QuantSpace Strategy Performance Report

Generated by qstats v0.1.17 at Sep 05, 2025. Contact: [email protected] Website: quants.space

Strategy: strategy

Compound Performance Report

METRICS

Start Date Jan 01, 2023
End Date Aug 31, 2025

Main Metrics

Metric strategy BTC
Cumulative Return [%] 297.0% 558.3%
CAGR [%] 67.7% 102.8%
Volatility [%] 26.6% 47.6%
Sharpe 2.0789 1.7226
Sortino 3.3032 2.8071
Calmar 3.0094 3.6575
Max Drawdown (MD) [%] -22.5% -28.1%
Duration of MD [days] 132 116
Max Drawdown Duration (MDD) [days] 175 237
Drawdown of MDD [%] -16.5% -26.3%

Returns Metrics

Metric strategy BTC
1-day VaR (95%) -1.50% -3.61%
1-month VaR (99%) -6.70% -7.90%
CVaR (95%) -2.72% -4.91%
CVaR (99%) -3.56% -6.41%
Gini Coefficient 0.5931 0.5156
Omega Ratio 1.4405 1.2971
Gain/Pain Ratio (1M) 4.1763 2.8143
Tail Ratio 1.6227 1.2481
Outlier Win Ratio 0.0133 0.0133
Outlier Loss Ratio 0.0123 0.0041

Rolling Metrics

Metric strategy BTC
Rolling Sharpe 90d Mean 2.2909 1.6188
Rolling Sharpe 90d Median 2.5031 1.6058
Rolling Sharpe 90d Last -1.1635 0.5769
Rolling Sharpe 365d Mean 2.4724 1.6855
Rolling Sharpe 365d Median 2.2399 1.7759
Rolling Sharpe 365d Last 2.0760 1.6029

Cumulative Return Metrics

Metric strategy BTC
MTD [%] 2.3% -5.5%
3M [%] -8.8% 5.2%
6M [%] -0.2% 29.1%
YTD [%] 16.9% 16.9%
Best Day [%] 8.6% 11.9%
Worst Day [%] -8.5% -8.5%
Best Month [%] 21.6% 43.8%
Worst Month [%] -11.0% -17.7%
Best Year [%] 132.3% 154.7%
Worst Year [%] 16.9% 16.9%

Benchmark Metrics

Metric strategy BTC
Alpha 0.0300 -0.0000
Beta -0.0251 1.0000
Information Ratio -0.4801 0.0000
Treynor Ratio -1.15 0.04
Correlation -0.04 1.00

Worst Drawdowns

Started Recovered Drawdown Days
2025-04-21 2025-08-31 -22.51 132
2023-08-30 2024-02-21 -16.5 175
2023-06-21 2023-07-09 -9.99 18
2024-03-03 2024-04-12 -8.4 40
2024-05-09 2024-05-22 -8.37 13
2023-03-14 2023-04-22 -5.64 39
2024-08-12 2024-09-14 -4.56 33
2024-04-19 2024-04-24 -4.42 5
2024-12-21 2025-01-13 -4.24 23
2024-07-14 2024-08-05 -4.13 22

PLOTS

Cumulative Returns
Underwater Plot
Underwater Start Plot
6.02.91.86.35.71.513.34.3-3.8-5.40.07.346.22.213.4-3.913.8-0.17.014.56.26.16.821.62.5132.37.910.89.2-11.010.4-10.4-0.62.30.00.00.00.016.9JanFebMarAprMayJunJulAugSepOctNovDecTotal202320242025−10.00.010.020.0MONTHLY PERCENTAGE RETURNS HEATMAPMONTHYEAR
Monthly Returns Heatmap
0.00.1-0.81.40.00.00.2-0.2-0.62.6-1.4-0.52.32.8-0.6-2.00.2-0.10.21.5-0.6-0.40.70.23.3-0.90.6-1.9-0.40.20.16.00.0-0.50.3-0.60.80.90.40.6-1.51.2-1.50.7-1.5-0.52.9-0.60.00.8-0.40.30.4-0.70.30.40.20.8-0.30.10.00.00.02.90.0-0.40.50.30.51.50.4-0.70.1-0.70.12.21.9-4.3-0.30.60.1-0.7-0.40.1-0.80.30.90.40.3-1.31.30.4-1.2-0.11.01.80.0-0.60.71.30.10.8-0.3-1.00.71.10.6-0.80.20.1-0.30.3-1.0-0.62.0-0.5-0.52.3-1.5-1.01.8-0.5-0.5-0.50.33.60.06.30.0-0.2-0.82.10.5-0.10.10.2-0.6-0.20.82.5-2.70.00.3-0.5-0.80.52.4-0.6-0.21.7-0.40.31.90.8-0.5-0.3-0.60.3-0.25.70.00.5-0.30.71.8-1.4-0.60.31.40.30.10.7-0.40.20.90.40.0-0.1-1.53.1-8.50.80.0-1.2-0.8-0.43.5-0.10.42.20.01.50.00.40.1-0.80.83.6-0.70.14.0-0.8-0.21.7-0.72.4-1.40.10.00.20.40.20.4-0.30.11.5-0.10.21.5-0.2-1.51.20.513.30.00.5-0.2-0.42.80.0-0.1-0.5-1.5-1.54.10.0-0.11.10.10.8-0.60.7-0.80.50.2-0.62.3-0.3-0.23.20.4-0.32.10.0-6.94.30.00.10.12.00.80.2-3.0-0.3-0.7-1.10.30.4-0.10.00.4-1.1-0.10.6-0.60.8-0.61.1-0.70.40.20.80.00.8-0.8-3.70.0-3.80.0-1.50.11.70.4-0.9-0.20.51.4-2.3-0.1-0.50.10.2-0.30.20.80.3-0.60.00.1-3.64.20.6-5.30.70.2-0.40.10.1-1.1-5.40.0-0.91.4-1.50.42.20.00.30.1-2.40.52.1-0.12.8-1.70.50.4-1.0-0.20.8-1.2-2.9-0.83.4-0.6-0.40.2-0.3-0.2-0.70.00.00.01.21.51.84.5-4.2-0.3-1.12.1-0.40.8-0.70.00.2-0.3-0.2-0.21.2-0.2-0.31.2-1.0-1.02.2-1.01.11.00.80.6-0.8-1.17.30.00.01.10.50.7-0.91.20.4-2.4-0.31.0-0.8-0.40.2-2.71.4-1.42.00.3-1.1-0.15.2-1.00.50.10.3-1.1-0.50.10.6-0.32.2-0.30.1-0.11.8-0.9-0.42.5-1.4-1.53.80.10.6-0.30.6-0.83.10.30.5-0.7-1.14.6-0.80.91.2-2.3-0.8-0.63.81.10.00.013.40.10.3-4.0-0.3-0.50.2-0.1-1.20.0-1.00.4-0.91.1-1.00.7-0.5-0.2-1.23.6-0.1-0.20.41.1-0.41.4-1.2-0.81.50.60.0-1.3-3.90.90.50.60.31.5-1.80.4-0.10.70.7-0.22.3-1.32.30.5-0.11.21.2-0.6-3.80.10.10.04.81.2-0.30.20.1-1.03.00.013.8-0.3-0.70.20.0-1.20.51.01.0-0.7-6.9-0.95.4-0.4-0.81.90.50.01.4-0.70.20.52.1-0.9-0.2-0.50.6-0.4-1.0-1.00.01.7-0.11.20.40.20.3-0.3-1.3-0.9-0.72.7-0.8-0.61.9-0.71.20.9-0.8-0.52.7-0.24.0-0.40.4-1.5-0.50.6-0.4-0.5-0.51.00.00.07.00.60.10.6-0.16.7-0.50.34.60.60.72.3-0.71.1-1.11.0-0.3-1.7-0.11.2-0.2-1.0-0.40.0-0.3-0.1-1.10.11.3-0.1-0.10.614.51.5-1.10.21.43.9-0.81.3-0.41.10.31.2-1.80.3-1.4-0.10.4-0.60.30.6-0.50.1-1.4-0.61.40.8-0.4-0.7-0.1-0.20.41.16.2-0.82.7-0.1-2.60.11.00.70.5-0.2-0.2-0.30.90.50.6-0.41.00.8-0.1-0.1-0.10.00.40.20.00.5-0.20.00.10.30.80.06.1-0.10.30.10.1-0.2-0.2-0.30.20.00.30.60.00.00.24.8-0.20.00.10.10.2-0.1-0.11.40.4-0.1-0.30.20.50.0-0.2-0.86.80.90.20.20.00.60.2-0.10.2-0.8-0.3-2.18.65.50.60.00.7-0.30.00.00.00.01.14.00.00.80.6-0.90.6-0.40.30.021.60.01.00.4-0.1-0.20.40.30.00.60.10.00.6-0.10.2-0.30.1-0.1-2.71.12.6-0.3-0.10.3-1.3-0.9-1.81.71.4-0.10.0-0.12.50.00.00.00.00.00.00.0-0.20.01.4-0.10.02.50.50.8-0.51.0-1.92.90.30.2-0.30.3-0.1-0.2-1.10.11.80.5-0.30.07.90.31.8-2.63.10.2-0.20.4-0.4-0.1-0.40.3-0.70.3-0.50.00.50.10.0-0.8-0.82.1-0.20.00.91.93.60.02.10.00.00.010.80.74.6-0.91.8-0.30.30.70.11.20.40.6-0.10.4-0.20.00.2-0.20.2-0.70.50.00.0-0.5-0.1-0.10.10.00.4-0.20.00.49.20.20.10.10.00.00.10.30.00.10.10.00.00.10.00.00.0-0.10.00.00.0-0.4-7.1-2.6-0.8-1.00.00.0-0.4-0.1-0.10.0-11.0-1.80.12.30.9-0.1-0.30.0-5.84.1-0.23.41.5-0.63.00.00.0-0.12.10.7-0.10.0-0.10.60.0-0.2-0.10.60.20.10.00.110.4-0.10.1-0.3-0.2-0.70.80.20.0-0.41.0-1.7-2.4-1.00.00.50.8-2.2-0.2-0.6-0.9-0.5-3.11.00.00.0-0.1-0.3-0.10.5-0.70.0-10.4-0.61.10.1-0.8-0.40.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.0-0.60.60.3-0.5-1.81.6-0.9-5.11.60.00.42.3-4.1-5.07.15.1-0.20.70.1-1.41.3-0.1-1.80.80.72.0-1.10.9-0.30.10.0-0.12.312345678910111213141516171819202122232425262728293031TotalJanuary 2023February 2023March 2023April 2023May 2023June 2023July 2023August 2023September 2023October 2023November 2023December 2023January 2024February 2024March 2024April 2024May 2024June 2024July 2024August 2024September 2024October 2024November 2024December 2024January 2025February 2025March 2025April 2025May 2025June 2025July 2025August 2025−8.0−6.0−4.0−2.00.02.04.06.08.0DAILY PERCENTAGE RETURNS HEATMAPDAYMONTH
Daily Returns Heatmap
Average Monthly Profit
Return Quantiles
EOY Returns
Rolling Sharpe 90d
EOY Returns
Signatures 7d
Signatures 1d
Cross Signatures 7d
Cross Signatures 1d