MACD Liquidity Spectrum by @DaviddTech 🤖 [2eec86c0]
🛡️ MACDLIQUIDITYSPECTRUM RUNEUSDT 1H 28.05
@fishyink
⌛1 hour
⚪️ Deep Backtest
Last updated: 56 minutes agoTrades per Day
Key Performance Metrics
- First Traded Date: 2021-12-07 21:00:00
- Sharpe Ratio: 0.45
- Sortino Ratio: 1.26
- Calmar: -1.31
- Longest DD Days: 31.00
- Volatility: 0.79
- Skew: 0.03
- Kurtosis: -0.90
- Expected Daily: 0.01
- Expected Monthly: 0.16
- Expected Yearly: 1.91
- Kelly Criterion: 16.04
- Daily Value-at-Risk: -0.07
- Expected Shortfall (cVaR): -0.08
- Last Trade Date: 2025-02-12 23:00:00
- Max Consecutive Wins: 10
- Number Winning Trades 191
- Max Consecutive Losses: 8
- Number Losing Trades: 175
- Gain/Pain Ratio: -1.31
- Gain/Pain (1M): 1.44
- Payoff Ratio: 1.31
- Common Sense Ratio: 1.44
- Tail Ratio: 1.20
- Outlier Win Ratio: 2.23
- Outlier Loss Ratio: 3.22
- Recovery Factor: 0.00
- Ulcer Index: 0.00
- Serenity Index: 4.70
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, several performance metrics stand out that merit attention:
Metric | Strategy |
---|---|
Cumulative Net Profit | 275.18% |
Annualized Return (CAGR %) | 0.86% |
Sharpe Ratio | 0.447 |
Profit Factor | 1.418 |
Maximum Drawdown | 16.78% |
Volatility | 79% |
Percentage of Profitable Trades | 52.2% |
The strategy demonstrates a solid net profit of 275.18% with a manageable maximum drawdown of 16.78%, both admirable figures within the crypto trading space. However, the Sharpe ratio at 0.447 indicates room for improvement in risk-adjusted returns. The profit factor of 1.418 is positive, suggesting the strategy is profitable overall, with a slight edge in winning trades over losing ones.
Strategy Viability
While the current Sharpe ratio slightly trails the ideal benchmark of 0.5, the strategy's profitability and low drawdown suggest potential viability in real-world trading environments, particularly where leverage is carefully managed. Given a profitable win rate of 52.2% and a decent profit factor, the strategy could benefit from optimization and testing under varying market conditions to bolster its performance further.
Risk Management
The strategy's risk management has held well to maintain a max drawdown below 40%, which is admirable. However, with high volatility at 79%, attention should be given to further optimizing risk measures, such as:
- Reducing leverage to decrease the potential drawdowns and improve stability.
- Incorporating tighter stop-loss measures to guard against adverse price movements.
- Recalibrating position sizes based on real-time market volatility.
Improvement Suggestions
To further enhance the strategy’s performance and robustness, consider the following recommendations:
- Optimize the parameters to bolster the Sharpe ratio and overall profitability.
- Incorporate a diversified set of technical indicators for more informed trading decisions.
- Conduct rigorous stress testing and backtesting under diverse market conditions to strengthen the strategy’s resilience.
- Evaluate the trading strategy with less leverage to see improvements in managing drawdowns.
Final Opinion
In summary, the strategy has several strengths, including a healthy net profit and manageable drawdowns. While the Sharpe ratio requires enhancement for better risk management, the profitability and structure present a strong foundation.
Recommendation: Proceed with refining the strategy by optimizing critical risk management areas and running additional tests. This will allow it to realize robust potential and adapt its framework for broader market conditions.
```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 | 9.83% | 1.92% | 10.90% | -6.00% | 17.65% | 14.56% | 1.41% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 1.04% | 18.54% | 3.41% | -1.92% | 12.69% | -0.86% | 2.41% | -4.01% | 6.73% | 14.84% | -2.02% | -5.66% |
2022 | -3.92% | 4.32% | 4.11% | 5.73% | 1.58% | -0.30% | -2.31% | 15.49% | -3.65% | 10.43% | -2.05% | -0.85% |
2021 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 7.87% |
Live Trades Stats
RUNE
Base Currency
82
Number of Trades
29.69%
Cumulative Returns
50%
Win Rate
2024-05-28
🟠 Incubation started
🛡️
7 Days
1.74%
30 Days
-24.72%
60 Days
-13.62%
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 | 1,847.21 USD | 184.72 | 778.89 USD | 77.89 | 1,068.32 USD | 106.83 |
Gross Profit | 6,088.52 | 608.85 | 3,021.52 | 302.15 | 3,067.00 | 306.70 |
Gross Loss | 4,241.32 | 424.13 | 2,242.63 | 224.26 | 1,998.69 | 199.87 |
Max Run-up | 1,864.61 | 65.26 | ||||
Max Drawdown | 360.59 | 13.83 | ||||
Buy & Hold Return | −108.98 | −10.90 | ||||
Sharpe Ratio | 0.504 | |||||
Sortino Ratio | 1.601 | |||||
Profit Factor | 1.436 | 1.347 | 1.535 | |||
Max Contracts Held | 1,412 | 1,354 | 1,412 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 139.18 | 72.21 | 66.97 | |||
Total Closed Trades | 284 | 147 | 137 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 150 | 76 | 74 | |||
Number Losing Trades | 134 | 71 | 63 | |||
Percent Profitable | 52.82 | 51.70 | 54.01 | |||
Avg Trade | 6.50 | 1.24 | 5.30 | 1.26 | 7.80 | 1.23 |
Avg Winning Trade | 40.59 | 7.02 | 39.76 | 7.06 | 41.45 | 6.98 |
Avg Losing Trade | 31.65 | 5.23 | 31.59 | 4.96 | 31.73 | 5.54 |
Ratio Avg Win / Avg Loss | 1.282 | 1.259 | 1.306 | |||
Largest Winning Trade | 86.12 | 10.19 | 86.12 | 10.19 | 84.21 | 7.78 |
Largest Losing Trade | 92.85 | 11.17 | 76.71 | 7.46 | 92.85 | 11.17 |
Avg # Bars in Trades | 36 | 31 | 41 | |||
Avg # Bars in Winning Trades | 34 | 27 | 41 | |||
Avg # Bars in Losing Trades | 38 | 35 | 41 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 2,765.19 USD | 276.52 | 1,078.35 USD | 107.83 | 1,686.84 USD | 168.68 |
Gross Profit | 9,399.35 | 939.93 | 4,788.21 | 478.82 | 4,611.14 | 461.11 |
Gross Loss | 6,634.15 | 663.42 | 3,709.86 | 370.99 | 2,924.29 | 292.43 |
Max Run-up | 3,388.75 | 77.34 | ||||
Max Drawdown | 735.06 | 16.78 | ||||
Buy & Hold Return | −809.70 | −80.97 | ||||
Sharpe Ratio | 0.449 | |||||
Sortino Ratio | 1.262 | |||||
Profit Factor | 1.417 | 1.291 | 1.577 | |||
Max Contracts Held | 1,412 | 1,354 | 1,412 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 214.30 | 116.04 | 98.26 | |||
Total Closed Trades | 366 | 194 | 172 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 191 | 99 | 92 | |||
Number Losing Trades | 175 | 95 | 80 | |||
Percent Profitable | 52.19 | 51.03 | 53.49 | |||
Avg Trade | 7.56 | 1.19 | 5.56 | 1.20 | 9.81 | 1.18 |
Avg Winning Trade | 49.21 | 7.07 | 48.37 | 7.11 | 50.12 | 7.02 |
Avg Losing Trade | 37.91 | 5.22 | 39.05 | 4.96 | 36.55 | 5.54 |
Ratio Avg Win / Avg Loss | 1.298 | 1.239 | 1.371 | |||
Largest Winning Trade | 131.01 | 10.19 | 107.66 | 10.19 | 131.01 | 7.78 |
Largest Losing Trade | 123.73 | 11.17 | 100.55 | 7.46 | 123.73 | 11.17 |
Avg # Bars in Trades | 35 | 32 | 38 | |||
Avg # Bars in Winning Trades | 34 | 29 | 39 | |||
Avg # Bars in Losing Trades | 36 | 36 | 37 | |||
Margin Calls | 0 | 0 | 0 |
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