STIFF MNTUSDT 15M
@
⌛15min
⚪️ Deep Backtest
Last updated: 3 hours agoTrades per Day
Key Performance Metrics
- First Traded Date: 2023-10-08 16:15:00
- Sharpe Ratio: 0.44
- Sortino Ratio: 0.94
- Calmar: -0.76
- Longest DD Days: 92.00
- Volatility: 0.89
- Skew: 0.23
- Kurtosis: 1.18
- Expected Daily: 0.00
- Expected Monthly: 0.08
- Expected Yearly: 1.00
- Kelly Criterion: 8.38
- Daily Value-at-Risk: -0.08
- Expected Shortfall (cVaR): -0.11
- Last Trade Date: 2025-02-11 15:45:00
- Max Consecutive Wins: 9
- Number Winning Trades 157
- Max Consecutive Losses: 8
- Number Losing Trades: 158
- Gain/Pain Ratio: -0.76
- Gain/Pain (1M): 1.20
- Payoff Ratio: 1.21
- Common Sense Ratio: 1.20
- Tail Ratio: 1.24
- Outlier Win Ratio: 2.98
- Outlier Loss Ratio: 3.66
- Recovery Factor: 0.00
- Ulcer Index: 0.00
- Serenity Index: 1.12
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, several performance metrics stand out that merit attention:
Metric | Strategy |
---|---|
Cumulative Return | 246.5% |
Annualized Return (CAGR %) | 0.91% |
Sharpe Ratio | 0.443 |
Sortino Ratio | 0.937 |
Profit Factor | 1.195 |
Maximum Drawdown | -49.93% |
Volatility (Annualized) | 89% |
The strategy shows a cumulative return of 246.5%, which is a commendable achievement. However, the Sharpe Ratio of 0.443 indicates that risk-adjusted returns are slightly below the desired threshold of 0.5 but show potential with slight adjustments. Notably, the maximum drawdown of -49.93% exceeds the acceptable level of 40%, pointing to significant risk exposure.
Strategy Viability
The strategy presents a mix of positive and challenging metrics. The cumulative return and profit factor of 1.195 suggest it has the potential to generate profits. However, the below-par Sharpe Ratio and high maximum drawdown require careful consideration. The strategy may benefit from less volatile market conditions. It is crucial to determine under what market conditions the strategy performs best and assess the likelihood of their persistence.
Risk Management
The current risk management approach can be enhanced, as reflected by the drawdown levels and the risk of ruin at 738.91. Suggestions for improvement include:
- Reduce leverage to decrease maximum drawdown and improve the Sharpe Ratio.
- Implement tighter stop-loss orders to cap potential losses in unfavorable trades.
- Consider a dynamic position sizing approach to mitigate high volatility impacts.
Improvement Suggestions
For further optimization and robustness, consider the following recommendations:
- Refine the strategy parameters with a focus on improving the Sharpe Ratio and reducing drawdown.
- Integrate additional technical indicators to enhance trade decision-making.
- Expand testing to include varying market conditions for validation of robustness.
- Explore advanced risk management tools, such as VaR and scenario analysis, to better anticipate potential market moves.
Final Opinion
In summary, the strategy holds promise with its strong cumulative returns and high profit factor. However, key areas like volatility management and risk-adjusted returns need attention for enhanced performance. While it exhibits strengths, notably in profit generation, the high drawdown and sub-optimal Sharpe Ratio point to areas for improvement.
Recommendation: Modify the strategy to incorporate better risk management practices and optimize for improved risk-adjusted returns. Proceed with further testing to ensure robustness across various market conditions, making informed adjustments to leverage and strategy parameters.
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 | 39.35% | 26.55% | 8.14% | 3.21% | -31.66% | 13.87% | 42.07% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 11.68% | 5.63% | 34.30% |
Live Trades Stats
MNT
Base Currency
172
Number of Trades
4.67%
Cumulative Returns
42.44%
Win Rate
2024-04-16
🟠 Incubation started
🛡️
7 Days
18.45%
30 Days
35.17%
60 Days
-5.69%
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 | 1,386.97 USD | 277.39 | 737.34 USD | 147.47 | 649.63 USD | 129.93 |
Gross Profit | 2,505.74 | 501.15 | 1,423.84 | 284.77 | 1,081.91 | 216.38 |
Gross Loss | 1,118.78 | 223.76 | 686.50 | 137.30 | 432.28 | 86.46 |
Max Run-up | 1,395.23 | 73.94 | ||||
Max Drawdown | 150.61 | 16.63 | ||||
Buy & Hold Return | 980.74 | 196.15 | ||||
Sharpe Ratio | 1.481 | |||||
Sortino Ratio | N/A | |||||
Profit Factor | 2.24 | 2.074 | 2.503 | |||
Max Contracts Held | 6,302 | 6,063 | 6,302 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 296.95 | 170.07 | 126.88 | |||
Total Closed Trades | 143 | 80 | 63 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 84 | 45 | 39 | |||
Number Losing Trades | 59 | 35 | 24 | |||
Percent Profitable | 58.74 | 56.25 | 61.90 | |||
Avg Trade | 9.70 | 0.42 | 9.22 | 0.42 | 10.31 | 0.41 |
Avg Winning Trade | 29.83 | 1.68 | 31.64 | 1.85 | 27.74 | 1.50 |
Avg Losing Trade | 18.96 | 1.39 | 19.61 | 1.42 | 18.01 | 1.35 |
Ratio Avg Win / Avg Loss | 1.573 | 1.613 | 1.54 | |||
Largest Winning Trade | 134.34 | 2.85 | 134.34 | 2.79 | 101.76 | 2.85 |
Largest Losing Trade | 58.86 | 2.09 | 58.86 | 2.09 | 52.21 | 1.98 |
Avg # Bars in Trades | 23 | 24 | 23 | |||
Avg # Bars in Winning Trades | 26 | 27 | 24 | |||
Avg # Bars in Losing Trades | 20 | 20 | 21 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 1,232.52 USD | 246.50 | 448.65 USD | 89.73 | 783.86 USD | 156.77 |
Gross Profit | 7,553.95 | 1,510.79 | 3,651.95 | 730.39 | 3,902.00 | 780.40 |
Gross Loss | 6,321.43 | 1,264.29 | 3,203.30 | 640.66 | 3,118.13 | 623.63 |
Max Run-up | 2,210.05 | 81.80 | ||||
Max Drawdown | 1,297.06 | 49.93 | ||||
Buy & Hold Return | 852.86 | 170.57 | ||||
Sharpe Ratio | 0.443 | |||||
Sortino Ratio | 0.937 | |||||
Profit Factor | 1.195 | 1.14 | 1.251 | |||
Max Contracts Held | 16,547 | 15,069 | 16,547 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 1,089.24 | 535.80 | 553.44 | |||
Total Closed Trades | 315 | 157 | 158 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 157 | 77 | 80 | |||
Number Losing Trades | 158 | 80 | 78 | |||
Percent Profitable | 49.84 | 49.04 | 50.63 | |||
Avg Trade | 3.91 | 0.17 | 2.86 | 0.17 | 4.96 | 0.17 |
Avg Winning Trade | 48.11 | 1.87 | 47.43 | 1.92 | 48.77 | 1.81 |
Avg Losing Trade | 40.01 | 1.52 | 40.04 | 1.52 | 39.98 | 1.51 |
Ratio Avg Win / Avg Loss | 1.203 | 1.184 | 1.22 | |||
Largest Winning Trade | 224.84 | 6.37 | 224.84 | 2.79 | 138.14 | 6.37 |
Largest Losing Trade | 198.62 | 2.14 | 198.62 | 2.10 | 184.09 | 2.14 |
Avg # Bars in Trades | 25 | 26 | 25 | |||
Avg # Bars in Winning Trades | 26 | 27 | 26 | |||
Avg # Bars in Losing Trades | 24 | 24 | 25 | |||
Margin Calls | 0 | 0 | 0 |
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