Performance Analysis

The QuantStats report provides several key performance metrics that offer insights into the strategy's effectiveness and potential areas for improvement.

The strategy achieves a significant cumulative return of 210.29%, with an annualized return of 33.93%. However, the Sharpe Ratio of 0.231 suggests that risk-adjusted returns could be stronger. While the profit factor of 1.277 indicates the strategy is generating profit overall, the maximum drawdown of 66.52% is a red flag highlighting potential risk exposures that need addressing.

Strategy Viability

Judging by the current metrics, the strategy is somewhat viable but requires adjustments to enhance its robustness in real-world trading. The strategy's performance in a declining market is commendable, given its outperformance relative to the negative Buy & Hold Return. However, market conditions significantly impacting volatility or leverage might pose risks, suggesting this strategy may thrive under stable or moderately volatile conditions.

Risk Management

The risk management framework could benefit from enhancements, notably in controlling drawdowns. Some proactive measures could include:

• Reducing leverage to manage and lower maximum drawdown easily.
• Integrating adaptive stop-loss mechanisms to shield against large adverse moves.
• Incorporating volatility-based position sizing that dynamically adjusts exposure.

Improvement Suggestions

To bolster the strategy's performance and refine its accuracy, consider the following recommendations:

• Optimize trading parameters, such as entry and exit conditions, to improve the Sharpe Ratio.
• Expand the set of technical indicators for better timing of trades.
• Conduct thorough out-of-sample testing to validate the strategy across different market phases.
• Employ advanced risk management solutions, such as stress testing and scenario analysis, to assess resilience under various conditions.

Final Opinion

In summary, the strategy shows potential with strong cumulative returns and the ability to outperform during bearish market conditions. Nevertheless, the high drawdown and suboptimal risk-adjusted metrics necessitate further refinement.

Recommendation: Proceed with the strategy by implementing improvements and conducting additional testing, focusing on optimizing the risk-return profile and enhancing the robustness of risk management protocols.