🚀 Trendhoo [v5] by @DaviddTech 🤖 [cc709032]
🛡️ TRENDHOO FTMUSDT 2H
@minstemann
⌛2 hours
⚪️ Deep Backtest
Last updated: 48 minutes agoTrades per Day
Key Performance Metrics
- First Traded Date: 2022-02-20 19:30:00
- Sharpe Ratio: 0.51
- Sortino Ratio: 1.28
- Calmar: -2.21
- Longest DD Days: 207.00
- Volatility: 46.70
- Skew: 1.26
- Kurtosis: 5.90
- Expected Daily: 0.43
- Expected Monthly: 9.49
- Expected Yearly: 196.76
- Kelly Criterion: 10.87
- Daily Value-at-Risk: -3.75
- Expected Shortfall (cVaR): -5.46
- Last Trade Date: 2025-01-09 05:30:00
- Max Consecutive Wins: 30
- Number Winning Trades 413
- Max Consecutive Losses: 8
- Number Losing Trades: 236
- Gain/Pain Ratio: -2.21
- Gain/Pain (1M): 1.21
- Payoff Ratio: 0.68
- Common Sense Ratio: 1.21
- Tail Ratio: 1.46
- Outlier Win Ratio: 5.10
- Outlier Loss Ratio: 3.45
- Recovery Factor: 0.00
- Ulcer Index: 0.23
- Serenity Index: 55.60
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 | 1150.25% |
Cumulative Return | 139.94% |
Annualized Return (CAGR %) | ~139.94% |
Sharpe Ratio | 0.508 |
Profit Factor | 1.199 |
Maximum Drawdown | 65.57% |
Volatility (Annualized) | 46.7% |
Win Rate | 63.64% |
The strategy shows commendable returns with a net profit of 1150.25% and a cumulative return of 139.94%. The Sharpe ratio of 0.508 meets the good standard for crypto trading, indicating moderate risk-adjusted returns. However, the maximum drawdown of 65.57% is a concern and surpasses the acceptable threshold, which highlights the need for managing downside risks more effectively.
Strategy Viability
Based on the data provided, the strategy holds potential for real-world trading, particularly due to its strong profitability and decent risk-adjusted performance. Although it performs well overall, the higher maximum drawdown should be further addressed. The market conditions most favorable to this strategy may include times of high volatility, given the positive skew and high alpha.
Risk Management
The strategy's current risk management approach could benefit from enhancements, considering the high drawdown experienced. Potential improvements include:
- Reducing leverage to lower the maximum drawdown to more acceptable levels.
- Implementing stricter stop-loss policies and utilizing volatility-adjusted position sizing to further minimize potential losses during unfavorable market conditions.
- Exploring diversification of assets or timeframes to mitigate risk exposure.
Improvement Suggestions
To further enhance the strategy’s performance and robustness, consider the following recommendations:
- Optimize the strategy parameters, especially focusing on risk management settings to balance returns with reduced drawdowns.
- Incorporate additional technical and fundamental indicators that align with the strategy’s entry and exit logic.
- Conduct comprehensive stress tests and scenario analyses to assess the strategy's performance in various market conditions.
- Engage in forward-testing with more recent datasets to validate the strategy's effectiveness under evolving market dynamics.
Final Opinion
In summary, the strategy displays strong profitability and satisfactory risk-adjusted metrics, with a Sharpe ratio that meets the criteria for effectiveness in crypto markets. However, the high drawdown indicates the necessity for enhancements in risk management. Addressing these issues can improve the strategy’s viability and resilience.
Recommendation: Proceed with further testing and optimizations, particularly focusing on risk management enhancements. Implement the suggested improvements to bolster resilience in diverse market conditions and refine the strategy's robustness.
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 | 8.41% | 10.77% | 18.53% | 0.57% | -15.53% | 9.41% | -20.25% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 27.76% | 19.56% | 23.67% | -7.55% | -0.27% | 4.87% | 0.25% | 15.60% | -2.31% | 5.14% | 16.00% | 33.51% |
2022 | 0.00% | -4.22% | 12.74% | 25.80% | 10.77% | -8.45% | 40.83% | 27.46% | 15.59% | 24.87% | 10.71% | 8.34% |
Live Trades Stats
FTM
Base Currency
226
Number of Trades
-33.41%
Cumulative Returns
56.19%
Win Rate
2024-02-12
🟠 Incubation started
🛡️
7 Days
0%
30 Days
-23.82%
60 Days
12.22%
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 | 1,825,214.05 USD | 1,825.21 | 1,187,856.66 USD | 1,187.86 | 637,357.39 USD | 637.36 |
Gross Profit | 3,134,530.80 | 3,134.53 | 1,936,782.98 | 1,936.78 | 1,197,747.81 | 1,197.75 |
Gross Loss | 1,309,316.74 | 1,309.32 | 748,926.32 | 748.93 | 560,390.42 | 560.39 |
Max Run-up | 1,924,592.44 | 95.42 | ||||
Max Drawdown | 218,468.72 | 22.95 | ||||
Buy & Hold Return | −77,657.61 | −77.66 | ||||
Sharpe Ratio | 0.902 | |||||
Sortino Ratio | 5.062 | |||||
Profit Factor | 2.394 | 2.586 | 2.137 | |||
Max Contracts Held | 22,277,232 | 12,667,823 | 22,277,232 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 121,940.52 | 68,712.96 | 53,227.56 | |||
Total Closed Trades | 423 | 192 | 231 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 286 | 133 | 153 | |||
Number Losing Trades | 137 | 59 | 78 | |||
Percent Profitable | 67.61 | 69.27 | 66.23 | |||
Avg Trade | 4,314.93 | 1.16 | 6,186.75 | 1.37 | 2,759.12 | 0.99 |
Avg Winning Trade | 10,959.90 | 2.99 | 14,562.28 | 3.20 | 7,828.42 | 2.82 |
Avg Losing Trade | 9,557.06 | 2.67 | 12,693.67 | 2.75 | 7,184.49 | 2.61 |
Ratio Avg Win / Avg Loss | 1.147 | 1.147 | 1.09 | |||
Largest Winning Trade | 155,247.62 | 12.05 | 155,247.62 | 9.24 | 97,659.57 | 12.05 |
Largest Losing Trade | 80,911.57 | 10.73 | 80,911.57 | 8.32 | 47,977.39 | 10.73 |
Avg # Bars in Trades | 6 | 5 | 7 | |||
Avg # Bars in Winning Trades | 5 | 4 | 6 | |||
Avg # Bars in Losing Trades | 7 | 5 | 9 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 1,150,252.82 USD | 1,150.25 | 1,932,076.24 USD | 1,932.08 | −781,823.42 USD | −781.82 |
Gross Profit | 6,931,589.30 | 6,931.59 | 4,541,983.74 | 4,541.98 | 2,389,605.56 | 2,389.61 |
Gross Loss | 5,781,336.47 | 5,781.34 | 2,609,907.50 | 2,609.91 | 3,171,428.98 | 3,171.43 |
Max Run-up | 2,826,248.49 | 96.84 | ||||
Max Drawdown | 1,894,707.68 | 65.57 | ||||
Buy & Hold Return | −60,636.21 | −60.64 | ||||
Sharpe Ratio | 0.508 | |||||
Sortino Ratio | 1.277 | |||||
Profit Factor | 1.199 | 1.74 | 0.753 | |||
Max Contracts Held | 27,416,420 | 12,667,823 | 27,416,420 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 356,166.82 | 185,527.95 | 170,638.87 | |||
Total Closed Trades | 649 | 284 | 365 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 413 | 188 | 225 | |||
Number Losing Trades | 236 | 96 | 140 | |||
Percent Profitable | 63.64 | 66.20 | 61.64 | |||
Avg Trade | 1,772.35 | 0.83 | 6,803.09 | 1.22 | −2,141.98 | 0.53 |
Avg Winning Trade | 16,783.51 | 2.94 | 24,159.49 | 3.28 | 10,620.47 | 2.66 |
Avg Losing Trade | 24,497.19 | 2.86 | 27,186.54 | 2.82 | 22,653.06 | 2.89 |
Ratio Avg Win / Avg Loss | 0.685 | 0.889 | 0.469 | |||
Largest Winning Trade | 210,035.45 | 12.06 | 210,035.45 | 12.06 | 97,659.57 | 12.05 |
Largest Losing Trade | 175,262.34 | 10.73 | 175,262.34 | 8.32 | 156,527.89 | 10.73 |
Avg # Bars in Trades | 5 | 4 | 6 | |||
Avg # Bars in Winning Trades | 5 | 4 | 5 | |||
Avg # Bars in Losing Trades | 6 | 5 | 6 | |||
Margin Calls | 0 | 0 | 0 |
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