
6.06%
Risk of Ruin
0.0%
Daily Value-at-Risk
-0.82%
Expected Shortfall (cVaR)
-0.82%
Max Consecutive Wins
17
Max Consecutive Losses
14
Gain/Pain Ratio
0.74
Gain/Pain (1M)
18.03
Payoff Ratio
1.11
Profit Factor
1.14
Common Sense Ratio
1.27
CPC Index
0.64
Tail Ratio
1.12
Outlier Win Ratio
4.72
Outlier Loss Ratio
4.24
MTD
-2.24%
3M
20.88%
6M
42.34%
YTD
119.35%
1Y
200.77%
3Y (ann.)
97.59%
5Y (ann.)
216.99%
10Y (ann.)
216.99%
All-time (ann.)
216.99%
Best Day
12.67%
Worst Day
-4.8%
Best Month
184.52%
Worst Month
-16.64%
Best Year
4166.49%
Worst Year
0.0%
Avg. Drawdown
-1.99%
Avg. Drawdown Days
3
Recovery Factor
22.28
Ulcer Index
0.07
Serenity Index
4.22
Avg. Up Month
22.38%
Avg. Down Month
-6.4%
Win Days
50.65%
Win Month
86.96%
Win Quarter
93.75%
Win Year
100.0%
EOY Returns
Year
Return
Cumulative
2020
0.0%
0.0%
2021
400.94%
4166.49%
2022
89.13%
128.9%
2023
100.77%
156.42%
2024
83.39%
119.35%
Worst 10 Drawdowns
Started
Recovered
Drawdown
Days
2022-12-18
2023-02-21
-30.26
65
2021-04-16
2021-06-02
-24.32
48
2021-02-19
2021-03-12
-19.42
21
2023-03-08
2023-04-01
-17.33
25
2022-05-11
2022-06-13
-17.16
33
2024-04-27
2024-06-01
-15.84
36
2023-11-29
2023-12-31
-15.35
33
2021-08-05
2021-10-02
-15.25
58
2021-01-08
2021-01-17
-14.99
10
2022-06-13
2022-07-28
-13.36
46
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!
