MACD Liquidity Spectrum by @DaviddTech 🤖 [eb4da23e]
🛡️ MACDLIQUIDITYSPECTRUM BONKUSDT 1H 23.4
@mrdavetrading
⌛1 hour
⚪️ Deep Backtest
Last updated: 1 hour agoTrades per Day
Key Performance Metrics
- First Traded Date: 2023-01-17 03:00:00
- Sharpe Ratio: 0.32
- Sortino Ratio: 1.56
- Calmar: -2.93
- Longest DD Days: 44.00
- Volatility: 105.20
- Skew: 0.18
- Kurtosis: -1.25
- Expected Daily: 1.00
- Expected Monthly: 23.27
- Expected Yearly: 1,130.89
- Kelly Criterion: 6.36
- Daily Value-at-Risk: -5.54
- Expected Shortfall (cVaR): -7.38
- Last Trade Date: 2025-02-12 23:00:00
- Max Consecutive Wins: 8
- Number Winning Trades 105
- Max Consecutive Losses: 5
- Number Losing Trades: 112
- Gain/Pain Ratio: -2.93
- Gain/Pain (1M): 1.15
- Payoff Ratio: 1.23
- Common Sense Ratio: 1.15
- Tail Ratio: 1.44
- Outlier Win Ratio: 2.23
- Outlier Loss Ratio: 3.00
- Recovery Factor: 0.00
- Ulcer Index: 0.15
- Serenity Index: 12.44
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 | 473.83% |
Annualized Return (CAGR %) | 132.74% |
Sharpe Ratio | 0.336 |
Profit Factor | 1.175 |
Maximum Drawdown | 40.43% |
Volatility (Annualized) | 105.31% |
The strategy shows a strong cumulative return of 473.83% over the analyzed period, significantly outperforming the typical market performance. However, the Sharpe ratio of 0.336 indicates room for improvement in risk-adjusted returns. The maximum drawdown sits at 40.43%, slightly above the preferable range for crypto strategies, suggesting some susceptibility to market downturns. The profit factor of 1.175 is decent, indicating modest efficiency in converting risk to return.
Strategy Viability
The strategy appears to be viable for real-world trading, given its impressive returns; however, it underperforms in risk-adjusted measures like the Sharpe ratio. Careful consideration of the market conditions—characterized by high volatility—is crucial as the strategy currently operates at higher risk levels. Given the drawdown and the risk of ruin, enhancing robustness in various market conditions will benefit the strategy.
Risk Management
The strategy's risk management could be enhanced to further decrease large drawdowns and manage high volatility. While it effectively avoids margin calls, areas for improvement include:
- Reducing leverage to maintain drawdown levels below 40% more consistently.
- Integrating stop-loss mechanisms to clamp down potential losses.
- Implementing diversification to spread risk across multiple assets.
Improvement Suggestions
To enhance the performance and robustness of the strategy, the following recommendations are proposed:
- Optimize strategy parameters, particularly focus on improving the Sharpe ratio by adjusting risk-taking measures.
- Incorporate diverse technical indicators to fine-tune trade signals for better entry and exit timing.
- Conduct extensive out-of-sample testing to ensure the strategy's resilience and adaptability under diverse market conditions.
- Implement dynamic position sizing based on volatility to balance risk and reward effectively.
Final Opinion
In summary, the strategy demonstrates good returns but at a relatively high level of volatility and a slightly excessive drawdown percentage. While it showcases potential, there is a need for careful optimization and robust risk management to enhance its performance and stability.
Recommendation: Proceed with a focus on modifying and optimizing the strategy to meet target risk metrics, particularly to reduce maximum drawdown through suitable leverage adjustments and risk management strategies. This will ensure the strategy is better equipped to handle the volatility intrinsic to the crypto markets and potentially deliver more consistent and stable returns.
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 | -11.42% | 5.34% | 21.60% | 35.38% | -2.03% | 15.99% | -3.56% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | -6.65% | 12.39% | 20.15% | -7.94% | 52.57% | -4.09% | -5.78% | 8.26% | 1.79% | 4.11% | 20.97% | 85.45% |
Live Trades Stats
1000BONK
Base Currency
79
Number of Trades
3.41%
Cumulative Returns
41.77%
Win Rate
2024-04-23
🟠 Incubation started
🛡️
7 Days
-11.94%
30 Days
-62.26%
60 Days
-39.62%
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 | 479,775.03 USD | 479.78 | 304,775.85 USD | 304.78 | 174,999.18 USD | 175.00 |
Gross Profit | 1,435,354.16 | 1,435.35 | 956,574.14 | 956.57 | 478,780.02 | 478.78 |
Gross Loss | 955,579.13 | 955.58 | 651,798.29 | 651.80 | 303,780.84 | 303.78 |
Max Run-up | 539,167.01 | 85.44 | ||||
Max Drawdown | 126,272.37 | 29.62 | ||||
Buy & Hold Return | 1,540,032.15 | 1,540.03 | ||||
Sharpe Ratio | 0.456 | |||||
Sortino Ratio | 3.164 | |||||
Profit Factor | 1.502 | 1.468 | 1.576 | |||
Max Contracts Held | 1,007,085,492 | 880,797,042 | 1,007,085,492 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 29,242.38 | 19,248.93 | 9,993.45 | |||
Total Closed Trades | 138 | 82 | 56 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 72 | 41 | 31 | |||
Number Losing Trades | 66 | 41 | 25 | |||
Percent Profitable | 52.17 | 50.00 | 55.36 | |||
Avg Trade | 3,476.63 | 1.47 | 3,716.78 | 1.31 | 3,124.99 | 1.70 |
Avg Winning Trade | 19,935.47 | 7.61 | 23,331.08 | 7.95 | 15,444.52 | 7.17 |
Avg Losing Trade | 14,478.47 | 5.23 | 15,897.52 | 5.32 | 12,151.23 | 5.08 |
Ratio Avg Win / Avg Loss | 1.377 | 1.468 | 1.271 | |||
Largest Winning Trade | 82,247.41 | 21.42 | 82,247.41 | 21.42 | 40,843.94 | 7.63 |
Largest Losing Trade | 45,921.55 | 14.69 | 45,921.55 | 14.69 | 29,591.41 | 5.26 |
Avg # Bars in Trades | 18 | 9 | 33 | |||
Avg # Bars in Winning Trades | 16 | 6 | 30 | |||
Avg # Bars in Losing Trades | 21 | 11 | 36 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 419,519.91 USD | 419.52 | 236,163.27 USD | 236.16 | 183,356.64 USD | 183.36 |
Gross Profit | 3,184,460.18 | 3,184.46 | 1,879,838.30 | 1,879.84 | 1,304,621.87 | 1,304.62 |
Gross Loss | 2,764,940.27 | 2,764.94 | 1,643,675.03 | 1,643.68 | 1,121,265.24 | 1,121.27 |
Max Run-up | 850,994.71 | 90.25 | ||||
Max Drawdown | 410,555.87 | 44.14 | ||||
Buy & Hold Return | 1,354,019.29 | 1,354.02 | ||||
Sharpe Ratio | 0.321 | |||||
Sortino Ratio | 1.558 | |||||
Profit Factor | 1.152 | 1.144 | 1.164 | |||
Max Contracts Held | 1,007,085,492 | 880,797,042 | 1,007,085,492 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 77,588.96 | 45,193.93 | 32,395.04 | |||
Total Closed Trades | 217 | 122 | 95 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 105 | 58 | 47 | |||
Number Losing Trades | 112 | 64 | 48 | |||
Percent Profitable | 48.39 | 47.54 | 49.47 | |||
Avg Trade | 1,933.27 | 0.95 | 1,935.76 | 0.91 | 1,930.07 | 1.01 |
Avg Winning Trade | 30,328.19 | 7.46 | 32,411.01 | 7.70 | 27,757.91 | 7.16 |
Avg Losing Trade | 24,686.97 | 5.15 | 25,682.42 | 5.25 | 23,359.69 | 5.02 |
Ratio Avg Win / Avg Loss | 1.229 | 1.262 | 1.188 | |||
Largest Winning Trade | 82,247.41 | 21.42 | 82,247.41 | 21.42 | 60,354.41 | 7.63 |
Largest Losing Trade | 49,990.13 | 14.69 | 49,990.13 | 14.69 | 44,868.91 | 5.26 |
Avg # Bars in Trades | 18 | 9 | 28 | |||
Avg # Bars in Winning Trades | 16 | 6 | 29 | |||
Avg # Bars in Losing Trades | 19 | 12 | 27 | |||
Margin Calls | 0 | 0 | 0 |
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