🚀 Heiken-Ashi CE LSMA [v5.1] by @DaviddTech 🤖 [5814b480]
🛡️ HACELSMAV5.1 LINKUSDT 1H 28.05
@koaeon
⌛1 hour
⚪️ Deep Backtest
Last updated: 3 hours agoTrades per Day
Key Performance Metrics
- First Traded Date: 2020-10-26 15:00:00
- Sharpe Ratio: 0.33
- Sortino Ratio: 0.96
- Calmar: -0.92
- Longest DD Days: 117.00
- Volatility: 35.80
- Skew: 0.10
- Kurtosis: 0.18
- Expected Daily: 0.19
- Expected Monthly: 4.15
- Expected Yearly: 62.94
- Kelly Criterion: 7.46
- Daily Value-at-Risk: -3.36
- Expected Shortfall (cVaR): -4.42
- Last Trade Date: 2025-02-09 16:00:00
- Max Consecutive Wins: 7
- Number Winning Trades 330
- Max Consecutive Losses: 8
- Number Losing Trades: 311
- Gain/Pain Ratio: -0.92
- Gain/Pain (1M): 1.17
- Payoff Ratio: 1.09
- Common Sense Ratio: 1.17
- Tail Ratio: 1.18
- Outlier Win Ratio: 2.87
- Outlier Loss Ratio: 3.15
- Recovery Factor: 0.00
- Ulcer Index: 0.10
- Serenity Index: 5.09
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, here are the insights drawn from the key performance metrics:
Metric | Strategy |
---|---|
CAGR (Compound Annual Growth Rate) | 28.71% |
Sharpe Ratio | 0.326 |
Profit Factor | 1.17 |
Maximum Drawdown | 32.23% |
Annual Volatility | 35.8% |
Percent Profitable | 51.48% |
Net Profit | 195.56% |
The strategy shows a Compound Annual Growth Rate (CAGR) of 28.71% with a net profit of 195.56%, indicating solid performance. However, the Sharpe Ratio of 0.326 is below the desired 0.5 threshold, suggesting that risk-adjusted returns could be improved. The Profit Factor of 1.17 suggests the strategy is more often profitable, whereas the Maximum Drawdown of 32.23% remains within acceptable limits for crypto trading, but still indicates room for improvement.
Strategy Viability
The strategy demonstrates potential viability in real-world trading settings given its positive net profit and manageable maximum drawdown. It benefits from a favorable market environment with a consistent positive performance. Nonetheless, the current Sharpe Ratio suggests a need to enhance the strategy’s risk adjustment to ensure stability across diverse market conditions.
Risk Management
While the strategy effectively limits maximum drawdown to 32.23%, its Sharpe Ratio indicates inconsistencies in handling volatility. Improving risk management could involve:
- Implementing stricter leverage control to curb drawdown rates, possibly by moderating position sizes.
- Enhancing stop-loss strategies to minimize larger losses.
- Incorporating volatility-targeting to adjust exposure during highly volatile periods.
Improvement Suggestions
To bolster the strategy’s performance, consider these enhancement strategies:
- Optimize entry and exit parameters to achieve higher Sharpe ratios and enhanced return consistency.
- Introduce additional technical indicators or machine-learning elements to refine prediction accuracy.
- Conduct robustness tests through out-of-sample and walk-forward analyses to ensure adaptability and durability.
- Utilize a mix of momentum and mean-reversion strategies to capitalize on different market conditions.
Final Opinion
In summary, the strategy displays commendable returns and is particularly effective in favorable market climates. Despite its strong maximum drawdown management, enhancement in risk-adjusted returns is required for sustained success. The strategy's underlying metrics suggest significant potential, yet the current risk management and optimization efforts could be improved to ensure continued effectiveness.
Recommendation: Continue with strategic improvements as highlighted. Optimize components and further test risk management frameworks to improve return consistency and resilience. The strategy shows promise and could achieve stronger performances with these refinements.
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 | -5.66% | -7.03% | -0.48% | 9.86% | 5.40% | -3.83% | -6.40% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 15.76% | 9.71% | 13.78% | -0.88% | 3.85% | 11.49% | 16.33% | 0.79% | 7.59% | 18.02% | 0.57% | 1.13% |
2022 | -0.03% | -4.86% | 1.71% | 11.79% | -1.00% | -0.53% | 4.47% | 0.79% | 0.67% | -2.45% | 0.04% | 20.67% |
2021 | 0.31% | 0.30% | -0.86% | -0.95% | 0.00% | 0.00% | 2.35% | -2.53% | 0.32% | -0.24% | -0.80% | -0.54% |
2020 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.58% | 3.12% | 4.42% |
Live Trades Stats
LINK
Base Currency
124
Number of Trades
-13.11%
Cumulative Returns
43.55%
Win Rate
2024-05-28
🟠 Incubation started
🛡️
7 Days
0.05%
30 Days
-6.74%
60 Days
-3.92%
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 | 246,284.81 USD | 246.28 | 111,300.60 USD | 111.30 | 134,984.20 USD | 134.98 |
Gross Profit | 1,050,218.92 | 1,050.22 | 531,813.97 | 531.81 | 518,404.96 | 518.40 |
Gross Loss | 803,934.12 | 803.93 | 420,513.36 | 420.51 | 383,420.76 | 383.42 |
Max Run-up | 259,660.62 | 72.73 | ||||
Max Drawdown | 68,264.70 | 23.58 | ||||
Buy & Hold Return | 50,936.29 | 50.94 | ||||
Sharpe Ratio | 0.441 | |||||
Sortino Ratio | 1.632 | |||||
Profit Factor | 1.306 | 1.265 | 1.352 | |||
Max Contracts Held | 142,118 | 142,118 | 128,509 | |||
Open PL | 120.82 | 0.03 | ||||
Commission Paid | 56,839.19 | 30,011.04 | 26,828.15 | |||
Total Closed Trades | 517 | 241 | 276 | |||
Total Open Trades | 1 | 1 | 0 | |||
Number Winning Trades | 276 | 127 | 149 | |||
Number Losing Trades | 241 | 114 | 127 | |||
Percent Profitable | 53.38 | 52.70 | 53.99 | |||
Avg Trade | 476.37 | 0.27 | 461.83 | 0.23 | 489.07 | 0.29 |
Avg Winning Trade | 3,805.14 | 3.27 | 4,187.51 | 3.16 | 3,479.23 | 3.36 |
Avg Losing Trade | 3,335.83 | 3.17 | 3,688.71 | 3.02 | 3,019.06 | 3.30 |
Ratio Avg Win / Avg Loss | 1.141 | 1.135 | 1.152 | |||
Largest Winning Trade | 16,439.79 | 5.70 | 16,439.79 | 5.70 | 16,172.81 | 5.03 |
Largest Losing Trade | 15,818.63 | 4.06 | 15,818.63 | 3.91 | 13,837.25 | 4.06 |
Avg # Bars in Trades | 20 | 17 | 22 | |||
Avg # Bars in Winning Trades | 19 | 16 | 21 | |||
Avg # Bars in Losing Trades | 21 | 17 | 23 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 195,559.73 USD | 195.56 | 83,560.57 USD | 83.56 | 111,999.16 USD | 112.00 |
Gross Profit | 1,376,371.18 | 1,376.37 | 703,314.77 | 703.31 | 673,056.41 | 673.06 |
Gross Loss | 1,180,811.44 | 1,180.81 | 619,754.20 | 619.75 | 561,057.25 | 561.06 |
Max Run-up | 297,859.09 | 75.37 | ||||
Max Drawdown | 118,917.66 | 32.23 | ||||
Buy & Hold Return | 53,618.45 | 53.62 | ||||
Sharpe Ratio | 0.326 | |||||
Sortino Ratio | 0.955 | |||||
Profit Factor | 1.166 | 1.135 | 1.2 | |||
Max Contracts Held | 142,118 | 142,118 | 128,509 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 76,242.03 | 40,514.05 | 35,727.98 | |||
Total Closed Trades | 641 | 305 | 336 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 330 | 156 | 174 | |||
Number Losing Trades | 311 | 149 | 162 | |||
Percent Profitable | 51.48 | 51.15 | 51.79 | |||
Avg Trade | 305.09 | 0.15 | 273.97 | 0.13 | 333.33 | 0.16 |
Avg Winning Trade | 4,170.82 | 3.25 | 4,508.43 | 3.14 | 3,868.14 | 3.36 |
Avg Losing Trade | 3,796.82 | 3.15 | 4,159.42 | 3.02 | 3,463.32 | 3.27 |
Ratio Avg Win / Avg Loss | 1.099 | 1.084 | 1.117 | |||
Largest Winning Trade | 22,455.28 | 5.70 | 16,439.79 | 5.70 | 22,455.28 | 5.03 |
Largest Losing Trade | 15,818.63 | 4.08 | 15,818.63 | 3.91 | 13,837.25 | 4.08 |
Avg # Bars in Trades | 20 | 17 | 22 | |||
Avg # Bars in Winning Trades | 19 | 17 | 21 | |||
Avg # Bars in Losing Trades | 20 | 18 | 23 | |||
Margin Calls | 0 | 0 | 0 |
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