Appendix
Dataset Overview
This dataset encompasses predictions generated by the AIZEN_crypto model in production from November 15, 2023, to May 29, 2024. These live predictions were utilized to validate the model's performance
sMAPE by Cryptocurrency Pair:
{'TRXUSDT': 4.97217704865824, 'ETHUSDT': 5.807583191844772, 'BTCUSDT': 5.888818507802549, 'XMRUSDT': 6.599742569565265, 'XRPUSDT': 7.052596777530425, 'BNBUSDT': 7.0539366761102205, 'XLMUSDT': 7.25942992828785, 'LTCUSDT': 7.369756545745669, 'ATOMUSDT': 7.579025543500979, 'MATICUSDT': 7.770574664441199, 'XTZUSDT': 7.8133058113101255, 'ETCUSDT': 7.994006808988241, 'ZECUSDT': 8.00137481845987, 'WANUSDT': 8.09229729740945, 'TROYUSDT': 8.126938003062135, 'BANDUSDT': 8.161408516404064, 'EOSUSDT': 8.217199504298456, 'CHZUSDT': 8.332460280730851, 'VETUSDT': 8.360470559757436, 'QTUMUSDT': 8.400416945125386, 'ADAUSDT': 8.449645946413906, 'DASHUSDT': 8.457259942313113, 'DOGEUSDT': 8.467004369335687, 'WINUSDT': 8.568741267853637, 'IOSTUSDT': 8.581009570156548, 'LINKUSDT': 8.605868997050095, 'BATUSDT': 8.60963122826219, 'VITEUSDT': 8.654725888643075, 'KAVAUSDT': 8.661233803356618, 'ARPAUSDT': 8.683153157704242, 'ZILUSDT': 8.728015207246925, 'BCHUSDT': 8.769579921165857, 'NKNUSDT': 8.780273367246291, 'MTLUSDT': 8.962502147476211, 'DOCKUSDT': 9.023870017636153, 'HBARUSDT': 9.13878772293233, 'NEOUSDT': 9.168600489476354, 'KEYUSDT': 9.194934397483577, 'CELRUSDT': 9.327748054580196, 'ICXUSDT': 9.457173685822044, 'WAVESUSDT': 9.483268739019675, 'ALGOUSDT': 9.527523247343058, 'OMGUSDT': 9.597443957630365, 'DENTUSDT': 9.610360288966573, 'ENJUSDT': 9.694977359354514, 'HOTUSDT': 9.978310405846921, 'ONGUSDT': 10.01225568159401, 'ONTUSDT': 10.021224474682377, 'ANKRUSDT': 10.060984070611479, 'RVNUSDT': 10.079355235157866, 'RENUSDT': 10.082061706891663, 'ONEUSDT': 10.16858805682778, 'IOTAUSDT': 10.195512892006494, 'FUNUSDT': 10.347782840430453, 'RLCUSDT': 10.38969097961903, 'COSUSDT': 10.634151790247126, 'FTMUSDT': 10.638358133086019, 'STXUSDT': 10.660247265520605, 'TFUELUSDT': 10.993897345583509, 'NULSUSDT': 11.099730857273189, 'DUSKUSDT': 11.37567909189998, 'THETAUSDT': 11.545760092112198, 'CTXCUSDT': 11.68767640494571, 'IOTXUSDT': 12.204208593979557, 'FETUSDT': 12.570768266329429, 'ZRXUSDT': 13.60735980365572, 'PERLUSDT': 34.89498490015509}
Best Performing Pair: TRXUSDT (4.97%)
Worst Performing Pair: PERLUSDT (34.89%, has been delisted)
The model shows varying accuracy across different cryptocurrency pairs.
Risk and performance metrics:
Maximum Drawdown for 'Long & Short trading' strategy: -44.58%
Maximum Drawdown for 'Long trading only' strategy: -51.80%
Maximum Drawdown for 'Short trading only' strategy: -35.07%
Maximum Drawdown for 'Benchmark - Hold BTC' strategy: -20.13%
Alpha for 'Long & Short trading' strategy compared to BTCUSDT: 147.22%
Alpha for 'Long trading only' strategy compared to BTCUSDT: 41.63%
Alpha for 'Short trading only' strategy compared to BTCUSDT: -110.01%
Sharpe Ratio for 'Long & Short trading' strategy: 3.57
Sharpe Ratio for 'Long trading only' strategy: 3.41
Sharpe Ratio for 'Short trading only' strategy: 6.73
Sharpe Ratio for 'Benchmark - Hold BTC' strategy: 4.51
Cumulative Return at the end of the period for 'Long & Short trading' strategy: 145.56%
Cumulative Return at the end of the period for 'Long trading only' strategy: 107.15%
Cumulative Return at the end of the period for 'Short trading only' strategy: 38.42%
Cumulative Return at the end of the period for 'Benchmark - Hold BTC' strategy: 90.31%
Annualized Return for 'Long & Short trading' strategy: 404.32%
Annualized Return for 'Long trading only' strategy: 298.73%
Annualized Return for 'Short trading only' strategy: 147.09%
Annualized Return for 'Benchmark - Hold BTC' strategy: 257.10%
Individual trades, weekly trading reports, and monthly sMAPE by cryptocurrency pair
Request view
Last updated
