THE DEAD ZONE [v5] by @DavidTech 🧠 by @DaviddTech 🤖 [991dc4e8]
🛡️ DEAD ZONE -RUNE-12M
@Steven0123
⌛12 minutes
⚪️ Deep Backtest
Last updated: 12 minutes agoTrades per Day
Key Performance Metrics
- First Traded Date: 2021-12-03 17:12:00
- Sharpe Ratio: 0.49
- Sortino Ratio: 1.81
- Calmar: -0.61
- Longest DD Days: 234.00
- Volatility: 4.58
- Skew: -2.29
- Kurtosis: 37.40
- Expected Daily: 0.01
- Expected Monthly: 0.29
- Expected Yearly: 3.59
- Kelly Criterion: 9.60
- Daily Value-at-Risk: -0.40
- Expected Shortfall (cVaR): -0.69
- Last Trade Date: 2025-02-13 06:00:00
- Max Consecutive Wins: 9
- Number Winning Trades 485
- Max Consecutive Losses: 8
- Number Losing Trades: 420
- Gain/Pain Ratio: -0.61
- Gain/Pain (1M): 1.22
- Payoff Ratio: 1.05
- Common Sense Ratio: 1.22
- Tail Ratio: 1.32
- Outlier Win Ratio: 4.99
- Outlier Loss Ratio: 5.79
- Recovery Factor: 0.00
- Ulcer Index: 0.02
- Serenity Index: 1.79
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, several performance metrics stand out that merit attention:
Metric | Strategy |
---|---|
Sharpe Ratio | 0.485 |
Profit Factor | 1.19 |
Maximum Drawdown | 56.52% |
Percent Profitable | 53.55% |
Annualized Return (CAGR %) | 3.7% |
The strategy shows a modest Sharpe Ratio of 0.485, which is slightly below the threshold of 0.5, and a Profit Factor of 1.19, indicating a potential for profitability under the right conditions. However, the maximum drawdown of 56.52% is notably above the acceptable level of 40%. This suggests the strategy may experience significant declines during adverse market conditions, which could be mitigated through improved leverage and risk management.
Strategy Viability
Based on the data provided, the strategy shows potential but also faces challenges in its current form for real-world trading. The strategy is profitable over time as indicated by the positive annualized return; however, the high drawdown raises concerns about sustainability, especially in volatile market environments typical of crypto markets. Careful consideration should be given to tweaking this strategy to thrive under suitable market conditions.
Risk Management
The strategy’s risk management needs improvement to support a more sustainable performance. With a high maximum drawdown, risk management strategies like:
- Adjusting leverage to reduce exposure during high-risk periods.
- Incorporating stringent stop-loss protocols to mitigate large losses.
- Implementing tighter control over position sizing based on market volatility.
Improvement Suggestions
To enhance the strategy’s performance and robustness, consider the following recommendations:
- Explore optimization of strategy parameters to improve the Sharpe Ratio and mitigate drawdowns.
- Incorporate additional indicators or signals to improve entry and exit timing, thereby enhancing the trade efficiency.
- Conduct extensive backtesting across various market conditions to ensure resilience and adaptability.
- Employ sophisticated risk management techniques to keep volatility in check and improve overall risk-reward dynamics.
Final Opinion
In summary, the strategy demonstrates moderate risk-adjusted returns with opportunities for profitability, though it is hampered by high drawdowns and volatility. To proceed effectively, it will be essential to optimize and validate the strategy through improvements, particularly in risk management and market adaptability.
Recommendation: It is advisable to refine the strategy by implementing the suggested improvements, especially focusing on reducing maximum drawdown by optimizing leverage and incorporating more robust risk management techniques, ensuring it is better equipped for the inherent volatility 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 | 85.21% | 78.67% | 53.06% | 3.63% | -7.31% | -9.04% | 5.97% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
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
247
Number of Trades
43.23%
Cumulative Returns
51.42%
Win Rate
2024-04-07
🟠 Incubation started
🛡️
7 Days
61.47%
30 Days
156.88%
60 Days
59.36%
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 | 13,039.06 USD | 13,039.06 | 8,808.62 USD | 8,808.62 | 4,230.44 USD | 4,230.44 |
Gross Profit | 78,110.94 | 78,110.94 | 48,779.89 | 48,779.89 | 29,331.05 | 29,331.05 |
Gross Loss | 65,071.88 | 65,071.88 | 39,971.27 | 39,971.27 | 25,100.61 | 25,100.61 |
Max Run-up | 14,302.03 | 99.33 | ||||
Max Drawdown | 7,457.57 | 56.52 | ||||
Buy & Hold Return | −85.22 | −85.22 | ||||
Sharpe Ratio | 0.49 | |||||
Sortino Ratio | 1.807 | |||||
Profit Factor | 1.2 | 1.22 | 1.169 | |||
Max Contracts Held | 42,179 | 42,179 | 39,145 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 6,853.24 | 3,835.23 | 3,018.02 | |||
Total Closed Trades | 905 | 435 | 470 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 485 | 232 | 253 | |||
Number Losing Trades | 420 | 203 | 217 | |||
Percent Profitable | 53.59 | 53.33 | 53.83 | |||
Avg Trade | 14.41 | 0.21 | 20.25 | 0.32 | 9.00 | 0.10 |
Avg Winning Trade | 161.05 | 1.70 | 210.26 | 2.02 | 115.93 | 1.40 |
Avg Losing Trade | 154.93 | 1.51 | 196.90 | 1.62 | 115.67 | 1.41 |
Ratio Avg Win / Avg Loss | 1.04 | 1.068 | 1.002 | |||
Largest Winning Trade | 1,666.63 | 25.07 | 1,250.79 | 3.35 | 1,666.63 | 25.07 |
Largest Losing Trade | 4,349.54 | 18.98 | 1,139.21 | 4.20 | 4,349.54 | 18.98 |
Avg # Bars in Trades | 11 | 16 | 7 | |||
Avg # Bars in Winning Trades | 10 | 15 | 6 | |||
Avg # Bars in Losing Trades | 12 | 17 | 8 | |||
Margin Calls | 0 | 0 | 0 |
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