Based on the filter I made in my previous post, on the cryptos with the highest performance within the top40 on capitalization, I will give you my personal analysis, and what I consider relevant when making decisions when selecting the pairs with which I create a bot.
To determine which pairs to include in my strategy, I will evaluate various financial and performance metrics, such as gross losses, maximum losses per trade, maximum realized and equity drawdowns, standard deviations of negative returns, as well as ratios. performance factors such as Profit Factor, Sharpe Ratio, Sortino Ratio and Consistency-Weighted Return.
1. PEPE/USDT
- Gross Loss: -1092.1496 USDT
- Max Realized DD: -57.0356 USDT (-11.97%)
- Profit Factor: 1.44
- Sharpe Ratio: 0.48
- Sortino Ratio: 1.412
- Consistency-Weighted Return: -0.1053
Analysis: Although the Profit Factor and the Sharpe and Sortino ratios are relatively good, the gross losses and the maximum drawdown are very high. Negative Consistency-Weighted Return suggests instability.
Conclusion: Not recommended due to high instability and significant losses.
2. BNB/USDT
- Gross Loss: -36.2884 USDT
- Max Realized DD: -5.1862 USDT (-11.54%)
- Profit Factor: 1.816
- Sharpe Ratio: 0.384
- Sortino Ratio: 1.18
- Consistency-Weighted Return: 0.1267
Analysis: Good Profit Factor and Sharpe and Sortino ratios, with a positive Consistency-Weighted Return. Losses and drawdowns are reasonable.
Conclusion: Recommended due to good risk-adjusted performance.
3. BTC/USDT
- Gross Loss: -26.0079 USDT
- Max Realized DD: -3.609 USDT (-17.81%)
- Profit Factor: 1.462
- Sharpe Ratio: 0.313
- Sortino Ratio: 0.648
- Consistency-Weighted Return: 0.0431
Analysis: Moderate Profit Factor and Sharpe and Sortino ratios, with a positive but low Consistency-Weighted Return.
Conclusion: Moderately recommended.
4. DOGE/USDT
- Gross Loss: -102.1202 USDT
- Max Realized DD: -18.2128 USDT (-77.06%)
- Profit Factor: 1.208
- Sharpe Ratio: 0.157
- Sortino Ratio: 0.26
- Consistency-Weighted Return: 0.0011
Analysis: Low Profit Factor and very low Sharpe and Sortino ratios, with significant drawdowns and losses.
Conclusion: Not recommended.
5. DOT/USDT
- Gross Loss: -75.4717 USDT
- Max Realized DD: -13.1166 USDT (-28.04%)
- Profit Factor: 1.314
- Sharpe Ratio: 0.173
- Sortino Ratio: 0.289
- Consistency-Weighted Return: 0.0148
Analysis: Low Profit Factor and low Sharpe and Sortino ratios, with moderate drawdowns and losses.
Conclusion: Not recommended.
6. ETH/USDT
- Gross Loss: -50.1283 USDT
- Max Realized DD: -5.444 USDT (-52.81%)
- Profit Factor: 1.388
- Sharpe Ratio: 0.273
- Sortino Ratio: 0.521
- Consistency-Weighted Return: 0.0215
Analysis: Moderate Profit Factor and low Sharpe and Sortino ratios, with significant drawdowns and losses.
Conclusion: Moderately recommended.
7. MATIC/USDT
- Gross Loss: -84.2768 USDT
- Max Realized DD: -15.4492 USDT (-27.65%)
- Profit Factor: 1.644
- Sharpe Ratio: 0.32
- Sortino Ratio: 1.006
- Consistency-Weighted Return: 0.1506
Analysis: Good Profit Factor and Sharpe and Sortino ratios, with positive Consistency-Weighted Return.
Conclusion: Recommended.
8. NEAR/USDT
- Gross Loss: -122.8034 USDT
- Max Realized DD: -15.4533 USDT (-24.5%)
- Profit Factor: 1.399
- Sharpe Ratio: 0.325
- Sortino Ratio: 0.604
- Consistency-Weighted Return: 0.0621
Analysis: Moderate Profit Factor and low Sharpe and Sortino ratios, with significant drawdowns and losses.
Conclusion: Moderately recommended.
9. SOL/USDT
- Gross Loss: -102.1316 USDT
- Max Realized DD: -15.8544 USDT (-19.45%)
- Profit Factor: 1.606
- Sharpe Ratio: 0.518
- Sortino Ratio: 2.159
- Consistency-Weighted Return: 0.1876
Analysis: Good Profit Factor and excellent Sharpe and Sortino ratios, with positive Consistency-Weighted Return.
Conclusion: Highly recommended.
10. ATOM/USDT
- Gross Loss: -70.2138 USDT
- Max Realized DD: -18.1187 USDT (-35.83%)
- Profit Factor: 1.361
- Sharpe Ratio: 0.218
- Sortino Ratio: 0.354
- Consistency-Weighted Return: 0.0112
Analysis: Low Profit Factor and low Sharpe and Sortino ratios, with significant drawdowns and losses.
Conclusion: Not recommended.
11. ETC/USDT
- Gross Loss: -113.7973 USDT
- Max Realized DD: -19.2593 USDT (-43.18%)
- Profit Factor: 1.327
- Sharpe Ratio: 0.225
- Sortino Ratio: 0.435
- Consistency-Weighted Return: 0.0859
Analysis: Moderate Profit Factor and low Sharpe and Sortino ratios, with significant drawdowns and losses.
Conclusion: Moderately recommended.
12. ICP/USDT
- Gross Loss: -123.0576 USDT
- Max Realized DD: -35.3712 USDT (-60.15%)
- Profit Factor: 1.181
- Sharpe Ratio: 0.115
- Sortino Ratio: 0.18
- Consistency-Weighted Return: 0.0048
Analysis: Low Profit Factor and very low Sharpe and Sortino ratios, with significant drawdowns and losses.
Conclusion: Not recommended.
13. STX/USDT
- Gross Loss: -110.9767 USDT
- Max Realized DD: -15.2737 USDT (-28.81%)
- Profit Factor: 1.482
- Sharpe Ratio: 0.358
- Sortino Ratio: 0.984
- Consistency-Weighted Return: 0.1738
Analysis: Good Profit Factor and Sharpe and Sortino ratios, with positive Consistency-Weighted Return.
Conclusion: Recommended.
Final conclusion
Recommended Pairs:
- BNB/USDT
- MATIC/USDT
- SOL/USDT
- STX/USDT
Moderately Recommended Pairs:
- BTC/USDT
- ETH/USDT
- NEAR/USDT
- ETC/USDT
Not Recommended Pairs:
- PEPE/USDT
- DOGE/USDT
- DOT/USDT
- ATOM/USDT
- ICP/USDT
Including recommended and moderately recommended pairs can improve the overall performance of your strategy, while avoiding non-recommended ones can reduce the risk of significant losses.
It is worth mentioning that this data is based on the backtesting of the strategy mentioned in my previous post, and a time frame of 15m, although the backtest is done with all 13 pairs at a time, I obtained these metrics by backtesting each pair independently. , I leave you the link to the strategy configuration created by @aressanch (Gainium app), I hope it is useful.
Greetings.
Results with recommended pairs (multicoin bot)
Results with recommended and moderately recommended pairs (multicoin bot)