Michonne [v5] by @DavidTech 🧠 by @DaviddTech 🤖 [502fa949]
🛡️ MICHONNEV5 SOLUSDT 1H 23.4
@reid
⌛1 hour
⚪️ Deep Backtest
Last updated: 24 minutes agoTrades per Day
Key Performance Metrics
- First Traded Date: 2021-01-24 07:00:00
- Sharpe Ratio: 0.30
- Sortino Ratio: 0.81
- Calmar: -1.49
- Longest DD Days: 32.00
- Volatility: 38.31
- Skew: -0.95
- Kurtosis: -0.15
- Expected Daily: 0.54
- Expected Monthly: 11.89
- Expected Yearly: 285.20
- Kelly Criterion: 22.66
- Daily Value-at-Risk: -4.11
- Expected Shortfall (cVaR): -4.95
- Last Trade Date: 2025-01-13 09:00:00
- Max Consecutive Wins: 17
- Number Winning Trades 138
- Max Consecutive Losses: 6
- Number Losing Trades: 57
- Gain/Pain Ratio: -1.49
- Gain/Pain (1M): 1.47
- Payoff Ratio: 0.61
- Common Sense Ratio: 1.47
- Tail Ratio: 0.84
- Outlier Win Ratio: 0.00
- Outlier Loss Ratio: 1.84
- Recovery Factor: 0.00
- Ulcer Index: 0.06
- Serenity Index: 5.67
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 (Net Profit) | 155.19% |
Annualized Return (CAGR %) | 26.59% |
Sharpe Ratio | 0.298 |
Profit Factor | 1.486 |
Maximum Drawdown | 18.96% |
Volatility (Annualized) | 38.31% |
Win Rate | 70.77% |
The strategy demonstrates a respectable cumulative return of 155.19% and an annualized return of 26.59%. While the win rate is impressive at 70.77%, indicating a high percentage of profitable trades, the Sharpe ratio of 0.298 suggests room for improvement in terms of risk-adjusted returns. The maximum drawdown of 18.96% is within acceptable limits but shows a potential area for risk management enhancement. The profit factor of 1.486 suggests that the strategy generates $1.486 for every $1 lost, showing potential profitability.
Strategy Viability
The strategy appears viable with certain modifications, especially under specific market conditions conducive to higher win rates. It performs soundly in terms of overall returns, yet its risk-adjusted metrics, such as the Sharpe ratio, indicate the need for refinement. To enhance the strategy's viability, it is essential to ensure that conditions leading to this performance are likely to persist over time.
Risk Management
The strategy's risk management approach has kept the maximum drawdown below a concerning threshold, but the low Sharpe ratio points towards enhancing risk management. Here are some improvement suggestions:
- Introduce dynamic position sizing to react better to market volatility.
- Consider using stop-loss mechanisms to limit excessive losses.
- Explore leverage optimization to decrease drawdown without compromising returns.
Improvement Suggestions
To bolster the performance and durability of the strategy, consider the following:
- Optimize existing parameters and potentially explore new ones to improve the Sharpe ratio while maintaining a robust win rate.
- Incorporate a variety of technical indicators to sharpen entry and exit strategies.
- Perform out-of-sample testing to confirm robustness across diverse market environments.
- Enhance risk management through advanced methods such as stress testing and Value-at-Risk (VaR) calculations.
Final Opinion
Overall, the strategy displays positive attributes in terms of profit generation and maintaining manageable drawdowns. Nonetheless, there is scope for ameliorating risk-adjusted measures and refining returns under diverse market conditions.
Recommendation: Proceed with developmental testing and optimization. Focus on key areas like risk management and parameter refinement to support higher Sharpe ratios and ensure the strategy's adaptability and sustainability across varying market landscapes.
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 | 5.24% | -5.96% | 3.29% | -3.36% | 3.31% | 2.18% | 5.20% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 0.00% | -4.87% | 4.88% | 1.33% | 0.61% | 4.38% | 0.00% | 7.60% | -0.01% | 30.88% | 6.65% | 4.17% |
2022 | -3.57% | 3.16% | 1.77% | 7.13% | 0.00% | 0.00% | 2.26% | -4.05% | -7.86% | 7.71% | 12.27% | -2.29% |
2021 | -4.36% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 7.26% | 6.78% | 0.00% | 6.42% | -4.23% | 7.74% |
Live Trades Stats
SOL
Base Currency
57
Number of Trades
8.76%
Cumulative Returns
64.91%
Win Rate
2024-04-23
🟠 Incubation started
🛡️
7 Days
0%
30 Days
3.6%
60 Days
-8.92%
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 | 137,104.02 USD | 137.10 | 51,628.59 USD | 51.63 | 85,475.43 USD | 85.48 |
Gross Profit | 321,158.78 | 321.16 | 180,077.04 | 180.08 | 141,081.74 | 141.08 |
Gross Loss | 184,054.76 | 184.05 | 128,448.45 | 128.45 | 55,606.31 | 55.61 |
Max Run-up | 170,340.62 | 64.05 | ||||
Max Drawdown | 27,383.76 | 14.96 | ||||
Buy & Hold Return | 4,034,564.56 | 4,034.56 | ||||
Sharpe Ratio | 0.319 | |||||
Sortino Ratio | 0.956 | |||||
Profit Factor | 1.745 | 1.402 | 2.537 | |||
Max Contracts Held | 26,752 | 26,752 | 10,565 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 8,290.34 | 5,406.21 | 2,884.12 | |||
Total Closed Trades | 138 | 79 | 59 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 101 | 55 | 46 | |||
Number Losing Trades | 37 | 24 | 13 | |||
Percent Profitable | 73.19 | 69.62 | 77.97 | |||
Avg Trade | 993.51 | 3.57 | 653.53 | 2.93 | 1,448.74 | 4.42 |
Avg Winning Trade | 3,179.79 | 6.18 | 3,274.13 | 5.76 | 3,066.99 | 6.68 |
Avg Losing Trade | 4,974.45 | 3.56 | 5,352.02 | 3.53 | 4,277.41 | 3.60 |
Ratio Avg Win / Avg Loss | 0.639 | 0.612 | 0.717 | |||
Largest Winning Trade | 10,418.50 | 12.56 | 8,268.89 | 10.41 | 10,418.50 | 12.56 |
Largest Losing Trade | 11,397.81 | 6.72 | 11,048.14 | 6.00 | 11,397.81 | 6.72 |
Avg # Bars in Trades | 38 | 23 | 57 | |||
Avg # Bars in Winning Trades | 37 | 19 | 59 | |||
Avg # Bars in Losing Trades | 40 | 33 | 54 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 155,193.60 USD | 155.19 | 72,352.53 USD | 72.35 | 82,841.08 USD | 82.84 |
Gross Profit | 474,388.80 | 474.39 | 286,891.18 | 286.89 | 187,497.63 | 187.50 |
Gross Loss | 319,195.20 | 319.20 | 214,538.65 | 214.54 | 104,656.55 | 104.66 |
Max Run-up | 200,473.72 | 67.71 | ||||
Max Drawdown | 54,685.13 | 18.96 | ||||
Buy & Hold Return | 5,095,778.28 | 5,095.78 | ||||
Sharpe Ratio | 0.298 | |||||
Sortino Ratio | 0.805 | |||||
Profit Factor | 1.486 | 1.337 | 1.792 | |||
Max Contracts Held | 26,752 | 26,752 | 10,565 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 14,258.17 | 9,775.80 | 4,482.37 | |||
Total Closed Trades | 195 | 120 | 75 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 138 | 82 | 56 | |||
Number Losing Trades | 57 | 38 | 19 | |||
Percent Profitable | 70.77 | 68.33 | 74.67 | |||
Avg Trade | 795.86 | 3.15 | 602.94 | 2.68 | 1,104.55 | 3.92 |
Avg Winning Trade | 3,437.60 | 5.85 | 3,498.67 | 5.40 | 3,348.17 | 6.51 |
Avg Losing Trade | 5,599.92 | 3.38 | 5,645.75 | 3.21 | 5,508.24 | 3.72 |
Ratio Avg Win / Avg Loss | 0.614 | 0.62 | 0.608 | |||
Largest Winning Trade | 10,418.50 | 12.56 | 9,450.32 | 10.41 | 10,418.50 | 12.56 |
Largest Losing Trade | 12,559.50 | 6.72 | 11,048.14 | 6.00 | 12,559.50 | 6.72 |
Avg # Bars in Trades | 38 | 25 | 60 | |||
Avg # Bars in Winning Trades | 37 | 22 | 59 | |||
Avg # Bars in Losing Trades | 42 | 32 | 63 | |||
Margin Calls | 0 | 0 | 0 |
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