🚀 McGinley Trend Followers [v5] by @DaviddTech 🤖 [09b15d48]
🛡️ MCGINLEY TREND BTCUSDT 1H
@jerryV
⌛1 hour
⚪️ Deep Backtest
Last updated: 3 hours agoTrades per Day
Key Performance Metrics
- First Traded Date: 2020-04-12 22:00:00
- Sharpe Ratio: 0.27
- Sortino Ratio: 0.60
- Calmar: -1.22
- Longest DD Days: 118.00
- Volatility: 50.33
- Skew: 3.47
- Kurtosis: 16.04
- Expected Daily: 0.27
- Expected Monthly: 5.86
- Expected Yearly: 97.99
- Kelly Criterion: 3.77
- Daily Value-at-Risk: -1.85
- Expected Shortfall (cVaR): -2.36
- Last Trade Date: 2025-02-11 21:00:00
- Max Consecutive Wins: 3
- Number Winning Trades 96
- Max Consecutive Losses: 26
- Number Losing Trades: 433
- Gain/Pain Ratio: -1.22
- Gain/Pain (1M): 1.26
- Payoff Ratio: 5.69
- Common Sense Ratio: 1.26
- Tail Ratio: 3.53
- Outlier Win Ratio: 1.87
- Outlier Loss Ratio: 0.00
- Recovery Factor: 0.00
- Ulcer Index: 0.10
- Serenity Index: 5.48
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 | 226.07% |
CAGR (Annualized Return %) | 27.7% |
Sharpe Ratio | 0.273 |
Profit Factor | 1.265 |
Maximum Drawdown | 22.96% |
Volatility (Annualized %) | 50.37% |
The strategy shows a positive net profit of 226.07% over the analyzed period and a CAGR of 27.7%. However, the Sharpe Ratio of 0.273 is below the desirable level of 0.5 for cryptocurrencies, indicating that the risk-adjusted returns need improvement. The Profit Factor is slightly above 1, which is acceptable but could be better to ensure long-term viability. On a brighter note, the maximum drawdown is 22.96%, which is well within the acceptable limit, showcasing decent downside protection.
Strategy Viability
Based on the data provided, the strategy demonstrates moderate viability for real-world trading. While the positive returns are encouraging, the risk-adjusted performance as represented by the Sharpe Ratio suggests there is room for optimization. The strategy's performance should be compared to relevant industry benchmarks for a thorough perspective. It is also vital to further analyze the conditions in which the strategy performs optimally to gauge its long-term applicability.
Risk Management
The strategy's risk management appears somewhat effective, given the controlled maximum drawdown. However, the following improvements could enhance risk management while maintaining or even improving returns:
- Incorporating dynamic position sizing to manage exposure during high volatility periods.
- Implementing advanced stop-loss mechanisms to restrict potential losses further.
- Reducing leverage to lower the risk of severe drawdowns substantially.
Improvement Suggestions
To potentially enhance the strategy's performance and robustness, consider the following actions:
- Optimize strategy parameters to improve the Sharpe Ratio and reduce volatility.
- Additional technical indicators could be used to refine trade entry and exit signals.
- Perform out-of-sample and forward-testing across various market conditions to confirm the strategy's robustness and adaptability.
Final Opinion
In summary, the strategy demonstrates a solid performance in terms of net profit and drawdown control. However, its risk-adjusted returns fall short of the desired level, suggesting there is room for improvement. With strategic optimizations and further testing, this strategy could exhibit stronger performance under diverse market conditions.
Recommendation: Continue with the strategy along with further refinements and testing phases to improve its robustness and risk-adjusted returns. Emphasizing risk management and parameter optimization will be key to strengthening its overall effectiveness.
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 | -4.27% | 10.23% | -4.72% | -10.51% | 4.27% | 4.66% | 5.33% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 7.89% | 7.33% | 1.79% | 15.19% | 1.97% | 8.97% | -3.14% | -2.73% | -6.02% | 11.52% | 0.00% | 17.12% |
2022 | 11.97% | -4.31% | -4.81% | 0.65% | -5.16% | 25.20% | 2.99% | 5.90% | -3.12% | -3.81% | 6.20% | -1.67% |
2021 | 4.57% | 22.02% | -5.56% | 1.34% | 10.95% | 0.46% | -7.66% | -7.30% | -7.32% | 19.34% | 3.58% | -10.42% |
2020 | 0.00% | 0.00% | 0.00% | 10.01% | -5.60% | -6.02% | 5.97% | -3.79% | 0.87% | 8.36% | 4.81% | 15.67% |
Live Trades Stats
BTC
Base Currency
123
Number of Trades
-1.8%
Cumulative Returns
15.45%
Win Rate
2024-01-03
🟠 Incubation started
🛡️
7 Days
-0.98%
30 Days
-10.6%
60 Days
-11.18%
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 | 238,598.70 USD | 238.60 | 199,352.76 USD | 199.35 | 39,245.94 USD | 39.25 |
Gross Profit | 759,699.95 | 759.70 | 427,540.93 | 427.54 | 332,159.03 | 332.16 |
Gross Loss | 521,101.25 | 521.10 | 228,188.16 | 228.19 | 292,913.09 | 292.91 |
Max Run-up | 274,101.64 | 74.25 | ||||
Max Drawdown | 42,174.38 | 22.96 | ||||
Buy & Hold Return | 554,258.60 | 554.26 | ||||
Sharpe Ratio | 0.344 | |||||
Sortino Ratio | 0.843 | |||||
Profit Factor | 1.458 | 1.874 | 1.134 | |||
Max Contracts Held | 11 | 10 | 11 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 42,960.66 | 18,632.94 | 24,327.72 | |||
Total Closed Trades | 407 | 181 | 226 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 77 | 32 | 45 | |||
Number Losing Trades | 330 | 149 | 181 | |||
Percent Profitable | 18.92 | 17.68 | 19.91 | |||
Avg Trade | 586.24 | 0.47 | 1,101.40 | 0.86 | 173.65 | 0.15 |
Avg Winning Trade | 9,866.23 | 7.73 | 13,360.65 | 10.48 | 7,381.31 | 5.77 |
Avg Losing Trade | 1,579.09 | 1.23 | 1,531.46 | 1.20 | 1,618.30 | 1.25 |
Ratio Avg Win / Avg Loss | 6.248 | 8.724 | 4.561 | |||
Largest Winning Trade | 51,365.01 | 32.83 | 51,365.01 | 32.83 | 22,116.68 | 14.86 |
Largest Losing Trade | 5,926.96 | 4.33 | 5,221.11 | 4.33 | 5,926.96 | 4.04 |
Avg # Bars in Trades | 28 | 41 | 17 | |||
Avg # Bars in Winning Trades | 68 | 132 | 23 | |||
Avg # Bars in Losing Trades | 18 | 21 | 16 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 224,029.80 USD | 224.03 | 239,429.62 USD | 239.43 | −15,399.82 USD | −15.40 |
Gross Profit | 1,078,863.61 | 1,078.86 | 617,068.32 | 617.07 | 461,795.29 | 461.80 |
Gross Loss | 854,833.81 | 854.83 | 377,638.70 | 377.64 | 477,195.11 | 477.20 |
Max Run-up | 332,878.64 | 77.79 | ||||
Max Drawdown | 90,226.69 | 22.96 | ||||
Buy & Hold Return | 1,300,567.57 | 1,300.57 | ||||
Sharpe Ratio | 0.271 | |||||
Sortino Ratio | 0.597 | |||||
Profit Factor | 1.262 | 1.634 | 0.968 | |||
Max Contracts Held | 11 | 10 | 11 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 68,033.82 | 29,927.12 | 38,106.70 | |||
Total Closed Trades | 529 | 236 | 293 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 96 | 40 | 56 | |||
Number Losing Trades | 433 | 196 | 237 | |||
Percent Profitable | 18.15 | 16.95 | 19.11 | |||
Avg Trade | 423.50 | 0.36 | 1,014.53 | 0.75 | −52.56 | 0.05 |
Avg Winning Trade | 11,238.16 | 7.53 | 15,426.71 | 10.31 | 8,246.34 | 5.54 |
Avg Losing Trade | 1,974.21 | 1.23 | 1,926.73 | 1.21 | 2,013.48 | 1.25 |
Ratio Avg Win / Avg Loss | 5.692 | 8.007 | 4.096 | |||
Largest Winning Trade | 51,365.01 | 32.83 | 51,365.01 | 32.83 | 29,589.42 | 14.86 |
Largest Losing Trade | 9,966.65 | 4.33 | 9,077.29 | 4.33 | 9,966.65 | 4.04 |
Avg # Bars in Trades | 27 | 40 | 16 | |||
Avg # Bars in Winning Trades | 64 | 123 | 21 | |||
Avg # Bars in Losing Trades | 19 | 24 | 14 | |||
Margin Calls | 0 | 0 | 0 |
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