T3 Nexus + Stiff @DaviddTech 🤖 [a8ce6b46]
🛡️ T3NEXUSSTIFF AVAXUSDT 30M 27.08
@matt_doc
⌛30 minutes
⚪️ Deep Backtest
Last updated: 51 mins agoTrades per Day
Key Performance Metrics
- First Traded Date: 2021-09-26 00:30:00
- Sharpe Ratio: 0.57
- Sortino Ratio: 1.97
- Calmar: -9.16
- Longest DD Days: 165.00
- Volatility: 87.56
- Skew: 0.19
- Kurtosis: -0.72
- Expected Daily: 0.75
- Expected Monthly: 16.98
- Expected Yearly: 556.84
- Kelly Criterion: 15.21
- Daily Value-at-Risk: -7.33
- Expected Shortfall (cVaR): -8.82
- Last Trade Date: 2024-11-03 02:30:00
- Max Consecutive Wins: 9
- Number Winning Trades 488
- Max Consecutive Losses: 7
- Number Losing Trades: 462
- Gain/Pain Ratio: -9.16
- Gain/Pain (1M): 1.42
- Payoff Ratio: 1.34
- Common Sense Ratio: 1.42
- Tail Ratio: 1.35
- Outlier Win Ratio: 2.29
- Outlier Loss Ratio: 0.00
- Recovery Factor: 0.00
- Ulcer Index: 0.19
- Serenity Index: 2,967.56
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, several performance metrics stand out that merit attention:
Metric | Strategy |
---|---|
CAGR | 443.17% |
Sharpe Ratio | 0.538 |
Sortino Ratio | 1.851 |
Profit Factor | 1.26 |
Maximum Drawdown | 58.61% |
Volatility (Annualized) | 87.42% |
The strategy demonstrates solid annualized returns (CAGR of 443.17%), indicating strong growth potential. The Sharpe ratio of 0.538 meets the threshold for crypto, suggesting a satisfactory risk-adjusted performance. However, the maximum drawdown of 58.61% is above the desirable range, indicating potential weakness in capital preservation during market downturns. The Profit Factor of 1.26 also indicates modest profitability, with gains only slightly outweighing losses.
Strategy Viability
Based on the data provided, the strategy shows potential viability for real-world trading, especially given the satisfactory Sharpe ratio and impressive CAGR. However, the high maximum drawdown suggests the need for better risk management. The strategy's performance under specific market conditions should be considered to determine its suitability going forward. Given current volatility, it will be essential to verify if these favorable conditions are likely to persist.
Risk Management
The risk management approach of the strategy could benefit from significant improvements, particularly concerning the maximum drawdown. Some potential risk management strategies include:
- Reducing leverage to decrease drawdowns and improve capital preservation.
- Implementing tighter stop-loss mechanisms to curtail potential losses more effectively.
- Introducing diversification across various cryptocurrencies to mitigate asset-specific risks.
Improvement Suggestions
To enhance the strategy’s performance and establish its robustness, consider the following recommendations:
- Optimize trading parameters to enhance profitability while controlling drawdowns.
- Integrate additional technical indicators to refine the timing of trade entries and exits.
- Conduct comprehensive backtesting under different historical market conditions to understand the strategy's performance across diverse environments.
- Enhance risk management frameworks with advanced techniques like stress testing and Value-at-Risk (VaR) metrics.
Final Opinion
In conclusion, the strategy shows promise with its strong CAGR and satisfactory risk-adjusted returns, reflected in the Sharpe ratio. However, the high maximum drawdown signals a need for improved risk mitigation measures. Continued refinement is necessary, particularly in risk management, to ensure the strategy's sustainability across various market scenarios.
Recommendation: Proceed with the strategy but prioritize significant risk management enhancements and parameter optimization. This dual focus will help ensure that the strategy is robust and capital-efficient, especially in volatile markets.
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 |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 33.13% | 59.94% | 0.12% | 53.50% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results | 0.00% |
2023 | 58.32% | 43.25% | -13.68% | -17.94% | 29.23% | -2.13% | -20.99% | 90.52% | -22.33% | 71.67% | -18.72% | 13.11% |
2022 | 8.66% | 15.42% | -9.77% | 39.38% | 4.05% | 5.22% | 17.80% | 42.10% | -33.85% | 30.90% | 10.36% | -5.16% |
2021 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.47% | -0.45% | 22.43% | -0.72% |
Live Trades Stats
AVAX
Base Currency
73
Number of Trades
25.51%
Cumulative Returns
47.95%
Win Rate
2024-08-27
🟠 Incubation started
🛡️
7 Days
33.65%
30 Days
48.46%
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 | 28,526,405.12 USD | 28,526.41 | 9,947,412.50 USD | 9,947.41 | 18,578,992.62 USD | 18,578.99 |
Gross Profit | 62,908,342.22 | 62,908.34 | 25,955,206.17 | 25,955.21 | 36,953,136.05 | 36,953.14 |
Gross Loss | 34,381,937.11 | 34,381.94 | 16,007,793.67 | 16,007.79 | 18,374,143.44 | 18,374.14 |
Max Run-up | 28,801,028.58 | 99.66 | ||||
Max Drawdown | 3,764,021.60 | 58.61 | ||||
Buy & Hold Return | −65,307.73 | −65.31 | ||||
Sharpe Ratio | 0.601 | |||||
Sortino Ratio | 2.228 | |||||
Profit Factor | 1.83 | 1.621 | 2.011 | |||
Max Contracts Held | 3,824,335 | 3,824,335 | 2,889,567 | |||
Open PL | 219,749.41 | 0.77 | ||||
Commission Paid | 3,091,695.27 | 1,387,787.63 | 1,703,907.64 | |||
Total Closed Trades | 880 | 381 | 499 | |||
Total Open Trades | 1 | 0 | 1 | |||
Number Winning Trades | 455 | 183 | 272 | |||
Number Losing Trades | 425 | 198 | 227 | |||
Percent Profitable | 51.70 | 48.03 | 54.51 | |||
Avg Trade | 32,416.37 | 0.34 | 26,108.69 | 0.12 | 37,232.45 | 0.50 |
Avg Winning Trade | 138,260.09 | 2.93 | 141,831.73 | 2.81 | 135,857.12 | 3.01 |
Avg Losing Trade | 80,898.68 | 2.44 | 80,847.44 | 2.37 | 80,943.36 | 2.51 |
Ratio Avg Win / Avg Loss | 1.709 | 1.754 | 1.678 | |||
Largest Winning Trade | 2,079,993.46 | 6.97 | 2,079,993.46 | 4.90 | 1,938,180.21 | 6.97 |
Largest Losing Trade | 1,478,483.62 | 4.10 | 1,322,022.75 | 3.93 | 1,478,483.62 | 4.10 |
Avg # Bars in Trades | 23 | 20 | 26 | |||
Avg # Bars in Winning Trades | 23 | 19 | 26 | |||
Avg # Bars in Losing Trades | 24 | 22 | 25 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 29,042,636.76 USD | 29,042.64 | 5,616,108.92 USD | 5,616.11 | 23,426,527.85 USD | 23,426.53 |
Gross Profit | 102,195,784.42 | 102,195.78 | 41,907,065.11 | 41,907.07 | 60,288,719.31 | 60,288.72 |
Gross Loss | 73,153,147.66 | 73,153.15 | 36,290,956.19 | 36,290.96 | 36,862,191.47 | 36,862.19 |
Max Run-up | 30,290,623.13 | 99.68 | ||||
Max Drawdown | 12,801,175.15 | 58.61 | ||||
Buy & Hold Return | −65,988.39 | −65.99 | ||||
Sharpe Ratio | 0.573 | |||||
Sortino Ratio | 1.97 | |||||
Profit Factor | 1.397 | 1.155 | 1.636 | |||
Max Contracts Held | 4,342,322 | 4,342,322 | 4,191,354 | |||
Open PL | 1,083,688.98 | 3.72 | ||||
Commission Paid | 5,987,185.53 | 2,749,939.24 | 3,237,246.29 | |||
Total Closed Trades | 950 | 411 | 539 | |||
Total Open Trades | 1 | 0 | 1 | |||
Number Winning Trades | 488 | 197 | 291 | |||
Number Losing Trades | 462 | 214 | 248 | |||
Percent Profitable | 51.37 | 47.93 | 53.99 | |||
Avg Trade | 30,571.20 | 0.31 | 13,664.50 | 0.12 | 43,462.95 | 0.46 |
Avg Winning Trade | 209,417.59 | 2.90 | 212,726.22 | 2.78 | 207,177.73 | 2.98 |
Avg Losing Trade | 158,340.15 | 2.42 | 169,583.91 | 2.34 | 148,637.87 | 2.48 |
Ratio Avg Win / Avg Loss | 1.323 | 1.254 | 1.394 | |||
Largest Winning Trade | 2,391,614.81 | 6.97 | 2,079,993.46 | 4.90 | 2,391,614.81 | 6.97 |
Largest Losing Trade | 2,007,719.29 | 4.10 | 1,879,663.63 | 3.93 | 2,007,719.29 | 4.10 |
Avg # Bars in Trades | 23 | 20 | 26 | |||
Avg # Bars in Winning Trades | 24 | 19 | 27 | |||
Avg # Bars in Losing Trades | 23 | 21 | 25 | |||
Margin Calls | 0 | 0 | 0 |
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