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Strategy Index Formula - Annual Index

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 ratio / 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

Delta Neutral

  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)

Dollar Neutral

  1. Position Holding Days and Turnover Ratio 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

Directional

  1. Win Rate (Trading Day Basis)：Percentage of profitable days within the reporting period.
  2. Win Rate (Trade Basis)：Percentage of profitable trades based on individual fills or executions.
  3. Win Rate (Position Basis)：Percentage of profitable positions based on individual fills or executions.
  4. Profit-to-Loss Ratio (Daily Magnitude)：Average realized profit (in USD) per winning day divided by the average realized loss (in USD) per losing day.
  5. Profit-to-Loss Ratio (Per Trade Magnitude)：Average realized profit (in USD) per winning trade divided by the average realized loss (in USD) per losing trade.
  6. Profit-to-Loss Ratio (Per Position Magnitude)：Average realized profit (in USD) per winning position divided by the average realized loss (in USD) per losing position.

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