Performance Analysis

Upon reviewing the provided QuantStats report, several performance metrics require attention:

The strategy demonstrates a moderate cumulative return of 35.63% with an annualized return (CAGR) of 7.93%. However, the Sharpe Ratio of 0.104 reflects a lower risk-adjusted return than optimal for crypto trading, while the profit factor of 1.129 indicates a slight edge in win/loss. More positively, the maximum drawdown of 26.39% is below the critical threshold of 40%, reflecting some level of downside protection.

Strategy Viability

Based on the current performance metrics, the strategy faces challenges in real-world viability. The lower Sharpe Ratio suggests insufficient risk-adjusted performance under current market conditions. However, a decent win rate of 65.55% and the lack of margin calls are encouraging for robustness. This might warrant using the strategy with improvements under stable or favorable market conditions where similar patterns persist.

Risk Management

The risk management approach indicates room for improvement. Despite the strategy maintaining a maximum drawdown within acceptable limits, the high volatility (39.41%) recommends refining daily risk management. Improvement considerations include:

• Adopting dynamic position sizing reflective of changing market volatility can enhance risk control.
• Enhancing stop-loss frameworks to further limit drawdowns.
• Exploring diversification across crypto-assets to smooth returns and mitigate risks specific to single asset movements.

Improvement Suggestions

Given the metrics, here's how you might enhance the strategy's performance and risk management:

• Optimizing parameters, potentially reducing leverage to lower risk and drawdowns further.
• Integrating varied technical indicators to sharpen entries and exits.
• Conduct comprehensive out-of-sample and forward tests to ensure adaptability and robustness in varying market conditions.
• Utilizing advanced risk-management techniques, such as adjusting the Value-at-Risk (VaR) thresholds and deploying stress tests to evaluate performance under different scenarios.

Final Opinion

In summary, while the strategy exhibits some positive aspects, like a reasonable maximum drawdown and win rate, improvements are essential to boost risk-adjusted returns and overall viability. The existing framework provides a foundation, yet requires structural enhancements to adapt to evolving market conditions effectively.

Recommendation: It's advisable to proceed with further testing and optimize the strategy before live deployment. Implement recommended improvements, focusing on refining risk management and validating robustness across diverse markets.