Break-Out Strategy HL5min

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

Idea/Strategy

This strategy focuses on breakouts. This means, strong pumps in our crypto top 40 market cap universe. The take profit is high, and the stop loss is close. The idea is to catch a break-out and then ride it for a huge win compared to a small loss in case the break-out wasn’t good or the market changes direction shortly afterwards.

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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