MACD Liquidity Spectrum by @DaviddTech 🤖 [a9fcf4b0]
🛡️ MACD LIQUIDITY BTC 1H
@
⌛1 hour
⚪️ Deep Backtest
Last updated: 3 hours agoTrades per Day
Key Performance Metrics
- First Traded Date: 2020-04-16 09:00:00
- Sharpe Ratio: 0.46
- Sortino Ratio: 1.09
- Calmar: -1.93
- Longest DD Days: 26.00
- Volatility: 82.35
- Skew: -0.17
- Kurtosis: -1.71
- Expected Daily: 1.61
- Expected Monthly: 39.81
- Expected Yearly: 5,478.08
- Kelly Criterion: 19.02
- Daily Value-at-Risk: -5.31
- Expected Shortfall (cVaR): -5.35
- Last Trade Date: 2025-01-31 19:00:00
- Max Consecutive Wins: 10
- Number Winning Trades 99
- Max Consecutive Losses: 9
- Number Losing Trades: 75
- Gain/Pain Ratio: -1.93
- Gain/Pain (1M): 1.50
- Payoff Ratio: 1.14
- Common Sense Ratio: 1.50
- Tail Ratio: 1.47
- Outlier Win Ratio: 0.00
- Outlier Loss Ratio: 0.00
- Recovery Factor: 0.00
- Ulcer Index: 0.11
- Serenity Index: 26.54
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, several performance metrics stand out that merit attention:
Metric | Strategy |
---|---|
CAGR (%) | 68.17 |
Sharpe Ratio | 0.465 |
Profit Factor | 1.521 |
Maximum Drawdown | -35.6% |
Volatility (Annualized) | 82.35% |
The strategy compensates with a substantial annual growth rate of 68.17%, in line with strong performance potential. The Sharpe Ratio is slightly below optimal at 0.465. However, the Profit Factor of 1.521 is encouraging, suggesting the strategy earns more than $1.5 for every dollar lost. Additionally, the maximum drawdown of -35.6% is within the acceptable range for crypto markets and underscores good downside risk management.
Strategy Viability
Based on the data provided, this strategy appears viable under certain market conditions. Its performance features a strong CAGR and robust drawdown management. To fully assess viability, consider forecasting whether current market conditions will persist. Historically, crypto's inherent volatility suits this strategy's risk and reward profile.
Risk Management
The strategy’s current risk management is effective, visible in the acceptable drawdown levels. Despite this, high volatility opens avenues for enhancement:
- Implement less leverage to curb potential losses and manage drawdowns more effectively.
- Adopt advanced stop-loss strategies to better protect against abrupt losses.
- Leverage diversification by expanding asset classes or instruments.
Improvement Suggestions
To further enhance the strategy’s performance and robustness, consider the following recommendations:
- Optimize and recalibrate parameters to increase the Sharpe Ratio above the desired 0.5 mark.
- Incorporate additional market indicators or sentiment data to increase prediction accuracy.
- Conduct additional backtesting over diverse market conditions for resilience accuracy.
- Integrate a more comprehensive risk management framework focusing on stress testing and VaR approaches.
Final Opinion
In summary, the strategy shows noteworthy performance with a commendable CAGR and solid profit factor. Even though the Sharpe Ratio is slightly below target, improvements in risk management could significantly bolster returns. Reinforcing robustness with improvements could fortify its adaptability to more volatile settings.
Recommendation: Continue with further testing and parameter optimization. Introduce risk management enhancements to realize full potential and mitigate associated market volatility effectively.
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 | 10.29% | 26.51% | 17.87% | -10.79% | 3.97% | 5.53% | 0.28% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 18.18% | 0.71% | 9.21% | -2.49% | 6.41% | 0.47% | 0.00% | -5.04% | -2.18% | 6.22% | 7.82% | 4.57% |
2022 | 3.76% | 1.13% | 5.16% | 2.48% | 7.87% | 10.05% | 7.69% | 9.13% | -2.96% | 0.55% | 7.67% | 0.17% |
2021 | 7.55% | 31.13% | 5.16% | 3.60% | 22.58% | 10.10% | 0.53% | 5.73% | -3.10% | 6.76% | 13.87% | 7.58% |
2020 | 0.00% | 0.00% | 0.00% | 3.94% | -2.49% | -7.94% | -0.96% | -9.53% | -7.69% | 4.79% | 25.71% | 19.09% |
Live Trades Stats
BTC
Base Currency
30
Number of Trades
-1.64%
Cumulative Returns
40%
Win Rate
2024-04-16
🟠 Incubation started
🛡️
7 Days
-14.65%
30 Days
-48.18%
60 Days
-29.52%
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 | 1,176,832.18 USD | 1,176.83 | 885,718.53 USD | 885.72 | 291,113.65 USD | 291.11 |
Gross Profit | 2,257,554.15 | 2,257.55 | 1,392,031.05 | 1,392.03 | 865,523.10 | 865.52 |
Gross Loss | 1,080,721.97 | 1,080.72 | 506,312.52 | 506.31 | 574,409.45 | 574.41 |
Max Run-up | 1,496,788.97 | 95.45 | ||||
Max Drawdown | 245,444.04 | 35.60 | ||||
Buy & Hold Return | 842,482.46 | 842.48 | ||||
Sharpe Ratio | 0.581 | |||||
Sortino Ratio | 1.978 | |||||
Profit Factor | 2.089 | 2.749 | 1.507 | |||
Max Contracts Held | 36 | 34 | 36 | |||
Open PL | 18,413.76 | 1.44 | ||||
Commission Paid | 53,173.24 | 29,547.67 | 23,625.57 | |||
Total Closed Trades | 145 | 81 | 64 | |||
Total Open Trades | 1 | 0 | 1 | |||
Number Winning Trades | 87 | 53 | 34 | |||
Number Losing Trades | 58 | 28 | 30 | |||
Percent Profitable | 60.00 | 65.43 | 53.13 | |||
Avg Trade | 8,116.08 | 1.89 | 10,934.80 | 2.44 | 4,548.65 | 1.21 |
Avg Winning Trade | 25,948.90 | 5.88 | 26,264.74 | 5.85 | 25,456.56 | 5.94 |
Avg Losing Trade | 18,633.14 | 4.08 | 18,082.59 | 4.01 | 19,146.98 | 4.16 |
Ratio Avg Win / Avg Loss | 1.393 | 1.452 | 1.33 | |||
Largest Winning Trade | 101,708.04 | 7.72 | 101,708.04 | 7.71 | 98,617.11 | 7.72 |
Largest Losing Trade | 71,916.43 | 5.28 | 58,764.96 | 5.28 | 71,916.43 | 5.28 |
Avg # Bars in Trades | 92 | 102 | 79 | |||
Avg # Bars in Winning Trades | 85 | 96 | 67 | |||
Avg # Bars in Losing Trades | 103 | 114 | 94 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 1,110,732.52 USD | 1,110.73 | 905,998.59 USD | 906.00 | 204,733.94 USD | 204.73 |
Gross Profit | 3,244,566.38 | 3,244.57 | 2,005,040.09 | 2,005.04 | 1,239,526.28 | 1,239.53 |
Gross Loss | 2,133,833.85 | 2,133.83 | 1,099,041.50 | 1,099.04 | 1,034,792.35 | 1,034.79 |
Max Run-up | 1,707,462.39 | 95.99 | ||||
Max Drawdown | 593,789.42 | 35.60 | ||||
Buy & Hold Return | 1,341,263.51 | 1,341.26 | ||||
Sharpe Ratio | 0.464 | |||||
Sortino Ratio | 1.091 | |||||
Profit Factor | 1.521 | 1.824 | 1.198 | |||
Max Contracts Held | 36 | 34 | 36 | |||
Open PL | 11,052.57 | 0.91 | ||||
Commission Paid | 86,819.52 | 50,055.38 | 36,764.15 | |||
Total Closed Trades | 174 | 98 | 76 | |||
Total Open Trades | 1 | 0 | 1 | |||
Number Winning Trades | 99 | 60 | 39 | |||
Number Losing Trades | 75 | 38 | 37 | |||
Percent Profitable | 56.90 | 61.22 | 51.32 | |||
Avg Trade | 6,383.52 | 1.57 | 9,244.88 | 2.05 | 2,693.87 | 0.96 |
Avg Winning Trade | 32,773.40 | 5.87 | 33,417.33 | 5.85 | 31,782.73 | 5.90 |
Avg Losing Trade | 28,451.12 | 4.11 | 28,922.14 | 3.96 | 27,967.36 | 4.26 |
Ratio Avg Win / Avg Loss | 1.152 | 1.155 | 1.136 | |||
Largest Winning Trade | 127,642.18 | 7.72 | 127,642.18 | 7.71 | 98,617.11 | 7.72 |
Largest Losing Trade | 91,862.40 | 5.28 | 91,862.40 | 5.28 | 76,461.23 | 5.28 |
Avg # Bars in Trades | 92 | 102 | 77 | |||
Avg # Bars in Winning Trades | 87 | 99 | 69 | |||
Avg # Bars in Losing Trades | 97 | 108 | 86 | |||
Margin Calls | 0 | 0 | 0 |
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