THE DEAD ZONE [v5] by @DavidTech 🧠 by @DaviddTech 🤖 [cdf1035c]
🛡️ SOLUSDT_15MIN_DEADZONE
@marcob
⌛15 minutes
⚪️ Deep Backtest
Last updated: 3 hours agoTrades per Day
Key Performance Metrics
- First Traded Date: 2021-07-08 08:30:00
- Sharpe Ratio: 0.45
- Sortino Ratio: 1.61
- Calmar: -3.63
- Longest DD Days: 90.00
- Volatility: 80.62
- Skew: 0.69
- Kurtosis: -1.14
- Expected Daily: 0.96
- Expected Monthly: 22.32
- Expected Yearly: 1,021.45
- Kelly Criterion: 10.80
- Daily Value-at-Risk: -3.88
- Expected Shortfall (cVaR): -3.98
- Last Trade Date: 2025-02-08 08:15:00
- Max Consecutive Wins: 6
- Number Winning Trades 141
- Max Consecutive Losses: 8
- Number Losing Trades: 231
- Gain/Pain Ratio: -3.63
- Gain/Pain (1M): 1.40
- Payoff Ratio: 2.29
- Common Sense Ratio: 1.40
- Tail Ratio: 2.64
- Outlier Win Ratio: 1.53
- Outlier Loss Ratio: 0.00
- Recovery Factor: 0.00
- Ulcer Index: 0.14
- Serenity Index: 95.37
AI Trading Bot Quantitative Analyst
Performance Analysis
Upon reviewing the provided QuantStats report, several performance metrics deserve attention:
Metric | Strategy |
---|---|
CAGR (Compound Annual Growth Rate) | 135.11% |
Sharpe Ratio | 0.45 |
Profit Factor | 1.399 |
Maximum Drawdown | 38.03% |
Volatility (Annualized) | 80.62% |
Percent Profitable | 37.9% |
The strategy shows a solid CAGR of 135.11%, indicating strong growth potential. However, the Sharpe Ratio is slightly below the 0.5 mark, suggesting there is room for improvement in risk-adjusted returns. The maximum drawdown of 38.03% is within acceptable limits, yet managing it more efficiently could enhance the strategy's appeal. Despite the higher volatility, the payoff and profit factor indicate potential for profitability.
Strategy Viability
Based on the data provided, the strategy is promising and could be viable for real-world trading, especially in crypto markets known for their volatility. The strategy's high CAGR is attractive, but the slightly low Sharpe Ratio suggests that improvements could be made to better reward risk. Evaluating the conditions under which the strategy performs best is crucial to ensuring its continued success, especially since market conditions can change rapidly.
Risk Management
The strategy seems to manage risk adequately given the maximum drawdown is under 40%; however, the high volatility could pose challenges. The following improvements could be considered:
- Reduce leverage to further decrease maximum drawdown without significantly impacting returns.
- Implement additional stop-loss mechanisms to minimize potential losses.
- Consider dynamic position sizing to adjust to market volatility changes.
Improvement Suggestions
To enhance the strategy's performance and robustness, consider the following recommendations:
- Refine the strategy parameters to improve the Sharpe Ratio and further enhance risk-adjusted returns.
- Incorporate additional indicators to optimize entry and exit points, potentially increasing the win rate.
- Conduct stress and out-of-sample testing to ensure robustness across various market conditions.
- Examine the possibility of diversifying asset selection to manage unsystematic risk.
Final Opinion
In summary, the strategy demonstrates a compelling growth potential with a robust CAGR and acceptable drawdown levels, despite the high volatility inherent in the crypto market. The strategy's performance is promising, yet further optimization is needed to enhance the risk-adjusted metrics and ensure long-term viability.
Recommendation: Proceed with further testing and optimization of the strategy focusing on improving the Sharpe Ratio and refining risk management tactics. Reducing leverage could be a beneficial step to decrease maximum drawdown while maintaining decent returns.
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 | -0.62% | 21.63% | 11.52% | -5.60% | 15.77% | -5.15% | 8.11% | Login to see results | Login to see results | Login to see results | Login to see results | Login to see results |
2023 | 29.23% | 12.43% | -5.29% | 27.34% | 7.29% | 63.51% | 11.88% | 16.76% | 19.24% | 40.82% | 14.34% | -3.52% |
2022 | 12.08% | 2.81% | -20.89% | -10.95% | 3.54% | 1.97% | 21.07% | 4.99% | -11.90% | 11.92% | 4.91% | 15.86% |
2021 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -10.06% | -8.41% | 0.00% | 25.42% | -2.21% | 8.54% |
Live Trades Stats
SOL
Base Currency
128
Number of Trades
74.59%
Cumulative Returns
33.59%
Win Rate
2024-01-17
🟠 Incubation started
🛡️
7 Days
18.5%
30 Days
46.92%
60 Days
21.35%
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 | 1,099,852.83 USD | 1,099.85 | 737,720.14 USD | 737.72 | 362,132.69 USD | 362.13 |
Gross Profit | 2,137,336.08 | 2,137.34 | 1,451,291.63 | 1,451.29 | 686,044.45 | 686.04 |
Gross Loss | 1,037,483.25 | 1,037.48 | 713,571.49 | 713.57 | 323,911.76 | 323.91 |
Max Run-up | 1,256,140.30 | 93.99 | ||||
Max Drawdown | 120,408.48 | 38.03 | ||||
Buy & Hold Return | 164,624.53 | 164.62 | ||||
Sharpe Ratio | 0.494 | |||||
Sortino Ratio | 1.812 | |||||
Profit Factor | 2.06 | 2.034 | 2.118 | |||
Max Contracts Held | 99,858 | 99,858 | 98,651 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 94,991.05 | 58,953.15 | 36,037.89 | |||
Total Closed Trades | 244 | 136 | 108 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 98 | 49 | 49 | |||
Number Losing Trades | 146 | 87 | 59 | |||
Percent Profitable | 40.16 | 36.03 | 45.37 | |||
Avg Trade | 4,507.59 | 0.63 | 5,424.41 | 0.75 | 3,353.08 | 0.49 |
Avg Winning Trade | 21,809.55 | 4.19 | 29,618.20 | 5.28 | 14,000.91 | 3.10 |
Avg Losing Trade | 7,106.05 | 1.75 | 8,201.97 | 1.81 | 5,490.03 | 1.68 |
Ratio Avg Win / Avg Loss | 3.069 | 3.611 | 2.55 | |||
Largest Winning Trade | 112,143.08 | 7.35 | 112,143.08 | 7.35 | 52,103.16 | 5.11 |
Largest Losing Trade | 44,905.94 | 2.61 | 44,905.94 | 2.61 | 22,799.77 | 2.58 |
Avg # Bars in Trades | 41 | 45 | 36 | |||
Avg # Bars in Winning Trades | 47 | 48 | 46 | |||
Avg # Bars in Losing Trades | 37 | 44 | 27 | |||
Margin Calls | 0 | 0 | 0 |
All USD | All % | Long USD | Long % | Short USD | Short % | |
---|---|---|---|---|---|---|
Net Profit | 2,055,421.24 USD | 2,055.42 | 1,330,657.06 USD | 1,330.66 | 724,764.18 USD | 724.76 |
Gross Profit | 7,204,325.02 | 7,204.33 | 4,291,478.32 | 4,291.48 | 2,912,846.70 | 2,912.85 |
Gross Loss | 5,148,903.78 | 5,148.90 | 2,960,821.26 | 2,960.82 | 2,188,082.52 | 2,188.08 |
Max Run-up | 2,237,041.57 | 96.53 | ||||
Max Drawdown | 521,175.74 | 38.03 | ||||
Buy & Hold Return | 430,794.19 | 430.79 | ||||
Sharpe Ratio | 0.45 | |||||
Sortino Ratio | 1.613 | |||||
Profit Factor | 1.399 | 1.449 | 1.331 | |||
Max Contracts Held | 99,858 | 99,858 | 98,651 | |||
Open PL | 0 | 0.00 | ||||
Commission Paid | 400,756.31 | 212,508.39 | 188,247.92 | |||
Total Closed Trades | 372 | 200 | 172 | |||
Total Open Trades | 0 | 0 | 0 | |||
Number Winning Trades | 141 | 68 | 73 | |||
Number Losing Trades | 231 | 132 | 99 | |||
Percent Profitable | 37.90 | 34.00 | 42.44 | |||
Avg Trade | 5,525.33 | 0.51 | 6,653.29 | 0.65 | 4,213.75 | 0.34 |
Avg Winning Trade | 51,094.50 | 4.18 | 63,109.98 | 5.35 | 39,902.01 | 3.10 |
Avg Losing Trade | 22,289.63 | 1.74 | 22,430.46 | 1.77 | 22,101.84 | 1.69 |
Ratio Avg Win / Avg Loss | 2.292 | 2.814 | 1.805 | |||
Largest Winning Trade | 188,420.18 | 7.41 | 188,420.18 | 7.41 | 127,700.78 | 5.11 |
Largest Losing Trade | 74,215.95 | 2.61 | 74,215.95 | 2.61 | 72,060.52 | 2.58 |
Avg # Bars in Trades | 43 | 51 | 34 | |||
Avg # Bars in Winning Trades | 51 | 59 | 43 | |||
Avg # Bars in Losing Trades | 38 | 46 | 28 | |||
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