🚀 McGinley Trend Followers [v5] by @DaviddTech 🤖 [6252f5c0]
🛡️ MCGINLEYTF BTCUSDT 1H 16.4
@gentlesir
⌛1 hour
⚪️ Deep Backtest
Last updated: 26 minutes agoTrades per Day
Key Performance Metrics
- First Traded Date: 2020-04-10 23:00:00
- Sharpe Ratio: 0.28
- Sortino Ratio: 0.62
- Calmar: -0.93
- Longest DD Days: 115.00
- Volatility: 35.86
- Skew: 0.21
- Kurtosis: -0.35
- Expected Daily: 0.24
- Expected Monthly: 5.10
- Expected Yearly: 81.60
- Kelly Criterion: 8.29
- Daily Value-at-Risk: -3.01
- Expected Shortfall (cVaR): -3.95
- Last Trade Date: 2025-02-14 03:00:00
- Max Consecutive Wins: 8
- Number Winning Trades 256
- Max Consecutive Losses: 8
- Number Losing Trades: 257
- Gain/Pain Ratio: -0.93
- Gain/Pain (1M): 1.20
- Payoff Ratio: 1.20
- Common Sense Ratio: 1.20
- Tail Ratio: 1.32
- Outlier Win Ratio: 2.41
- Outlier Loss Ratio: 3.01
- Recovery Factor: 0.00
- Ulcer Index: 0.12
- Serenity Index: 5.28
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, several performance metrics stand out that merit attention:
Metric | Strategy |
---|---|
Cumulative Return | 206.78% |
Annualized Return (CAGR %) | 26.18% |
Sharpe Ratio | 0.284 |
Profit Factor | 1.207 |
Maximum Drawdown | -27.63% |
Volatility (Annualized) | 35.94% |
The strategy has achieved impressive cumulative returns of 206.78% and an annualized return of 26.18%. The Profit Factor of 1.207 implies that for every dollar lost, approximately $1.21 is gained, hinting at a positive risk/reward profile. Nevertheless, the Sharpe Ratio of 0.284 is below the desirable threshold of 0.5, indicating potential room for improvement in risk-adjusted performance. However, the maximum drawdown of -27.63% is comfortably below the 40% concern level, showcasing effective drawdown management.
Strategy Viability
Based on the current data, the strategy reveals some potential for real-world application under certain conditions. Although the Sharpe Ratio suggests there is room for enhancing risk-adjusted returns, the maximum drawdown remains within acceptable boundaries. This can be a strong advantage when navigating volatile markets like crypto. The strategy seems to perform reasonably well even with expected high market volatility but optimizing it further would be beneficial.
Risk Management
The risk management approach employed by this strategy has successfully limited the drawdown to a moderate -27.63%. However, there is scope for strengthening risk management techniques to bolster overall returns, such as:
- Implementing adaptive position sizing to align exposure with changing market conditions and volatility.
- Incorporating advanced stop-loss measures to cushion against unforeseen market fluctuations.
- Evaluating the use of less leverage, which can further diminish the maximum drawdown while linking returns to stable trading mechanisms.
Improvement Suggestions
To enhance the strategy's performance and ensure its robustness, consider the following recommendations:
- Optimize strategy variables to fine-tune trade entries and exits, which could improve the Sharpe Ratio and mitigate risks.
- Incorporate diverse technical indicators and machine learning models to forecast market trends more accurately.
- Conduct rigorous out-of-sample and forward-testing across different market regimes to ascertain strategy robustness.
- Refine the risk management structure by employing sophisticated analytics such as stress testing and Value-at-Risk (VaR) models.
Final Opinion
Overall, the strategy delivers promising returns with manageable drawdowns, demonstrating adept handling of risk in a high-volatility environment. Nonetheless, enhancing the risk-adjusted performance through strategic optimizations remains paramount.
Recommendation: Continue refining and testing the strategy, focusing on improving risk-adjusted outcomes and validating robustness across various market conditions. Implement suggested improvements for increased stability and accurate risk management.
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 | 2.01% | -1.52% | 2.82% | -13.47% | -6.06% | -4.52% | 2.56% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 0.00% | 0.15% | 0.59% | 7.43% | -3.93% | 2.53% | 0.10% | 1.75% | 1.24% | 0.00% | -1.40% | -1.64% |
2022 | 18.04% | 9.71% | 1.67% | 5.23% | 13.81% | 12.98% | -0.33% | 11.53% | 3.23% | -2.37% | 21.67% | 0.02% |
2021 | 16.93% | 5.35% | -1.34% | 1.21% | 10.08% | 10.83% | -8.54% | -4.06% | 7.21% | -6.57% | 7.09% | 5.71% |
2020 | 0.00% | 0.00% | 0.00% | -0.66% | -6.59% | -0.37% | 0.00% | -1.51% | -3.94% | 0.00% | 7.81% | 2.39% |
Live Trades Stats
BTC
Base Currency
104
Number of Trades
-15.74%
Cumulative Returns
42.31%
Win Rate
2024-04-16
🟠 Incubation started
🛡️
7 Days
-5.15%
30 Days
-2.16%
60 Days
-4.67%
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 | 256,856.24 USD | 256.86 | 0 USD | 0.00 | 256,856.24 USD | 256.86 |
Gross Profit | 961,275.23 | 961.28 | 0 | 0.00 | 961,275.23 | 961.28 |
Gross Loss | 704,419.00 | 704.42 | 0 | 0.00 | 704,419.00 | 704.42 |
Max Run-up | 322,111.62 | 79.03 | ||||
Max Drawdown | 50,480.92 | 21.44 | ||||
Buy & Hold Return | 814,281.53 | 814.28 | ||||
Sharpe Ratio | 0.384 | |||||
Sortino Ratio | 1.078 | |||||
Profit Factor | 1.365 | N/A | 1.365 | |||
Max Contracts Held | 35 | 0 | 35 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 83,947.23 | 0 | 83,947.23 | |||
Total Closed Trades | 409 | 0 | 409 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 212 | 0 | 212 | |||
Number Losing Trades | 197 | 0 | 197 | |||
Percent Profitable | 51.83 | N/A | 51.83 | |||
Avg Trade | 628.01 | 0.22 | N/A | 628.01 | 0.22 | |
Avg Winning Trade | 4,534.32 | 1.81 | N/A | 4,534.32 | 1.81 | |
Avg Losing Trade | 3,575.73 | 1.49 | N/A | 3,575.73 | 1.49 | |
Ratio Avg Win / Avg Loss | 1.268 | N/A | 1.268 | |||
Largest Winning Trade | 18,565.36 | 5.48 | N/A | 18,565.36 | 5.48 | |
Largest Losing Trade | 19,394.88 | 4.52 | N/A | 19,394.88 | 4.52 | |
Avg # Bars in Trades | 7 | 0 | 7 | |||
Avg # Bars in Winning Trades | 7 | 0 | 7 | |||
Avg # Bars in Losing Trades | 7 | 0 | 7 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 199,715.14 USD | 199.72 | 0 USD | 0.00 | 199,715.14 USD | 199.72 |
Gross Profit | 1,203,791.76 | 1,203.79 | 0 | 0.00 | 1,203,791.76 | 1,203.79 |
Gross Loss | 1,004,076.62 | 1,004.08 | 0 | 0.00 | 1,004,076.62 | 1,004.08 |
Max Run-up | 322,111.62 | 79.03 | ||||
Max Drawdown | 112,559.15 | 27.63 | ||||
Buy & Hold Return | 1,298,138.19 | 1,298.14 | ||||
Sharpe Ratio | 0.277 | |||||
Sortino Ratio | 0.623 | |||||
Profit Factor | 1.199 | N/A | 1.199 | |||
Max Contracts Held | 35 | 0 | 35 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 118,681.09 | 0 | 118,681.09 | |||
Total Closed Trades | 513 | 0 | 513 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 256 | 0 | 256 | |||
Number Losing Trades | 257 | 0 | 257 | |||
Percent Profitable | 49.90 | N/A | 49.90 | |||
Avg Trade | 389.31 | 0.15 | N/A | 389.31 | 0.15 | |
Avg Winning Trade | 4,702.31 | 1.72 | N/A | 4,702.31 | 1.72 | |
Avg Losing Trade | 3,906.91 | 1.42 | N/A | 3,906.91 | 1.42 | |
Ratio Avg Win / Avg Loss | 1.204 | N/A | 1.204 | |||
Largest Winning Trade | 18,565.36 | 5.48 | N/A | 18,565.36 | 5.48 | |
Largest Losing Trade | 19,394.88 | 4.52 | N/A | 19,394.88 | 4.52 | |
Avg # Bars in Trades | 7 | 0 | 7 | |||
Avg # Bars in Winning Trades | 7 | 0 | 7 | |||
Avg # Bars in Losing Trades | 7 | 0 | 7 | |||
Margin Calls | 0 | 0 | 0 |
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