THE DEAD ZONE [v5] by @DavidTech 🧠 by @DaviddTech 🤖 [a87051e3]
🛡️ TDZV5 ETHUSDT 15M 02.07
@roldonio
⌛15 minutes
⚪️ Deep Backtest
Last updated: 30 minutes agoTrades per Day
Key Performance Metrics
- First Traded Date: 2020-10-21 22:45:00
- Sharpe Ratio: 0.22
- Sortino Ratio: 0.53
- Calmar: -0.14
- Longest DD Days: 770.00
- Volatility: 138.67
- Skew: 1.25
- Kurtosis: 11.97
- Expected Daily: 0.40
- Expected Monthly: 8.77
- Expected Yearly: 174.27
- Kelly Criterion: 0.22
- Daily Value-at-Risk: -10.14
- Expected Shortfall (cVaR): -10.55
- Last Trade Date: 2025-02-13 06:45:00
- Max Consecutive Wins: 7
- Number Winning Trades 797
- Max Consecutive Losses: 9
- Number Losing Trades: 890
- Gain/Pain Ratio: -0.14
- Gain/Pain (1M): 1.00
- Payoff Ratio: 1.12
- Common Sense Ratio: 1.00
- Tail Ratio: 1.18
- Outlier Win Ratio: 5.31
- Outlier Loss Ratio: 2.51
- Recovery Factor: 0.00
- Ulcer Index: 0.61
- Serenity Index: 0.09
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, several performance metrics stand out that merit attention:
Metric | Strategy |
---|---|
CAGR | 13.5% |
Sharpe Ratio | 0.224 |
Sortino Ratio | 0.526 |
Profit Factor | 1.003 |
Maximum Drawdown | -96.79% |
Volatility (Annualized) | 138.7% |
Percent Profitable | 47.24% |
The strategy exhibits a modest CAGR of 13.5%, indicating some positive returns over the trading period. However, the Sharpe ratio of 0.224 suggests the need for improvement in risk-adjusted performance. While the Sortino ratio is slightly better at 0.526, it is still below ideal levels for crypto trading scenarios. The Profit Factor barely exceeds 1, indicating a breakeven scenario on the reward-to-risk front. The Maximum Drawdown of -96.79% is a significant concern, indicating poor risk management and exposure to extreme volatility.
Strategy Viability
Based on the provided data, this strategy faces challenges that limit its current viability in real-world trading, especially under volatile market conditions. The extreme drawdown and low risk-adjusted returns suggest that it might underperform compared to industry benchmarks or similar strategies. However, the strategy has potential if certain key areas are addressed and refined. With proper optimization and a focus on controlling drawdown, this strategy could be improved significantly.
Risk Management
The current strategy's risk management approach needs substantial enhancements. Key areas of improvement include:
- Addressing the high Maximum Drawdown by reducing leverage and recalibrating position sizing strategies.
- Implementing stricter stop-loss mechanisms to prevent extensive losses during downturns.
- Reducing volatility through diversification or incorporating hedging techniques.
Improvement Suggestions
To enhance the strategy's performance and robustness, consider the following recommendations:
- Optimize strategy parameters to improve returns while keeping drawdowns low.
- Integrate additional technical indicators to refine entry and exit points.
- Conduct out-of-sample testing and forward-testing to validate the strategy’s robustness across different market conditions.
- Improve the risk management framework by using simulation techniques like Monte Carlo testing to stress-test the strategy under adverse market conditions.
Final Opinion
In summary, while the strategy demonstrates some strengths with a CAGR of 13.5%, it faces significant challenges due to its high drawdown and low risk-adjusted returns. These areas must be addressed for the strategy to be viable in real-world trading scenarios. The high volatility and suboptimal risk management indicate the importance of optimization and testing under various market conditions.
Recommendation: Proceed with cautious optimization and extensive testing of the strategy. Implement the suggested improvements, especially focusing on reducing drawdown and managing volatility, to adapt the strategy for more robust 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 | 89.33% | -68.47% | -0.41% | 131.98% | 43.46% | 43.94% | 25.35% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 2.98% | 13.35% | 39.74% | -41.69% | -56.24% | -47.21% | -38.98% | 145.16% | -40.35% | -36.51% | -67.69% | 95.64% |
2022 | 9.84% | -4.94% | -41.14% | 60.19% | -33.30% | 43.88% | 34.23% | 35.63% | 23.90% | 31.78% | 16.95% | -4.47% |
2021 | 48.98% | -2.00% | 48.45% | -50.16% | 32.04% | 34.55% | 92.68% | -47.37% | 41.64% | -35.26% | 37.81% | 0.68% |
2020 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -14.52% | 51.19% | 43.50% |
Live Trades Stats
ETH
Base Currency
218
Number of Trades
13.91%
Cumulative Returns
46.33%
Win Rate
2024-07-02
🟠 Incubation started
🛡️
7 Days
-17.61%
30 Days
4.5%
60 Days
-102.54%
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 | 251,563.47 USD | 251.56 | 686,843.49 USD | 686.84 | −435,280.01 USD | −435.28 |
Gross Profit | 17,763,953.39 | 17,763.95 | 9,517,500.08 | 9,517.50 | 8,246,453.31 | 8,246.45 |
Gross Loss | 17,512,389.92 | 17,512.39 | 8,830,656.59 | 8,830.66 | 8,681,733.33 | 8,681.73 |
Max Run-up | 963,176.04 | 93.52 | ||||
Max Drawdown | 931,974.68 | 96.79 | ||||
Buy & Hold Return | 771,266.03 | 771.27 | ||||
Sharpe Ratio | 0.259 | |||||
Sortino Ratio | 0.637 | |||||
Profit Factor | 1.014 | 1.078 | 0.95 | |||
Max Contracts Held | 5,033 | 5,033 | 4,747 | |||
Open PL | −9,194.55 | −2.62 | ||||
Commission Paid | 1,712,626.29 | 914,434.34 | 798,191.94 | |||
Total Closed Trades | 1,469 | 756 | 713 | |||
Total Open Trades | 1 | 0 | 1 | |||
Number Winning Trades | 696 | 362 | 334 | |||
Number Losing Trades | 773 | 394 | 379 | |||
Percent Profitable | 47.38 | 47.88 | 46.84 | |||
Avg Trade | 171.25 | 0.06 | 908.52 | 0.10 | −610.49 | 0.01 |
Avg Winning Trade | 25,522.92 | 2.09 | 26,291.44 | 2.03 | 24,689.98 | 2.15 |
Avg Losing Trade | 22,655.10 | 1.77 | 22,412.83 | 1.68 | 22,906.95 | 1.87 |
Ratio Avg Win / Avg Loss | 1.127 | 1.173 | 1.078 | |||
Largest Winning Trade | 98,912.57 | 14.36 | 98,912.57 | 4.89 | 90,104.03 | 14.36 |
Largest Losing Trade | 91,533.42 | 4.08 | 79,079.34 | 3.91 | 91,533.42 | 4.08 |
Avg # Bars in Trades | 30 | 30 | 30 | |||
Avg # Bars in Winning Trades | 28 | 30 | 26 | |||
Avg # Bars in Losing Trades | 31 | 29 | 33 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 73,130.01 USD | 73.13 | 49,697.65 USD | 49.70 | 23,432.37 USD | 23.43 |
Gross Profit | 21,507,626.80 | 21,507.63 | 11,014,644.79 | 11,014.64 | 10,492,982.00 | 10,492.98 |
Gross Loss | 21,434,496.78 | 21,434.50 | 10,964,947.15 | 10,964.95 | 10,469,549.64 | 10,469.55 |
Max Run-up | 963,176.04 | 95.96 | ||||
Max Drawdown | 931,974.68 | 96.79 | ||||
Buy & Hold Return | 587,191.55 | 587.19 | ||||
Sharpe Ratio | 0.224 | |||||
Sortino Ratio | 0.527 | |||||
Profit Factor | 1.003 | 1.005 | 1.002 | |||
Max Contracts Held | 5,033 | 5,033 | 4,747 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 2,076,507.28 | 1,090,926.59 | 985,580.69 | |||
Total Closed Trades | 1,687 | 856 | 831 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 797 | 399 | 398 | |||
Number Losing Trades | 890 | 457 | 433 | |||
Percent Profitable | 47.24 | 46.61 | 47.89 | |||
Avg Trade | 43.35 | 0.05 | 58.06 | 0.05 | 28.20 | 0.04 |
Avg Winning Trade | 26,985.73 | 2.09 | 27,605.63 | 2.03 | 26,364.28 | 2.14 |
Avg Losing Trade | 24,083.70 | 1.78 | 23,993.32 | 1.68 | 24,179.10 | 1.88 |
Ratio Avg Win / Avg Loss | 1.12 | 1.151 | 1.09 | |||
Largest Winning Trade | 98,912.57 | 14.36 | 98,912.57 | 4.89 | 90,104.03 | 14.36 |
Largest Losing Trade | 91,533.42 | 4.08 | 79,079.34 | 3.91 | 91,533.42 | 4.08 |
Avg # Bars in Trades | 30 | 30 | 30 | |||
Avg # Bars in Winning Trades | 29 | 31 | 26 | |||
Avg # Bars in Losing Trades | 31 | 30 | 33 | |||
Margin Calls | 0 | 0 | 0 |
TradingView Screenshots
Slide this way to reveal live trades
USE SLIDER TO REVEAL RESULTS
Slide this way to reveal backtest
Slide this way to reveal live trades
USE SLIDER TO REVEAL RESULTS
Slide this way to reveal backtest