Stiff Surge by @DaviddTech 🤖 [17ab2738]
🛡️ STIFFSURGE ARBUSDT 45M HOMEWORK 15.10.2024
@gentlesir
⌛45 minutes
⚪️ Deep Backtest
Last updated: 2 hours agoTrades per Day
Key Performance Metrics
- First Traded Date: 2023-03-30 08:45:00
- Sharpe Ratio: 0.81
- Sortino Ratio: 4.70
- Calmar: -9.81
- Longest DD Days: 80.00
- Volatility: 47.44
- Skew: 0.01
- Kurtosis: -0.45
- Expected Daily: 0.40
- Expected Monthly: 8.79
- Expected Yearly: 174.84
- Kelly Criterion: 16.85
- Daily Value-at-Risk: -4.70
- Expected Shortfall (cVaR): -5.37
- Last Trade Date: 2025-02-12 22:15:00
- Max Consecutive Wins: 7
- Number Winning Trades 352
- Max Consecutive Losses: 5
- Number Losing Trades: 285
- Gain/Pain Ratio: -9.81
- Gain/Pain (1M): 1.44
- Payoff Ratio: 1.16
- Common Sense Ratio: 1.44
- Tail Ratio: 1.08
- Outlier Win Ratio: 2.66
- Outlier Loss Ratio: 2.52
- Recovery Factor: 0.00
- Ulcer Index: 0.08
- Serenity Index: 177.82
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 | 821.8 |
Cumulative Return | 227.81% |
Sharpe Ratio | 0.789 |
Sortino Ratio | 4.52 |
Profit Factor | 1.401 |
Maximum Drawdown | 24.57% |
Volatility (Annualized) | 47.43% |
Percent Profitable | 55.12% |
The strategy demonstrates substantial returns with a cumulative gain of 227.81% and a Sharpe ratio of 0.789, indicating good risk-adjusted performance given the context of high volatility typically present in crypto markets. The maximum drawdown of 24.57% is well within acceptable limits, showcasing effective downside management. The Profit Factor of 1.401 suggests the strategy earns more than it loses, which is a positive indicator of overall profitability.
Strategy Viability
The data suggests that this strategy is viable for real-world trading under certain market conditions. The high cumulative return and reasonable risk metrics, such as the low maximum drawdown and profitable trade percentage (55.12%), emphasize its potential. However, it is essential to assess whether the strategy's success factors, such as trading conditions and market dynamics, are expected to continue. Comparing similar strategies in the industry can also offer insights into its relative performance.
Risk Management
The strategy showcases effective risk management techniques, verified by a Gain/Pain Ratio of 1.4 and a low likelihood of total loss (0% risk of ruin). However, the annualized volatility of 47.43% signals room for enhancement in managing fluctuations. Suggestions include:
- Implementing dynamic position sizing to adapt to varying volatility levels.
- Introducing additional stop-loss mechanisms to mitigate sudden losses.
- Diversifying trading instruments to reduce unsystematic risk exposure.
Improvement Suggestions
For enhanced performance and robustness, consider the following recommendations:
- Optimize strategy parameters to boost returns while minimizing drawdowns.
- Incorporate various technical indicators for refined trade entry and exit points.
- Engage in out-of-sample testing and forward-testing to validate the strategy's resilience across varied market conditions.
- Explore Value-at-Risk (VaR) adjustments and stress testing to strengthen the risk management framework further.
Final Opinion
In conclusion, the strategy shows a promising performance, backed by high returns and sound risk-adjusted metrics. While there is evident volatility, the strategy maintains acceptable drawdown levels, suggesting effective risk management. Optimization and further validation are critical to ensure robustness across diverse market scenarios.
Recommendation: Continue with further testing and optimization. Implement the proposed improvements to enhance robustness and adapt the risk management framework to manage higher market volatility proficiently.
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 | 10.15% | -5.07% | 3.95% | 38.53% | 12.21% | 6.67% | 13.99% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 0.00% | 0.00% | 2.34% | 23.84% | 16.44% | 3.55% | 5.85% | -2.99% | 19.52% | 10.48% | 1.26% | -0.56% |
Live Trades Stats
ARB
Base Currency
97
Number of Trades
85.33%
Cumulative Returns
63.92%
Win Rate
2024-10-15
🟠 Incubation started
🛡️
7 Days
24.31%
30 Days
124.14%
60 Days
73.35%
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 | 339,934.73 USD | 339.93 | −92,910.78 USD | −92.91 | 432,845.51 USD | 432.85 |
Gross Profit | 1,878,623.97 | 1,878.62 | 726,405.66 | 726.41 | 1,152,218.31 | 1,152.22 |
Gross Loss | 1,538,689.24 | 1,538.69 | 819,316.44 | 819.32 | 719,372.80 | 719.37 |
Max Run-up | 375,809.30 | 78.99 | ||||
Max Drawdown | 89,181.82 | 24.57 | ||||
Buy & Hold Return | −54,234.53 | −54.23 | ||||
Sharpe Ratio | 0.713 | |||||
Sortino Ratio | 3.262 | |||||
Profit Factor | 1.221 | 0.887 | 1.602 | |||
Max Contracts Held | 1,462,335 | 1,342,401 | 1,462,335 | |||
Open PL | 590.40 | 0.13 | ||||
Commission Paid | 101,444.04 | 44,330.73 | 57,113.31 | |||
Total Closed Trades | 541 | 231 | 310 | |||
Total Open Trades | 1 | 1 | 0 | |||
Number Winning Trades | 290 | 102 | 188 | |||
Number Losing Trades | 251 | 129 | 122 | |||
Percent Profitable | 53.60 | 44.16 | 60.65 | |||
Avg Trade | 628.35 | 0.22 | −402.21 | −0.08 | 1,396.28 | 0.45 |
Avg Winning Trade | 6,478.01 | 2.62 | 7,121.62 | 3.00 | 6,128.82 | 2.42 |
Avg Losing Trade | 6,130.24 | 2.55 | 6,351.29 | 2.51 | 5,896.50 | 2.60 |
Ratio Avg Win / Avg Loss | 1.057 | 1.121 | 1.039 | |||
Largest Winning Trade | 38,349.14 | 8.29 | 22,548.73 | 5.04 | 38,349.14 | 8.29 |
Largest Losing Trade | 24,105.26 | 4.07 | 24,105.26 | 4.07 | 20,270.59 | 4.07 |
Avg # Bars in Trades | 17 | 17 | 16 | |||
Avg # Bars in Winning Trades | 17 | 19 | 16 | |||
Avg # Bars in Losing Trades | 16 | 15 | 17 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 889,610.38 USD | 889.61 | 34,412.13 USD | 34.41 | 855,198.25 USD | 855.20 |
Gross Profit | 2,939,896.65 | 2,939.90 | 1,181,371.15 | 1,181.37 | 1,758,525.50 | 1,758.53 |
Gross Loss | 2,050,286.27 | 2,050.29 | 1,146,959.02 | 1,146.96 | 903,327.25 | 903.33 |
Max Run-up | 953,705.86 | 90.51 | ||||
Max Drawdown | 89,181.82 | 24.57 | ||||
Buy & Hold Return | −59,943.00 | −59.94 | ||||
Sharpe Ratio | 0.81 | |||||
Sortino Ratio | 4.695 | |||||
Profit Factor | 1.434 | 1.03 | 1.947 | |||
Max Contracts Held | 3,066,296 | 3,066,296 | 2,397,223 | |||
Open PL | 10,732.36 | 1.08 | ||||
Commission Paid | 140,924.63 | 63,063.40 | 77,861.23 | |||
Total Closed Trades | 637 | 274 | 363 | |||
Total Open Trades | 1 | 1 | 0 | |||
Number Winning Trades | 352 | 127 | 225 | |||
Number Losing Trades | 285 | 147 | 138 | |||
Percent Profitable | 55.26 | 46.35 | 61.98 | |||
Avg Trade | 1,396.56 | 0.32 | 125.59 | 0.04 | 2,355.92 | 0.54 |
Avg Winning Trade | 8,351.98 | 2.70 | 9,302.14 | 3.08 | 7,815.67 | 2.48 |
Avg Losing Trade | 7,193.99 | 2.61 | 7,802.44 | 2.59 | 6,545.85 | 2.63 |
Ratio Avg Win / Avg Loss | 1.161 | 1.192 | 1.194 | |||
Largest Winning Trade | 45,923.03 | 8.29 | 41,087.38 | 5.04 | 45,923.03 | 8.29 |
Largest Losing Trade | 38,641.33 | 4.07 | 38,641.33 | 4.07 | 33,466.46 | 4.07 |
Avg # Bars in Trades | 16 | 17 | 16 | |||
Avg # Bars in Winning Trades | 17 | 19 | 16 | |||
Avg # Bars in Losing Trades | 16 | 15 | 16 | |||
Margin Calls | 0 | 0 | 0 |
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