CoralChannels by @DaviddTech 🤖 [fcb33800]
🛡️ ATOMUSDT / CORAL CHANNELS 1H
@
⌛1 hour
⚪️ Deep Backtest
Last updated: 1 hour agoTrades per Day
Key Performance Metrics
- First Traded Date: 2021-11-06 02:00:00
- Sharpe Ratio: 0.48
- Sortino Ratio: 1.33
- Calmar: -2.83
- Longest DD Days: 9.00
- Volatility: 176.46
- Skew: -0.09
- Kurtosis: -1.51
- Expected Daily: 3.92
- Expected Monthly: 124.03
- Expected Yearly: 1,598,135.54
- Kelly Criterion: 23.64
- Daily Value-at-Risk: -12.20
- Expected Shortfall (cVaR): -12.75
- Last Trade Date: 2024-10-25 18:00:00
- Max Consecutive Wins: 4
- Number Winning Trades 38
- Max Consecutive Losses: 4
- Number Losing Trades: 28
- Gain/Pain Ratio: -2.83
- Gain/Pain (1M): 1.73
- Payoff Ratio: 1.36
- Common Sense Ratio: 1.73
- Tail Ratio: 1.64
- Outlier Win Ratio: 0.00
- Outlier Loss Ratio: 0.00
- Recovery Factor: 0.00
- Ulcer Index: 0.11
- Serenity Index: 9.15
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 | 90.59% |
Annualized Return (CAGR %) | 90.59% |
Sharpe Ratio | 0.47 |
Profit Factor | 1.818 |
Maximum Drawdown | -35.18% |
Volatility (Annualized) | 176.93% |
The strategy shows a respectable cumulative return of 90.59% with a Sharpe Ratio slightly below our target threshold at 0.47. However, the Profit Factor of 1.818 demonstrates more profits than losses generally, which is promising. The maximum drawdown of -35.18% remains within acceptable limits for crypto, but caution is advised due to the heightened volatility.
Strategy Viability
Based on the data provided, this strategy might be viable under specific market conditions, displaying positive returns and a reasonable risk framework. The strategy's performance in the context of the crypto market, known for its inherent volatility, suggests potential profitability. Nonetheless, the slightly lower Sharpe Ratio compared to the target highlights a need for improving risk-adjusted returns.
Risk Management
The risk management strategy is fairly sound as indicated by the absence of margin calls and a gain/pain ratio of 2.11. However, to further safeguard the strategy against volatility spikes, the following enhancements could be considered:
- Refine position sizing techniques to adapt dynamically to changes in volatility.
- Introduce tighter stop-loss measures to mitigate potential losses.
- Opt to reduce leverage which can significantly lower the maximum drawdown risk.
Improvement Suggestions
To elevate the strategy’s performance and robustness, the following recommendations should be explored:
- Tweak strategy parameters to enhance the Sharpe Ratio while continuing to control drawdowns.
- Expand the suite of technical indicators incorporated to better time trade entries and exits.
- Perform rigorous out-of-sample testing to verify robustness across diverse market conditions.
- Assess risk management techniques like scenario analysis and stress testing to handle extreme market swings.
Final Opinion
Overall, the strategy reveals a decent foundation of performance with solid returns and appropriate risk metrics given the volatility context of the crypto market. However, optimization and validation are critical to ensure it withstands different market scenarios efficiently.
Recommendation: Consider proceeding with the strategy with an emphasis on rigorous testing and parameter optimization. Integrate the suggested improvements for risk management and leverage usage to enhance its robustness against market volatility.
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 | 0.00% | -6.92% | 13.57% | 10.27% | 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 | 38.04% | 3.25% | 15.95% | -7.91% | 7.87% | 0.00% | -11.84% | 30.76% | 3.79% | 15.42% | -1.54% | -9.56% |
2022 | 0.00% | 11.71% | -5.19% | 8.43% | 3.04% | 0.00% | 32.09% | -10.64% | 0.00% | -11.54% | 14.54% | 18.22% |
2021 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 6.90% | 16.48% |
Live Trades Stats
ATOM
Base Currency
12
Number of Trades
70.41%
Cumulative Returns
66.67%
Win Rate
2024-04-16
🟠 Incubation started
🛡️
7 Days
29.39%
30 Days
57.22%
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 | 307,682.80 USD | 307.68 | 63,017.99 USD | 63.02 | 244,664.81 USD | 244.66 |
Gross Profit | 818,870.73 | 818.87 | 395,842.79 | 395.84 | 423,027.94 | 423.03 |
Gross Loss | 511,187.93 | 511.19 | 332,824.80 | 332.82 | 178,363.13 | 178.36 |
Max Run-up | 413,934.35 | 82.02 | ||||
Max Drawdown | 112,628.37 | 35.18 | ||||
Buy & Hold Return | −78,257.73 | −78.26 | ||||
Sharpe Ratio | 0.42 | |||||
Sortino Ratio | 1.17 | |||||
Profit Factor | 1.602 | 1.189 | 2.372 | |||
Max Contracts Held | 131,728 | 131,728 | 130,399 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 24,257.50 | 13,940.01 | 10,317.49 | |||
Total Closed Trades | 54 | 30 | 24 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 30 | 15 | 15 | |||
Number Losing Trades | 24 | 15 | 9 | |||
Percent Profitable | 55.56 | 50.00 | 62.50 | |||
Avg Trade | 5,697.83 | 1.46 | 2,100.60 | 0.66 | 10,194.37 | 2.47 |
Avg Winning Trade | 27,295.69 | 5.57 | 26,389.52 | 5.01 | 28,201.86 | 6.12 |
Avg Losing Trade | 21,299.50 | 3.67 | 22,188.32 | 3.70 | 19,818.13 | 3.62 |
Ratio Avg Win / Avg Loss | 1.282 | 1.189 | 1.423 | |||
Largest Winning Trade | 51,369.39 | 10.10 | 46,911.45 | 9.02 | 51,369.39 | 10.10 |
Largest Losing Trade | 57,286.55 | 5.98 | 57,286.55 | 5.60 | 37,168.45 | 5.98 |
Avg # Bars in Trades | 54 | 39 | 72 | |||
Avg # Bars in Winning Trades | 58 | 33 | 83 | |||
Avg # Bars in Losing Trades | 48 | 45 | 52 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 655,842.80 USD | 655.84 | 138,340.72 USD | 138.34 | 517,502.08 USD | 517.50 |
Gross Profit | 1,351,801.91 | 1,351.80 | 608,110.22 | 608.11 | 743,691.69 | 743.69 |
Gross Loss | 695,959.11 | 695.96 | 469,769.50 | 469.77 | 226,189.61 | 226.19 |
Max Run-up | 665,118.20 | 88.00 | ||||
Max Drawdown | 159,053.09 | 35.18 | ||||
Buy & Hold Return | −89,243.23 | −89.24 | ||||
Sharpe Ratio | 0.482 | |||||
Sortino Ratio | 1.33 | |||||
Profit Factor | 1.942 | 1.294 | 3.288 | |||
Max Contracts Held | 357,059 | 357,059 | 319,555 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 35,498.12 | 20,573.88 | 14,924.24 | |||
Total Closed Trades | 66 | 37 | 29 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 38 | 19 | 19 | |||
Number Losing Trades | 28 | 18 | 10 | |||
Percent Profitable | 57.58 | 51.35 | 65.52 | |||
Avg Trade | 9,937.01 | 1.67 | 3,738.94 | 0.81 | 17,844.90 | 2.77 |
Avg Winning Trade | 35,573.73 | 5.62 | 32,005.80 | 5.05 | 39,141.67 | 6.19 |
Avg Losing Trade | 24,855.68 | 3.69 | 26,098.31 | 3.66 | 22,618.96 | 3.73 |
Ratio Avg Win / Avg Loss | 1.431 | 1.226 | 1.73 | |||
Largest Winning Trade | 125,216.10 | 10.10 | 71,738.31 | 9.02 | 125,216.10 | 10.10 |
Largest Losing Trade | 68,371.31 | 5.98 | 68,371.31 | 5.74 | 47,826.48 | 5.98 |
Avg # Bars in Trades | 53 | 39 | 71 | |||
Avg # Bars in Winning Trades | 59 | 35 | 83 | |||
Avg # Bars in Losing Trades | 45 | 43 | 48 | |||
Margin Calls | 0 | 0 | 0 |
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