T3 Nexus @DaviddTech 🤖 [ab6f550a]
🛡️ T3NEXUS BTCUSDT 15M 9.4
@schmidhip
⌛15 minutes
⚪️ Deep Backtest
Last updated: 53 seconds agoTrades per Day
Key Performance Metrics
- First Traded Date: 2020-04-01 18:30:00
- Sharpe Ratio: 0.85
- Sortino Ratio: 3.17
- Calmar: -9.44
- Longest DD Days: 75.00
- Volatility: 60.29
- Skew: 0.12
- Kurtosis: -1.51
- Expected Daily: 0.84
- Expected Monthly: 19.14
- Expected Yearly: 718.03
- Kelly Criterion: 14.92
- Daily Value-at-Risk: -3.95
- Expected Shortfall (cVaR): -4.11
- Last Trade Date: 2024-10-31 16:45:00
- Max Consecutive Wins: 10
- Number Winning Trades 402
- Max Consecutive Losses: 6
- Number Losing Trades: 363
- Gain/Pain Ratio: -9.44
- Gain/Pain (1M): 1.40
- Payoff Ratio: 1.27
- Common Sense Ratio: 1.40
- Tail Ratio: 1.73
- Outlier Win Ratio: 2.71
- Outlier Loss Ratio: 0.00
- Recovery Factor: 0.00
- Ulcer Index: 0.08
- Serenity Index: 5,171.06
AI Trading Bot Quantitative Analyst
Performance Analysis
A detailed examination of the QuantStats report reveals the following key performance metrics for the cryptocurrency trading strategy:
Metric | Strategy |
---|---|
Cumulative Return (CAGR) | 250.5% |
Sharpe Ratio | 0.836 |
Profit Factor | 1.391 |
Maximum Drawdown | 29.1% |
Volatility (Annualized) | 60.14% |
Win Rate | 52.44% |
Gain/Pain Ratio | 1.39 |
The strategy demonstrates impressive returns with a Cumulative Annual Growth Rate of 250.5%. A Sharpe Ratio of 0.836 indicates good risk-adjusted returns. Despite relatively high volatility, the maximum drawdown of 29.1% is comfortably within acceptable limits, showing effective capital preservation. The win rate of 52.44% coupled with a profit factor of 1.391 suggests a positive edge in the strategy.
Strategy Viability
This strategy exhibits strong potential for real-world application, considering its noteworthy returns and satisfactory risk-adjusted metrics. The performance is robust under current crypto market conditions, which might persist, favoring the continuation of this strategy. Its performance metrics are well above industry benchmarks, demonstrating resilience and profitability.
Risk Management
The strategy's risk management framework is appropriately designed, as evidenced by the positive Gain/Pain Ratio and modest drawdowns. There is, however, room for minimizing volatility (60.14%) further:
- Reduce leverage to decrease maximum drawdown and improve stability without compromising returns.
- Employ additional hedging strategies to counter market volatility.
- Consider dynamic asset allocation to better accommodate market shifts.
Improvement Suggestions
Enhancements for increasing strategy robustness and effectiveness include:
- Fine-tune strategy parameters to optimize trade timelines and maximize profitability.
- Integrate more sophisticated technical indicators for nuanced trade decisions.
- Conduct comprehensive forward testing to ensure performance across varying market conditions.
- Intensify risk control measures, incorporating advanced metrics like Conditional VaR.
Final Opinion
In conclusion, this strategy stands out with commendable returns and robust risk management. While it does exhibit high volatility, the drawdown remains controlled, suggesting a relatively secure trading framework. To ensure sustained success, further refinement and testing are recommended to capture the strategy's full potential.
Recommendation: Proceed with additional optimization and risk management enhancements. Validate through rigorous testing to maintain the edge and adaptability in dynamic market environments.
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 |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 13.42% | 24.63% | 8.73% | 13.60% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results | 0.00% |
2023 | 27.88% | 6.32% | 11.68% | 11.58% | 3.30% | 5.87% | 2.60% | 34.37% | -2.12% | 20.49% | 34.80% | 18.36% |
2022 | 2.53% | 11.83% | 10.12% | -9.80% | 17.17% | 21.81% | 17.06% | -16.71% | 2.24% | 10.86% | -1.59% | 16.98% |
2021 | 0.60% | 8.06% | 1.71% | -9.09% | 4.82% | 5.91% | 28.32% | 7.60% | 6.25% | 28.14% | 17.54% | -6.61% |
2020 | 0.00% | 0.00% | 0.00% | 45.14% | 21.47% | 5.89% | 24.25% | 22.17% | 21.99% | 25.67% | 20.61% | 14.88% |
Live Trades Stats
BTC
Base Currency
95
Number of Trades
39.63%
Cumulative Returns
47.37%
Win Rate
2024-04-09
🟠 Incubation started
🛡️
7 Days
25.29%
30 Days
45.13%
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 | 25,606,221.16 USD | 25,606.22 | 20,490,323.61 USD | 20,490.32 | 5,115,897.55 USD | 5,115.90 |
Gross Profit | 64,202,034.38 | 64,202.03 | 39,429,010.32 | 39,429.01 | 24,773,024.06 | 24,773.02 |
Gross Loss | 38,595,813.22 | 38,595.81 | 18,938,686.71 | 18,938.69 | 19,657,126.51 | 19,657.13 |
Max Run-up | 27,276,478.22 | 99.63 | ||||
Max Drawdown | 3,744,776.47 | 24.16 | ||||
Buy & Hold Return | 990,795.01 | 990.80 | ||||
Sharpe Ratio | 0.91 | |||||
Sortino Ratio | 3.735 | |||||
Profit Factor | 1.663 | 2.082 | 1.26 | |||
Max Contracts Held | 1,594 | 1,487 | 1,594 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 5,142,212.97 | 2,852,956.59 | 2,289,256.38 | |||
Total Closed Trades | 672 | 343 | 329 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 358 | 193 | 165 | |||
Number Losing Trades | 314 | 150 | 164 | |||
Percent Profitable | 53.27 | 56.27 | 50.15 | |||
Avg Trade | 38,104.50 | 0.41 | 59,738.55 | 0.50 | 15,549.84 | 0.31 |
Avg Winning Trade | 179,335.29 | 2.12 | 204,295.39 | 2.09 | 150,139.54 | 2.15 |
Avg Losing Trade | 122,916.60 | 1.55 | 126,257.91 | 1.55 | 119,860.53 | 1.55 |
Ratio Avg Win / Avg Loss | 1.459 | 1.618 | 1.253 | |||
Largest Winning Trade | 1,335,514.57 | 5.77 | 1,335,514.57 | 5.77 | 1,130,260.25 | 3.26 |
Largest Losing Trade | 1,068,369.99 | 5.33 | 891,880.32 | 5.33 | 1,068,369.99 | 2.12 |
Avg # Bars in Trades | 46 | 41 | 51 | |||
Avg # Bars in Winning Trades | 48 | 43 | 54 | |||
Avg # Bars in Losing Trades | 44 | 39 | 48 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 35,076,833.06 USD | 35,076.83 | 23,509,782.01 USD | 23,509.78 | 11,567,051.05 USD | 11,567.05 |
Gross Profit | 114,258,233.96 | 114,258.23 | 63,287,478.29 | 63,287.48 | 50,970,755.66 | 50,970.76 |
Gross Loss | 79,181,400.89 | 79,181.40 | 39,777,696.28 | 39,777.70 | 39,403,704.61 | 39,403.70 |
Max Run-up | 35,595,755.76 | 99.72 | ||||
Max Drawdown | 8,672,381.98 | 29.10 | ||||
Buy & Hold Return | 977,633.69 | 977.63 | ||||
Sharpe Ratio | 0.846 | |||||
Sortino Ratio | 3.171 | |||||
Profit Factor | 1.443 | 1.591 | 1.294 | |||
Max Contracts Held | 1,882 | 1,882 | 1,688 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 9,406,026.47 | 5,034,204.87 | 4,371,821.61 | |||
Total Closed Trades | 765 | 386 | 379 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 402 | 213 | 189 | |||
Number Losing Trades | 363 | 173 | 190 | |||
Percent Profitable | 52.55 | 55.18 | 49.87 | |||
Avg Trade | 45,852.07 | 0.38 | 60,906.17 | 0.47 | 30,519.92 | 0.29 |
Avg Winning Trade | 284,224.46 | 2.12 | 297,124.31 | 2.10 | 269,686.54 | 2.15 |
Avg Losing Trade | 218,130.58 | 1.56 | 229,928.88 | 1.54 | 207,387.92 | 1.57 |
Ratio Avg Win / Avg Loss | 1.303 | 1.292 | 1.3 | |||
Largest Winning Trade | 2,209,917.23 | 5.77 | 2,209,917.23 | 5.77 | 2,037,092.22 | 3.37 |
Largest Losing Trade | 1,403,044.97 | 5.33 | 1,218,125.18 | 5.33 | 1,403,044.97 | 2.12 |
Avg # Bars in Trades | 48 | 42 | 53 | |||
Avg # Bars in Winning Trades | 48 | 43 | 54 | |||
Avg # Bars in Losing Trades | 47 | 41 | 52 | |||
Margin Calls | 0 | 0 | 0 |
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