THE DEAD ZONE [v5] by @DavidTech 🧠 by @DaviddTech 🤖 [991dc4e8]
🛡️ DEAD ZONE -RUNE-12M
@Steven0123
⌛12 minutes
⚪️ Deep Backtest
Last updated: 2 hours agoTrades per Day
Key Performance Metrics
- First Traded Date: 2021-12-03 17:12:00
- Sharpe Ratio: 0.50
- Sortino Ratio: 1.81
- Calmar: -0.51
- Longest DD Days: 160.00
- Volatility: 4.31
- Skew: -3.25
- Kurtosis: 51.08
- Expected Daily: 0.01
- Expected Monthly: 0.21
- Expected Yearly: 2.56
- Kelly Criterion: 6.95
- Daily Value-at-Risk: -0.38
- Expected Shortfall (cVaR): -0.67
- Last Trade Date: 2024-10-28 14:00:00
- Max Consecutive Wins: 9
- Number Winning Trades 441
- Max Consecutive Losses: 7
- Number Losing Trades: 381
- Gain/Pain Ratio: -0.51
- Gain/Pain (1M): 1.15
- Payoff Ratio: 0.99
- Common Sense Ratio: 1.15
- Tail Ratio: 1.28
- Outlier Win Ratio: 5.56
- Outlier Loss Ratio: 6.65
- Recovery Factor: 0.00
- Ulcer Index: 0.02
- Serenity Index: 0.90
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 | 7755.38 |
Sharpe Ratio | 0.491 |
Sortino Ratio | 1.793 |
Profit Factor | 1.156 |
Maximum Drawdown | -54.35% |
Annualized Volatility | 4.26% |
Percent Profitable | 53.69% |
The strategy shows a moderate net profit with a Sharpe Ratio of 0.491, slightly below the acceptable threshold in crypto trading, suggesting room for improvement in risk-adjusted returns. The Sortino Ratio of 1.793 indicates adequate downside deviation management, but the Profit Factor of 1.156 indicates minor efficiency in generating profits for each dollar of risk. The maximum drawdown of -54.35% is above the desired limit, highlighting potential areas for risk management improvements.
Strategy Viability
The strategy shows potential but requires further refinement to increase its viability for real-world trading. While it performs reasonably under certain conditions with a win rate of 53.69%, the significant drawdown could be a concern, particularly in volatile market environments. Continued strategizing around reducing drawdowns and enhancing the Sharpe Ratio would better align it with industry standards.
Risk Management
Current risk management measures seem to need reinforcement, especially considering the high drawdown:
- Consider dynamically adjusting leverage to mitigate drawdown risks.
- Introduce tighter stop-loss mechanisms and potentially trailing stops to lock in profits and limit losses.
- Explore volatility-based position sizing or diversification to reduce risk exposure.
Improvement Suggestions
To improve the strategy's performance and robustness, consider the following suggestions:
- Refine the strategy parameters, aiming to enhance returns while mitigating risk.
- Incorporate additional technical and fundamental indicators to improve trade timing and execution.
- Engage in comprehensive backtesting across diverse market conditions to ensure robustness.
- Implement more sophisticated risk management, focusing on reducing drawdowns possibly by using less leverage.
Final Opinion
In conclusion, the strategy exhibits potential with reasonable profitability, but its risk management and performance metrics indicate areas for essential enhancements. Reducing the maximum drawdown and improving the Sharpe Ratio will be crucial steps toward strengthening the strategy's viability.
Recommendation: Continue refining and testing the strategy, implementing suggested improvements and ensuring robust risk management practices. With targeted adjustments, the strategy could achieve better alignment with industry benchmarks and adapt to varying market conditions more effectively.
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 | 85.21% | 78.67% | 53.06% | 3.63% | 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 | 58.79% | 13.98% | 57.15% | 17.27% | -23.92% | -15.62% | -14.56% | 23.35% | 13.32% | 44.21% | 64.41% | 46.41% |
2022 | -1.61% | 48.52% | -2.22% | -24.75% | -12.05% | 11.78% | 34.46% | 7.75% | -6.86% | 9.36% | -26.26% | 0.42% |
2021 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 38.52% |
Live Trades Stats
RUNE
Base Currency
164
Number of Trades
-12.87%
Cumulative Returns
50.61%
Win Rate
2024-04-07
🟠 Incubation started
🛡️
7 Days
2.53%
30 Days
-3.88%
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 | 12,725.85 USD | 12,725.85 | 9,993.63 USD | 9,993.63 | 2,732.22 USD | 2,732.22 |
Gross Profit | 23,500.71 | 23,500.71 | 16,029.35 | 16,029.35 | 7,471.37 | 7,471.37 |
Gross Loss | 10,774.86 | 10,774.86 | 6,035.71 | 6,035.71 | 4,739.15 | 4,739.15 |
Max Run-up | 12,729.85 | 99.25 | ||||
Max Drawdown | 1,778.65 | 54.35 | ||||
Buy & Hold Return | −22.81 | −22.81 | ||||
Sharpe Ratio | 0.613 | |||||
Sortino Ratio | 2.406 | |||||
Profit Factor | 2.181 | 2.656 | 1.577 | |||
Max Contracts Held | 5,669 | 5,669 | 5,634 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 1,623.11 | 917.83 | 705.28 | |||
Total Closed Trades | 658 | 316 | 342 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 358 | 179 | 179 | |||
Number Losing Trades | 300 | 137 | 163 | |||
Percent Profitable | 54.41 | 56.65 | 52.34 | |||
Avg Trade | 19.34 | 0.27 | 31.63 | 0.44 | 7.99 | 0.12 |
Avg Winning Trade | 65.64 | 1.73 | 89.55 | 2.01 | 41.74 | 1.44 |
Avg Losing Trade | 35.92 | 1.46 | 44.06 | 1.62 | 29.07 | 1.33 |
Ratio Avg Win / Avg Loss | 1.828 | 2.033 | 1.436 | |||
Largest Winning Trade | 1,089.79 | 25.07 | 1,089.79 | 3.07 | 1,022.94 | 25.07 |
Largest Losing Trade | 877.88 | 4.75 | 877.88 | 4.20 | 488.13 | 4.75 |
Avg # Bars in Trades | 12 | 16 | 8 | |||
Avg # Bars in Winning Trades | 11 | 14 | 7 | |||
Avg # Bars in Losing Trades | 14 | 19 | 9 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 8,232.99 USD | 8,232.99 | 6,095.40 USD | 6,095.40 | 2,137.59 USD | 2,137.59 |
Gross Profit | 60,021.02 | 60,021.02 | 38,363.63 | 38,363.63 | 21,657.39 | 21,657.39 |
Gross Loss | 51,788.03 | 51,788.03 | 32,268.23 | 32,268.23 | 19,519.79 | 19,519.79 |
Max Run-up | 13,824.04 | 99.31 | ||||
Max Drawdown | 6,376.44 | 54.35 | ||||
Buy & Hold Return | −43.50 | −43.50 | ||||
Sharpe Ratio | 0.497 | |||||
Sortino Ratio | 1.811 | |||||
Profit Factor | 1.159 | 1.189 | 1.11 | |||
Max Contracts Held | 12,001 | 12,001 | 10,015 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 5,340.27 | 3,051.21 | 2,289.06 | |||
Total Closed Trades | 822 | 397 | 425 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 441 | 213 | 228 | |||
Number Losing Trades | 381 | 184 | 197 | |||
Percent Profitable | 53.65 | 53.65 | 53.65 | |||
Avg Trade | 10.02 | 0.20 | 15.35 | 0.33 | 5.03 | 0.09 |
Avg Winning Trade | 136.10 | 1.69 | 180.11 | 2.01 | 94.99 | 1.39 |
Avg Losing Trade | 135.93 | 1.52 | 175.37 | 1.63 | 99.09 | 1.42 |
Ratio Avg Win / Avg Loss | 1.001 | 1.027 | 0.959 | |||
Largest Winning Trade | 1,142.97 | 25.07 | 1,089.79 | 3.07 | 1,142.97 | 25.07 |
Largest Losing Trade | 4,349.54 | 18.98 | 1,139.21 | 4.20 | 4,349.54 | 18.98 |
Avg # Bars in Trades | 12 | 16 | 8 | |||
Avg # Bars in Winning Trades | 11 | 15 | 7 | |||
Avg # Bars in Losing Trades | 13 | 18 | 9 | |||
Margin Calls | 0 | 0 | 0 |
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