🚀 McGinley Trend Followers [v5] by @DaviddTech 🤖 [ff2cc3b8]
🛡️ MCGINLEY TREND ETHUSDT.P 30MIN
@bavo
⌛30 minutes
⚪️ Deep Backtest
Last updated: 3 hours agoTrades per Day
Key Performance Metrics
- First Traded Date: 2020-11-03 04:00:00
- Sharpe Ratio: 0.35
- Sortino Ratio: 0.74
- Calmar: -1.09
- Longest DD Days: 90.00
- Volatility: 0.22
- Skew: -0.05
- Kurtosis: -0.03
- Expected Daily: 0.00
- Expected Monthly: 0.04
- Expected Yearly: 0.49
- Kelly Criterion: 18.21
- Daily Value-at-Risk: -0.02
- Expected Shortfall (cVaR): -0.02
- Last Trade Date: 2025-02-03 08:30:00
- Max Consecutive Wins: 11
- Number Winning Trades 251
- Max Consecutive Losses: 8
- Number Losing Trades: 163
- Gain/Pain Ratio: -1.09
- Gain/Pain (1M): 1.43
- Payoff Ratio: 0.92
- Common Sense Ratio: 1.43
- Tail Ratio: 0.93
- Outlier Win Ratio: 3.70
- Outlier Loss Ratio: 2.28
- Recovery Factor: 0.00
- Ulcer Index: 0.00
- Serenity Index: 4.20
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 | 677.79% |
CAGR | 19.00% |
Sharpe Ratio | 0.353 |
Profit Factor | 1.381 |
Maximum Drawdown | 63.23% |
Volatility (Annualized) | 22.00% |
The strategy has achieved a net profit of 677.79% over the testing period, with a compound annual growth rate (CAGR) of 19.00%. The profit factor of 1.381 indicates profitability, meaning that the strategy earns $1.381 for every $1 lost. However, the Sharpe Ratio of 0.353 indicates that the risk-adjusted returns could be improved. Furthermore, the maximum drawdown of 63.23% exceeds the acceptable threshold, suggesting potential vulnerabilities during turbulent market conditions.
Strategy Viability
Based on the data provided, the strategy demonstrates the ability to generate significant profits; however, it requires improvements in risk-adjusted metrics to be viable for real-world trading. The strategy outperforms its buy & hold return of 610.75%, which showcases its potential. Yet, addressing the high drawdown and improving the Sharpe Ratio is crucial. It's important to analyze under which market conditions the strategy thrives and ensure those conditions are likely to continue.
Risk Management
The risk management approach of the strategy can benefit from refinement. The high drawdown indicates room for improvement. Key areas to enhance include:
- Reducing leverage to lower the potential for substantial drawdowns.
- Implementing stricter stop-loss techniques to defend against adverse market movements.
- Diversifying trades to spread risk across different assets.
Improvement Suggestions
To further enhance the strategy’s performance and robustness, consider the following recommendations:
- Optimize strategy parameters to improve Sharpe Ratio and reduce drawdowns.
- Incorporate additional technical indicators and data analysis techniques to refine trade execution.
- Conduct stress tests and scenario analyses to prepare for future market disturbances.
- Use less leverage to decrease max drawdown, increasing the strategy's resilience.
Final Opinion
In summary, the strategy exhibits strong profit potential, but significant improvements are necessary in risk management and risk-adjusted performance. The aspiration should be to reduce the drawdown and enhance the Sharpe Ratio to make the strategy more robust across varying market conditions.
Recommendation: Continue to refine and test the strategy. Focus on risk management improvements and conduct thorough backtesting under different market scenarios to ensure its adaptability and robustness in real-world applications.
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 | 2.74% | 2.35% | -14.34% | 9.31% | 5.43% | 2.42% | -0.06% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 7.29% | 6.27% | -1.59% | 4.35% | -3.50% | -2.25% | 1.28% | 6.16% | 1.37% | 4.56% | -1.00% | 10.70% |
2022 | 41.57% | 19.19% | 1.68% | 3.29% | 15.90% | 8.64% | 24.53% | 7.15% | 2.23% | -3.12% | 3.75% | -2.85% |
2021 | 25.13% | 14.72% | 0.46% | -31.59% | -25.81% | -7.77% | 7.26% | 30.89% | 10.59% | 4.76% | 13.80% | -8.93% |
2020 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 18.84% | 38.00% |
Live Trades Stats
ETH
Base Currency
105
Number of Trades
13.34%
Cumulative Returns
57.14%
Win Rate
2024-02-14
🟠 Incubation started
🛡️
7 Days
0.87%
30 Days
11.3%
60 Days
8.31%
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 | 709.11 USD | 590.93 | 461.89 USD | 384.91 | 247.22 USD | 206.02 |
Gross Profit | 2,236.52 | 1,863.77 | 1,035.56 | 862.97 | 1,200.96 | 1,000.80 |
Gross Loss | 1,527.41 | 1,272.84 | 573.67 | 478.06 | 953.74 | 794.79 |
Max Run-up | 774.06 | 90.41 | ||||
Max Drawdown | 175.35 | 63.23 | ||||
Buy & Hold Return | 704.06 | 586.72 | ||||
Sharpe Ratio | 0.396 | |||||
Sortino Ratio | 0.839 | |||||
Profit Factor | 1.464 | 1.805 | 1.259 | |||
Max Contracts Held | 2 | 2 | 2 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 147.99 | 72.70 | 75.29 | |||
Total Closed Trades | 309 | 149 | 160 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 191 | 99 | 92 | |||
Number Losing Trades | 118 | 50 | 68 | |||
Percent Profitable | 61.81 | 66.44 | 57.50 | |||
Avg Trade | 2.29 | 0.38 | 3.10 | 0.51 | 1.55 | 0.26 |
Avg Winning Trade | 11.71 | 1.96 | 10.46 | 1.72 | 13.05 | 2.22 |
Avg Losing Trade | 12.94 | 2.17 | 11.47 | 1.88 | 14.03 | 2.39 |
Ratio Avg Win / Avg Loss | 0.905 | 0.912 | 0.931 | |||
Largest Winning Trade | 33.66 | 5.63 | 32.38 | 5.26 | 33.66 | 5.63 |
Largest Losing Trade | 31.69 | 5.85 | 22.04 | 3.62 | 31.69 | 5.85 |
Avg # Bars in Trades | 12 | 13 | 12 | |||
Avg # Bars in Winning Trades | 11 | 12 | 11 | |||
Avg # Bars in Losing Trades | 14 | 16 | 13 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 813.35 USD | 677.79 | 516.56 USD | 430.47 | 296.79 USD | 247.33 |
Gross Profit | 2,947.70 | 2,456.42 | 1,262.49 | 1,052.08 | 1,685.21 | 1,404.34 |
Gross Loss | 2,134.35 | 1,778.63 | 745.93 | 621.61 | 1,388.42 | 1,157.02 |
Max Run-up | 901.35 | 91.65 | ||||
Max Drawdown | 175.35 | 63.23 | ||||
Buy & Hold Return | 717.18 | 597.65 | ||||
Sharpe Ratio | 0.353 | |||||
Sortino Ratio | 0.737 | |||||
Profit Factor | 1.381 | 1.693 | 1.214 | |||
Max Contracts Held | 2 | 2 | 2 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 198.18 | 92.17 | 106.01 | |||
Total Closed Trades | 414 | 189 | 225 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 251 | 123 | 128 | |||
Number Losing Trades | 163 | 66 | 97 | |||
Percent Profitable | 60.63 | 65.08 | 56.89 | |||
Avg Trade | 1.96 | 0.32 | 2.73 | 0.45 | 1.32 | 0.22 |
Avg Winning Trade | 11.74 | 1.96 | 10.26 | 1.68 | 13.17 | 2.23 |
Avg Losing Trade | 13.09 | 2.20 | 11.30 | 1.85 | 14.31 | 2.43 |
Ratio Avg Win / Avg Loss | 0.897 | 0.908 | 0.92 | |||
Largest Winning Trade | 62.61 | 10.56 | 32.38 | 5.26 | 62.61 | 10.56 |
Largest Losing Trade | 31.69 | 5.85 | 22.41 | 3.62 | 31.69 | 5.85 |
Avg # Bars in Trades | 12 | 13 | 11 | |||
Avg # Bars in Winning Trades | 11 | 12 | 10 | |||
Avg # Bars in Losing Trades | 13 | 14 | 12 | |||
Margin Calls | 0 | 0 | 0 |
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