AQTIS - Breakout (Short)

We are proud to present our performance report for our breakout trading strategy, but in this case, using a short only approach. 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

In our latest publication, we demonstrated how we harnessed bullish breakouts to capitalize on the explosive movements within the crypto market.

In this new presentation, we will elucidate our process of using the same principles to track and profit from new bearish trends.

If you haven't read the bullish breakout report, please visit this link before proceeding further:

What is a regime filter?

We're confident in our exceptional breakout detection system. However, sometimes we receive an excess of signals in one direction, which contradicts the obvious trend in larger timeframes.

Therefore, we've implemented a regime filter, designed to determine the market direction and to trade in accordance with this trend. If the market is bearish, we aim to identify the continuation of breakouts in that same direction.

However, as we've mentioned, our goal is to invest in a potential breakout BEFORE it occurs. Hence, we've applied both HTF (High Time Frame) and LTF (Low Time Frame) regime filters to identify the most suitable approach.

Through this method, we've concluded that Bitcoin is ideal for applying an HTF regime filter, due to its typically smoother movements. In contrast, for altcoins, we've found it necessary to apply an LTF regime filter, otherwise we risk missing out on a considerable number of winning signals.

Applying a regime filter

In this instance, we will illustrate how our system behaves with BTC/USDT without filtering out any bearish signals, and compare this with the system's performance when applying an HTF regime filter.

Performance Analysis - Evaluating the Efficiency of Breakout Strategies

Returns

We were captivated by our impressive returns during the bull run of 2020 through part of 2023.

However, it's equally astounding to consider the potential returns we could have achieved during the downturn from 2021 to 2022.

We have been averaging a 10x 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 22,2% of market exposure time.

But without missing out on the -painful- breaks down.

Max Drawdown

Our system lets the profits run, but it limits the losses. Our average drawdown is 20,7%.

Backtesting Results - Bitcoin

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

Start                               2020-01-01 00:00:00+00:00
End                                 2023-07-31 11:00:00+00:00
Period                                     1307 days 12:00:00
Start Value                                             100.0
Min Value                                     93.828627547317
Max Value                                   857.4362623271584
End Value                                   763.2956316664831
Total Return [%]                            663.2956316664831
Benchmark Return [%]                       309.89604757688267
Total Time Exposure [%]                    27.313575525812624
Max Gross Exposure [%]                     102.22634835253095
Max Drawdown [%]                           19.338734455179914
Max Drawdown Duration                       393 days 16:00:00
Total Orders                                              416
Total Fees Paid                             38.20061351763387
Total Trades                                              208
Win Rate [%]                                            31.25
Best Trade [%]                              43.53223082585225
Worst Trade [%]                            -1.242442642642657
Avg Winning Trade [%]                       6.104808047630023
Avg Losing Trade [%]                      -1.1820820405594668
Avg Winning Trade Duration          3 days 03:19:23.076923076
Avg Losing Trade Duration           1 days 01:41:57.482517482
Profit Factor                              1.8346052234770458
Expectancy                                 3.1889213060888646
Sharpe Ratio                                1.945121826123506
Calmar Ratio                               3.9487888911542703
Omega Ratio                                1.1473337401706205
Sortino Ratio                               3.443735390444393

Visual statistics and BTC Chart:

Backtesting Results - Ethereum

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

Start                               2020-01-01 00:00:00+00:00
End                                 2023-07-31 11:00:00+00:00
Period                                     1307 days 12:00:00
Start Value                                             100.0
Min Value                                     92.859838481626
Max Value                                  1089.8890356486195
End Value                                   965.8034810044621
Total Return [%]                             865.803481004462
Benchmark Return [%]                       1349.3556901102058
Total Time Exposure [%]                    22.453792224346717
Max Gross Exposure [%]                     102.22210167001205
Max Drawdown [%]                           26.766963304251917
Max Drawdown Duration                       373 days 18:00:00
Total Orders                                              747
Total Fees Paid                              57.8227712489524
Total Trades                                              374
Win Rate [%]                                29.75871313672922
Best Trade [%]                             28.191925566749276
Worst Trade [%]                           -1.2424426426426554
Avg Winning Trade [%]                        5.09865514728231
Avg Losing Trade [%]                      -1.2042787798324193
Avg Winning Trade Duration          1 days 13:43:47.027027027
Avg Losing Trade Duration           0 days 09:34:34.809160305
Profit Factor                              1.6722854812673933
Expectancy                                 2.2533969394826476
Sharpe Ratio                                1.973142649781034
Calmar Ratio                                 3.30029978241185
Omega Ratio                                1.1592043836059092
Sortino Ratio                               3.663784473722209

Visual statistics and ETH Chart:

Backtesting Results - Binance Coin

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

Start                               2020-02-10 08:00:00+00:00
End                                 2023-07-31 11:00:00+00:00
Period                                     1267 days 04:00:00
Start Value                                             100.0
Min Value                                   98.04005954415159
Max Value                                  1149.8478297603988
End Value                                  1067.1373911376616
Total Return [%]                            967.1373911376616
Benchmark Return [%]                        871.9794036642434
Total Time Exposure [%]                     22.26094962514797
Max Gross Exposure [%]                     102.22417370532968
Max Drawdown [%]                           18.118043734877617
Max Drawdown Duration                       401 days 15:00:00
Total Orders                                              606
Total Fees Paid                             55.16661881320175
Total Trades                                              303
Win Rate [%]                               33.993399339933994
Best Trade [%]                             23.174942080532198
Worst Trade [%]                           -1.2424426426426605
Avg Winning Trade [%]                       4.873752153881491
Avg Losing Trade [%]                      -1.2076701408932948
Avg Winning Trade Duration          1 days 18:01:09.902912621
Avg Losing Trade Duration                     0 days 12:12:36
Profit Factor                              1.8822790402313094
Expectancy                                  3.191872578012086
Sharpe Ratio                                2.157175003408936
Calmar Ratio                                5.396591730716111
Omega Ratio                                1.1867079855162954
Sortino Ratio                                 4.1630291839645

Visual statistics and BNB Chart:

Backtesting Results - Solana

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

SOL
Start                               2020-09-14 07:00:00+00:00
End                                 2023-07-31 11:00:00+00:00
Period                                     1050 days 05:00:00
Start Value                                             100.0
Min Value                                   97.41393059994833
Max Value                                  2178.8945781978705
End Value                                  1950.9539192235045
Total Return [%]                           1850.9539192235045
Benchmark Return [%]                        626.4302263411064
Total Time Exposure [%]                      16.8577663162071
Max Gross Exposure [%]                     102.21451365610064
Max Drawdown [%]                           18.628810698810298
Max Drawdown Duration                       129 days 22:00:00
Total Orders                                              728
Total Fees Paid                            125.66569849160788
Total Trades                                              364
Win Rate [%]                               32.967032967032964
Best Trade [%]                               34.1113406444703
Worst Trade [%]                            -1.242442642642668
Avg Winning Trade [%]                       5.149178773491006
Avg Losing Trade [%]                      -1.1897717091069535
Avg Winning Trade Duration                    0 days 23:59:00
Avg Losing Trade Duration           0 days 05:37:07.868852459
Profit Factor                              1.6869296279603043
Expectancy                                  5.085038239625018
Sharpe Ratio                                2.520471778787911
Calmar Ratio                                9.706381181854793
Omega Ratio                                1.2382399718887498
Sortino Ratio                               5.071820706665083

Visual statistics and SOL Chart:

Conclusion

  • As promised, we have developed and unveiled our results on the bearish side of the market.
  • We've integrated the regime filter, aiming to mitigate downtrends, reduce market exposure time, while simultaneously increasing the win rate and stabilizing the Profit and Loss (PnL).
  • This strategy exceedingly fulfills its goal. The AQTIS system is designed to give great weight to this strategy in both market directions.
  • In summary, we are achieving an average return of 1000%, with an average time exposure of 22.2% and a drawdown of 20.7%.
    Our average win rate with this model is 31.98%, with an average winning trade of 5.3% and a losing trade of 1.19%.

    • What's next?

  • Add a regime filter in breakout long strategy.
  • Backtest the same strategies with larger timeframes, ideal for swing moves.
  • Stack long and short strategy in the top 10 assets by market cap.
  • Optimize execution strategy in CEX.
  • Stack Strategy 1 Mean Reversion + Strategy 2 Breakout.