MACD Liquidity Spectrum by @DaviddTech 🤖 [c693c98d]
🛡️ MACDLIQUIDITYSPECTRUM BTCUSDT 1H 04.06
@mrdavetrading
⌛1 hour
⚪️ Deep Backtest
Last updated: 7 minutes agoTrades per Day
Key Performance Metrics
- First Traded Date: 2020-04-02 00:00:00
- Sharpe Ratio: 0.39
- Sortino Ratio: 0.75
- Calmar: -1.60
- Longest DD Days: 41.00
- Volatility: 78.70
- Skew: 0.06
- Kurtosis: -1.71
- Expected Daily: 1.00
- Expected Monthly: 23.36
- Expected Yearly: 1,141.43
- Kelly Criterion: 11.48
- Daily Value-at-Risk: -5.12
- Expected Shortfall (cVaR): -5.18
- Last Trade Date: 2025-02-03 02:00:00
- Max Consecutive Wins: 6
- Number Winning Trades 130
- Max Consecutive Losses: 11
- Number Losing Trades: 121
- Gain/Pain Ratio: -1.60
- Gain/Pain (1M): 1.29
- Payoff Ratio: 1.22
- Common Sense Ratio: 1.29
- Tail Ratio: 1.46
- Outlier Win Ratio: 0.00
- Outlier Loss Ratio: 0.00
- Recovery Factor: 0.00
- Ulcer Index: 0.13
- Serenity Index: 14.75
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 | 759.34% |
Annualized Return (CAGR %) | 55.91% |
Sharpe Ratio | 0.392 |
Profit Factor | 1.326 |
Maximum Drawdown | 35.23% |
Volatility (Annualized) | 78.7% |
The strategy has generated a notable net profit of 759.34% and an annualized return of 55.91%, indicating substantial growth over the trading period. The Sharpe ratio of 0.392 suggests room for improvement in the risk-adjusted return. The maximum drawdown of 35.23% is below the acceptable threshold of 40%, indicating an effective risk control, but volatility remains high at 78.7%.
Strategy Viability
Based on the data provided, the strategy appears viable for real-world trading under the observed conditions. It demonstrates positive growth with a good balance between risk and reward, as shown by a Maximum Drawdown below 40%. The Sharpe ratio, though slightly below the desired threshold, indicates potential that could be unlocked with fine-tuning. Continued viability will, however, depend on stabilized market conditions and ongoing adjustments to the strategy for enhanced performance.
Risk Management
The strategy employs effective risk management techniques with a well-controlled maximum drawdown and a respectable gain/pain ratio of 1.29. Nonetheless, managing volatility is crucial to further strengthen the strategy’s risk profile. Potential improvements could include:
- Implementing more conservative leverage to potentially reduce drawdown and volatility.
- Incorporating more rigorous stop-loss mechanisms to preserve capital.
- Exploring asset diversification to hedge against market-specific volatilities.
Improvement Suggestions
To further enhance the strategy’s performance and robustness, consider the following recommendations:
- Refine strategy parameters to bolster the Sharpe ratio and ensure sustainable returns.
- Diversify technical indicators to refine trade timing and improve decision accuracy.
- Conduct extensive backtesting across various market cycles to validate the strategy's resilient performance.
- Strengthen the risk management framework with advanced risk metrics and scenario analysis.
Final Opinion
In summary, the strategy demonstrates strong performance with a solid net profit gain and manageable drawdown levels. While the Sharpe ratio could be improved, there are promising indications of effective risk management and profitability. With targeted improvements and comprehensive testing, this strategy could achieve even greater robustness and adaptability in varied market conditions.
Recommendation: Proceed with further testing and enhancement of the strategy. Implement the suggested improvements to optimize performance and risk management, focusing on improving the Sharpe ratio and achieving better returns in consonance with risk.
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 | 3.21% | 25.95% | 2.35% | -15.34% | -2.08% | 6.46% | 0.71% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 10.43% | 5.43% | 17.49% | -5.46% | 6.42% | 0.75% | 0.00% | -14.24% | -0.64% | 10.28% | 11.23% | 4.57% |
2022 | 13.65% | 4.34% | 11.37% | 1.53% | 18.47% | 17.04% | 2.48% | 1.79% | 7.63% | -0.22% | 8.66% | 1.52% |
2021 | 12.21% | 24.68% | -0.22% | 1.69% | 15.99% | 16.86% | -5.05% | 1.91% | -2.84% | 5.14% | 20.41% | -7.93% |
2020 | 0.00% | 0.00% | 0.00% | 4.62% | -14.34% | -13.19% | 0.15% | 11.13% | -9.20% | 2.44% | 20.85% | 13.36% |
Live Trades Stats
BTC
Base Currency
34
Number of Trades
-0.73%
Cumulative Returns
38.24%
Win Rate
2024-06-04
🟠 Incubation started
🛡️
7 Days
-9.07%
30 Days
-44.74%
60 Days
-30.16%
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 | 803,633.68 USD | 803.63 | 556,311.75 USD | 556.31 | 247,321.93 USD | 247.32 |
Gross Profit | 2,280,599.57 | 2,280.60 | 1,316,751.44 | 1,316.75 | 963,848.13 | 963.85 |
Gross Loss | 1,476,965.89 | 1,476.97 | 760,439.69 | 760.44 | 716,526.20 | 716.53 |
Max Run-up | 1,113,939.53 | 93.99 | ||||
Max Drawdown | 280,792.12 | 32.03 | ||||
Buy & Hold Return | 1,010,974.33 | 1,010.97 | ||||
Sharpe Ratio | 0.466 | |||||
Sortino Ratio | 1.058 | |||||
Profit Factor | 1.544 | 1.732 | 1.345 | |||
Max Contracts Held | 33 | 31 | 33 | |||
Open PL | −8,501.07 | −0.94 | ||||
Commission Paid | 65,998.14 | 36,293.97 | 29,704.17 | |||
Total Closed Trades | 218 | 113 | 105 | |||
Total Open Trades | 1 | 1 | 0 | |||
Number Winning Trades | 117 | 62 | 55 | |||
Number Losing Trades | 101 | 51 | 50 | |||
Percent Profitable | 53.67 | 54.87 | 52.38 | |||
Avg Trade | 3,686.39 | 1.13 | 4,923.11 | 1.21 | 2,355.45 | 1.05 |
Avg Winning Trade | 19,492.30 | 5.42 | 21,237.93 | 5.35 | 17,524.51 | 5.50 |
Avg Losing Trade | 14,623.42 | 3.83 | 14,910.58 | 3.82 | 14,330.52 | 3.85 |
Ratio Avg Win / Avg Loss | 1.333 | 1.424 | 1.223 | |||
Largest Winning Trade | 80,173.98 | 7.42 | 80,173.98 | 7.41 | 46,801.93 | 7.42 |
Largest Losing Trade | 59,386.97 | 5.08 | 59,386.97 | 5.08 | 49,745.90 | 5.08 |
Avg # Bars in Trades | 69 | 85 | 53 | |||
Avg # Bars in Winning Trades | 68 | 86 | 49 | |||
Avg # Bars in Losing Trades | 71 | 84 | 57 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 759,342.48 USD | 759.34 | 502,967.66 USD | 502.97 | 256,374.83 USD | 256.37 |
Gross Profit | 3,089,894.27 | 3,089.89 | 1,729,732.05 | 1,729.73 | 1,360,162.22 | 1,360.16 |
Gross Loss | 2,330,551.79 | 2,330.55 | 1,226,764.39 | 1,226.76 | 1,103,787.39 | 1,103.79 |
Max Run-up | 1,205,041.10 | 94.42 | ||||
Max Drawdown | 445,728.32 | 35.23 | ||||
Buy & Hold Return | 1,456,411.54 | 1,456.41 | ||||
Sharpe Ratio | 0.391 | |||||
Sortino Ratio | 0.75 | |||||
Profit Factor | 1.326 | 1.41 | 1.232 | |||
Max Contracts Held | 33 | 31 | 33 | |||
Open PL | 1,139.55 | 0.13 | ||||
Commission Paid | 93,040.01 | 50,466.32 | 42,573.69 | |||
Total Closed Trades | 251 | 130 | 121 | |||
Total Open Trades | 1 | 0 | 1 | |||
Number Winning Trades | 130 | 68 | 62 | |||
Number Losing Trades | 121 | 62 | 59 | |||
Percent Profitable | 51.79 | 52.31 | 51.24 | |||
Avg Trade | 3,025.27 | 0.98 | 3,868.98 | 1.01 | 2,118.80 | 0.95 |
Avg Winning Trade | 23,768.42 | 5.50 | 25,437.24 | 5.45 | 21,938.10 | 5.56 |
Avg Losing Trade | 19,260.76 | 3.88 | 19,786.52 | 3.85 | 18,708.26 | 3.90 |
Ratio Avg Win / Avg Loss | 1.234 | 1.286 | 1.173 | |||
Largest Winning Trade | 87,771.40 | 7.42 | 87,771.40 | 7.41 | 68,415.19 | 7.42 |
Largest Losing Trade | 61,503.15 | 5.08 | 61,503.15 | 5.08 | 53,665.97 | 5.08 |
Avg # Bars in Trades | 72 | 88 | 54 | |||
Avg # Bars in Winning Trades | 73 | 92 | 52 | |||
Avg # Bars in Losing Trades | 70 | 84 | 56 | |||
Margin Calls | 0 | 0 | 0 |
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