🚀 McGinley Trend Followers [v5] by @DaviddTech 🤖 [f0bbac6f]
🛡️ MCGINLEYTREND LINKUSDT 45M
@a-dog
⌛45 minutes
⚪️ Deep Backtest
Last updated: 1 hour agoTrades per Day
Key Performance Metrics
- First Traded Date: 2020-11-03 00:00:00
- Sharpe Ratio: 0.60
- Sortino Ratio: 2.68
- Calmar: -0.59
- Longest DD Days: 62.00
- Volatility: 18.85
- Skew: -0.10
- Kurtosis: 1.77
- Expected Daily: 0.18
- Expected Monthly: 3.80
- Expected Yearly: 56.39
- Kelly Criterion: 23.12
- Daily Value-at-Risk: -1.60
- Expected Shortfall (cVaR): -2.65
- Last Trade Date: 2025-01-26 23:15:00
- Max Consecutive Wins: 9
- Number Winning Trades 159
- Max Consecutive Losses: 4
- Number Losing Trades: 87
- Gain/Pain Ratio: -0.59
- Gain/Pain (1M): 1.55
- Payoff Ratio: 0.83
- Common Sense Ratio: 1.55
- Tail Ratio: 1.31
- Outlier Win Ratio: 3.95
- Outlier Loss Ratio: 3.41
- Recovery Factor: 0.00
- Ulcer Index: 0.06
- Serenity Index: 1.69
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 | 10371.01 |
CAGR | 10.37% |
Sharpe Ratio | 0.603 |
Sortino Ratio | 2.684 |
Profit Factor | 1.487 |
Maximum Drawdown | 52.54% |
Volatility | 18.85% |
Percent Profitable | 64.63% |
The strategy delivers a net profit of 10371.01 with a respectable CAGR of 10.37%. The Sharpe ratio of 0.603 indicates satisfactory risk-adjusted performance, especially in the context of cryptocurrency trading, where a Sharpe ratio above 0.5 is considered good. Although the maximum drawdown of 52.54% exceeds the desirable threshold, the strategy's high win rate of 64.63% and solid Sortino ratio of 2.684 underscore its potential.
Strategy Viability
Based on the data provided, the strategy presents a viable option for real-world trading, albeit with room for refinement. The performance metrics, particularly the positive net profit, exceed those of a typical buy & hold approach, making it a more appealing choice. Despite the higher-than-preferred drawdown, which suggests susceptibility to market downturns, the risk-adjusted metrics indicate sound overall performance.
Risk Management
Evaluating the strategy’s risk management approach reveals some areas for improvement. While the absence of margin calls is reassuring, the maximum drawdown suggests potential over-leverage. Enhancements to risk management could help decrease drawdowns without compromising potential returns.
- Consider reducing leverage to mitigate the strategy’s maximum drawdown.
- Implement additional stop-loss strategies to lock in gains and curtail losses.
- Explore dynamic position sizing strategies to adapt to fluctuating market volatility.
Improvement Suggestions
To enhance strategy performance and ensure resilience, consider the following modifications:
- Optimize entry and exit criteria using additional technical indicators to improve the average win/loss ratio.
- Reduce leverage to decrease maximum drawdown and align with risk tolerance.
- Conduct thorough out-of-sample backtesting and forward-testing to test robustness under different market conditions.
- Explore diversification across different cryptocurrencies to distribute risk more effectively.
Final Opinion
In summary, the strategy exhibits commendable performance with a good Sharpe Ratio and satisfactory profitability metrics. However, managing drawdowns remains a key area for enhancement. Augmenting the strategy’s robustness and adapting the risk management framework can help solidify its success under varying market conditions.
Recommendation: Proceed with further refinement and testing. Implement risk management improvements and leverage adjustments to enhance overall performance stability and maximize strategy potential.
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 | -6.22% | 4.63% | -9.17% | -16.71% | -9.20% | -5.12% | 4.78% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 4.83% | 9.08% | 10.22% | 44.73% | -7.70% | 30.43% | 7.78% | 29.11% | 61.08% | 36.09% | 0.24% | 11.01% |
2022 | 7.57% | 4.92% | 12.66% | 30.06% | 5.56% | 0.00% | 29.53% | 16.86% | 16.19% | 38.26% | 22.45% | 25.52% |
2021 | 0.00% | 11.82% | 4.86% | 5.28% | 0.00% | 0.00% | 7.03% | -4.98% | 0.00% | -11.70% | 12.34% | 9.12% |
2020 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.05% | 10.38% |
Live Trades Stats
LINK
Base Currency
73
Number of Trades
27.49%
Cumulative Returns
52.05%
Win Rate
2024-01-03
🟠 Incubation started
🛡️
7 Days
-4.44%
30 Days
2.82%
60 Days
1.41%
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 | 48,235.50 USD | 9,647.10 | 36,188.10 USD | 7,237.62 | 12,047.40 USD | 2,409.48 |
Gross Profit | 70,027.78 | 14,005.56 | 44,670.27 | 8,934.05 | 25,357.51 | 5,071.50 |
Gross Loss | 21,792.28 | 4,358.46 | 8,482.17 | 1,696.43 | 13,310.11 | 2,662.02 |
Max Run-up | 51,654.12 | 99.06 | ||||
Max Drawdown | 7,390.10 | 35.12 | ||||
Buy & Hold Return | 148.49 | 29.70 | ||||
Sharpe Ratio | 0.759 | |||||
Sortino Ratio | 5.472 | |||||
Profit Factor | 3.213 | 5.266 | 1.905 | |||
Max Contracts Held | 14,649 | 14,649 | 11,476 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 2,496.02 | 1,475.34 | 1,020.68 | |||
Total Closed Trades | 174 | 68 | 106 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 122 | 50 | 72 | |||
Number Losing Trades | 52 | 18 | 34 | |||
Percent Profitable | 70.11 | 73.53 | 67.92 | |||
Avg Trade | 277.22 | 1.29 | 532.18 | 1.55 | 113.65 | 1.12 |
Avg Winning Trade | 574.00 | 3.14 | 893.41 | 3.17 | 352.19 | 3.12 |
Avg Losing Trade | 419.08 | 3.05 | 471.23 | 2.95 | 391.47 | 3.10 |
Ratio Avg Win / Avg Loss | 1.37 | 1.896 | 0.9 | |||
Largest Winning Trade | 4,659.75 | 15.10 | 4,095.48 | 4.64 | 4,659.75 | 15.10 |
Largest Losing Trade | 5,378.96 | 3.91 | 1,845.74 | 3.91 | 5,378.96 | 3.67 |
Avg # Bars in Trades | 27 | 25 | 28 | |||
Avg # Bars in Winning Trades | 27 | 25 | 29 | |||
Avg # Bars in Losing Trades | 26 | 26 | 26 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 51,855.05 USD | 10,371.01 | 45,565.42 USD | 9,113.08 | 6,289.63 USD | 1,257.93 |
Gross Profit | 158,243.06 | 31,648.61 | 94,173.59 | 18,834.72 | 64,069.47 | 12,813.89 |
Gross Loss | 106,388.01 | 21,277.60 | 48,608.17 | 9,721.63 | 57,779.84 | 11,555.97 |
Max Run-up | 56,103.47 | 99.13 | ||||
Max Drawdown | 28,037.99 | 52.54 | ||||
Buy & Hold Return | 354.88 | 70.98 | ||||
Sharpe Ratio | 0.603 | |||||
Sortino Ratio | 2.684 | |||||
Profit Factor | 1.487 | 1.937 | 1.109 | |||
Max Contracts Held | 14,649 | 14,649 | 12,503 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 6,890.85 | 3,703.57 | 3,187.28 | |||
Total Closed Trades | 246 | 102 | 144 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 159 | 68 | 91 | |||
Number Losing Trades | 87 | 34 | 53 | |||
Percent Profitable | 64.63 | 66.67 | 63.19 | |||
Avg Trade | 210.79 | 0.94 | 446.72 | 1.10 | 43.68 | 0.83 |
Avg Winning Trade | 995.24 | 3.15 | 1,384.91 | 3.18 | 704.06 | 3.13 |
Avg Losing Trade | 1,222.85 | 3.09 | 1,429.65 | 3.04 | 1,090.19 | 3.13 |
Ratio Avg Win / Avg Loss | 0.814 | 0.969 | 0.646 | |||
Largest Winning Trade | 5,710.76 | 15.10 | 5,710.76 | 4.64 | 4,659.75 | 15.10 |
Largest Losing Trade | 5,387.80 | 3.91 | 5,387.80 | 3.91 | 5,378.96 | 3.68 |
Avg # Bars in Trades | 27 | 25 | 28 | |||
Avg # Bars in Winning Trades | 26 | 24 | 28 | |||
Avg # Bars in Losing Trades | 28 | 27 | 28 | |||
Margin Calls | 0 | 0 | 0 |
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