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Class: DCA_Conditional_Buy_LR_with_TrailingStop - Up_and_down - BTC/USDT - Binance

  • Experiment nickname: Up_and_down
  • Experiment timestamp: 2024-02-04_1939
  • Symbol: BTC/USDT
  • Exchange: Binance
  • Start date: 2019-11-01
  • End date: 2022-01-23
  • Timeframe: 1d
  • Duration: 13.188374996185303s

Optimized parameters

  • band_length=34
  • band_mult=2
  • band_low_pct=3.0025190627892058
  • minimal_benefit_to_start_trailing=1.003
  • reinvest=2
  • dca_budget=100
  • buy_all_days=1
  • lr_buy_longitude=10

Results

  • Return: 965.4840942441458% over 292.6135311175407% on buy and hold.
  • Initial investment: 1000.0
  • Final result: 10654.840942441459

Interactive simulation graph: bt_interactive_plot.html

Details

Backtesting stats:

Start                     2019-11-01 00:00:00
End                       2022-01-23 00:00:00
Duration                    814 days 00:00:00
Exposure Time [%]                   94.110429
Equity Final [$]                 10654.840942
Equity Peak [$]                  13022.310489
Return [%]                         965.484094
Buy & Hold Return [%]              292.613531
Return (Ann.) [%]                  188.529184
Volatility (Ann.) [%]              156.671729
Sharpe Ratio                         1.203339
Sortino Ratio                        6.352132
Calmar Ratio                         7.490379
Max. Drawdown [%]                  -25.169512
Avg. Drawdown [%]                   -5.833637
Max. Drawdown Duration      146 days 00:00:00
Avg. Drawdown Duration       16 days 00:00:00
# Trades                                  185
Win Rate [%]                        78.918919
Best Trade [%]                      445.33703
Worst Trade [%]                    -48.114094
Avg. Trade [%]                      23.451009
Max. Trade Duration         280 days 00:00:00
Avg. Trade Duration          91 days 00:00:00
Profit Factor                         7.53917
Expectancy [%]                      52.666248
SQN                                   5.48119
_strategy                 DCA_Conditional_...
_equity_curve                             ...
_trades                         Size  Entr...
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 [%]
1757 34 2 3.00252 1.003 2 100 1 10 965.484
1749 34 2 3.00252 1.003 2 100 1 2 958.571
1759 34 2 3.00252 1.003 2 100 1 12 954.594
1758 34 2 3.00252 1.003 2 100 1 11 953.122
1754 34 2 3.00252 1.003 2 100 1 7 945.571
1753 34 2 3.00252 1.003 2 100 1 6 940.126
1750 34 2 3.00252 1.003 2 100 1 3 936.27
1752 34 2 3.00252 1.003 2 100 1 5 932.841
1751 34 2 3.00252 1.003 2 100 1 4 929.114
1756 34 2 3.00252 1.003 2 100 1 9 922.762

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