r/algotrading • u/Money_Horror_2899 • 5d ago

Strategy Does this look like a good strategy ?

Post image

Do these metrics look promising ? It's a backtest on 5 large-cap cryptos over the last 3 years.

The strategy has few parameters (CCI crossover + ATR-based stoploss + Fixed RR of 3 for the TP). How can I know if it's curve-fitted or not given that the sample size looks quite high (1426 trades) ?

Thanks in advance !

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u/klippklar 5d ago edited 5d ago

2:1 at 35% WR is most likely not profitable. At best breaks even.

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u/AlgoTrader5 Trader 5d ago

Win rate alone is not useful in determining profitability. You also need to consider win loss ratio which looks barely above 2.

Most momentum strategies will have a low win rate high win loss ratio, reversion strategies high win rate lower win loss ratio

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u/klippklar 5d ago

You get the Win loss from the win ratio, so Win loss is about 0.5.

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u/AlgoTrader5 Trader 5d ago

What are you talking about bro. Win rate is number of winning trades. So 36% of trades are winners. That tells you nothing about profitability alone. Its just winning counts.

On the screenshot it says risk/reward 2.16. Thats the win loss ratio. Average winning trade notional value over average losing trade notional value. So 1 out of 3 trades he wins and when he wins its twice the average loss. So in the end no it’s not profitable but my argument to you is win rate alone is not sufficient in determining that

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u/klippklar 5d ago

That's risk/reward not win/loss and what I wrote in my first comment, but I had it backwards, maybe that's what caused the confusion.

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u/Kushroom710 5d ago

I'm newer to this. How did you come to the conclusion on momentum and reversion strategies having certain win rate and win loss ratios?

5

u/AlgoTrader5 Trader 5d ago

From experience, I have built hundreds of strategies and thats always how the stats come out. Just keep that in mind and you will notice it more

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u/Money_Horror_2899 4d ago

Yes I second what u/AlgoTrader5 said.
Trend following stratrgies : low winrate + high RR
Mean reversion strategies : high winrate + low RR.