THE DEAD ZONE [v5] by @DavidTech 🧠 by @DaviddTech 🤖 [d0f60f09]
🛡️ DEAD ZONE -RUNE-12MIN
@Steven0123
⌛12 minutes
⚪️ Deep Backtest
Last updated: 46 seconds 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 |
---|---|
Net Profit | 12290.55 |
Total Closed Trades | 902 |
Percent Profitable | 53.55% |
Sharpe Ratio | 0.485 |
Sortino Ratio | 1.791 |
Profit Factor | 1.19 |
Maximum Drawdown | 56.52% |
Volatility (Annualized) | 4.57 |
The strategy achieves a net profit of 12290.55 with a total of 902 closed trades and a profitability of 53.55%. The Sharpe ratio of 0.485, although slightly below the optimal threshold, demonstrates potential for risk-adjusted returns. The profit factor of 1.19 indicates that the strategy generates more gains than losses, albeit marginally. However, the maximum drawdown of 56.52% is a significant concern, highlighting the potential for large equity swings, which can impact overall strategy sustainability and traders' risk tolerance.
Strategy Viability
Based on the data provided, this strategy shows promising elements but requires refinement to be viable for real-world trading. It performs moderately well with favorable market conditions, indicated by the 53.55% win rate. Given the Sharpe ratio is close to - but below - 0.5, there is room to enhance its risk-adjusted performance. Although the current market environment may support its profitability, further scrutiny into how the strategy handles extreme volatility is vital for long-term viability.
Risk Management
The risk management approach of this strategy appears to need improvement, especially considering the substantial maximum drawdown and moderate Sharpe ratio. Improvements could include:
- Reducing leverage usage to curtail potential drawdowns.
- Enhancing stop-loss techniques to protect against sharp market downturns.
- Incorporating volatility-based position sizing to dynamically adjust risk exposure.
Improvement Suggestions
To enhance the strategy’s performance and ensure robust risk management, consider the following recommendations:
- Optimize leverage and maximize drawdown parameters to improve performance under adverse conditions.
- Incorporate additional trading indicators to better capture market trends and reversals.
- Expand back-testing and forward-testing processes under varied market scenarios to solidify strategy resilience.
- Embrace a more granular risk management framework, including the use of advanced risk metrics like Value-at-Risk (VaR) and Conditional VaR (CVaR).
Final Opinion
Overall, while the strategy demonstrates potential with moderate risk-adjusted returns and profitability, significant alterations are necessary to manage risk more effectively and decrease drawdowns. The strategy’s resilience to different market conditions remains uncertain without these improvements.
Recommendation: Implement further testing and optimization measures to bolster this strategy’s robustness and risk management techniques. Tailor risk strategies, reduce leverage, and explore advanced risk metrics to handle volatility efficiently before adopting this strategy in a real-world trading environment.
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
2024-04-08
🟠 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 | −24.19 | −24.19 | ||||
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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