Break-Out Strategy HL5min

Stats, Results and Backtests for Crypticorn's Break-Out Strategy 1

Results

Tradeable: 🟠 (not yet)

Performance fee and interval: tba

Name
Value

Backtest from/to (YYYY-MM-DD):

2020-01-01 to 2025-04-02

Total Days:

1866

Number of Trades:

4280

Winning Days:

72.56 %

Profit Factor:

3.24

Total Lin. ROI

2649.82 %

BTC/USDT Benchmark ROI

765.22 %

CAGR

142.01 %

Maximum Drawdown

16.18 % / 26.09% (compounding)

Sharpe

4.53

Max consecutive Winning Days

39

Max consecutive Lossing Days

11

Trades per Day

2.14

Profit Factor

3.24

Biggest Win

+34.5 %

Biggest Loss

-10.33 %

Trading Universe

Crypto Futures; Top 40 by marketcap

Max Open Positions

10

Max. Leverage

1 (for now); no vol trageting yet

Strategy Description

Break-Out Strategy on the 5min timeframe: The idea is to catch coins that have a volatile break-out with take-profit and stop-loss.

PnL Chart

This is the closed PnL chart with the non-compounding ROI, drawdown and the compounding drawdown. As we trade the Top 40 and don't simulate price impact (besides slippage and fees of 0.2%) for the liqudity constrains on the smaller coins we calculate the non-compounding ROI chart.

PnL Chart of the non-compounding PnL with the drawdown.
Monthly non-compounding PnL heatmap

Stats

Statistics for the strategies.

Time between entries
Entry and exit time visualisation
Trades per ticker

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