THE DEAD ZONE [v5] by @DavidTech 🧠 by @DaviddTech 🤖 [e0cba95d]
🛡️ DEAD ZONE RUNE 12MIN
@Steve0123
⌛12 minutes
⚪️ Deep Backtest
Last updated: 9 minutes agoTrades per Day
Key Performance Metrics
- First Traded Date: 2021-12-03 17:12:00
- Sharpe Ratio: 0.52
- Sortino Ratio: 3.62
- Calmar: -3.52
- Longest DD Days: 150.00
- Volatility: 145.98
- Skew: 6.00
- Kurtosis: 83.41
- Expected Daily: 0.80
- Expected Monthly: 18.19
- Expected Yearly: 642.60
- Kelly Criterion: 4.97
- Daily Value-at-Risk: -11.82
- Expected Shortfall (cVaR): -14.42
- Last Trade Date: 2025-02-13 06:00:00
- Max Consecutive Wins: 8
- Number Winning Trades 544
- Max Consecutive Losses: 8
- Number Losing Trades: 445
- Gain/Pain Ratio: -3.52
- Gain/Pain (1M): 1.10
- Payoff Ratio: 0.90
- Common Sense Ratio: 1.10
- Tail Ratio: 1.26
- Outlier Win Ratio: 10.07
- Outlier Loss Ratio: 6.35
- Recovery Factor: 0.00
- Ulcer Index: 0.31
- Serenity Index: 245.21
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, the strategy's performance metrics are as follows:
Metric | Strategy |
---|---|
Net Profit | $9,921,474.56 |
Gross Profit | $125,188,035.49 |
Gross Loss | $115,266,560.93 |
Sharpe Ratio | 0.522 |
Sortino Ratio | 3.639 |
Profit Factor | 1.086 |
Maximum Drawdown | -95.52% |
Volatility (Annualized) | 145.76% |
Percent Profitable | 55.07% |
The strategy achieves a respectable cumulative return with a Net Profit of $9,921,474.56 and a Sharpe Ratio of 0.522, indicating decent risk-adjusted returns. However, the maximum drawdown of -95.52% presents a significant area of concern, suggesting that the strategy's risk controls may need to be tightened.
Strategy Viability
This strategy shows potential with a favorable profit ratio and the ability to generate substantial gross profit. However, the extremely high maximum drawdown points to a possible volatility management issue. The Sharpe Ratio slightly exceeds the acceptable threshold of 0.5, signifying that under the right conditions and improvements, the strategy can be viable. Investors need to be aware of the high-risk nature and the conditions under which it thrives to make informed decisions about its deployment.
Risk Management
Currently, the strategy could greatly benefit from more robust risk management practices. Areas for improvement include:
- Reducing leverage to decrease the maximum drawdown and enhance stability.
- Implementing tighter stop-loss measures to cut losses sooner.
- Utilizing volatility-based position sizing to mitigate risks during turbulent market periods.
- Considering diversification across different assets to spread risk.
Improvement Suggestions
Optimizing strategy parameters and refining risk management can significantly enhance performance. Recommendations include:
- Fine-tuning indicator parameters to capture better entry and exit signals.
- Incorporating machine learning techniques for adaptive strategy adjustments.
- Conducting thorough back-testing with out-of-sample data to ensure robustness.
- Lowering leverage, which will likely reduce the maximum drawdown considerably, making the strategy more appealing.
Final Opinion
The strategy shows promising profitability potential but undergoes considerable drawdowns, calling into question its application without refinement. By focusing on risk management enhancements and strategical fine-tuning, this trading approach can evolve into a more resilient system. Further testing and development are recommended to adapt and optimize this strategy for effective real-world application.
Recommendation: Proceed with cautious optimism, implementing the suggested improvements particularly in risk management and leverage reduction, alongside conducting further testing to confirm robustness and adaptability in diverse market environments.
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 | 256.39% | 87.49% | 44.19% | 190.92% | 4.59% | -34.48% | 25.80% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 54.68% | 16.16% | 30.34% | 24.04% | 6.72% | -18.64% | -36.24% | 111.24% | 145.84% | 224.04% | 162.67% | 68.72% |
2022 | 34.14% | 161.04% | 75.11% | -126.11% | 58.26% | -15.14% | 155.56% | 49.36% | 7.89% | 21.25% | 6.68% | -12.48% |
2021 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 3.11% |
Live Trades Stats
RUNE
Base Currency
305
Number of Trades
388.1%
Cumulative Returns
50.82%
Win Rate
2024-02-29
🟠 Incubation started
🛡️
7 Days
123.23%
30 Days
270.24%
60 Days
110.18%
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 | 2,801,137.80 USD | 2,801,137.80 | 1,351,022.91 USD | 1,351,022.91 | 1,450,114.89 USD | 1,450,114.89 |
Gross Profit | 6,203,815.41 | 6,203,815.41 | 3,695,079.33 | 3,695,079.33 | 2,508,736.08 | 2,508,736.08 |
Gross Loss | 3,402,677.61 | 3,402,677.61 | 2,344,056.41 | 2,344,056.41 | 1,058,621.19 | 1,058,621.19 |
Max Run-up | 3,831,400.34 | 100.00 | ||||
Max Drawdown | 831,149.13 | 85.31 | ||||
Buy & Hold Return | −37.81 | −37.81 | ||||
Sharpe Ratio | 0.581 | |||||
Sortino Ratio | 4.874 | |||||
Profit Factor | 1.823 | 1.576 | 2.37 | |||
Max Contracts Held | 4,106,092 | 3,672,389 | 4,106,092 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 448,670.38 | 229,417.54 | 219,252.85 | |||
Total Closed Trades | 684 | 329 | 355 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 388 | 185 | 203 | |||
Number Losing Trades | 296 | 144 | 152 | |||
Percent Profitable | 56.73 | 56.23 | 57.18 | |||
Avg Trade | 4,095.23 | 0.35 | 4,106.45 | 0.53 | 4,084.83 | 0.18 |
Avg Winning Trade | 15,989.21 | 1.78 | 19,973.40 | 2.29 | 12,358.31 | 1.32 |
Avg Losing Trade | 11,495.53 | 1.54 | 16,278.17 | 1.73 | 6,964.61 | 1.35 |
Ratio Avg Win / Avg Loss | 1.391 | 1.227 | 1.774 | |||
Largest Winning Trade | 462,870.12 | 25.07 | 452,400.76 | 2.88 | 462,870.12 | 25.07 |
Largest Losing Trade | 615,777.37 | 7.55 | 615,777.37 | 4.36 | 229,988.45 | 7.55 |
Avg # Bars in Trades | 15 | 21 | 9 | |||
Avg # Bars in Winning Trades | 13 | 19 | 8 | |||
Avg # Bars in Losing Trades | 16 | 23 | 10 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 8,971,389.57 USD | 8,971,389.57 | 986,576.80 USD | 986,576.80 | 7,984,812.77 USD | 7,984,812.77 |
Gross Profit | 126,544,508.07 | 126,544,508.07 | 73,830,859.02 | 73,830,859.02 | 52,713,649.06 | 52,713,649.06 |
Gross Loss | 117,573,118.51 | 117,573,118.51 | 72,844,282.22 | 72,844,282.22 | 44,728,836.29 | 44,728,836.29 |
Max Run-up | 25,718,798.00 | 100.00 | ||||
Max Drawdown | 23,305,126.58 | 95.52 | ||||
Buy & Hold Return | −85.22 | −85.22 | ||||
Sharpe Ratio | 0.52 | |||||
Sortino Ratio | 3.615 | |||||
Profit Factor | 1.076 | 1.014 | 1.179 | |||
Max Contracts Held | 63,889,787 | 52,260,489 | 63,889,787 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 11,480,547.75 | 5,839,605.78 | 5,640,941.98 | |||
Total Closed Trades | 989 | 471 | 518 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 544 | 253 | 291 | |||
Number Losing Trades | 445 | 218 | 227 | |||
Percent Profitable | 55.01 | 53.72 | 56.18 | |||
Avg Trade | 9,071.17 | 0.30 | 2,094.64 | 0.42 | 15,414.70 | 0.19 |
Avg Winning Trade | 232,618.58 | 1.81 | 291,821.58 | 2.28 | 181,146.56 | 1.40 |
Avg Losing Trade | 264,209.26 | 1.55 | 334,148.08 | 1.75 | 197,043.33 | 1.35 |
Ratio Avg Win / Avg Loss | 0.88 | 0.873 | 0.919 | |||
Largest Winning Trade | 4,000,612.81 | 25.07 | 3,208,105.76 | 3.79 | 4,000,612.81 | 25.07 |
Largest Losing Trade | 3,497,216.03 | 7.55 | 3,254,092.88 | 4.36 | 3,497,216.03 | 7.55 |
Avg # Bars in Trades | 13 | 20 | 8 | |||
Avg # Bars in Winning Trades | 12 | 18 | 7 | |||
Avg # Bars in Losing Trades | 15 | 21 | 8 | |||
Margin Calls | 0 | 0 | 0 |
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