AQTIS - Breakout (Long)

We are thrilled to present our performance report for our breakout trading strategy, which we employ across a variety of crypto assets. This strategy, which focuses on identifying significant price breaks on 1H timeframes and capitalizing on the resultant volatility, has been applied throughout a complete market cycle.

Breakout - Momentum Strategy

We are eager to reveal the performance of our breakout strategy, which we apply in Mid Time Frames (MTF) for Swing Trading and as an indicator for the creation of new trends in the market.

The strategy is based on the principle that when an asset's finds momentum, it's likely to continue in that direction.

This strategy thrives in volatile markets with strong trends and quick breakouts, but may not perform as well in stagnant markets with minimal price fluctuations.

The Big Three: Mean-Reversion, Breakout, and Trend-Following Strategies

Mean Reversion

We use mean-reversion strategies to capitalize on the idea that prices will eventually return to their mean values after an over-extension.

Breakout

Breakout strategies look to capitalize on sudden price breakouts, fueled by new market sentiment and momentum.

Trend-Following

This strategy aims to capitalize on the directionality of asset prices by following trends that can persist over long periods.

The Gold Mine: Breakout Strategy

Crypto moves in Breakouts

Crypto is a market that moves in breakouts.

The price consolidates for long periods of time, to make the move everyone expects in just a few candles.

Don't miss the new trend

This model is focused on detecting new trends before they occur.

We analyze the market for momentum, prior to a new trend.

Let the profits run

In this model, we let profits run.

We know that new trends can extend far beyond what is reasonable. Therefore, we use a trailing stop to take profits.

Signals for Breakout Strategy

Break of Structure

Breakout is based on changes in market structure.

Thus, our system is not 100% dependent on OrderFlow metrics or quantitative optimization.

Filtering signals

We use OrderFlow as a filter, but our signals are not 100% dependent on these metrics.

We can apply the same logic to long periods of time without the need to frequently optimize parameters.

Backtesting a full cycle

We are showing the results of our system in a 1h time-frame, throughout an entire bullish and bearish cycle.

From January 2020 to the actual date.

Performance Analysis: Evaluating the Efficiency of Breakout Strategies

Returns

We already know that the returns sound crazy. But that is what we achieve.

We have been averaging a 20x return since 2020.

Time exposure

Instead of always being invested, we prefer to have our money available for other models or assets.

With this model, our average is 31% of market exposure time.

But without missing out on the parabolic rises.

Max Drawdown

Our system lets the profits run, but it limits the losses. Our average drawdown is 31.5%.

We are working to, by applying a better regimen filter, lower it.

Backtesting Results - Bitcoin

Asset: Bitcoin [BTC/USDT]
Direction: Long Only
Strategy: Breakout
Time frame: 1H

Start                               2020-01-01 00:00:00+00:00
End                                 2023-07-20 15:00:00+00:00
Period                                     1296 days 16:00:00
Start Value                                             100.0
Min Value                                   99.05170437228605
Max Value                                  1041.9155422960268
End Value                                   978.2255249066777
Total Return [%]                            878.2255249066777
Benchmark Return [%]                       315.43041601885074
Total Time Exposure [%]                     33.16195372750643
Max Gross Exposure [%]                                  100.0
Max Drawdown [%]                           30.342070987688498
Max Drawdown Duration                       457 days 17:00:00
Total Orders                                              322
Total Fees Paid                            30.982936952133315
Total Trades                                              161
Win Rate [%]                                19.25465838509317
Best Trade [%]                              45.60639474153984
Worst Trade [%]                           -1.2375626373626503
Avg Winning Trade [%]                      13.856045132986091
Avg Losing Trade [%]                      -1.2233033320871558
Avg Winning Trade Duration         10 days 12:38:42.580645161
Avg Losing Trade Duration           0 days 19:08:18.461538461
Profit Factor                              2.1287102446449198
Expectancy                                 5.4548169248862015
Sharpe Ratio                               2.1018253803859235
Calmar Ratio                                2.966842754125822
Omega Ratio                                1.1309130297641468
Sortino Ratio                              3.1339317702525853

Visual statistics and BTC Chart:

Backtesting Results - Ethereum

Asset: Ethereum [ETH/USDT]
Direction: Long Only
Strategy: Breakout
Time frame: 1H

Start                               2020-01-01 00:00:00+00:00
End                                 2023-07-20 15:00:00+00:00
Period                                     1296 days 16:00:00
Start Value                                             100.0
Min Value                                   99.56324040562833
Max Value                                   5380.134471551589
End Value                                   4459.934497496596
Total Return [%]                            4359.934497496596
Benchmark Return [%]                        1365.098587175878
Total Time Exposure [%]                     31.44922879177378
Max Gross Exposure [%]                                  100.0
Max Drawdown [%]                           20.408784727875783
Max Drawdown Duration                       238 days 00:00:00
Total Orders                                              360
Total Fees Paid                            136.13648096408662
Total Trades                                              180
Win Rate [%]                               23.333333333333332
Best Trade [%]                              67.72457394274828
Worst Trade [%]                            -1.237562637362652
Avg Winning Trade [%]                      14.928078997886832
Avg Losing Trade [%]                      -1.2257260535215289
Avg Winning Trade Duration          7 days 02:37:08.571428571
Avg Losing Trade Duration           0 days 18:59:33.913043478
Profit Factor                              2.2963977779004128
Expectancy                                 24.221858319425532
Sharpe Ratio                               2.7966795744491555
Calmar Ratio                                9.371135295499533
Omega Ratio                                1.1773908095896866
Sortino Ratio                               4.368517260087397

Visual statistics and ETH Chart:

Backtesting Results - Binance Coin

Asset: Binance Coin [BNB/USDT]
Direction: Long Only
Strategy: Breakout
Time frame: 1H

Start                               2020-02-10 08:00:00+00:00
End                                 2023-07-14 08:00:00+00:00
Period                                     1250 days 01:00:00
Start Value                                             100.0
Min Value                                   82.77222360333647
Max Value                                  3214.5278502889178
End Value                                  2439.7884489714197
Total Return [%]                           2339.7884489714197
Benchmark Return [%]                        926.8630503333039
Total Time Exposure [%]                     36.17212759574681
Max Gross Exposure [%]                                  100.0
Max Drawdown [%]                            40.47260218315162
Max Drawdown Duration                       613 days 23:00:00
Total Orders                                              188
Total Fees Paid                             54.01114594447675
Total Trades                                               94
Win Rate [%]                                24.46808510638298
Best Trade [%]                              141.9906125719231
Worst Trade [%]                           -2.2353650349650476
Avg Winning Trade [%]                      26.510023741841486
Avg Losing Trade [%]                      -2.2059105085966277
Avg Winning Trade Duration         13 days 02:57:23.478260869
Avg Losing Trade Duration           2 days 02:49:00.845070422
Profit Factor                              1.9970409032750225
Expectancy                                 24.891366478419354
Sharpe Ratio                                 2.07568865052669
Calmar Ratio                               3.8087959293725637
Omega Ratio                                1.1265555054552607
Sortino Ratio                              3.1595870725783515

Visual statistics and BNB Chart:

Backtesting Results - Solana

Asset: Solana [SOL/USDT]
Direction: Long Only
Strategy: Breakout
Time frame: 1H

Start                               2020-09-14 07:00:00+00:00
End                                 2023-07-20 15:00:00+00:00
Period                                     1039 days 09:00:00
Start Value                                             100.0
Min Value                                   68.68304562063905
Max Value                                  4056.2377879508144
End Value                                    3605.72029132902
Total Return [%]                             3505.72029132902
Benchmark Return [%]                        662.5794570189405
Total Time Exposure [%]                    31.433152936460214
Max Gross Exposure [%]                                  100.0
Max Drawdown [%]                             41.8851916075931
Max Drawdown Duration                       443 days 10:00:00
Total Orders                                              290
Total Fees Paid                             56.96870298951024
Total Trades                                              145
Win Rate [%]                               22.758620689655174
Best Trade [%]                              119.7341995022722
Worst Trade [%]                            -2.235365034965051
Avg Winning Trade [%]                       22.75314699904549
Avg Losing Trade [%]                      -2.1874314561958297
Avg Winning Trade Duration          6 days 17:32:43.636363636
Avg Losing Trade Duration           0 days 22:24:38.571428571
Profit Factor                               2.415627244874329
Expectancy                                 24.177381319510488
Sharpe Ratio                               2.1555244464940055
Calmar Ratio                                6.020902761848573
Omega Ratio                                1.1324350066101851
Sortino Ratio                              3.4583188515036847

Visual statistics and SOL Chart:

Conclusion

This strategy exceedingly fulfills its goal. It stands as the optimal model for pinpointing new trends and ensuring our position before they take place, leading to exceptionally high returns.

The AQTIS system is designed to give great weight to this strategy, as we consider it to be our best model and we want to positively weight it so as not to miss any explosive market movements.

It's almost impossible to achieve better returns than holding during a bull run, but over the full cycle, this system allows us for reaping the gains of parabolic movements and not losing those benefits during the downtrend.

In summary, we are achieving an average return of 2000%, with an average time exposure of 31% and a drawdown of 31.5%.
Our average win rate with this model is 20.1%, with an average winning trade of 20.3% and a losing trade of 1.23%.

What's next?

We are working on improving the market regime filtering.

We are also working on the report for the short side of the same model.
We already have the data and model working!

We are developing the same model with good results in larger timeframes, ideal for swing moves.