portfolio_ccex0_v3
portfolio_ccex0_v3: from $1,000.00 to $2,036.45.
portfolio_ccex0_v3 is a systematic portfolio of 134 algorithmic strategies (103 long, 31 short) trading 22 crypto perpetual pairs. With every trade on one timeline from Aug 2017 to Oct 2026, the simulated equity returned +103.64% (+8.05% a year) over 19,322 trades, with a maximum drawdown of −1.16%.
- Strategies
- 134 103 long · 31 short
- Pairs
- 22 USDT perpetuals
- Period
- →
- Risk per trade
- 2% of equity
Three windows
Fitted, then unseen, then now.
Each strategy splits its own history: it is optimized on the oldest part, then replays the rest unseen, then keeps running until today. The windows below compound only the trades of each phase; the curve beside them keeps the out of sample trades alone, +5.91% since .
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In sample →
Backtest
The in sample trades: the data each of the 134 strategies was optimized on, between and . Every strategy was fitted on its own slice, so it is the most flattering window by construction: 15,683 trades, a profit factor of 2.06 and 100% of the strategies finishing in profit.
- Return
- +92.30%
- Max drawdown
- −1.16%
- Profit factor
- 2.06
- Win rate
- 53.25%
- Trades
- 15,683
- Annualized
- +9.03%
-
Out of sample →
Forward test
The candles each strategy never saw during its optimization, between and . Nothing was re-optimized: the same strategy objects replay unseen data. 94% of the strategies closed the window in profit, and these trades alone returned +4.59% with a −0.33% worst drawdown.
- Return
- +4.59%
- Max drawdown
- −0.33%
- Profit factor
- 1.83
- Win rate
- 53.60%
- Trades
- 1,765
- Strategies in profit
- 94%
-
Most recent →
Live window
The most recent trades, after each strategy's forward test and until today, closest to the current market regime. 99% of the strategies traded, 53% are in profit, and these trades are up +1.07% with a profit factor of 1.14.
- Return
- +1.07%
- Max drawdown
- −0.40%
- Profit factor
- 1.14
- Win rate
- 45.04%
- Trades
- 1,874
- Strategies in profit
- 53%
Underwater curve
How far the equity sat below its previous high, week by week. The deepest point, −1.16%, ran from to ; the longest stretch without a new high lasted 166 days.
- Max drawdown
- −1.16%
- Longest underwater
- 166 days
- Sharpe (daily)
- 2.57
- Positive months
- 73.0%
Returns
Year by year, month by month.
Calendar returns of the equity, every trade included. 73.0% of months closed positive; the best was February 2021 at +7.32% and the worst October 2024 at −0.48%.
- +3.53% 2017*
- +2.55% 2018
- +4.98% 2019
- +15.15% 2020
- +22.81% 2021
- +0.63% 2022
- +7.24% 2023
- +13.34% 2024
- +4.37% 2025
- +1.21% 2026*
* partial calendar year: the data starts and ends .
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2017 | No data | No data | No data | No data | No data | No data | No data | 0.00 | 0.04 | 0.30 | 0.37 | 2.82 | +3.53% |
| 2018 | 0.69 | 0.13 | 0.05 | 0.46 | −0.05 | 0.12 | 0.00 | 0.35 | 0.35 | 0.08 | 0.25 | 0.08 | +2.55% |
| 2019 | −0.07 | 0.27 | 0.75 | 1.75 | 0.99 | 0.30 | 0.49 | 0.03 | −0.10 | −0.22 | 0.51 | 0.20 | +4.98% |
| 2020 | 0.56 | 4.01 | 0.35 | 0.64 | 0.97 | 1.03 | 2.35 | 1.35 | −0.07 | −0.05 | 2.30 | 0.82 | +15.15% |
| 2021 | 4.52 | 7.32 | 0.18 | 2.04 | 1.69 | 0.31 | 0.24 | 3.82 | 0.87 | 0.61 | −0.19 | −0.40 | +22.81% |
| 2022 | 0.05 | −0.14 | 0.37 | 0.18 | 0.80 | 0.25 | −0.02 | −0.11 | −0.37 | −0.05 | −0.22 | −0.09 | +0.63% |
| 2023 | 1.75 | −0.04 | 0.44 | −0.17 | −0.02 | 0.37 | −0.07 | 0.02 | 0.05 | 0.30 | 2.08 | 2.35 | +7.24% |
| 2024 | −0.43 | 1.07 | 2.00 | −0.09 | 0.03 | 0.17 | −0.01 | 0.17 | 0.19 | −0.48 | 6.79 | 3.43 | +13.34% |
| 2025 | −0.42 | 0.35 | 0.04 | 0.27 | 0.42 | 0.01 | 3.21 | 0.08 | −0.12 | 0.29 | 0.21 | 0.00 | +4.37% |
| 2026 | 0.03 | 0.24 | −0.11 | −0.08 | 0.22 | 0.32 | 0.03 | 0.09 | 0.40 | 0.06 | No data | No data | +1.21% |
The book
Where the returns come from.
134 strategies across 22 pairs, risking 2% of equity per trade. The exposure budget shows how much each pair can carry, and the share of profit below shows how evenly the result is spread.
Share of profit by pair
| Pair | Share of profit | Trades | Win rate |
|---|---|---|---|
| ADA | +17.42% | 2,633 | 53.1% |
| XTZ | +14.76% | 2,103 | 50.5% |
| BTC | +9.84% | 1,685 | 51.2% |
| XLM | +9.40% | 1,949 | 49.0% |
| ETH | +5.53% | 1,554 | 52.9% |
| BNB | +4.81% | 1,329 | 54.5% |
| VET | +4.53% | 692 | 51.0% |
| XRP | +4.47% | 941 | 48.9% |
| CAKE | +4.28% | 594 | 54.2% |
| UNI | +4.21% | 868 | 50.1% |
| LTC | +3.62% | 1,324 | 54.2% |
| NEAR | +3.37% | 448 | 52.2% |
| AVAX | +2.84% | 654 | 51.1% |
| LINK | +2.75% | 589 | 57.7% |
| GRT | +2.52% | 479 | 59.7% |
| HOT | +1.74% | 254 | 62.2% |
| TRX | +1.15% | 495 | 54.8% |
| BAT | +1.14% | 168 | 59.5% |
| AAVE | +0.63% | 68 | 75.0% |
| ATOM | +0.50% | 167 | 49.1% |
| DGB | +0.26% | 60 | 53.3% |
| ARB | +0.23% | 268 | 53.0% |
Exposure budget
Maximum risk the portfolio can hold on each pair at once: 206.00% long and 62.00% short in total, if every strategy were open together.
- −6% ADA +28%
- −2% XTZ +32%
- −2% BTC +22%
- −10% ETH +10%
- −4% LTC +14%
- −2% XLM +16%
- −2% UNI +12%
- 0 BNB +14%
- −2% CAKE +10%
- −4% XRP +8%
- −4% AVAX +6%
- −2% VET +8%
- −8% GRT +2%
- 0 NEAR +6%
- 0 TRX +6%
- 0 LINK +6%
- −4% HOT +2%
- −2% ATOM +2%
- −2% BAT +2%
- −2% ARB 0
- −2% AAVE 0
- −2% DGB 0