🚀 McGinley Trend Followers [v5] by @DaviddTech 🤖 [efb76cff]
🛡️ MCGINLEY BTCUSDT 30MIN
@A-Dog
⌛30 minutes
⚪️ Deep Backtest
Last updated: 43 minutes agoTrades per Day
Key Performance Metrics
- First Traded Date: 2020-10-29 16:30:00
- Sharpe Ratio: 0.21
- Sortino Ratio: 0.43
- Calmar: -0.50
- Longest DD Days: 188.00
- Volatility: 99.02
- Skew: 0.57
- Kurtosis: 0.63
- Expected Daily: 0.47
- Expected Monthly: 10.37
- Expected Yearly: 226.75
- Kelly Criterion: 6.37
- Daily Value-at-Risk: -5.51
- Expected Shortfall (cVaR): -7.73
- Last Trade Date: 2025-02-12 23:00:00
- Max Consecutive Wins: 13
- Number Winning Trades 245
- Max Consecutive Losses: 9
- Number Losing Trades: 260
- Gain/Pain Ratio: -0.50
- Gain/Pain (1M): 1.15
- Payoff Ratio: 1.22
- Common Sense Ratio: 1.15
- Tail Ratio: 1.39
- Outlier Win Ratio: 3.39
- Outlier Loss Ratio: 2.70
- Recovery Factor: 0.00
- Ulcer Index: 0.44
- Serenity Index: 1.58
AI Trading Bot Quantitative Analyst
Performance Analysis
An examination of the QuantStats data reveals several noteworthy metrics:
Metric | Strategy |
---|---|
Cumulative Return | 312.1% |
Annualized Return (CAGR %) | 39.36% |
Sharpe Ratio | 0.216 |
Profit Factor | 1.165 |
Maximum Drawdown | 74.75% |
Volatility (Annualized) | 99.03% |
The strategy delivers a cumulative return of 312.1% with an annualized return of 39.36%. However, the Sharpe Ratio of 0.216 suggests limited risk-adjusted returns within the crypto context. The Profit Factor of 1.165 indicates that the strategy gains $1.165 for every $1 lost. The maximum drawdown is quite high at 74.75%, raising concerns about downside risk.
Strategy Viability
While the strategy has shown strong returns, its viability for live markets is notably constrained by the high maximum drawdown and relatively low risk-adjusted return metrics. The strategy may benefit from environments with higher volatility, yet its performance under these conditions must be carefully considered and managed, as such conditions can exacerbate drawdowns.
Risk Management
The current risk management framework appears insufficient given the strategy's volatility and drawdown figures. Recommendations for improvement include:
- Reducing leverage can significantly mitigate the high drawdown risk.
- Implementing stricter stop-loss rules or volatility-based stops to control drawdown peaks.
- Analyzing the drawdown periods closely to identify common risk factors or market events causing these declines.
Improvement Suggestions
To enhance the strategy’s performance and robustness, the following improvements are suggested:
- Optimize trading parameters such as entry and exit points to balance gains and reduce drawdowns.
- Consider incorporating additional technical indicators or machine learning models to better capture market signals.
- Conduct rigorous backtesting across diverse market conditions to test the strategy's applicability.
- Add scenario analysis and stress testing to better predict the impact of extreme market events.
Final Opinion
In summary, while the strategy showcases notable cumulative and annual returns, it is hindered by a high drawdown and low Sharpe Ratio. The risk management approach should be enhanced significantly to ensure resilience in volatile markets.
Recommendation: Modify the strategy by reducing leverage and enhancing risk management techniques. Proceed with extensive backtesting and optimization to improve robustness. Only then should consideration be given to live deployment in crypto markets.
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 | -7.58% | -5.72% | -35.16% | 33.28% | 20.62% | 11.06% | 24.87% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 14.14% | 25.09% | 5.96% | 26.54% | -26.56% | -15.75% | 0.47% | -2.61% | -3.33% | -1.54% | -6.60% | -4.22% |
2022 | 13.26% | 17.47% | -0.81% | 20.23% | 30.82% | 26.66% | 60.49% | -8.94% | 17.82% | -10.89% | -6.30% | -8.83% |
2021 | 5.04% | 8.95% | -37.98% | 1.90% | -16.75% | -26.33% | 13.77% | -14.87% | -0.64% | 11.86% | 17.40% | -10.88% |
2020 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -5.33% | 2.68% | -7.98% |
Live Trades Stats
ETH
Base Currency
170
Number of Trades
116.84%
Cumulative Returns
49.41%
Win Rate
2023-10-17
🟠 Incubation started
🛡️
7 Days
15.45%
30 Days
116.06%
60 Days
35.99%
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 | 71,007.95 USD | 71.01 | 16,866.69 USD | 16.87 | 54,141.26 USD | 54.14 |
Gross Profit | 1,049,065.68 | 1,049.07 | 443,157.97 | 443.16 | 605,907.71 | 605.91 |
Gross Loss | 978,057.73 | 978.06 | 426,291.28 | 426.29 | 551,766.45 | 551.77 |
Max Run-up | 283,231.95 | 89.56 | ||||
Max Drawdown | 146,787.21 | 74.75 | ||||
Buy & Hold Return | 304,920.47 | 304.92 | ||||
Sharpe Ratio | 0.152 | |||||
Sortino Ratio | 0.306 | |||||
Profit Factor | 1.073 | 1.04 | 1.098 | |||
Max Contracts Held | 820 | 676 | 820 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 86,936.99 | 40,378.19 | 46,558.80 | |||
Total Closed Trades | 335 | 156 | 179 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 161 | 75 | 86 | |||
Number Losing Trades | 174 | 81 | 93 | |||
Percent Profitable | 48.06 | 48.08 | 48.04 | |||
Avg Trade | 211.96 | 0.11 | 108.12 | 0.00 | 302.47 | 0.20 |
Avg Winning Trade | 6,515.94 | 2.08 | 5,908.77 | 1.80 | 7,045.44 | 2.33 |
Avg Losing Trade | 5,621.02 | 1.71 | 5,262.86 | 1.66 | 5,932.97 | 1.77 |
Ratio Avg Win / Avg Loss | 1.159 | 1.123 | 1.188 | |||
Largest Winning Trade | 21,872.56 | 7.60 | 17,289.45 | 5.26 | 21,872.56 | 7.60 |
Largest Losing Trade | 24,218.63 | 4.60 | 18,326.73 | 3.62 | 24,218.63 | 4.60 |
Avg # Bars in Trades | 14 | 13 | 16 | |||
Avg # Bars in Winning Trades | 14 | 11 | 16 | |||
Avg # Bars in Losing Trades | 15 | 14 | 15 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 289,221.38 USD | 289.22 | −46,485.68 USD | −46.49 | 335,707.06 USD | 335.71 |
Gross Profit | 2,204,929.82 | 2,204.93 | 803,853.20 | 803.85 | 1,401,076.62 | 1,401.08 |
Gross Loss | 1,915,708.44 | 1,915.71 | 850,338.87 | 850.34 | 1,065,369.56 | 1,065.37 |
Max Run-up | 467,676.71 | 93.41 | ||||
Max Drawdown | 227,941.31 | 74.75 | ||||
Buy & Hold Return | 598,267.46 | 598.27 | ||||
Sharpe Ratio | 0.21 | |||||
Sortino Ratio | 0.425 | |||||
Profit Factor | 1.151 | 0.945 | 1.315 | |||
Max Contracts Held | 820 | 676 | 820 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 171,179.56 | 77,327.80 | 93,851.76 | |||
Total Closed Trades | 505 | 238 | 267 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 245 | 115 | 130 | |||
Number Losing Trades | 260 | 123 | 137 | |||
Percent Profitable | 48.51 | 48.32 | 48.69 | |||
Avg Trade | 572.72 | 0.15 | −195.32 | 0.01 | 1,257.33 | 0.28 |
Avg Winning Trade | 8,999.71 | 2.12 | 6,990.03 | 1.78 | 10,777.51 | 2.41 |
Avg Losing Trade | 7,368.11 | 1.70 | 6,913.32 | 1.65 | 7,776.42 | 1.75 |
Ratio Avg Win / Avg Loss | 1.221 | 1.011 | 1.386 | |||
Largest Winning Trade | 113,634.19 | 10.56 | 17,746.73 | 5.26 | 113,634.19 | 10.56 |
Largest Losing Trade | 25,119.34 | 4.60 | 22,881.20 | 3.62 | 25,119.34 | 4.60 |
Avg # Bars in Trades | 16 | 17 | 15 | |||
Avg # Bars in Winning Trades | 16 | 16 | 15 | |||
Avg # Bars in Losing Trades | 16 | 17 | 15 | |||
Margin Calls | 0 | 0 | 0 |
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