Silent Surge by @DaviddTech 🤖 [25ff6ccb]
🛡️ SILENTSURGE BTCUSDT 15M 11.06
@igorek
⌛15 minutes
⚪️ Deep Backtest
Last updated: 13 seconds agoTrades per Day
Key Performance Metrics
- First Traded Date: 2020-04-16 07:00:00
- Sharpe Ratio: 0.49
- Sortino Ratio: 1.51
- Calmar: -4.01
- Longest DD Days: 57.00
- Volatility: 57.34
- Skew: 1.58
- Kurtosis: 3.83
- Expected Daily: 0.50
- Expected Monthly: 11.03
- Expected Yearly: 250.96
- Kelly Criterion: 12.07
- Daily Value-at-Risk: -4.43
- Expected Shortfall (cVaR): -5.77
- Last Trade Date: 2024-11-03 02:15:00
- Max Consecutive Wins: 5
- Number Winning Trades 256
- Max Consecutive Losses: 13
- Number Losing Trades: 466
- Gain/Pain Ratio: -4.01
- Gain/Pain (1M): 1.52
- Payoff Ratio: 2.78
- Common Sense Ratio: 1.52
- Tail Ratio: 2.16
- Outlier Win Ratio: 2.90
- Outlier Loss Ratio: 11.17
- Recovery Factor: 0.00
- Ulcer Index: 0.09
- Serenity Index: 153.04
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, several key performance metrics are of interest:
Metric | Value |
---|---|
Cumulative Return | 1981.61% |
Annualized Return (CAGR %) | 96.31% |
Sharpe Ratio | 0.49 |
Profit Factor | 1.493 |
Maximum Drawdown | -24.79% |
Volatility (Annualized) | 57.3% |
The strategy has achieved a cumulative return of 1981.61% with an annualized return of 96.31%. With a Sharpe ratio of 0.49, it is on the borderline; however, for the crypto market, it's close to being sufficient. The maximum drawdown of 24.79% is well within acceptable limits, showing decent risk management capabilities. The profit factor of 1.493 indicates that the strategy is moderately profitable, earning $1.493 for every $1 lost.
Strategy Viability
This strategy shows potential for viability in real-world trading, particularly within the crypto markets known for high volatility. The performance metrics suggest it has room for improvement in risk-adjusted returns, especially with the Sharpe ratio being slightly below the threshold. It's crucial to analyze when the strategy performs best and if those market conditions will continue.
Risk Management
The maximum drawdown and the number of consecutive losses (13) indicate that risk management could be enhanced. Some possible improvements include:
- Utilizing less leverage to reduce potential drawdowns further.
- Incorporating tighter stop-loss strategies to maintain drawdowns within more conservative limits.
- Implementing advanced position sizing techniques correlated with market volatility to stabilize returns.
Improvement Suggestions
To improve the strategy's performance, consider the following recommendations:
- Fine-tune strategy parameters to better balance between returns and drawdowns.
- Introduce diverse technical indicators to refine entry and exit criteria.
- Conduct rigorous backtesting, including walk-forward analysis, to ensure reliability across varying market conditions.
- Enhance the risk management policies, potentially adopting methodologies like dynamic hedging or using more conservative risk thresholds.
Final Opinion
In summary, the strategy offers a strong return profile with a decent performance under crypto market conditions. While it closely meets the criteria for Sharpe ratio effectiveness and shows moderate drawdowns, additional refinement can further optimize its risk-reward balance.
Recommendation: Move forward with modifications to the strategy's parameters and risk management frameworks. Focus on enhancing the Sharpe ratio and reducing drawdowns through more sophisticated leverage and position sizing mechanisms.