Robuxio Live Performance Report 16 Sep, 2023 - 3 Jun, 2024

Generated by QuantStats (v. 0.0.62)

We apply an all-weather approach to trading crypto with robust, uncorrelated strategies.

Below are the metrics from our live performance. We are currently running version 2 of our portfolio, which consists of 15 strategies.

To see the full metrics and description of the strategies we are currently running, click here to download the report.

Key Performance Metrics

High Medium Low

Metric
Risk Risk Risk

Cumulative Return 92.71% 77.22% 52.47%

CAGR﹪ 88.4% 73.75% 50.27%

Sharpe 1.4 1.59 1.54

Prob. Sharpe Ratio 93.88% 96.17% 95.43%

Smart Sharpe 1.23 1.4 1.35

Sortino 2.7 3.07 2.87
Smart Sortino 2.37 2.7 2.53
Sortino/√2 1.91 2.17 2.03
Smart Sortino/√2 1.68 1.91 1.79
Omega 1.37 1.37 1.37

Max Drawdown -27.86% -19.32% -14.24%

Longest DD Days 86 86 86
Volatility (ann.) 55.99% 39.25% 29.08%
Calmar 3.17 3.82 3.53
Skew 1.96 1.83 1.68

Kurtosis 10.27 9.94 10.83

Expected Daily 0.25% 0.22% 0.16%

Expected Monthly 6.78% 5.89% 4.31%
Expected Yearly 38.82% 33.12% 23.48%
Risk of Ruin 0.0% 0.0% 0.0%

Daily Value-at-Risk -5.49% -3.82% -2.84%

Expected Shortfall
-5.49% -3.82% -2.84%
(cVaR)

Max Consecutive
5 5 5
Wins
Max Consecutive
7 6 9
Losses
Gain/Pain Ratio 0.37 0.44 0.4
Gain/Pain (1M) 1.89 2.6 2.93

Payoff Ratio 1.52 1.57 1.53

Profit Factor 1.37 1.44 1.4
Common Sense
2.21 2.58 2.37
Ratio
CPC Index 0.97 1.1 1.05
Tail Ratio 1.61 1.8 1.69
Outlier Win Ratio 4.29 6.27 8.33
Outlier Loss Ratio 3.45 4.9 6.25

MTD -0.44% -0.35% -0.2%

3M 26.4% 18.31% 9.55%
6M 88.35% 66.68% 40.64%
YTD 13.32% 17.44% 9.87%
1Y 92.71% 77.22% 52.47%
3Y (ann.) 88.4% 73.75% 50.27%
5Y (ann.) 88.4% 73.75% 50.27%
10Y (ann.) 88.4% 73.75% 50.27%
All-time (ann.) 88.4% 73.75% 50.27%

Best Day 22.07% 14.53% 10.59%

Worst Day -11.91% -9.48% -8.56%
Best Month 81.86% 50.51% 33.48%
Worst Month -24.46% -16.05% -11.46%
Best Year 70.05% 50.91% 38.77%
Worst Year 13.32% 17.44% 9.87%

Avg. Drawdown -9.7% -5.92% -4.91%

Avg. Drawdown
20 17 18
Days
Recovery Factor 2.92 3.37 3.27
Ulcer Index 0.14 0.09 0.07
Serenity Index 0.85 1.14 1.12

Avg. Up Month 29.15% 19.98% 12.83%

Avg. Down Month -8.6% -5.6% -3.88%
Win Days 46.56% 48.47% 48.85%
Win Month 50.0% 50.0% 60.0%
Win Quarter 50.0% 50.0% 50.0%

Win Year 100.0% 100.0% 100.0%

EOY Returns

Year High Risk Medium Risk Low Risk

2023 60.25% 44.30% 34.52

2024 20.99% 20.73% 11.99

Worst 10 Drawdowns

High Risk

Started Recovered Drawdown Days

2024-01-01 2024-03-02 -27.86% 62

2024-03-10 2024-06-03 -20.03% 86
2023-10-02 2023-10-24 -13.39% 23
2023-11-07 2023-12-02 -13.37% 26
2024-03-05 2024-03-07 -11.53% 3
2023-12-05 2023-12-20 -11.47% 16
2023-12-27 2023-12-30 -7.16% 4
2023-09-19 2023-09-30 -4.84% 12
2023-10-27 2023-11-03 -4.21% 8
2023-11-05 2023-11-05 -1.02% 1

Medium Risk

Started Recovered Drawdown Days

2024-01-01 2024-03-02 -19.32% 62

2024-03-10 2024-06-03 -14.64% 86
2024-03-05 2024-03-07 -9.48% 3

2023-12-05 2023-12-19 -7.12% 15

2023-11-11 2023-12-02 -7.03% 22
2023-10-02 2023-10-22 -7.00% 21
2023-12-27 2023-12-29 -4.36% 3
2023-10-27 2023-11-05 -3.88% 10

2023-11-09 2023-11-09 -3.64% 1

2023-10-24 2023-10-24 -3.16% 1

Low Risk

Started Recovered Drawdown Days

2024-01-01 2024-03-01 -14.24% 61

2024-03-10 2024-06-03 -11.02% 86
2024-03-05 2024-03-07 -8.56% 3
2023-10-02 2023-10-24 -6.67% 23
2023-12-05 2023-12-19 -5.88% 15

2023-11-13 2023-12-02 -5.83% 20

2023-12-27 2023-12-29 -3.53% 3
2023-10-26 2023-11-03 -2.55% 9
2023-11-09 2023-11-09 -2.38% 1
2023-09-18 2023-09-30 -1.67% 13

Contacts

Performance of our standardized portfolios on a daily

basis

Schedule a meeting for further information on our

trading approach and possible cooperation

robuxio.com

[email protected]