🚀 Heiken-Ashi CE LSMA [v5.1] by @DaviddTech 🤖 [a1164b62]
🛡️ HACELSMAV5.1 BTCUSDT 15M 28.05
@reid
⌛15 minutes
⚪️ Deep Backtest
Last updated: 1 hour agoTrades per Day
Key Performance Metrics
- First Traded Date: 2020-04-03 03:00:00
- Sharpe Ratio: 0.30
- Sortino Ratio: 1.04
- Calmar: -1.60
- Longest DD Days: 159.00
- Volatility: 122.27
- Skew: 2.27
- Kurtosis: 13.83
- Expected Daily: 1.00
- Expected Monthly: 23.16
- Expected Yearly: 1,118.14
- Kelly Criterion: 11.59
- Daily Value-at-Risk: -6.37
- Expected Shortfall (cVaR): -12.76
- Last Trade Date: 2025-02-11 08:30:00
- Max Consecutive Wins: 5
- Number Winning Trades 171
- Max Consecutive Losses: 9
- Number Losing Trades: 258
- Gain/Pain Ratio: -1.60
- Gain/Pain (1M): 1.41
- Payoff Ratio: 2.13
- Common Sense Ratio: 1.41
- Tail Ratio: 1.78
- Outlier Win Ratio: 4.07
- Outlier Loss Ratio: 7.49
- Recovery Factor: 0.00
- Ulcer Index: 0.13
- Serenity Index: 24.97
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, several performance metrics stand out that merit consideration:
Metric | Value |
---|---|
Net Profit | 1888.82% |
Annualized Return (CAGR %) | 84.93% |
Sharpe Ratio | 0.295 |
Profit Factor | 1.41 |
Maximum Drawdown | -60.6% |
Volatility (Annualized) | 122.27% |
The strategy demonstrates a significant net profit of 1888.82% and a respectable annualized return of 84.93%. While the profit factor of 1.41 suggests that the strategy is profitable, the Sharpe ratio of 0.295 is below the desired threshold of 0.5 for crypto trading, indicating room for improvement in risk-adjusted returns. Additionally, a maximum drawdown of -60.6% exceeds the preferable limit of 40%, suggesting potential risk concerns.
Strategy Viability
The strategy displays substantial profit potential, but the risk metrics, particularly the high drawdown and low Sharpe ratio, raise concerns about its viability in real-world trading. The strategy may be opportunistic in highly volatile market conditions. It's essential to compare its performance against benchmarks and similar strategies to contextualize these results.
Risk Management
The current risk management approach shows weaknesses, especially given the maximum drawdown of -60.6%. Suggestions for enhancing risk management include:
- Reducing leverage to decrease the maximum drawdown and overall volatility.
- Implementing stricter stop-loss mechanisms to mitigate significant losses.
- Adopting dynamic position sizing to adapt to market volatility, thus containing risk exposure.
Improvement Suggestions
To elevate the strategy’s performance and robustness, consider the following improvements:
- Optimize the strategy's parameters to strike a balance between risk and return effectively.
- Incorporate additional technical indicators to enhance entry and exit precision.
- Conduct comprehensive out-of-sample testing to assess the strategy under varied market conditions.
- Refine the risk management framework, perhaps by employing advanced methods like Value-at-Risk (VaR) or stress testing.
- Decrease leverage usage, which can help in minimizing dramatic drawdowns and align the strategy with a more balanced risk profile.
Final Opinion
In summary, the strategy shows significant profit potential but is hampered by high risk factors, evident in the low Sharpe ratio and excessive drawdown. These issues require attention to make the strategy viable for real-world implementation.
Recommendation: Prioritize improvements in risk management and parameter optimization to enhance the strategy's robustness. Proceed with cautious further testing and refinement before considering real-world application. Implement the outlined improvements to better handle market volatility and reduce drawdown risks.
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 | 15.82% | 7.15% | 0.62% | 3.35% | 10.70% | -1.69% | -1.25% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 13.06% | -8.63% | 0.31% | 7.78% | -6.63% | 14.41% | -4.86% | 8.04% | 10.63% | 12.08% | 2.55% | 12.09% |
2022 | -5.90% | 6.07% | -16.95% | 1.54% | 3.80% | 0.71% | -8.86% | 1.58% | -15.39% | 20.59% | 7.01% | 8.72% |
2021 | -20.96% | 45.66% | -0.13% | 10.27% | 4.76% | -12.11% | 25.00% | 0.35% | 14.51% | 5.17% | -2.16% | 5.95% |
2020 | 0.00% | 0.00% | 0.00% | 68.81% | -2.53% | -10.49% | 106.67% | 7.28% | 12.54% | 21.94% | 41.94% | -5.94% |
Live Trades Stats
BTC
Base Currency
58
Number of Trades
-1.07%
Cumulative Returns
31.03%
Win Rate
2024-05-28
🟠 Incubation started
🛡️
7 Days
-0.37%
30 Days
13.88%
60 Days
-0.03%
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 | 1,920,255.46 USD | 1,920.26 | 1,687,297.17 USD | 1,687.30 | 232,958.29 USD | 232.96 |
Gross Profit | 5,845,846.12 | 5,845.85 | 5,544,914.70 | 5,544.91 | 300,931.42 | 300.93 |
Gross Loss | 3,925,590.66 | 3,925.59 | 3,857,617.53 | 3,857.62 | 67,973.13 | 67.97 |
Max Run-up | 2,004,210.31 | 96.53 | ||||
Max Drawdown | 439,520.35 | 60.60 | ||||
Buy & Hold Return | 886,564.25 | 886.56 | ||||
Sharpe Ratio | 0.325 | |||||
Sortino Ratio | 1.15 | |||||
Profit Factor | 1.489 | 1.437 | 4.427 | |||
Max Contracts Held | 366 | 366 | 131 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 744,419.19 | 720,555.62 | 23,863.57 | |||
Total Closed Trades | 371 | 359 | 12 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 153 | 145 | 8 | |||
Number Losing Trades | 218 | 214 | 4 | |||
Percent Profitable | 41.24 | 40.39 | 66.67 | |||
Avg Trade | 5,175.89 | 0.21 | 4,699.99 | 0.19 | 19,413.19 | 0.78 |
Avg Winning Trade | 38,208.14 | 1.53 | 38,240.79 | 1.53 | 37,616.43 | 1.51 |
Avg Losing Trade | 18,007.30 | 0.72 | 18,026.25 | 0.72 | 16,993.28 | 0.68 |
Ratio Avg Win / Avg Loss | 2.122 | 2.121 | 2.214 | |||
Largest Winning Trade | 65,874.30 | 2.67 | 65,874.30 | 2.67 | 38,131.03 | 1.52 |
Largest Losing Trade | 135,852.04 | 5.32 | 135,852.04 | 5.32 | 17,019.83 | 0.68 |
Avg # Bars in Trades | 15 | 15 | 14 | |||
Avg # Bars in Winning Trades | 20 | 20 | 10 | |||
Avg # Bars in Losing Trades | 12 | 12 | 20 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 1,888,818.25 USD | 1,888.82 | 1,613,765.45 USD | 1,613.77 | 275,052.80 USD | 275.05 |
Gross Profit | 6,498,140.16 | 6,498.14 | 6,121,355.68 | 6,121.36 | 376,784.48 | 376.78 |
Gross Loss | 4,609,321.91 | 4,609.32 | 4,507,590.23 | 4,507.59 | 101,731.68 | 101.73 |
Max Run-up | 2,005,629.59 | 96.54 | ||||
Max Drawdown | 439,520.35 | 60.60 | ||||
Buy & Hold Return | 1,295,246.86 | 1,295.25 | ||||
Sharpe Ratio | 0.295 | |||||
Sortino Ratio | 1.043 | |||||
Profit Factor | 1.41 | 1.358 | 3.704 | |||
Max Contracts Held | 366 | 366 | 131 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 860,566.51 | 828,762.69 | 31,803.82 | |||
Total Closed Trades | 429 | 413 | 16 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 171 | 161 | 10 | |||
Number Losing Trades | 258 | 252 | 6 | |||
Percent Profitable | 39.86 | 38.98 | 62.50 | |||
Avg Trade | 4,402.84 | 0.18 | 3,907.42 | 0.16 | 17,190.80 | 0.69 |
Avg Winning Trade | 38,000.82 | 1.52 | 38,020.84 | 1.52 | 37,678.45 | 1.51 |
Avg Losing Trade | 17,865.59 | 0.71 | 17,887.26 | 0.71 | 16,955.28 | 0.68 |
Ratio Avg Win / Avg Loss | 2.127 | 2.126 | 2.222 | |||
Largest Winning Trade | 65,874.30 | 2.67 | 65,874.30 | 2.67 | 38,131.03 | 1.52 |
Largest Losing Trade | 135,852.04 | 5.32 | 135,852.04 | 5.32 | 17,019.83 | 0.68 |
Avg # Bars in Trades | 15 | 16 | 12 | |||
Avg # Bars in Winning Trades | 20 | 20 | 10 | |||
Avg # Bars in Losing Trades | 13 | 12 | 15 | |||
Margin Calls | 0 | 0 | 0 |
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