🚀 McGinley Trend Followers [v5] by @DaviddTech 🤖 [d36d9bc1]
🛡️ MCGINLEY LINKUSDT 45M 21.05
@bavo
⌛45 minutes
⚪️ Deep Backtest
Last updated: 3 hours agoTrades per Day
Key Performance Metrics
- First Traded Date: 2020-11-02 21:15:00
- Sharpe Ratio: 0.49
- Sortino Ratio: 1.50
- Calmar: -3.21
- Longest DD Days: 66.00
- Volatility: 102.91
- Skew: 0.89
- Kurtosis: 5.85
- Expected Daily: 1.57
- Expected Monthly: 38.84
- Expected Yearly: 5,029.93
- Kelly Criterion: 29.40
- Daily Value-at-Risk: -10.02
- Expected Shortfall (cVaR): -11.97
- Last Trade Date: 2025-01-26 18:15:00
- Max Consecutive Wins: 12
- Number Winning Trades 205
- Max Consecutive Losses: 5
- Number Losing Trades: 122
- Gain/Pain Ratio: -3.21
- Gain/Pain (1M): 1.88
- Payoff Ratio: 1.10
- Common Sense Ratio: 1.88
- Tail Ratio: 1.23
- Outlier Win Ratio: 3.72
- Outlier Loss Ratio: 3.69
- Recovery Factor: 0.00
- Ulcer Index: 0.22
- Serenity Index: 273.67
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, the performance metrics are noteworthy and indicate the following:
Metric | Strategy |
---|---|
Net Profit | 8684.35% |
Cumulative Annual Growth Rate (CAGR) | 187.7% |
Sharpe Ratio | 0.487 |
Sortino Ratio | 1.502 |
Profit Factor | 1.772 |
Maximum Drawdown | -60.85% |
Volatility (Annualized) | 102.91% |
The strategy demonstrates substantial positive returns with a net profit of 8684.35% and a CAGR of 187.7%. While the Sharpe Ratio of 0.487 is slightly below the desirable threshold, the strategy’s Sortino Ratio of 1.502 suggests it manages downside volatility effectively. However, a maximum drawdown of -60.85% indicates significant risk, which could be improved by reducing leverage.
Strategy Viability
The strategy shows strong growth potential as reflected by its high net profit. Despite a Sharpe Ratio marginally below the preferred level, the Sortino Ratio reflects a relatively favorable risk-adjusted performance when accounting for downside risk. The maximum drawdown suggests vulnerability to market downturns, thus it’s crucial to analyze and improve this aspect. The performance reflects promise, yet requires diligent risk management and ongoing optimization to ensure viability in volatile crypto markets.
Risk Management
Current risk management practices need enhancement, particularly to address the high Maximum Drawdown and Volatility. Suggested improvements include:
- Reduce leverage to mitigate substantial drawdowns.
- Integrate stop-loss mechanisms to control risk exposure.
- Utilize dynamic position sizing based on market conditions and volatility.
Improvement Suggestions
To boost performance and fortify strategy robustness, consider the following recommendations:
- Optimize parameters to balance and constrain maximum drawdowns with reasonable return expectations.
- Incorporate diverse technical indicators to refine entry and exit timing for trades.
- Conduct rigorous out-of-sample and forward tests to confirm strategy adaptability in variable market conditions.
- Enhance risk analysis with advanced models, including Value-at-Risk and stress testing, to gauge the potential for extreme market events.
Final Opinion
In conclusion, the strategy offers high return potential but is encumbered by high drawdowns, necessitating vigilant risk management. The marginally below-target Sharpe ratio should not overshadow the growth trajectory realized thus far. With targeted improvements — particularly in risk management — there is a promising outlook for increased profitability and stability.
Recommendation: Continue refining and testing the strategy, focusing on risk management enhancements to cope with market volatility. With these considerations addressed, the strategy could successfully navigate the dynamic and often high-risk crypto market landscape.
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 | 2.77% | 36.41% | -2.33% | 6.60% | -28.93% | -27.62% | -11.39% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | -11.62% | 18.05% | -11.11% | 9.52% | -7.18% | 67.04% | 21.79% | 23.70% | 18.52% | 21.51% | 1.47% | 16.89% |
2022 | 12.14% | 25.25% | 12.98% | 29.33% | 13.00% | 0.00% | 40.59% | 7.94% | 8.50% | 2.60% | 35.15% | 56.37% |
2021 | 0.00% | 14.17% | 15.65% | 8.83% | -6.84% | 1.30% | 1.48% | -4.40% | 13.33% | -30.64% | 1.35% | 1.96% |
2020 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.64% | 3.13% |
Live Trades Stats
LINK
Base Currency
65
Number of Trades
56.27%
Cumulative Returns
56.92%
Win Rate
2024-05-21
🟠 Incubation started
🛡️
7 Days
24.1%
30 Days
124.94%
60 Days
62.47%
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 | 5,762,887.03 USD | 5,762.89 | 3,827,853.68 USD | 3,827.85 | 1,935,033.34 USD | 1,935.03 |
Gross Profit | 10,998,021.19 | 10,998.02 | 5,514,651.48 | 5,514.65 | 5,483,369.71 | 5,483.37 |
Gross Loss | 5,235,134.17 | 5,235.13 | 1,686,797.80 | 1,686.80 | 3,548,336.37 | 3,548.34 |
Max Run-up | 7,719,034.50 | 98.84 | ||||
Max Drawdown | 1,270,000.88 | 44.92 | ||||
Buy & Hold Return | 54,271.58 | 54.27 | ||||
Sharpe Ratio | 0.556 | |||||
Sortino Ratio | 1.975 | |||||
Profit Factor | 2.101 | 3.269 | 1.545 | |||
Max Contracts Held | 1,607,030 | 1,376,244 | 1,607,030 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 386,486.45 | 165,416.12 | 221,070.33 | |||
Total Closed Trades | 262 | 115 | 147 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 168 | 75 | 93 | |||
Number Losing Trades | 94 | 40 | 54 | |||
Percent Profitable | 64.12 | 65.22 | 63.27 | |||
Avg Trade | 21,995.75 | 1.00 | 33,285.68 | 1.15 | 13,163.49 | 0.88 |
Avg Winning Trade | 65,464.41 | 3.46 | 73,528.69 | 3.67 | 58,960.96 | 3.29 |
Avg Losing Trade | 55,692.92 | 3.40 | 42,169.94 | 3.58 | 65,709.93 | 3.27 |
Ratio Avg Win / Avg Loss | 1.175 | 1.744 | 0.897 | |||
Largest Winning Trade | 909,498.65 | 15.10 | 735,359.50 | 6.27 | 909,498.65 | 15.10 |
Largest Losing Trade | 622,926.23 | 5.27 | 222,796.28 | 5.27 | 622,926.23 | 4.08 |
Avg # Bars in Trades | 28 | 25 | 29 | |||
Avg # Bars in Winning Trades | 28 | 26 | 30 | |||
Avg # Bars in Losing Trades | 26 | 24 | 28 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 8,684,349.80 USD | 8,684.35 | 6,374,282.08 USD | 6,374.28 | 2,310,067.72 USD | 2,310.07 |
Gross Profit | 19,930,739.07 | 19,930.74 | 11,146,218.94 | 11,146.22 | 8,784,520.13 | 8,784.52 |
Gross Loss | 11,246,389.26 | 11,246.39 | 4,771,936.86 | 4,771.94 | 6,474,452.40 | 6,474.45 |
Max Run-up | 8,804,547.81 | 98.98 | ||||
Max Drawdown | 4,340,682.37 | 60.85 | ||||
Buy & Hold Return | 71,705.88 | 71.71 | ||||
Sharpe Ratio | 0.487 | |||||
Sortino Ratio | 1.502 | |||||
Profit Factor | 1.772 | 2.336 | 1.357 | |||
Max Contracts Held | 1,607,030 | 1,376,244 | 1,607,030 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 713,180.58 | 350,124.44 | 363,056.14 | |||
Total Closed Trades | 327 | 148 | 179 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 205 | 93 | 112 | |||
Number Losing Trades | 122 | 55 | 67 | |||
Percent Profitable | 62.69 | 62.84 | 62.57 | |||
Avg Trade | 26,557.64 | 0.91 | 43,069.47 | 1.01 | 12,905.41 | 0.84 |
Avg Winning Trade | 97,223.12 | 3.47 | 119,851.82 | 3.67 | 78,433.22 | 3.30 |
Avg Losing Trade | 92,183.52 | 3.38 | 86,762.49 | 3.49 | 96,633.62 | 3.28 |
Ratio Avg Win / Avg Loss | 1.055 | 1.381 | 0.812 | |||
Largest Winning Trade | 999,597.79 | 15.10 | 999,597.79 | 6.27 | 909,498.65 | 15.10 |
Largest Losing Trade | 885,952.13 | 5.27 | 885,952.13 | 5.27 | 622,926.23 | 4.08 |
Avg # Bars in Trades | 27 | 26 | 28 | |||
Avg # Bars in Winning Trades | 28 | 26 | 29 | |||
Avg # Bars in Losing Trades | 27 | 26 | 27 | |||
Margin Calls | 0 | 0 | 0 |
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