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Class: DCA_Conditional_Buy_LR_with_TrailingStop - Range - ETH/USDT - Binance

  • Experiment nickname: Range
  • Experiment timestamp: 2024-02-04_1951
  • Symbol: ETH/USDT
  • Exchange: Binance
  • Start date: 2022-06-16
  • End date: 2023-03-10
  • Timeframe: 1d
  • Duration: 6.979151487350464s

Optimized parameters

  • band_length=11
  • band_mult=1
  • band_low_pct=2.8878767
  • minimal_benefit_to_start_trailing=1.003
  • reinvest=2
  • dca_budget=1000
  • buy_all_days=0
  • lr_buy_longitude=6

Results

  • Return: 81.84214298247093% over 33.49928855895996% on buy and hold.
  • Initial investment: 1000.0
  • Final result: 1818.4214298247093

Interactive simulation graph: bt_interactive_plot.html

Details

Backtesting stats:

Start                     2022-06-16 00:00:00
End                       2023-03-10 00:00:00
Duration                    267 days 00:00:00
Exposure Time [%]                        50.0
Equity Final [$]                   1818.42143
Equity Peak [$]                   1876.654019
Return [%]                          81.842143
Buy & Hold Return [%]               33.499289
Return (Ann.) [%]                  125.781555
Volatility (Ann.) [%]               95.885292
Sharpe Ratio                         1.311792
Sortino Ratio                        6.169422
Calmar Ratio                         7.891028
Max. Drawdown [%]                  -15.939818
Avg. Drawdown [%]                   -5.238467
Max. Drawdown Duration       68 days 00:00:00
Avg. Drawdown Duration       17 days 00:00:00
# Trades                                    6
Win Rate [%]                            100.0
Best Trade [%]                      27.513899
Worst Trade [%]                      3.499545
Avg. Trade [%]                      13.415768
Max. Trade Duration          41 days 00:00:00
Avg. Trade Duration          22 days 00:00:00
Profit Factor                             NaN
Expectancy [%]                      13.765177
SQN                                  3.436623
_strategy                 DCA_Conditional_...
_equity_curve                             ...
_trades                      Size  EntryBa...
dtype: object

Top 10 configurations

band_length band_mult band_low_pct minimal_benefit_to_start_trailing reinvest dca_budget buy_all_days lr_buy_longitude Return [%]
906 11 1 2.88788 1.003 2 1000 0 6 81.8421
112 3 1 2.88788 1.003 2 1000 0 4 77.3272
1170 13 1 2.88788 1.003 2 1000 0 6 72.2407
486 5 2 2.88788 1.003 2 500 0 4 68.3222
1021 11 2 2.88788 1.003 2 500 0 11 67.2305
1022 11 2 2.88788 1.003 2 500 0 12 67.2305
642 9 1 2.88788 1.003 2 1000 0 6 65.3347
90 3 1 2.88788 1.003 2 500 0 4 64.9099
68 3 1 2.88788 1.003 2 400 0 4 64.4606
464 5 2 2.88788 1.003 2 400 0 4 62.1478

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