SQUEEZE IT! 5MIN BTC
@Wishwell
⌛5 minutes
⚪️ Deep Backtest
Last updated: 14 mins agoTrades per Day
Key Performance Metrics
- First Traded Date: 2024-01-18 16:35:00
- Sharpe Ratio: 0.25
- Sortino Ratio: 0.55
- Calmar: -0.18
- Longest DD Days: 152.00
- Volatility: 2.94
- Skew: -0.38
- Kurtosis: -0.90
- Expected Daily: 0.00
- Expected Monthly: 0.06
- Expected Yearly: 0.67
- Kelly Criterion: 0.97
- Daily Value-at-Risk: -0.34
- Expected Shortfall (cVaR): -0.38
- Last Trade Date: 2024-11-03 14:25:00
- Max Consecutive Wins: 8
- Number Winning Trades 111
- Max Consecutive Losses: 4
- Number Losing Trades: 81
- Gain/Pain Ratio: -0.18
- Gain/Pain (1M): 1.02
- Payoff Ratio: 0.76
- Common Sense Ratio: 1.02
- Tail Ratio: 0.80
- Outlier Win Ratio: 0.00
- Outlier Loss Ratio: 2.08
- Recovery Factor: 0.00
- Ulcer Index: 0.03
- Serenity Index: 0.03
AI Trading Bot Quantitative Analyst
Performance Analysis
After reviewing the QuantStats report, several key performance metrics need to be highlighted:
Metric | Strategy |
---|---|
Net Profit | 10.59% |
Gross Profit | 1449.87% |
Gross Loss | 1439.29% |
Sharpe Ratio | 0.173 |
Profit Factor | 1.007 |
Maximum Drawdown | 84.8% |
Volatility (Annualized) | 2.99% |
Percent Profitable | 56.91% |
The strategy shows a modest net profit with a high gross profit and loss, indicating a tight margin. The Sharpe Ratio of 0.173 is below the benchmark of 0.5, suggesting that the returns are not proportionate to the risk taken. The maximum drawdown is significantly high at 84.8%, which could raise concerns about capital preservation during downtrends.
Strategy Viability
The current data suggests potential challenges in viability for long-term, real-world trading, primarily due to the low risk-adjusted returns and high maximum drawdown. The Profit Factor (1.007) indicates minimal profitability per unit risk, which is close to breakeven. While the win rate is decent at 56.91%, there is a need to address the significant drawdowns for improved viability. The strategy might perform better in stable market conditions, but such conditions may not be consistently present.
Risk Management
The strategy's risk management approach requires strengthening, given the notable maximum drawdown and low Sharpe Ratio. Potential improvements include:
- Implementing stricter stop-loss mechanisms to protect against sharp declines.
- Considering position sizing techniques to reduce risk exposure during volatile periods.
- Reducing leverage to decrease the maximum drawdown and align with acceptable risk tolerance levels.
Improvement Suggestions
To enhance strategy performance and robustness, consider the following recommendations:
- Re-optimize strategy parameters to find a balance between risk and return.
- Incorporate additional indicators or signals to improve trade accuracy and timing.
- Examine historical data for different market conditions to understand and optimize performance scenarios.
- Integrate advanced risk management techniques such as creating a buffer for drawdowns and stress testing against extreme market conditions.
Final Opinion
In summary, the current strategy reveals strengths in its profitable trades and potential for future growth. However, improvements are critical to managing risk and increasing the Sharpe Ratio to acceptable levels. The high drawdown presents a risk that must be addressed to ensure capital safety.
Recommendation: It is advisable to modify the strategy by optimizing risk management practices and further testing. Implement suggested improvements to enhance risk control and adaptability in various market scenarios for continued real-world application.
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 |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 28.08% | 67.46% | 29.90% | -34.01% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results | 0.00% |
Live Trades Stats
BTC
Base Currency
175
Number of Trades
69.42%
Cumulative Returns
56.57%
Win Rate
2024-02-14
🟠 Incubation started
🛡️
7 Days
1.95%
30 Days
40.7%
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 | 575.57 USD | 53.29 | 300.67 USD | 27.84 | 274.90 USD | 25.45 |
Gross Profit | 1,243.01 | 115.09 | 556.63 | 51.54 | 686.37 | 63.55 |
Gross Loss | 667.44 | 61.80 | 255.96 | 23.70 | 411.47 | 38.10 |
Max Run-up | 749.59 | 41.66 | ||||
Max Drawdown | 365.06 | 23.92 | ||||
Buy & Hold Return | 232.34 | 21.51 | ||||
Sharpe Ratio | 0.365 | |||||
Sortino Ratio | 0.932 | |||||
Profit Factor | 1.862 | 2.175 | 1.668 | |||
Max Contracts Held | 0 | 0 | 0 | |||
Open PL | 130.48 | 7.88 | ||||
Commission Paid | 181.83 | 81.49 | 100.35 | |||
Total Closed Trades | 17 | 7 | 10 | |||
Total Open Trades | 1 | 1 | 0 | |||
Number Winning Trades | 12 | 5 | 7 | |||
Number Losing Trades | 5 | 2 | 3 | |||
Percent Profitable | 70.59 | 71.43 | 70.00 | |||
Avg Trade | 33.86 | 0.29 | 42.95 | 0.31 | 27.49 | 0.28 |
Avg Winning Trade | 103.58 | 0.82 | 111.33 | 0.82 | 98.05 | 0.82 |
Avg Losing Trade | 133.49 | 0.98 | 127.98 | 0.98 | 137.16 | 0.98 |
Ratio Avg Win / Avg Loss | 0.776 | 0.87 | 0.715 | |||
Largest Winning Trade | 126.12 | 0.82 | 126.12 | 0.82 | 115.76 | 0.82 |
Largest Losing Trade | 149.10 | 0.98 | 134.69 | 0.98 | 149.10 | 0.98 |
Avg # Bars in Trades | 103 | 117 | 92 | |||
Avg # Bars in Winning Trades | 102 | 94 | 108 | |||
Avg # Bars in Losing Trades | 103 | 176 | 55 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 566.72 USD | 52.47 | −1,356.55 USD | −125.61 | 1,923.27 USD | 178.08 |
Gross Profit | 16,580.58 | 1,535.24 | 7,092.15 | 656.68 | 9,488.43 | 878.56 |
Gross Loss | 16,013.86 | 1,482.76 | 8,448.70 | 782.29 | 7,565.16 | 700.48 |
Max Run-up | 3,977.00 | 79.12 | ||||
Max Drawdown | 4,177.63 | 84.80 | ||||
Buy & Hold Return | 651.91 | 60.36 | ||||
Sharpe Ratio | 0.254 | |||||
Sortino Ratio | 0.546 | |||||
Profit Factor | 1.035 | 0.839 | 1.254 | |||
Max Contracts Held | 1 | 1 | 1 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 2,925.82 | 1,382.05 | 1,543.77 | |||
Total Closed Trades | 192 | 87 | 105 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 111 | 47 | 64 | |||
Number Losing Trades | 81 | 40 | 41 | |||
Percent Profitable | 57.81 | 54.02 | 60.95 | |||
Avg Trade | 2.95 | 0.06 | −15.59 | −0.01 | 18.32 | 0.12 |
Avg Winning Trade | 149.37 | 0.82 | 150.90 | 0.82 | 148.26 | 0.82 |
Avg Losing Trade | 197.70 | 0.98 | 211.22 | 0.98 | 184.52 | 0.97 |
Ratio Avg Win / Avg Loss | 0.756 | 0.714 | 0.803 | |||
Largest Winning Trade | 374.52 | 0.82 | 318.52 | 0.82 | 374.52 | 0.82 |
Largest Losing Trade | 484.26 | 0.98 | 435.20 | 0.98 | 484.26 | 0.98 |
Avg # Bars in Trades | 79 | 85 | 74 | |||
Avg # Bars in Winning Trades | 77 | 91 | 66 | |||
Avg # Bars in Losing Trades | 82 | 78 | 86 | |||
Margin Calls | 0 | 0 | 0 |
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