StiffTrend by @DaviddTech 🤖 [2283c81c]
🛡️ STIFFTREND BTCUSDT 30M 23.4
@biliqagoners
⌛30 minutes
⚪️ Deep Backtest
Last updated: 9 mins agoTrades per Day
Key Performance Metrics
- First Traded Date: 2019-09-30 09:30:00
- Sharpe Ratio: 0.45
- Sortino Ratio: 2.20
- Calmar: -8.24
- Longest DD Days: 25.00
- Volatility: 165.22
- Skew: 0.35
- Kurtosis: -0.94
- Expected Daily: 3.59
- Expected Monthly: 109.95
- Expected Yearly: 733,322.64
- Kelly Criterion: 18.33
- Daily Value-at-Risk: -9.28
- Expected Shortfall (cVaR): -10.78
- Last Trade Date: 2024-10-23 08:30:00
- Max Consecutive Wins: 11
- Number Winning Trades 123
- Max Consecutive Losses: 8
- Number Losing Trades: 104
- Gain/Pain Ratio: -8.24
- Gain/Pain (1M): 1.52
- Payoff Ratio: 1.31
- Common Sense Ratio: 1.52
- Tail Ratio: 2.30
- Outlier Win Ratio: 2.03
- Outlier Loss Ratio: 0.00
- Recovery Factor: 0.00
- Ulcer Index: 0.13
- Serenity Index: 4,068.42
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon evaluating the QuantStats report, here's an analysis of the key performance metrics highlighted:
Metric | Strategy |
---|---|
Cumulative Return | 81621.87 |
Annualized Return (CAGR %) | 279.85% |
Sharpe Ratio | 0.443 |
Sortino Ratio | 2.178 |
Profit Factor | 1.556 |
Maximum Drawdown | 34.87% |
Volatility (Annualized) | 165.57% |
The strategy demonstrates a strong cumulative return and annualized return, indicating high potential for growth. However, the Sharpe Ratio is slightly below the desired threshold, implying room for improvement in risk-adjusted returns. The Profit Factor is respectable at above 1.5, and the Maximum Drawdown is within acceptable limits for crypto strategies.
Strategy Viability
The strategy appears to have solid potential for real-world viability, especially during volatile market conditions where its CAGR and drawdown figures show promise. Despite the suboptimal Sharpe Ratio, the strategy outperforms the buy-and-hold return. Assessing broader market conditions will aid in determining if current performance levels can be sustained.
Risk Management
While the maximum drawdown is within acceptable thresholds, the strategy's higher annualized volatility suggests the need for enhanced risk management practices. To address this, consider:
- Reducing leverage to minimize exposure during periods of high volatility.
- Incorporating trailing stop-loss orders to secure profits and limit losses.
- Implementing diversification strategies to distribute risk across different assets.
Improvement Suggestions
Given the mixed performance metrics, here are some actionable recommendations:
- Gradually optimize strategy parameters to enhance the Sharpe Ratio and overall risk-return profile.
- Explore incorporating a variety of technical indicators to refine trade entries and exits.
- Conduct thorough out-of-sample and forward-testing to confirm robustness in diverse market conditions.
- Consider stress-testing the strategy under extreme conditions to assess resilience.
Final Opinion
In conclusion, the strategy showcases promising returns and an acceptable drawdown level. However, improvements in risk-adjusted returns and volatility management could further enhance performance. The strategy's resilience in volatile crypto markets is commendable, but optimizing its framework will strengthen its long-term viability and robustness.
Recommendation: Continue refining and testing the strategy while implementing suggested enhancements to bolster its performance and adaptability to changing market dynamics.
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 |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 33.03% | 49.72% | -7.31% | 14.17% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results | 0.00% |
2023 | 17.29% | 23.39% | 89.14% | 16.02% | -14.92% | 21.76% | -21.11% | -8.94% | 1.28% | 41.63% | 18.89% | 9.38% |
2022 | 40.85% | 44.05% | -9.11% | -5.87% | 21.14% | -6.12% | 22.90% | -12.53% | 52.02% | 3.64% | -12.94% | -1.99% |
2021 | 0.00% | 13.42% | -1.43% | 9.49% | 0.00% | 30.85% | 15.90% | -0.49% | 21.15% | 54.02% | 44.08% | 10.82% |
2020 | 6.35% | 1.15% | -0.66% | 117.13% | -1.48% | 3.49% | -17.16% | -9.33% | 11.51% | 22.81% | -11.52% | 27.21% |
2019 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -9.49% | 40.72% | 12.03% | -19.96% |
Live Trades Stats
BTC
Base Currency
25
Number of Trades
22.57%
Cumulative Returns
48%
Win Rate
2024-04-23
🟠 Incubation started
🛡️
7 Days
1%
30 Days
-31.05%
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 | 73,810,468.83 USD | 73,810.47 | 52,560,764.16 USD | 52,560.76 | 21,249,704.67 USD | 21,249.70 |
Gross Profit | 143,039,810.05 | 143,039.81 | 101,083,026.42 | 101,083.03 | 41,956,783.63 | 41,956.78 |
Gross Loss | 69,229,341.22 | 69,229.34 | 48,522,262.26 | 48,522.26 | 20,707,078.96 | 20,707.08 |
Max Run-up | 86,136,467.40 | 99.90 | ||||
Max Drawdown | 16,885,897.98 | 34.87 | ||||
Buy & Hold Return | 752,750.82 | 752.75 | ||||
Sharpe Ratio | 0.466 | |||||
Sortino Ratio | 2.498 | |||||
Profit Factor | 2.066 | 2.083 | 2.026 | |||
Max Contracts Held | 5,282 | 5,054 | 5,282 | |||
Open PL | 682,754.34 | 0.92 | ||||
Commission Paid | 8,143,564.22 | 5,437,695.60 | 2,705,868.62 | |||
Total Closed Trades | 202 | 133 | 69 | |||
Total Open Trades | 1 | 1 | 0 | |||
Number Winning Trades | 111 | 66 | 45 | |||
Number Losing Trades | 91 | 67 | 24 | |||
Percent Profitable | 54.95 | 49.62 | 65.22 | |||
Avg Trade | 365,398.36 | 0.91 | 395,193.72 | 0.91 | 307,966.73 | 0.91 |
Avg Winning Trade | 1,288,646.94 | 2.97 | 1,531,561.01 | 3.46 | 932,372.97 | 2.25 |
Avg Losing Trade | 760,761.99 | 1.61 | 724,212.87 | 1.61 | 862,794.96 | 1.58 |
Ratio Avg Win / Avg Loss | 1.694 | 2.115 | 1.081 | |||
Largest Winning Trade | 13,735,057.50 | 6.76 | 13,735,057.50 | 6.76 | 7,954,142.29 | 3.57 |
Largest Losing Trade | 5,953,957.83 | 2.86 | 5,953,957.83 | 2.86 | 5,325,549.07 | 2.80 |
Avg # Bars in Trades | 35 | 41 | 23 | |||
Avg # Bars in Winning Trades | 35 | 41 | 27 | |||
Avg # Bars in Losing Trades | 36 | 42 | 17 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 85,959,006.38 USD | 85,959.01 | 42,537,619.99 USD | 42,537.62 | 43,421,386.39 USD | 43,421.39 |
Gross Profit | 232,872,999.52 | 232,873.00 | 150,161,413.57 | 150,161.41 | 82,711,585.95 | 82,711.59 |
Gross Loss | 146,913,993.14 | 146,913.99 | 107,623,793.58 | 107,623.79 | 39,290,199.56 | 39,290.20 |
Max Run-up | 131,142,503.76 | 99.93 | ||||
Max Drawdown | 40,975,181.06 | 34.87 | ||||
Buy & Hold Return | 776,021.36 | 776.02 | ||||
Sharpe Ratio | 0.446 | |||||
Sortino Ratio | 2.198 | |||||
Profit Factor | 1.585 | 1.395 | 2.105 | |||
Max Contracts Held | 8,372 | 8,372 | 7,656 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 16,045,072.97 | 9,927,927.59 | 6,117,145.38 | |||
Total Closed Trades | 227 | 147 | 80 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 123 | 70 | 53 | |||
Number Losing Trades | 104 | 77 | 27 | |||
Percent Profitable | 54.19 | 47.62 | 66.25 | |||
Avg Trade | 378,674.04 | 0.84 | 289,371.56 | 0.82 | 542,767.33 | 0.87 |
Avg Winning Trade | 1,893,276.42 | 2.88 | 2,145,163.05 | 3.46 | 1,560,595.96 | 2.12 |
Avg Losing Trade | 1,412,634.55 | 1.58 | 1,397,711.60 | 1.58 | 1,455,192.58 | 1.57 |
Ratio Avg Win / Avg Loss | 1.34 | 1.535 | 1.072 | |||
Largest Winning Trade | 14,723,134.25 | 6.76 | 14,723,134.25 | 6.76 | 7,954,142.29 | 3.57 |
Largest Losing Trade | 8,679,505.11 | 2.86 | 8,679,505.11 | 2.86 | 7,581,756.13 | 2.80 |
Avg # Bars in Trades | 36 | 42 | 24 | |||
Avg # Bars in Winning Trades | 35 | 41 | 27 | |||
Avg # Bars in Losing Trades | 36 | 42 | 19 | |||
Margin Calls | 0 | 0 | 0 |
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