MACD Liquidity Spectrum by @DaviddTech 🤖 [ee9cffed]
🛡️ MACDLIQUIDITYSPECTRUM WIFUSDT 5M 7.05
@lemkos
⌛5 minutes
⚪️ Deep Backtest
Last updated: 53 minutes agoTrades per Day
Key Performance Metrics
- First Traded Date: 2024-01-14 10:40:00
- Sharpe Ratio: 0.39
- Sortino Ratio: 1.99
- Calmar: -5.16
- Longest DD Days: 156.00
- Volatility: 35.40
- Skew: 0.20
- Kurtosis: -1.53
- Expected Daily: 0.16
- Expected Monthly: 3.42
- Expected Yearly: 49.74
- Kelly Criterion: 3.84
- Daily Value-at-Risk: -2.57
- Expected Shortfall (cVaR): -2.66
- Last Trade Date: 2025-02-13 15:00:00
- Max Consecutive Wins: 9
- Number Winning Trades 406
- Max Consecutive Losses: 9
- Number Losing Trades: 462
- Gain/Pain Ratio: -5.16
- Gain/Pain (1M): 1.09
- Payoff Ratio: 1.23
- Common Sense Ratio: 1.09
- Tail Ratio: 1.27
- Outlier Win Ratio: 0.00
- Outlier Loss Ratio: 0.00
- Recovery Factor: 0.00
- Ulcer Index: 0.15
- Serenity Index: 35.20
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, there are several important performance metrics to consider:
Metric | Strategy |
---|---|
Net Profit | 260.87% |
Sharpe Ratio | 0.409 |
Sortino Ratio | 2.546 |
Profit Factor | 1.094 |
Maximum Drawdown | 34.33% |
Volatility | 35.4% |
Annualized Return (CAGR %) | 231.8% |
The strategy displays a strong net profit of 260.87% with a respectable annualized return of 231.8%. Although the Sharpe Ratio is slightly below the target at 0.409, the Profit Factor of 1.094 indicates that returns are marginally greater than losses. Importantly, the maximum drawdown is well within acceptable limits at 34.33%, suggesting a reasonable level of risk given the market's volatility.
Strategy Viability
The strategy shows promise for real-world trading, especially in volatile crypto markets. The maximum drawdown is safely below the critical threshold of 40%, which is impressive given the leverage used and market conditions. While the Sharpe Ratio is slightly below the optimal level, the Sortino Ratio of 2.546 indicates that the strategy effectively deals with downside risk. Continued monitoring of market conditions is crucial to ensure persistent favorable performance.
Risk Management
Current risk management procedures illustrate careful handling of volatility and drawdowns. However, there are opportunities to enhance risk management, including:
- Reducing leverage to further decrease maximum drawdown (34.33%) while potentially smoothing equity curves.
- Implementing tighter stop-loss mechanisms to protect against sudden adverse price movements.
- Diversifying the asset portfolio to offset uncompensated risk from individual asset positions.
Improvement Suggestions
To optimize the strategy and reinforce its robustness, the following steps can be considered:
- Refine parameter settings to boost strategy returns and maintain drawdowns at acceptable levels.
- Explore additional technical indicators to provide a better roadmap for trade entries and exits.
- Conduct out-of-sample testing and real-time paper trading to gauge performance across differing market conditions.
- Evaluate advanced risk management strategies, such as Value-at-Risk (VaR), for better exposure understanding, and stress-test scenarios for system resilience.
Final Opinion
The strategy displays strong potential with notable returns and controlled drawdowns. There is room to enhance risk-adjusted returns through optimization and refinement, particularly regarding leverage usage and supplementary risk management techniques. The existing foundation is robust, but continuous development and validation will ensure its adaptability and sustained success.
Recommendation: Proceed with additional testing and fine-tuning of the strategy. Implement outlined improvements to boost its effectiveness and better adapt the risk management framework to navigate highly volatile markets efficiently.
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 | 10.82% | 55.76% | 73.90% | 11.35% | 10.77% | -6.21% | 5.23% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
Live Trades Stats
WIF
Base Currency
510
Number of Trades
-21.85%
Cumulative Returns
42.75%
Win Rate
2024-05-07
🟠 Incubation started
🛡️
7 Days
-17.55%
30 Days
-31.62%
60 Days
-29.07%
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 | 355,512.42 USD | 355.51 | 226,067.50 USD | 226.07 | 129,444.92 USD | 129.44 |
Gross Profit | 1,190,516.00 | 1,190.52 | 944,893.85 | 944.89 | 245,622.16 | 245.62 |
Gross Loss | 835,003.58 | 835.00 | 718,826.34 | 718.83 | 116,177.23 | 116.18 |
Max Run-up | 388,608.07 | 80.39 | ||||
Max Drawdown | 66,795.55 | 19.11 | ||||
Buy & Hold Return | 1,184,290.03 | 1,184.29 | ||||
Sharpe Ratio | 1.04 | |||||
Sortino Ratio | N/A | |||||
Profit Factor | 1.426 | 1.314 | 2.114 | |||
Max Contracts Held | 299,795 | 299,795 | 291,812 | |||
Open PL | −3,138.86 | −0.69 | ||||
Commission Paid | 32,925.97 | 25,120.54 | 7,805.42 | |||
Total Closed Trades | 358 | 272 | 86 | |||
Total Open Trades | 1 | 1 | 0 | |||
Number Winning Trades | 188 | 140 | 48 | |||
Number Losing Trades | 170 | 132 | 38 | |||
Percent Profitable | 52.51 | 51.47 | 55.81 | |||
Avg Trade | 993.05 | 0.91 | 831.13 | 0.82 | 1,505.17 | 1.20 |
Avg Winning Trade | 6,332.53 | 5.65 | 6,749.24 | 6.08 | 5,117.13 | 4.39 |
Avg Losing Trade | 4,911.79 | 4.32 | 5,445.65 | 4.76 | 3,057.30 | 2.82 |
Ratio Avg Win / Avg Loss | 1.289 | 1.239 | 1.674 | |||
Largest Winning Trade | 15,430.29 | 7.45 | 14,548.86 | 6.45 | 15,430.29 | 7.45 |
Largest Losing Trade | 11,953.76 | 6.61 | 11,953.76 | 6.61 | 10,261.39 | 6.47 |
Avg # Bars in Trades | 33 | 35 | 27 | |||
Avg # Bars in Winning Trades | 33 | 34 | 32 | |||
Avg # Bars in Losing Trades | 34 | 37 | 21 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 234,177.23 USD | 234.18 | 88,118.28 USD | 88.12 | 146,058.94 USD | 146.06 |
Gross Profit | 3,048,420.77 | 3,048.42 | 2,329,665.88 | 2,329.67 | 718,754.89 | 718.75 |
Gross Loss | 2,814,243.54 | 2,814.24 | 2,241,547.60 | 2,241.55 | 572,695.95 | 572.70 |
Max Run-up | 455,196.10 | 82.77 | ||||
Max Drawdown | 219,094.83 | 39.87 | ||||
Buy & Hold Return | 122,620.85 | 122.62 | ||||
Sharpe Ratio | 0.388 | |||||
Sortino Ratio | 1.985 | |||||
Profit Factor | 1.083 | 1.039 | 1.255 | |||
Max Contracts Held | 299,795 | 299,795 | 291,812 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 121,940.29 | 83,787.59 | 38,152.70 | |||
Total Closed Trades | 868 | 606 | 262 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 406 | 282 | 124 | |||
Number Losing Trades | 462 | 324 | 138 | |||
Percent Profitable | 46.77 | 46.53 | 47.33 | |||
Avg Trade | 269.79 | 0.33 | 145.41 | 0.27 | 557.48 | 0.45 |
Avg Winning Trade | 7,508.43 | 4.71 | 8,261.23 | 5.24 | 5,796.41 | 3.51 |
Avg Losing Trade | 6,091.44 | 3.52 | 6,918.36 | 4.05 | 4,149.97 | 2.29 |
Ratio Avg Win / Avg Loss | 1.233 | 1.194 | 1.397 | |||
Largest Winning Trade | 17,082.58 | 7.45 | 17,046.19 | 6.45 | 17,082.58 | 7.45 |
Largest Losing Trade | 13,879.27 | 6.61 | 13,879.27 | 6.61 | 10,929.07 | 6.47 |
Avg # Bars in Trades | 58 | 68 | 36 | |||
Avg # Bars in Winning Trades | 55 | 63 | 38 | |||
Avg # Bars in Losing Trades | 61 | 72 | 35 | |||
Margin Calls | 0 | 0 | 0 |
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