Stiff Zone by @DaviddTech 🤖 [2dadf260]
🛡️ STIFFZONE BTCUSDT 15M 9.4
@erox
⌛15 minutes
⚪️ Deep Backtest
Last updated: 9 mins agoTrades per Day
Key Performance Metrics
- First Traded Date: 2020-04-22 11:30:00
- Sharpe Ratio: 0.58
- Sortino Ratio: 1.53
- Calmar: -1.38
- Longest DD Days: 90.00
- Volatility: 37.56
- Skew: 0.20
- Kurtosis: 10.85
- Expected Daily: 0.27
- Expected Monthly: 5.78
- Expected Yearly: 96.24
- Kelly Criterion: 18.88
- Daily Value-at-Risk: -2.41
- Expected Shortfall (cVaR): -5.26
- Last Trade Date: 2024-10-31 15:45:00
- Max Consecutive Wins: 11
- Number Winning Trades 401
- Max Consecutive Losses: 6
- Number Losing Trades: 248
- Gain/Pain Ratio: -1.38
- Gain/Pain (1M): 1.44
- Payoff Ratio: 0.89
- Common Sense Ratio: 1.44
- Tail Ratio: 1.36
- Outlier Win Ratio: 6.27
- Outlier Loss Ratio: 7.22
- Recovery Factor: 0.00
- Ulcer Index: 0.06
- Serenity Index: 13.11
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, several performance metrics stand out that merit attention:
Metric | Strategy |
---|---|
Cumulative Return | 31992.4% |
Annualized Return (CAGR %) | 37.54% |
Sharpe Ratio | 0.567 |
Profit Factor | 1.382 |
Maximum Drawdown | -54.76% |
Volatility (Annualized) | 37.58% |
The strategy displays a strong cumulative return of 31992.4% and achieves an annualized return of 37.54%. The Sharpe Ratio of 0.567 is above the threshold indicating good risk-adjusted returns for the crypto market. However, the maximum drawdown is quite high at -54.76%, presenting a risk factor that may need to be addressed to ensure sustainability.
Strategy Viability
Based on the data provided, the strategy shows potential for real-world trading, especially considering its satisfactory risk-adjusted returns indicated by the Sharpe Ratio. However, the high drawdown highlights a vulnerability under adverse market conditions. Identifying the specific market conditions in which the strategy performs optimally will be essential for sustained performance and viability.
Risk Management
The current strategy’s risk management reveals some weaknesses, as indicated by the significant drawdown figure. To enhance the strategy’s risk management, consider the following suggestions:
- Reduce leverage to lower the potential drawdowns and improve capital preservation.
- Implement more dynamic position sizing and use volatility-based stopping strategies to protect against large losses.
- Monitor ongoing market conditions more rigorously to adapt strategic decisions quickly.
Improvement Suggestions
To further refine and optimize the strategy, the following recommendations are advised:
- Optimize trade execution parameters to reduce transaction costs and improve return consistency.
- Incorporate more diverse indicators and a broader range of data to improve the accuracy of entry and exit signals.
- Conduct more comprehensive stress tests, including out-of-sample testing and Monte Carlo simulations, to validate the strategy's resilience in different market conditions.
- Explore the use of hedging techniques to limit exposure during volatile periods.
Final Opinion
In summary, the strategy displays significant prospects with an acceptable Sharpe Ratio and strong return metrics. However, the risk presented by the high maximum drawdown should not be overlooked. It is crucial to enhance risk management strategies to ensure capital safety during periods of high market volatility.
Recommendation: It is recommended to continue with optimization efforts and risk management enhancements. While the strategy shows promise, adjustments are necessary to strengthen its robustness and ensure viability in diverse market scenarios.
```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 |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 15.78% | 50.64% | 13.42% | 26.40% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results | 0.00% |
2023 | 21.58% | 2.13% | 20.28% | 16.35% | 10.45% | 15.29% | 14.58% | 29.26% | 8.69% | 19.27% | -7.25% | 29.30% |
2022 | 11.30% | 16.54% | 6.02% | -8.80% | 44.34% | 24.99% | 31.03% | -15.10% | 32.62% | 23.71% | -28.05% | 0.07% |
2021 | -2.05% | 18.91% | 5.09% | 60.13% | -14.72% | 27.71% | 38.32% | 39.29% | 28.36% | -16.22% | 19.89% | -5.28% |
2020 | 0.00% | 0.00% | 0.00% | 32.82% | -34.47% | 42.61% | 13.24% | -9.60% | -5.62% | 2.55% | -0.62% | 60.56% |
Live Trades Stats
BTC
Base Currency
78
Number of Trades
62.46%
Cumulative Returns
61.54%
Win Rate
2024-04-09
🟠 Incubation started
🛡️
7 Days
21.22%
30 Days
18.35%
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 | 236,546.24 USD | 23,654.62 | 208,635.72 USD | 20,863.57 | 27,910.52 USD | 2,791.05 |
Gross Profit | 580,240.30 | 58,024.03 | 443,587.76 | 44,358.78 | 136,652.54 | 13,665.25 |
Gross Loss | 343,694.06 | 34,369.41 | 234,952.04 | 23,495.20 | 108,742.02 | 10,874.20 |
Max Run-up | 250,460.42 | 99.63 | ||||
Max Drawdown | 35,262.03 | 54.76 | ||||
Buy & Hold Return | 8,791.09 | 879.11 | ||||
Sharpe Ratio | 0.593 | |||||
Sortino Ratio | 1.677 | |||||
Profit Factor | 1.688 | 1.888 | 1.257 | |||
Max Contracts Held | 56 | 56 | 41 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 67,748.13 | 49,386.53 | 18,361.60 | |||
Total Closed Trades | 571 | 402 | 169 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 353 | 249 | 104 | |||
Number Losing Trades | 218 | 153 | 65 | |||
Percent Profitable | 61.82 | 61.94 | 61.54 | |||
Avg Trade | 414.27 | 0.30 | 518.99 | 0.31 | 165.15 | 0.29 |
Avg Winning Trade | 1,643.74 | 1.31 | 1,781.48 | 1.32 | 1,313.97 | 1.30 |
Avg Losing Trade | 1,576.58 | 1.33 | 1,535.63 | 1.33 | 1,672.95 | 1.33 |
Ratio Avg Win / Avg Loss | 1.043 | 1.16 | 0.785 | |||
Largest Winning Trade | 27,575.21 | 5.32 | 27,575.21 | 3.38 | 10,679.19 | 5.32 |
Largest Losing Trade | 17,951.87 | 2.56 | 17,951.87 | 2.56 | 9,220.83 | 2.40 |
Avg # Bars in Trades | 26 | 24 | 31 | |||
Avg # Bars in Winning Trades | 23 | 23 | 22 | |||
Avg # Bars in Losing Trades | 32 | 25 | 46 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 372,760.09 USD | 37,276.01 | 164,826.45 USD | 16,482.65 | 207,933.64 USD | 20,793.36 |
Gross Profit | 1,211,315.53 | 121,131.55 | 802,328.54 | 80,232.85 | 408,986.99 | 40,898.70 |
Gross Loss | 838,555.43 | 83,855.54 | 637,502.08 | 63,750.21 | 201,053.35 | 20,105.34 |
Max Run-up | 390,637.98 | 99.77 | ||||
Max Drawdown | 154,149.49 | 54.76 | ||||
Buy & Hold Return | 8,658.72 | 865.87 | ||||
Sharpe Ratio | 0.58 | |||||
Sortino Ratio | 1.533 | |||||
Profit Factor | 1.445 | 1.259 | 2.034 | |||
Max Contracts Held | 102 | 102 | 79 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 148,514.97 | 103,052.97 | 45,462.01 | |||
Total Closed Trades | 649 | 451 | 198 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 401 | 276 | 125 | |||
Number Losing Trades | 248 | 175 | 73 | |||
Percent Profitable | 61.79 | 61.20 | 63.13 | |||
Avg Trade | 574.36 | 0.29 | 365.47 | 0.29 | 1,050.17 | 0.30 |
Avg Winning Trade | 3,020.74 | 1.30 | 2,906.99 | 1.31 | 3,271.90 | 1.27 |
Avg Losing Trade | 3,381.27 | 1.33 | 3,642.87 | 1.33 | 2,754.16 | 1.35 |
Ratio Avg Win / Avg Loss | 0.893 | 0.798 | 1.188 | |||
Largest Winning Trade | 51,969.51 | 5.32 | 51,969.51 | 3.38 | 47,647.88 | 5.32 |
Largest Losing Trade | 59,327.69 | 2.56 | 59,327.69 | 2.56 | 16,117.78 | 2.44 |
Avg # Bars in Trades | 27 | 24 | 32 | |||
Avg # Bars in Winning Trades | 23 | 23 | 23 | |||
Avg # Bars in Losing Trades | 33 | 26 | 49 | |||
Margin Calls | 0 | 0 | 0 |
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