Strategy Report: whale_absorption

Live Trading Summary

Performance by Version

Equity Curve

Monthly P&L

Backtest Results

Whale Liquidity Absorption Profile strategy for XAU_USD.

Mechanism:
  1. For each bar, classify as bullish (close > open) or bearish.
  2. Estimate absorption volume per bar from wick ratios:
       Bull bar: upper_wick / range * volume  (selling absorbed by buyers)
       Bear bar: lower_wick / range * volume  (buying absorbed by sellers)
  3. Rolling `lookback`-bar volume profile is built at each step:
       - Volume binned into `profile_bins` price levels.
       - Delta per bin = buy_volume - sell_volume.
       - Absorption per bin = sum of wick-based absorption volumes.
  4. Rolling strength threshold = `strength_filter`-th percentile of recent volumes.
     Bars above this threshold are classified as "strong" (whale activity).
  5. Long entry: strong bullish bar AND (current price bin has above-median absorption
     OR bullish delta dominance at current bin).
  6. Short entry: strong bearish bar AND (current price bin has above-median absorption
     OR bearish delta dominance at current bin).
  7. Stop loss: ATR * atr_sl_mult below/above entry.
  8. Take profit: stop_loss_distance * rr_ratio.

BACKTEST RESULTS AS OF 09/06/2026 (365 day lookback):

Signals: 84 total, 42 filled, 42 unfilled
Total P&L: 371.89
Final capital: 1371.00
Total Trades: 42
Exits: 18 stop loss, 23 take profit, 1 signal
Total Wins: 24
Win Rate: 57.1%
Avg Win Size: 16.30
Avg Loss Size: -7.45
Profit Factor: 2.19
Avg Position Size: 2.88 units
Avg Trade Length: 1h 9m (1.2 candles)
Sharpe Ratio: 2.51
Sortino Ratio: 5.43
Max Drawdown: -5.7%
CAGR: 40.3%
Ann. Volatility: 13.6%
Performance By Direction:
Long: 25 trades, 64.0% win rate, Avg P&L 12.39
Short: 17 trades, 47.1% win rate, Avg P&L 3.65
Performance By Session:
Overlap: 35 trades, 51.4% win rate, Avg P&L 5.68
Us_Late: 7 trades, 85.7% win rate, Avg P&L 24.73

Recent 14-Day Backtest

Trade History