Strategy Index Formula

Profit and Loss (PNL) and Risk

1. PNL is calculated based on TWR; Max DrawDown, Volatility and Unit Leverage Return are calculated based on daily data.
2. Volatility measures annualized fluctuations of daily PnL% (for portfolios) and daily price fluctuations (for benchmarks). Higher volatility indicates greater risk.
   1. Volatility formula: STDEV(Daily PNL%)*SQRT(365)
3. Unit leverage return refers to the additional return generated by each increment of leverage when making an investment using leverage.
   1. Unit leverage return formula: daily PNL / daily leverage / daily principal
4. We use gross exposure % as leverage, with the formula:
   1. Gross exposure % = Total Gross Exposure / Portfolio Net Asset;
   2. Total Gross Exposure = SUM(Gross Exposure by Underlying excluding stable and fiat coins)
5. Sharpe Ratio is calculated using 3% of risk free rate; A higher Sharpe ratio indicates better risk-adjusted performance
   1. Sharpe Ratio = [Period Avg PNL %(Annualized) - Risk-free Rate] / Volatility
6. Sortino Ratio is calculated using the minimum acceptable return (MAR) equal to 0
   1. Sortino Ratio = [Period Avg PNL %(Annualized) - Risk-free Rate] / Downside Deviation
7. Calmar Ratio = [Period Avg PNL %(Annualized) - Risk-free Rate] / Max DrawDown

Strategy Features

Long Short

1. Position Holding Days serves as a key metric for evaluating capital efficiency. We calculate quarterly turnover days by:
   1. Aggregating absolute value of net USD exposure per symbol from daily cut-off-time snapshots
   2. Eliminating dual-position interference
   3. Normalizing against total trading volume
2. Capital Utilization Rate further complements this analysis by measuring:
   1. USD Trading Volume: Aggregated from transaction quantities, execution prices, and quote currency exchange rates
   2. Active Trading Days: Counts the actual number of days with executed trades during the measurement period
   3. Daily Average Net Assets: Computes the mean net asset value (NAV) across all trading days in the period

Funding Arb

1. The PNL Decomposition is calculated using various records to generate detailed PNL data, breaking down portfolio performance into individual components.
2. Funding Yield per Gross Exposure (FYpGE) = Funding fees / Total Gross Exposure / Total trading days
3. We use gross exposure instead of using NAV because of considering the value of contract
4. Total Gross Exposure = SUM(Gross Exposure by Underlying excluding stable and fiat coins)

Coin Distribution

1. USD exposure = Delta * Underlying Price
2. We calculated the distribution ratio by dividing each coin's gross exposure by the portfolio's total gross exposure
3. We summarized the data based on underlying currencies and normalized the impact of principal