Michonne [v5] by @DavidTech 🧠 by @DaviddTech 🤖 [c91aef64]
🛡️ MICHONNE BTC 89M
@Igorek
⌛89 minutes
⚪️ Deep Backtest
Last updated: 29 minutes agoTrades per Day
Key Performance Metrics
- First Traded Date: 2020-04-23 14:21:00
- Sharpe Ratio: 0.46
- Sortino Ratio: 1.46
- Calmar: -2.24
- Longest DD Days: 43.00
- Volatility: 74.20
- Skew: -0.14
- Kurtosis: -1.48
- Expected Daily: 1.16
- Expected Monthly: 27.28
- Expected Yearly: 1,708.02
- Kelly Criterion: 15.56
- Daily Value-at-Risk: -5.64
- Expected Shortfall (cVaR): -6.35
- Last Trade Date: 2025-02-03 14:50:00
- Max Consecutive Wins: 8
- Number Winning Trades 140
- Max Consecutive Losses: 5
- Number Losing Trades: 103
- Gain/Pain Ratio: -2.24
- Gain/Pain (1M): 1.37
- Payoff Ratio: 1.01
- Common Sense Ratio: 1.37
- Tail Ratio: 1.37
- Outlier Win Ratio: 0.00
- Outlier Loss Ratio: 0.00
- Recovery Factor: 0.00
- Ulcer Index: 0.09
- Serenity Index: 37.63
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, several performance metrics provide valuable insights into the strategy's current efficacy:
Metric | Strategy |
---|---|
Cumulative Return | 1190.37% |
Annualized Return (CAGR %) | 70.63% |
Sharpe Ratio | 0.462 |
Profit Factor | 1.37 |
Maximum Drawdown | 33.05% |
Volatility (Annualized) | 74.2% |
The strategy delivers notable returns with a cumulative gain of 1190.37% and a consistent annualized return of 70.63%. Although the Sharpe Ratio is slightly below 0.5, it reflects a relatively balanced risk-adjusted performance. The maximum drawdown of 33.05% is below the industry caution mark of 40%, indicating manageable risk exposure.
Strategy Viability
This strategy is potentially viable for real-world trading environments given its favorable maximum drawdown and positive risk-return profile. Its performance is strong across various metrics, though it's important to address the slight lag in the Sharpe Ratio, which may indicate potential volatility challenges. Monitoring market conditions under which this strategy excels is advisable, as adapting to persistent trends could enhance profitability.
Risk Management
The strategy implements decent risk control measures, evidenced by its maximum drawdown management. Some areas for potential refinements include:
- Adjusting leverage to decrease volatility impact and further reduce drawdown.
- Enhancing stop-loss mechanisms to shield against larger market swings.
- Employing more dynamic position sizing techniques, potentially increasing gains without amplifying risk.
Improvement Suggestions
To sharpen the strategy’s edge and robustness, consider exploring the following improvements:
- Reassess the strategy parameters for optimization that balances returns while reducing exposure to drawdowns.
- Incorporate diverse technical indicators to fine-tune trade signals, elevating entry and exit strategies.
- Implement comprehensive backtesting, including out-of-sample testing, to ensure strategy stability over diverse market conditions.
- Strengthen the risk management framework with advanced tools like Value-at-Risk (VaR) to analyze potential future risks.
Final Opinion
In summary, the trading strategy demonstrates a strong performance record with impressive returns and an acceptable drawdown. While risk-adjusted metrics like the Sharpe Ratio could be improved, the strategy possesses significant potential with further refinements in both risk management and parameter optimization.
Recommendation: Continue the development and refinement of the strategy, focusing on the suggested optimizations, to reinforce its performance and risk management capabilities. Emphasize testing under various market conditions to ensure durability and flexibility in the face of market volatility.
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 | -7.84% | 12.42% | 12.37% | 0.21% | 3.68% | -3.55% | -3.36% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 11.90% | 0.63% | 26.20% | 5.61% | -6.95% | 14.91% | -3.86% | -2.44% | -4.65% | 29.43% | -3.82% | -0.39% |
2022 | 0.80% | 6.20% | 5.35% | 4.05% | 5.72% | -3.92% | 9.78% | 0.34% | 5.76% | 0.91% | 8.97% | 5.74% |
2021 | 0.00% | 17.39% | 7.49% | 7.69% | 6.41% | -3.75% | -0.14% | 0.70% | -0.04% | 26.55% | 4.51% | 1.50% |
2020 | 0.00% | 0.00% | 0.00% | 28.31% | -2.75% | 8.76% | 8.34% | -10.95% | 3.14% | 22.74% | 10.69% | 18.91% |
Live Trades Stats
BTC
Base Currency
49
Number of Trades
-5.32%
Cumulative Returns
42.86%
Win Rate
2024-03-16
🟠 Incubation started
🛡️
7 Days
-15.82%
30 Days
-36.98%
60 Days
-15.42%
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 | 1,333,723.86 USD | 1,333.72 | 1,080,005.62 USD | 1,080.01 | 253,718.25 USD | 253.72 |
Gross Profit | 2,996,695.00 | 2,996.70 | 2,686,364.21 | 2,686.36 | 310,330.79 | 310.33 |
Gross Loss | 1,662,971.14 | 1,662.97 | 1,606,358.60 | 1,606.36 | 56,612.54 | 56.61 |
Max Run-up | 1,462,151.10 | 93.60 | ||||
Max Drawdown | 263,106.67 | 19.40 | ||||
Buy & Hold Return | 826,580.93 | 826.58 | ||||
Sharpe Ratio | 0.588 | |||||
Sortino Ratio | 2.235 | |||||
Profit Factor | 1.802 | 1.672 | 5.482 | |||
Max Contracts Held | 69 | 69 | 53 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 149,580.46 | 137,545.44 | 12,035.02 | |||
Total Closed Trades | 194 | 173 | 21 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 119 | 103 | 16 | |||
Number Losing Trades | 75 | 70 | 5 | |||
Percent Profitable | 61.34 | 59.54 | 76.19 | |||
Avg Trade | 6,874.87 | 0.89 | 6,242.81 | 0.83 | 12,081.82 | 1.40 |
Avg Winning Trade | 25,182.31 | 2.85 | 26,081.21 | 2.89 | 19,395.67 | 2.61 |
Avg Losing Trade | 22,172.95 | 2.23 | 22,947.98 | 2.21 | 11,322.51 | 2.45 |
Ratio Avg Win / Avg Loss | 1.136 | 1.137 | 1.713 | |||
Largest Winning Trade | 99,275.77 | 4.97 | 99,275.77 | 4.97 | 37,362.99 | 4.75 |
Largest Losing Trade | 79,881.41 | 3.95 | 79,881.41 | 3.95 | 27,562.30 | 3.85 |
Avg # Bars in Trades | 20 | 19 | 27 | |||
Avg # Bars in Winning Trades | 21 | 19 | 30 | |||
Avg # Bars in Losing Trades | 19 | 19 | 19 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 1,190,372.89 USD | 1,190.37 | 1,118,842.18 USD | 1,118.84 | 71,530.72 USD | 71.53 |
Gross Profit | 4,424,446.33 | 4,424.45 | 3,942,586.84 | 3,942.59 | 481,859.49 | 481.86 |
Gross Loss | 3,234,073.44 | 3,234.07 | 2,823,744.66 | 2,823.74 | 410,328.78 | 410.33 |
Max Run-up | 1,532,887.31 | 93.88 | ||||
Max Drawdown | 531,611.07 | 33.05 | ||||
Buy & Hold Return | 1,264,100.46 | 1,264.10 | ||||
Sharpe Ratio | 0.462 | |||||
Sortino Ratio | 1.459 | |||||
Profit Factor | 1.368 | 1.396 | 1.174 | |||
Max Contracts Held | 69 | 69 | 53 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 239,158.35 | 212,760.61 | 26,397.74 | |||
Total Closed Trades | 243 | 212 | 31 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 140 | 121 | 19 | |||
Number Losing Trades | 103 | 91 | 12 | |||
Percent Profitable | 57.61 | 57.08 | 61.29 | |||
Avg Trade | 4,898.65 | 0.68 | 5,277.56 | 0.69 | 2,307.44 | 0.62 |
Avg Winning Trade | 31,603.19 | 2.87 | 32,583.36 | 2.90 | 25,361.03 | 2.70 |
Avg Losing Trade | 31,398.77 | 2.30 | 31,030.16 | 2.25 | 34,194.06 | 2.68 |
Ratio Avg Win / Avg Loss | 1.007 | 1.05 | 0.742 | |||
Largest Winning Trade | 123,821.28 | 4.98 | 123,821.28 | 4.98 | 67,621.10 | 4.75 |
Largest Losing Trade | 92,730.80 | 3.95 | 92,730.80 | 3.95 | 58,338.80 | 3.85 |
Avg # Bars in Trades | 22 | 21 | 27 | |||
Avg # Bars in Winning Trades | 22 | 21 | 30 | |||
Avg # Bars in Losing Trades | 22 | 22 | 23 | |||
Margin Calls | 0 | 0 | 0 |
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