Stiff Momentum by @DaviddTech 🤖 [f3866228]
🛡️ STIFFMOMENTUM XRPUSDT 1H 15.10.2024
@marcob
⌛1 hour
⚪️ Deep Backtest
Last updated: 3 hours agoTrades per Day
Key Performance Metrics
- First Traded Date: 2021-05-17 11:00:00
- Sharpe Ratio: 0.50
- Sortino Ratio: 0.97
- Calmar: -2.39
- Longest DD Days: 51.00
- Volatility: 77.77
- Skew: 0.36
- Kurtosis: -0.68
- Expected Daily: 0.89
- Expected Monthly: 20.38
- Expected Yearly: 826.28
- Kelly Criterion: 13.40
- Daily Value-at-Risk: -5.82
- Expected Shortfall (cVaR): -7.65
- Last Trade Date: 2025-02-13 23:00:00
- Max Consecutive Wins: 8
- Number Winning Trades 178
- Max Consecutive Losses: 8
- Number Losing Trades: 197
- Gain/Pain Ratio: -2.39
- Gain/Pain (1M): 1.39
- Payoff Ratio: 1.54
- Common Sense Ratio: 1.39
- Tail Ratio: 1.60
- Outlier Win Ratio: 2.13
- Outlier Loss Ratio: 3.18
- Recovery Factor: 0.00
- Ulcer Index: 0.15
- Serenity Index: 49.79
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, several performance metrics stand out that merit attention:
Metric | Strategy |
---|---|
Cumulative Return (CAGR %) | 114.03% |
Sharpe Ratio | 0.504 |
Profit Factor | 1.409 |
Maximum Drawdown | -48.52% |
Volatility (Annualized) | 77.82% |
Winning Trades | 47.59% |
The strategy achieves a commendable annualized return of 114.03%, indicating strong performance over time. The Sharpe Ratio of 0.504 meets the threshold of being considered good within the crypto space, suggesting reasonable risk-adjusted returns. However, the maximum drawdown is at 48.52%, exceeding the preferred 40% limit, which indicates potential exposure to significant losses during downturns.
Strategy Viability
Based on the data provided, the strategy appears viable for real-world trading under conducive market conditions, though it requires adjustments to enhance risk management. It performs well when the market trends persist, as seen in its robust profit factor and positive skew. However, careful consideration of drawdown management is crucial before proceeding in a live environment.
Risk Management
The strategy’s maximum drawdown indicates a need for more stringent risk management measures. While no margin calls were reported, the high volatility demands a reevaluation of leverage use. Suggestions to enhance risk management include:
- Reducing leverage to decrease drawdowns and enhance stability.
- Implementing tighter stop-losses to limit potential losses.
- Regular volatility assessments to adjust position sizing dynamically, mitigating risk during high volatility phases.
Improvement Suggestions
To further enhance the strategy’s performance and robustness, consider the following recommendations:
- Optimize strategy parameters to improve returns while keeping drawdowns under control.
- Implement advanced technical indicators that may offer better entry and exit signals.
- Conduct stress testing under various market scenarios to test robustness.
- Consider a portfolio diversification strategy to reduce dependence on single market conditions.
Final Opinion
In summary, the strategy demonstrates strong performance with a satisfactory Sharpe Ratio and significant annualized returns. However, the drawdown challenges indicate a need for tighter risk controls. Implementing suggested improvements can strengthen its resilience to adverse conditions.
Recommendation: Proceed with further testing and optimization of the strategy. Focus on improving risk management to reduce drawdowns to manage a more balanced risk-return profile effectively, especially through reduced leverage and better market volatility adaptation.
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 | 12.24% | 12.38% | 3.33% | -3.35% | 8.66% | 3.21% | 25.06% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 19.15% | 14.16% | -4.28% | 11.07% | -1.97% | 17.40% | -9.22% | 13.12% | 5.47% | -6.34% | 15.00% | 17.99% |
2022 | -2.80% | 22.67% | 6.18% | -5.76% | 4.98% | 22.93% | -12.71% | 15.30% | 21.04% | 21.67% | 34.80% | 8.52% |
2021 | 0.00% | 0.00% | 0.00% | 0.00% | -2.10% | 11.84% | -6.07% | -30.00% | 1.83% | -0.05% | 22.82% | 24.05% |
Live Trades Stats
XRP
Base Currency
31
Number of Trades
-6.59%
Cumulative Returns
38.71%
Win Rate
2024-10-15
🟠 Incubation started
🛡️
7 Days
-18.29%
30 Days
61.37%
60 Days
13.41%
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 | 1,798,564.80 USD | 1,798.56 | 528,041.11 USD | 528.04 | 1,270,523.69 USD | 1,270.52 |
Gross Profit | 4,299,278.37 | 4,299.28 | 1,363,603.08 | 1,363.60 | 2,935,675.29 | 2,935.68 |
Gross Loss | 2,500,713.57 | 2,500.71 | 835,561.97 | 835.56 | 1,665,151.60 | 1,665.15 |
Max Run-up | 1,956,894.63 | 96.85 | ||||
Max Drawdown | 215,878.65 | 48.52 | ||||
Buy & Hold Return | −60,485.82 | −60.49 | ||||
Sharpe Ratio | 0.618 | |||||
Sortino Ratio | 1.487 | |||||
Profit Factor | 1.719 | 1.632 | 1.763 | |||
Max Contracts Held | 3,660,777 | 3,660,777 | 3,255,775 | |||
Open PL | 36,195.88 | 1.91 | ||||
Commission Paid | 138,368.69 | 48,215.82 | 90,152.87 | |||
Total Closed Trades | 344 | 115 | 229 | |||
Total Open Trades | 1 | 1 | 0 | |||
Number Winning Trades | 166 | 50 | 116 | |||
Number Losing Trades | 178 | 65 | 113 | |||
Percent Profitable | 48.26 | 43.48 | 50.66 | |||
Avg Trade | 5,228.39 | 0.98 | 4,591.66 | 0.82 | 5,548.14 | 1.07 |
Avg Winning Trade | 25,899.27 | 5.56 | 27,272.06 | 5.73 | 25,307.55 | 5.48 |
Avg Losing Trade | 14,048.95 | 3.28 | 12,854.80 | 2.97 | 14,735.85 | 3.46 |
Ratio Avg Win / Avg Loss | 1.844 | 2.122 | 1.717 | |||
Largest Winning Trade | 184,085.07 | 14.58 | 137,441.75 | 12.13 | 184,085.07 | 14.58 |
Largest Losing Trade | 92,369.86 | 10.55 | 60,967.83 | 6.83 | 92,369.86 | 10.55 |
Avg # Bars in Trades | 47 | 45 | 47 | |||
Avg # Bars in Winning Trades | 59 | 56 | 61 | |||
Avg # Bars in Losing Trades | 35 | 37 | 33 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 1,575,000.15 USD | 1,575.00 | 409,089.85 USD | 409.09 | 1,165,910.30 USD | 1,165.91 |
Gross Profit | 5,582,396.31 | 5,582.40 | 1,875,163.36 | 1,875.16 | 3,707,232.95 | 3,707.23 |
Gross Loss | 4,007,396.17 | 4,007.40 | 1,466,073.51 | 1,466.07 | 2,541,322.66 | 2,541.32 |
Max Run-up | 2,207,858.10 | 97.19 | ||||
Max Drawdown | 786,835.59 | 48.52 | ||||
Buy & Hold Return | 84,449.56 | 84.45 | ||||
Sharpe Ratio | 0.498 | |||||
Sortino Ratio | 0.971 | |||||
Profit Factor | 1.393 | 1.279 | 1.459 | |||
Max Contracts Held | 3,896,219 | 3,845,953 | 3,896,219 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 177,577.20 | 62,615.73 | 114,961.47 | |||
Total Closed Trades | 375 | 126 | 249 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 178 | 54 | 124 | |||
Number Losing Trades | 197 | 72 | 125 | |||
Percent Profitable | 47.47 | 42.86 | 49.80 | |||
Avg Trade | 4,200.00 | 0.89 | 3,246.74 | 0.73 | 4,682.37 | 0.97 |
Avg Winning Trade | 31,361.78 | 5.67 | 34,725.25 | 5.93 | 29,897.04 | 5.55 |
Avg Losing Trade | 20,342.11 | 3.43 | 20,362.13 | 3.17 | 20,330.58 | 3.58 |
Ratio Avg Win / Avg Loss | 1.542 | 1.705 | 1.471 | |||
Largest Winning Trade | 197,835.51 | 14.58 | 197,835.51 | 12.13 | 184,085.07 | 14.58 |
Largest Losing Trade | 164,354.78 | 10.55 | 164,354.78 | 8.26 | 163,415.73 | 10.55 |
Avg # Bars in Trades | 47 | 47 | 47 | |||
Avg # Bars in Winning Trades | 59 | 56 | 61 | |||
Avg # Bars in Losing Trades | 36 | 39 | 33 | |||
Margin Calls | 0 | 0 | 0 |
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