Data-driven market analysis. Full historical backtest results from 1,573 days — for informational purposes only.
Last Updated: 2026-03-28 · All figures are historical backtest results · Not financial advice
MDD -5.2% is our most important metric. While the digital asset benchmark lost up to -72.7% from peak, the Conservative model stayed within -5.2% in 4.3 years of historical data. Capital preservation is the foundation of every model.
Aggressive model cumulative performance vs digital asset benchmark (+25.2%) over the same period. Historical backtest result — not a guarantee of future performance.
Comparison based on past performance data (Historical Backtest 2021 – 2026). Not a guarantee of future results.
| 지표 | Conservative | Balanced | Aggressive | BTC 보유 |
|---|---|---|---|---|
| 누적 성과 (백테스트) | +80.3% | +147.1% | +584.6% | +25.2% |
| 연평균 성과 CAGR | 14.7% | 23.4% | 56.3% | ~5% |
| 최대 낙폭 (MDD) | -5.2% | -7.9% | -24.3% | -72.7% |
| 샤프 비율 | 2.19 | 1.93 | 1.66 | 0.36 |
| 흑자 연도 | 6/6 | 6/6 | 5/6 | 2/6 |
| BTC와 상관관계 | +0.10 | -0.05 | -0.04 | 1.00 |
Near-zero correlation with BTC indicates strategies that historically generated independent performance indicators. In 2022 backtested data (BTC -65%), Conservative showed +21.8% and Aggressive +50.5% — historical results, not guaranteed future performance.
Measures how much return you get for each unit of risk. Above 1.0 is good, above 2.0 is excellent.
Holding BTC means high risk, low reward. Conservative is 6x more efficient than BTC hold.
Similar to Sharpe but only penalizes downside volatility. Positive-return days aren't counted as "risk" — a fairer metric.
Annual return divided by max drawdown. Above 1.0 is good, above 2.0 is excellent.
All 3 strategies exceed 2.0 — meaning they consistently earn more than their worst drawdown.
Ratio of gross gains to gross losses in backtested data. Above 2.0 is considered excellent.
Conservative's 5.72 means gross gains were 5.7x gross losses in historical backtesting. (BTC hold is a passive benchmark — Performance Factor N/A)
Total return divided by max drawdown. Higher = stronger recovery from dips.
BTC's 0.35 means its return (+25.2%) is tiny compared to its drawdown (-72.7%).
| 지표 | Conservative | Balanced | Aggressive |
|---|---|---|---|
| 월간 승률 | 62.3% | 62.3% | 58.5% |
| 평균 수익 (이긴 달) | +2.22% | +3.66% | +10.19% |
| 평균 손실 (진 달) | -0.64% | -1.33% | -4.25% |
| 페이오프 비율 (승/패 비) | 3.46x | 2.76x | 2.40x |
| 월간 기대값 | +1.14% | +1.78% | +4.20% |
| 최대 월간 수익 | +8.4% | +12.4% | +56.2% |
| 최대 월간 손실 | -2.0% | -5.1% | -12.2% |
| 최대 연속 흑자 | 6개월 | 5개월 | 5개월 |
| 최대 연속 적자 | 3개월 | 3개월 | 4개월 |
Positive historical expectancy indicates statistically favorable backtest results over 1,573 days. Conservative showed +1.14%/month average in historical data. Past results do not guarantee future performance.
Tests whether returns are due to chance. p < 0.05 = statistically significant.
| 검증 단위 | Conservative | Balanced | Aggressive |
|---|---|---|---|
| 일간 t-test | p=0.000006 *** | p=0.000066 *** | p=0.000604 *** |
| 월간 t-test | p=0.000269 *** | p=0.000625 *** | p=0.007278 *** |
| 연간 t-test | p=0.0256 ** | p=0.0202 ** | p=0.0436 ** |
All strategies achieved statistical significance (p < 0.05) across daily, monthly, and yearly timeframes in historical backtesting — mathematically validated, non-random indicator generation. Past results do not guarantee future performance.
Walk-Forward Test — Will it work in the future?
| 연도 | Conservative | Balanced | Aggressive |
|---|---|---|---|
| 2022 | +21.8% (Sh 2.58) | +24.6% (Sh 1.98) | +50.5% (Sh 1.49) |
| 2023 | +20.2% (Sh 3.31) | +34.8% (Sh 2.61) | +102.7% (Sh 2.42) |
| 2024 | +8.5% (Sh 1.16) | +22.4% (Sh 1.80) | +60.1% (Sh 1.67) |
| 2025 | +4.7% (Sh 1.19) | +7.2% (Sh 0.76) | +34.6% (Sh 1.27) |
| 양수 연도 | 4/4 (100%) | 4/4 (100%) | 4/4 (100%) |
Across 4 years (2022–2025), all 3 strategies achieved positive annual performance 100% of the time.
Probability-based max daily loss. "95% VaR" means 95 out of 100 days you won't lose more than this.
| 지표 | Conservative | Balanced | Aggressive | BTC 보유 |
|---|---|---|---|---|
| VaR 95% (일간) | -0.36% | -0.72% | -1.97% | -4.2% |
| CVaR 95% (일간) | -0.63% | -1.16% | -3.04% | -6.8% |
| VaR 99% (일간) | -0.82% | -1.36% | -3.46% | -9.5% |
| 최악의 하루 | -1.56% | -2.95% | -10.97% | -15.4% |
| 최고의 하루 | +3.02% | +4.77% | +9.89% | +14.6% |
Conservative: 99 out of 100 days, you lose less than -0.82%. On a $10K account, max $82/day. The worst day in 4.3 years was just -1.56% ($156).
10,000 Monte Carlo simulations measuring capital depletion probability (90%+ loss) at each risk multiplier level — based on historical backtest data (2021 – 2026). Conservative & Balanced result: Zero Ruin Probability at recommended risk levels.
| Risk Multiplier | Conservative | Balanced | Aggressive | BTC 보유 |
|---|---|---|---|---|
| 1x | 0% | 0% | 0% | 2.20% |
| 3x | 0% | 0% | 0% | 76.93% |
| 5x | 0%추천 | 0% | 0%추천 | 98.64% |
| 7x | 0% | 0%추천 | 0% | 99.99% |
| 10x | 0% | 0% | 0% | 100% |
| 15x | 0% | 0% | 0.16% | 100% |
| 20x | 0% | 0% | 1.09% | 100% |
| 30x | 0% | 0% | 10.67% | 100% |
| 50x | 0% | 0.03% | 79.47% | 100% |
추천 표시가 각 전략의 현재 사용 레버리지입니다.
Conservative (5x risk multiplier) — Max drawdown -5.2%, capital stability index: excellent.
Balanced (7x risk multiplier) — Max drawdown -7.9% even at 7x. Best risk-adjusted efficiency in historical data.
Aggressive (5x risk multiplier) — Higher multipliers showed significantly increased drawdowns in backtesting.
All performance data on this page uses the recommended risk multiplier above.
Conservative and Balanced show negligible capital depletion probability even at 50x — Capital Safety Score: 100%. The digital asset benchmark shows 76.9% depletion probability at just 3x in Monte Carlo simulation.
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Data Disclaimer: All figures on this page — including cumulative performance, drawdowns, ratios, and statistical metrics — are derived exclusively from historical backtesting simulation (Nov 2021 – Mar 2026). Backtested results are hypothetical and do not reflect actual trading results. Past performance does not guarantee future results.
Risk Disclaimer: Trading cryptocurrencies involves substantial risk of loss and is not suitable for every investor. Past performance, whether backtested or live, is not indicative of future results. The information provided on this website is for educational and informational purposes only and should not be considered financial advice. You should only trade with money you can afford to lose. Always do your own research before making any investment decisions.
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