MCGINLEY TREND BTCUSDT 45MIN
@
⌛45min
⚪️ Deep Backtest
Last updated: 2 hours agoTrades per Day
Key Performance Metrics
- First Traded Date: 2020-04-07 08:00:00
- Sharpe Ratio: 0.22
- Sortino Ratio: 0.47
- Calmar: -0.91
- Longest DD Days: 82.00
- Volatility: 39.48
- Skew: 2.93
- Kurtosis: 11.98
- Expected Daily: 0.16
- Expected Monthly: 3.51
- Expected Yearly: 51.27
- Kelly Criterion: 3.34
- Daily Value-at-Risk: -1.76
- Expected Shortfall (cVaR): -2.41
- Last Trade Date: 2024-11-01 04:15:00
- Max Consecutive Wins: 4
- Number Winning Trades 111
- Max Consecutive Losses: 21
- Number Losing Trades: 440
- Gain/Pain Ratio: -0.91
- Gain/Pain (1M): 1.20
- Payoff Ratio: 4.75
- Common Sense Ratio: 1.20
- Tail Ratio: 3.17
- Outlier Win Ratio: 1.88
- Outlier Loss Ratio: 0.00
- Recovery Factor: 0.00
- Ulcer Index: 0.09
- Serenity Index: 2.78
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, several performance metrics stand out that merit attention:
Metric | Strategy |
---|---|
Net Profit | 124.85% |
Sharpe Ratio | 0.226 |
Sortino Ratio | 0.491 |
Profit Factor | 1.211 |
Maximum Drawdown | 20.77% |
Volatility (Annualized) | 39.57% |
Annualized Return (CAGR) | 19.57% |
The strategy's cumulative net profit of 124.85% indicates a positive return on investment since inception. However, the Sharpe ratio of 0.226 is below the desired threshold for crypto trading, suggesting that the risk-adjusted returns could be improved. The maximum drawdown of 20.77% is within an acceptable range, showing decent capital preservation. The Sortino ratio being close to 0.5 suggests moderate downside risk protection, while the profit factor of 1.211 indicates that the strategy is marginally profitable over the long term.
Strategy Viability
Based on the data provided, the strategy demonstrates a capacity for profitability but falls short of optimal risk-adjusted performance. While the strategy achieves positive returns, the Sharpe and Sortino ratios indicate that the risk is higher than desired given the returns. The strategy may perform better under specific market conditions; identifying these conditions could provide insights into when to deploy the strategy effectively.
Risk Management
The strategy employs some risk management techniques that are reflected in the moderate drawdown percentage. However, the low percentage of profitable trades (20.26%) and a high number of losing trades (437 out of 548) indicate a need for improved trade selection or management. Considerations for enhancing risk management include:
- Assessing and possibly increasing the criteria for trade entry to improve the win rate.
- Implementation of tighter stop-loss settings or better trailing stop strategies.
- Using less leverage to further reduce drawdown risks.
Improvement Suggestions
To further enhance the strategy's performance and robustness, consider the following recommendations:
- Optimizing strategy parameters to balance risk and return more effectively.
- Incorporating additional technical indicators or machine learning models that can improve trade entry and exit accuracy.
- Conducting forward-testing in different market environments to ensure robustness.
- Enhancing the risk management framework by integrating more adaptive position sizing and deploying diversified trading tactics.
Final Opinion
In summary, the strategy demonstrates an ability to generate substantial returns but suffers from lower than optimal risk-adjusted performance and win rate. The existing risk management protocols help to manage drawdowns, yet there's a notable potential for improvement. Identifying precise market conditions for deployment and employing improved trade entry criteria and risk management can enhance performance.
Recommendation: Proceed with modifications and further testing of the strategy. Consider optimization opportunities and implement recommendations for improved robustness and risk management, ultimately increasing the likelihood of achieving the desired risk-adjusted performance.
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 | -4.28% | 9.42% | -5.77% | -2.74% | 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 | 5.01% | -1.14% | 7.53% | 3.79% | -2.56% | 1.79% | -5.88% | 1.74% | -3.17% | 15.09% | 0.00% | 15.89% |
2022 | 15.76% | -2.49% | 1.09% | 8.98% | 1.09% | 0.65% | -11.29% | 2.27% | 3.34% | 2.46% | 8.70% | 0.00% |
2021 | -5.10% | 1.94% | 0.00% | 0.00% | -3.52% | -7.09% | 0.76% | 5.43% | -3.45% | 6.49% | 4.10% | 0.55% |
2020 | 0.00% | 0.00% | 0.00% | 4.43% | -6.46% | -5.78% | 6.86% | -7.55% | 2.62% | 9.79% | 1.10% | 25.01% |
Live Trades Stats
BTC
Base Currency
86
Number of Trades
-9.48%
Cumulative Returns
16.28%
Win Rate
2024-03-01
🟠 Incubation started
🛡️
7 Days
-3.29%
30 Days
-20.41%
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 | 143,829.99 USD | 143.83 | 120,061.64 USD | 120.06 | 23,768.35 USD | 23.77 |
Gross Profit | 600,158.62 | 600.16 | 322,540.06 | 322.54 | 277,618.56 | 277.62 |
Gross Loss | 456,328.63 | 456.33 | 202,478.42 | 202.48 | 253,850.21 | 253.85 |
Max Run-up | 168,850.39 | 65.34 | ||||
Max Drawdown | 35,628.59 | 20.77 | ||||
Buy & Hold Return | 780,148.45 | 780.15 | ||||
Sharpe Ratio | 0.285 | |||||
Sortino Ratio | 0.646 | |||||
Profit Factor | 1.315 | 1.593 | 1.094 | |||
Max Contracts Held | 11 | 11 | 11 | |||
Open PL | 2,874.87 | 1.18 | ||||
Commission Paid | 40,806.68 | 17,805.77 | 23,000.91 | |||
Total Closed Trades | 465 | 208 | 257 | |||
Total Open Trades | 1 | 1 | 0 | |||
Number Winning Trades | 97 | 39 | 58 | |||
Number Losing Trades | 368 | 169 | 199 | |||
Percent Profitable | 20.86 | 18.75 | 22.57 | |||
Avg Trade | 309.31 | 0.30 | 577.22 | 0.56 | 92.48 | 0.10 |
Avg Winning Trade | 6,187.20 | 5.75 | 8,270.26 | 7.73 | 4,786.53 | 4.41 |
Avg Losing Trade | 1,240.02 | 1.13 | 1,198.10 | 1.10 | 1,275.63 | 1.16 |
Ratio Avg Win / Avg Loss | 4.99 | 6.903 | 3.752 | |||
Largest Winning Trade | 40,170.29 | 26.26 | 40,170.29 | 26.26 | 10,983.65 | 10.58 |
Largest Losing Trade | 6,813.14 | 5.46 | 5,610.84 | 5.44 | 6,813.14 | 5.46 |
Avg # Bars in Trades | 42 | 60 | 27 | |||
Avg # Bars in Winning Trades | 67 | 115 | 34 | |||
Avg # Bars in Losing Trades | 35 | 47 | 25 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 118,384.64 USD | 118.38 | 95,688.19 USD | 95.69 | 22,696.45 USD | 22.70 |
Gross Profit | 715,515.54 | 715.52 | 358,358.02 | 358.36 | 357,157.51 | 357.16 |
Gross Loss | 597,130.90 | 597.13 | 262,669.83 | 262.67 | 334,461.07 | 334.46 |
Max Run-up | 197,008.76 | 68.75 | ||||
Max Drawdown | 49,933.15 | 20.77 | ||||
Buy & Hold Return | 888,193.28 | 888.19 | ||||
Sharpe Ratio | 0.217 | |||||
Sortino Ratio | 0.468 | |||||
Profit Factor | 1.198 | 1.364 | 1.068 | |||
Max Contracts Held | 11 | 11 | 11 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 52,904.57 | 22,758.82 | 30,145.75 | |||
Total Closed Trades | 551 | 244 | 307 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 111 | 41 | 70 | |||
Number Losing Trades | 440 | 203 | 237 | |||
Percent Profitable | 20.15 | 16.80 | 22.80 | |||
Avg Trade | 214.85 | 0.23 | 392.16 | 0.42 | 73.93 | 0.08 |
Avg Winning Trade | 6,446.09 | 5.62 | 8,740.44 | 7.87 | 5,102.25 | 4.30 |
Avg Losing Trade | 1,357.12 | 1.13 | 1,293.94 | 1.08 | 1,411.23 | 1.16 |
Ratio Avg Win / Avg Loss | 4.75 | 6.755 | 3.615 | |||
Largest Winning Trade | 40,170.29 | 26.26 | 40,170.29 | 26.26 | 10,983.65 | 10.58 |
Largest Losing Trade | 6,813.14 | 5.46 | 5,610.84 | 5.44 | 6,813.14 | 5.46 |
Avg # Bars in Trades | 43 | 65 | 25 | |||
Avg # Bars in Winning Trades | 65 | 122 | 31 | |||
Avg # Bars in Losing Trades | 38 | 54 | 24 | |||
Margin Calls | 0 | 0 | 0 |
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