CTBench: Cryptocurrency Time Series Generation Benchmark

Abstract

Synthetic time series are vital for data augmentation, stress testing, and prototyping in quantitative finance. Yet in cryptocurrency markets, characterized by 24/7 trading, extreme volatility, and rapid regime shifts, existing Time Series Generation (TSG) methods and benchmarks often fall short, jeopardizing practical utility. Most prior work targets non-financial or traditional financial domains, focuses narrowly on classification and forecasting while neglecting crypto-specific complexities, and lacks critical financial evaluations, particularly for trading applications. To bridge these gaps, we introduce \textbf{CTBench}, the first \textbf{C}ryptocurrency \textbf{T}ime series generation \textbf{Bench}mark. It curates an open-source dataset of 452 tokens and evaluates models across 13 metrics spanning forecasting accuracy, rank fidelity, trading performance, risk assessment, and computational efficiency. A key innovation is a dual-task evaluation framework: the Predictive Utility measures how well synthetic data preserves temporal and cross-sectional patterns for forecasting, while the Statistical Arbitrage assesses whether reconstructed series support mean-reverting signals for trading. We systematically benchmark eight state-of-the-art models from five TSG families across four market regimes, revealing trade-offs between statistical quality and real-world profitability. Notably, CTBench provides ranking analysis and practical guidance for deploying TSG models in crypto analytics and trading applications. The source code is available at \url{https://anonymous.4open.science/r/CTBench-F5A3/}.