THE DEAD ZONE [v5] by @DavidTech 🧠 by @DaviddTech 🤖 [f868463e]
🛡️ TDZV5 RUNEUSDT 12M 9.4
@steven0123
⌛12 minutes
⚪️ Deep Backtest
Last updated: 52 minutes agoTrades per Day
Key Performance Metrics
- First Traded Date: 2021-12-03 17:12:00
- Sharpe Ratio: 0.44
- Sortino Ratio: 1.45
- Calmar: -0.42
- Longest DD Days: 280.00
- Volatility: 2.56
- Skew: -2.94
- Kurtosis: 47.77
- Expected Daily: 0.01
- Expected Monthly: 0.14
- Expected Yearly: 1.66
- Kelly Criterion: 8.22
- Daily Value-at-Risk: -0.23
- Expected Shortfall (cVaR): -0.39
- Last Trade Date: 2025-02-13 06:00:00
- Max Consecutive Wins: 9
- Number Winning Trades 485
- Max Consecutive Losses: 8
- Number Losing Trades: 420
- Gain/Pain Ratio: -0.42
- Gain/Pain (1M): 1.18
- Payoff Ratio: 1.02
- Common Sense Ratio: 1.18
- Tail Ratio: 1.26
- Outlier Win Ratio: 5.26
- Outlier Loss Ratio: 5.88
- Recovery Factor: 0.00
- Ulcer Index: 0.01
- Serenity Index: 1.01
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the QuantStats report provided, several key metrics are highlighted that offer insights into the strategy's performance:
Metric | Strategy |
---|---|
Cumulative Return | 5614.51% |
Annualized Return (CAGR %) | 1.73% |
Sharpe Ratio | 0.434 |
Profit Factor | 1.158 |
Maximum Drawdown | 63.34% |
Volatility (Annualized) | 2.56% |
The strategy yields a cumulative return of 5614.51%, which is significant. However, the annualized return of 1.73% contrasts with the high cumulative return, suggesting the need for more granular assessment. The Sharpe Ratio of 0.434, while below the ideal of 0.5, indicates a moderate risk-adjusted performance. The maximum drawdown of 63.34% exceeds the preferred threshold of 40%, presenting a substantial area for improvement. The Profit Factor of 1.158 indicates marginal profitability.
Strategy Viability
In considering the viability of this strategy for real-world trading, it's clear that elements such as the significant maximum drawdown and sub-optimal Sharpe Ratio may present challenges. The conditions where the strategy thrives must be closely analyzed to predict market adaptability. While it slightly surpasses breakeven profitability, its performance should be brighter under more favorable volatility conditions, which are slightly below typical thresholds.
Risk Management
Despite the attractive cumulative returns, the strategy's risk management could benefit from refinement. Notably, the high drawdown suggests exposure risks that may not be sustainable long-term. Risk management improvements are crucial, including:
- Reducing leverage to mitigate drawdowns effectively.
- Incorporating stop-loss mechanisms to limit consecutive losses.
- Fine-tuning position sizing based on volatility trends.
Improvement Suggestions
Advancements in strategy performance and resilience can be achieved through several measures:
- Consider optimizing leverage to bring drawdowns to a more manageable level.
- Introduce additional performance metrics for better entry and exit points, potentially through technical indicators.
- Validate and stress-test the strategy in diverse market scenarios to confirm its robustness.
- Explore incorporating a dynamic risk management framework that accounts for fluctuating market conditions.
Final Opinion
In summary, while the strategy showcases commendable cumulative returns, its high drawdown and moderate risk-adjusted metrics pose some concerns. There are foundational elements worth retaining, particularly given the impressive gross profitability. Still, improvements are needed in reducing risk exposure and maximizing adjusted returns.
Recommendation: It is advisable to continue with further testing and refinement of this strategy. By addressing the identified weaknesses, particularly in drawdown management and risk-adjusted optimization, this strategy can better leverage its strengths for enhanced performance in varied 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 |
---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | 82.46% | 76.36% | 50.84% | 1.18% | -10.06% | -10.74% | 3.26% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 56.87% | 12.62% | 55.09% | 15.38% | -25.18% | -17.38% | -15.51% | 21.82% | 11.25% | 41.81% | 60.97% | 43.74% |
2022 | -3.49% | 46.27% | -5.07% | -26.61% | -14.05% | 9.26% | 31.90% | 5.48% | -7.84% | 7.84% | -28.03% | -1.34% |
2021 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 36.77% |
Live Trades Stats
RUNE
Base Currency
246
Number of Trades
28.6%
Cumulative Returns
51.63%
Win Rate
2024-04-09
🟠 Incubation started
🛡️
7 Days
58.81%
30 Days
148.16%
60 Days
53.72%
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 | 6,724.52 USD | 6,724.52 | 5,239.96 USD | 5,239.96 | 1,484.56 USD | 1,484.56 |
Gross Profit | 14,214.39 | 14,214.39 | 9,675.25 | 9,675.25 | 4,539.14 | 4,539.14 |
Gross Loss | 7,489.87 | 7,489.87 | 4,435.29 | 4,435.29 | 3,054.58 | 3,054.58 |
Max Run-up | 7,505.60 | 98.74 | ||||
Max Drawdown | 1,049.81 | 56.44 | ||||
Buy & Hold Return | −20.23 | −20.23 | ||||
Sharpe Ratio | 0.557 | |||||
Sortino Ratio | 1.986 | |||||
Profit Factor | 1.898 | 2.181 | 1.486 | |||
Max Contracts Held | 3,732 | 3,732 | 3,218 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 1,423.52 | 818.22 | 605.29 | |||
Total Closed Trades | 659 | 317 | 342 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 358 | 179 | 179 | |||
Number Losing Trades | 301 | 138 | 163 | |||
Percent Profitable | 54.32 | 56.47 | 52.34 | |||
Avg Trade | 10.20 | 0.24 | 16.53 | 0.40 | 4.34 | 0.09 |
Avg Winning Trade | 39.71 | 1.70 | 54.05 | 1.98 | 25.36 | 1.41 |
Avg Losing Trade | 24.88 | 1.49 | 32.14 | 1.65 | 18.74 | 1.36 |
Ratio Avg Win / Avg Loss | 1.596 | 1.682 | 1.353 | |||
Largest Winning Trade | 623.64 | 25.04 | 618.80 | 3.03 | 623.64 | 25.04 |
Largest Losing Trade | 515.90 | 4.78 | 515.90 | 4.23 | 284.90 | 4.78 |
Avg # Bars in Trades | 12 | 16 | 8 | |||
Avg # Bars in Winning Trades | 11 | 14 | 7 | |||
Avg # Bars in Losing Trades | 14 | 19 | 9 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 5,947.58 USD | 5,947.58 | 4,292.58 USD | 4,292.58 | 1,655.01 USD | 1,655.01 |
Gross Profit | 41,688.87 | 41,688.87 | 26,134.02 | 26,134.02 | 15,554.86 | 15,554.86 |
Gross Loss | 35,741.29 | 35,741.29 | 21,841.44 | 21,841.44 | 13,899.85 | 13,899.85 |
Max Run-up | 7,535.61 | 98.74 | ||||
Max Drawdown | 4,741.91 | 63.34 | ||||
Buy & Hold Return | −85.22 | −85.22 | ||||
Sharpe Ratio | 0.439 | |||||
Sortino Ratio | 1.454 | |||||
Profit Factor | 1.166 | 1.197 | 1.119 | |||
Max Contracts Held | 19,491 | 19,491 | 18,122 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 5,098.80 | 2,848.83 | 2,249.97 | |||
Total Closed Trades | 905 | 435 | 470 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 485 | 232 | 253 | |||
Number Losing Trades | 420 | 203 | 217 | |||
Percent Profitable | 53.59 | 53.33 | 53.83 | |||
Avg Trade | 6.57 | 0.18 | 9.87 | 0.29 | 3.52 | 0.07 |
Avg Winning Trade | 85.96 | 1.66 | 112.65 | 1.99 | 61.48 | 1.37 |
Avg Losing Trade | 85.10 | 1.54 | 107.59 | 1.65 | 64.05 | 1.44 |
Ratio Avg Win / Avg Loss | 1.01 | 1.047 | 0.96 | |||
Largest Winning Trade | 768.92 | 25.04 | 618.80 | 3.32 | 768.92 | 25.04 |
Largest Losing Trade | 2,472.21 | 19.01 | 644.63 | 4.23 | 2,472.21 | 19.01 |
Avg # Bars in Trades | 11 | 16 | 7 | |||
Avg # Bars in Winning Trades | 10 | 15 | 6 | |||
Avg # Bars in Losing Trades | 12 | 17 | 8 | |||
Margin Calls | 0 | 0 | 0 |
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