🚀 Trendhoo [v5] by @DaviddTech 🤖 [bbfb37ee]
🛡️ TRENDHOO – SCU 2HR
@CHIBUKU
⌛2 hours
⚪️ Deep Backtest
Last updated: 3 minutes agoTrades per Day
Key Performance Metrics
- First Traded Date: 2022-04-30 22:00:00
- Sharpe Ratio: 0.42
- Sortino Ratio: 1.31
- Calmar: -3.57
- Longest DD Days: 30.00
- Volatility: 91.54
- Skew: 1.36
- Kurtosis: 1.29
- Expected Daily: 1.33
- Expected Monthly: 31.90
- Expected Yearly: 2,673.24
- Kelly Criterion: 24.11
- Daily Value-at-Risk: -5.47
- Expected Shortfall (cVaR): -6.71
- Last Trade Date: 2025-02-07 12:00:00
- Max Consecutive Wins: 12
- Number Winning Trades 121
- Max Consecutive Losses: 6
- Number Losing Trades: 66
- Gain/Pain Ratio: -3.57
- Gain/Pain (1M): 1.59
- Payoff Ratio: 0.85
- Common Sense Ratio: 1.59
- Tail Ratio: 2.77
- Outlier Win Ratio: 3.81
- Outlier Loss Ratio: 0.00
- Recovery Factor: 0.00
- Ulcer Index: 0.11
- Serenity Index: 30.79
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, several performance metrics stand out that merit attention:
Metric | Strategy |
---|---|
Net Profit | 773.74% |
CAGR | 118.27% |
Sharpe Ratio | 0.418 |
Sortino Ratio | 1.307 |
Profit Factor | 1.564 |
Maximum Drawdown | 34.41% |
Volatility (Annualized) | 91.54% |
Percent Profitable | 64.71% |
Expected Yearly | 2673.24% |
The strategy exhibits strong profitability with a net profit of 773.74% and a solid CAGR of 118.27%. Although the Sharpe Ratio of 0.418 is slightly below the preferred threshold, the strategy shows potential with a strong Sortino Ratio (1.307) and decent Profit Factor (1.564). The maximum drawdown of 34.41% remains within acceptable limits, suggesting a good balance between risk and reward.
Strategy Viability
Based on the data provided, the strategy shows potential viability for real-world trading, given its profitability and relatively contained drawdown. Although the Sharpe Ratio is slightly below the target, the strategy's high Percent Profitable and significant Expected Yearly returns demonstrate promising performance. Identifying the market conditions under which this strategy excels will help tailor its application to similar future conditions.
Risk Management
The strategy implements some effective risk management practices, as evidenced by the absence of margin calls and the relatively moderate maximum drawdown. However, with high annualized volatility (91.54%), there is room for improving daily risk management:
- Reducing leverage could decrease the volatility and maximum drawdown further, enhancing stability.
- Incorporating adaptive position sizing based on volatility could optimize risk exposure.
- Utilizing additional stop-loss or trailing stop mechanisms may help cushion against significant market swings.
Improvement Suggestions
To further amplify the strategy's performance and robustness, consider the following recommendations:
- Optimize and test different strategy parameters to enhance returns while minimizing drawdowns.
- Explore incorporating diverse technical indicators or signals to fine-tune trade entry and exit points.
- Perform thorough out-of-sample testing and forward-testing to ensure consistency and adaptability across varying market conditions.
- Experiment with leveraging additional risk management techniques, such as Value-At-Risk (VaR) adjustments and stress testing, for improved stability.
Final Opinion
In summary, the strategy exhibits promising performance with strong profitability metrics and a notable annual CAGR. While the Sharpe Ratio could be improved, the strategy demonstrates resilience with a contained drawdown and a high percentage of profitable trades. With some optimization and further testing, this strategy could be a powerful tool for traders seeking to capitalize on market opportunities.
Recommendation: Proceed with further optimization and testing of the strategy. Implement the suggested improvements to boost robustness and tailor the risk management framework to adapt to fluctuating market conditions effectively.
Standard Monthly Profit
This shows the total profits or losses of the strategy after closing a trade and the percentage gain or loss of the strategy over time.
Year/Month | January | February | March | April | May | June | July | August | September | October | November | December |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2025 | Login to see results | Login to see results | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
2024 | -19.90% | 60.88% | 4.56% | 11.37% | -6.45% | 14.73% | -8.31% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 21.46% | 30.64% | -9.86% | -1.00% | 5.60% | 6.88% | 8.49% | -0.39% | -12.31% | 12.30% | 28.94% | 32.99% |
2022 | 0.00% | 0.00% | 0.00% | 0.29% | 24.52% | 5.54% | 14.61% | -2.87% | 4.16% | 12.93% | 28.37% | -8.29% |
Live Trades Stats
SC
Base Currency
47
Number of Trades
-1.58%
Cumulative Returns
53.19%
Win Rate
2024-03-23
🟠 Incubation started
🛡️
7 Days
15.31%
30 Days
20.92%
60 Days
-8.62%
90 Days
List of Trades
Key : Pink Background = Live Trades | Black Background = Backtest Trades
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 840,641.32 USD | 840.64 | 738,651.52 USD | 738.65 | 101,989.80 USD | 101.99 |
Gross Profit | 1,440,943.33 | 1,440.94 | 1,132,326.78 | 1,132.33 | 308,616.56 | 308.62 |
Gross Loss | 600,302.02 | 600.30 | 393,675.26 | 393.68 | 206,626.76 | 206.63 |
Max Run-up | 1,006,310.06 | 90.96 | ||||
Max Drawdown | 140,535.05 | 21.79 | ||||
Buy & Hold Return | 1,767.29 | 1.77 | ||||
Sharpe Ratio | 0.567 | |||||
Sortino Ratio | 2.128 | |||||
Profit Factor | 2.4 | 2.876 | 1.494 | |||
Max Contracts Held | 127,807,135 | 127,807,135 | 125,671,071 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 19,418.55 | 13,303.45 | 6,115.10 | |||
Total Closed Trades | 140 | 81 | 59 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 96 | 58 | 38 | |||
Number Losing Trades | 44 | 23 | 21 | |||
Percent Profitable | 68.57 | 71.60 | 64.41 | |||
Avg Trade | 6,004.58 | 6.72 | 9,119.15 | 7.49 | 1,728.64 | 5.67 |
Avg Winning Trade | 15,009.83 | 11.73 | 19,522.88 | 12.13 | 8,121.49 | 11.12 |
Avg Losing Trade | 13,643.23 | 4.21 | 17,116.32 | 4.23 | 9,839.37 | 4.19 |
Ratio Avg Win / Avg Loss | 1.1 | 1.141 | 0.825 | |||
Largest Winning Trade | 125,325.67 | 18.40 | 125,325.67 | 18.38 | 93,063.00 | 18.40 |
Largest Losing Trade | 48,973.08 | 8.93 | 48,973.08 | 7.71 | 44,051.76 | 8.93 |
Avg # Bars in Trades | 32 | 23 | 44 | |||
Avg # Bars in Winning Trades | 40 | 25 | 64 | |||
Avg # Bars in Losing Trades | 12 | 17 | 7 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 773,742.32 USD | 773.74 | 566,366.62 USD | 566.37 | 207,375.70 USD | 207.38 |
Gross Profit | 2,145,571.76 | 2,145.57 | 1,268,043.94 | 1,268.04 | 877,527.82 | 877.53 |
Gross Loss | 1,371,829.44 | 1,371.83 | 701,677.32 | 701.68 | 670,152.12 | 670.15 |
Max Run-up | 1,125,824.19 | 91.84 | ||||
Max Drawdown | 389,488.33 | 34.41 | ||||
Buy & Hold Return | −54,709.11 | −54.71 | ||||
Sharpe Ratio | 0.418 | |||||
Sortino Ratio | 1.307 | |||||
Profit Factor | 1.564 | 1.807 | 1.309 | |||
Max Contracts Held | 288,791,320 | 267,060,868 | 288,791,320 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 37,677.06 | 21,033.84 | 16,643.22 | |||
Total Closed Trades | 187 | 96 | 91 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 121 | 63 | 58 | |||
Number Losing Trades | 66 | 33 | 33 | |||
Percent Profitable | 64.71 | 65.63 | 63.74 | |||
Avg Trade | 4,137.66 | 5.93 | 5,899.65 | 6.42 | 2,278.85 | 5.42 |
Avg Winning Trade | 17,732.00 | 11.51 | 20,127.68 | 11.93 | 15,129.79 | 11.06 |
Avg Losing Trade | 20,785.29 | 4.30 | 21,262.95 | 4.10 | 20,307.64 | 4.50 |
Ratio Avg Win / Avg Loss | 0.853 | 0.947 | 0.745 | |||
Largest Winning Trade | 145,792.36 | 18.40 | 125,325.67 | 18.38 | 145,792.36 | 18.40 |
Largest Losing Trade | 82,288.21 | 8.93 | 48,973.08 | 7.71 | 82,288.21 | 8.93 |
Avg # Bars in Trades | 34 | 25 | 43 | |||
Avg # Bars in Winning Trades | 41 | 26 | 57 | |||
Avg # Bars in Losing Trades | 20 | 22 | 18 | |||
Margin Calls | 0 | 0 | 0 |
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