Intelligence

Portfolio Analytics

10 min read

What it is

Institutional-grade analytics for your crypto portfolio: Sharpe / Sortino / VaR / Drawdown, stress testing, correlation matrix, factor exposure, Kelly Criterion sizing, pairs trading signals, whale watcher, and yield opportunities. 8 tabs, every metric computed from real fills or real on-chain data — no fabricated numbers.

How to think about it

Tabs that need user trading data (Risk Overview, Stress Test, Correlation, Factor Exposure, Kelly, Pairs) show an empty-state card with paper-trading + bot-setup CTAs until you have enough fills. Whale Watcher + Yield are external-data tabs and work immediately. Pairs Trading is EXPERIMENTAL — requires an explicit acknowledgement.

Step-by-step

  1. Risk Overview tab — 10 metrics + AI commentary

    Sharpe (return per unit of risk, good >1), Sortino (downside-only, good >1.5), Max Drawdown (worst peak-to-trough, low <15%), Calmar (return ÷ DD, good >1), VaR 95%/99% (max daily loss at confidence level), Win Rate, Profit Factor (gross profit ÷ gross loss, good >1.5), Annualized Return + Volatility. Plus per-source breakdown (Smart Trade / Grid / DCA / CEX / DEX / Futures / Algo).

  2. Stress Test tab — real historical scenarios

    7 pre-built scenarios run against your current allocation: BTC -30% Crash, ETH +40% Rally, DeFi Exploit, USDT Depeg, Gas Spike 500gwei, March 2020 Replay, Bull Run +100%. Per-position impact bars + total portfolio change. The scenarios use REAL historical data — no synthetic "what if" generation (durable rule from the audit).

  3. Correlation tab — concentration in disguise

    N×N matrix of correlations between your holdings. Pairs > 0.85 are flagged as concentration risk — they don't add diversification. Pairs 0.5–0.85 = partial diversification. < 0.5 = meaningfully independent. < 0 = inversely correlated (rare in crypto majors).

  4. Factor Exposure tab

    8 factors: Momentum, Volatility, Market Cap, DeFi, Layer 1, Layer 2, Meme, Staking Yield. Bar chart shows your exposure to each. > 75% in one factor triggers a concentration warning. Use to spot when your "diversified" portfolio is actually one big bet on a single theme.

  5. Kelly Criterion tab

    Computes optimal position size from your real win rate + avg win/avg loss. Shows Full Kelly (aggressive — historical only, NEVER use live), Half Kelly (academic standard), Quarter Kelly (recommended for crypto). The page also surfaces honest caveats when Kelly is undefined (negative expectancy, too few trades, etc).

  6. Pairs Trading tab — EXPERIMENTAL

    Auto-detected mean-reversion opportunities (e.g., "ETH/BTC spread is 2.3σ above mean"). Z-score, correlation, signal, confidence level. Requires explicit warning checkbox before use — substantial losses possible if correlation breaks during your hold period.

  7. Whale Watcher tab — external on-chain data

    Smart money accumulation per token (7-day net flow), top 10 most profitable wallets with their P&L and recent actions, recent whale transactions > $500K with smart money tagging. Always live (no user-data dependency).

  8. Yield tab — live DeFi rates

    Live APY / TVL / chain / risk rating for opportunities across Aave, Compound, Lido, Rocket Pool, Marinade. Filterable by chain. Always live — pulled from each protocol's on-chain state.

Tips & pitfalls

  • Empty tabs are NOT a bug — they need real trades to compute. Paper trade first if you don't want to use real capital while you learn the metrics.
  • AI Portfolio Commentary appears at the top of Risk Overview once you have enough data — auto-generated narrative about your performance with best/worst movers and risk flags.
  • Sharpe and Sortino assume normal-distribution returns. Crypto returns have fat tails, so these metrics over-state risk-adjusted returns. Treat them as relative comparisons across your own strategies, not absolute benchmarks.
  • VaR (95%/99%) is a per-day loss estimate. The 99% number is the loss your portfolio should NOT exceed on 99% of days — but it WILL be exceeded on 1% of days. Don't bet the farm against it.
  • Pairs trading correlation can break — sometimes spectacularly. The "ETH/BTC spread 2σ above mean" trade lost money for everyone during the May 2022 LUNA collapse. Use small size and accept it can be wrong.
  • Kelly Criterion is the math-optimal size IF your historical edge persists. In crypto it usually doesn't. Quarter Kelly bakes in a 4× safety margin and is the right starting point.
  • Stress test uses REAL historical periods, not synthetic generated scenarios — see [[no-synthetic-scenarios]] for the philosophy. Want a custom period? Use the date-range picker in Stress Test.