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Class: DCA_Conditional_Buy_LR_with_TrailingStop - Bear - BTC/USDT - Binance

  • Experiment nickname: Bear
  • Experiment timestamp: 2024-02-04_1941
  • Symbol: BTC/USDT
  • Exchange: Binance
  • Start date: 2021-11-12
  • End date: 2022-11-12
  • Timeframe: 1d
  • Duration: 6.545968770980835s

Optimized parameters

  • band_length=3
  • band_mult=1
  • band_low_pct=2.8111930348691905
  • minimal_benefit_to_start_trailing=1.003
  • reinvest=2
  • dca_budget=50
  • buy_all_days=0
  • lr_buy_longitude=11

Results

  • Return: -9.49249976588443% over -73.78119881357838% on buy and hold.
  • Initial investment: 1000.0
  • Final result: 905.0750023411557

Interactive simulation graph: bt_interactive_plot.html

Details

Backtesting stats:

Start                     2021-11-12 00:00:00
End                       2022-11-12 00:00:00
Duration                    365 days 00:00:00
Exposure Time [%]                    87.15847
Equity Final [$]                   905.075002
Equity Peak [$]                   1024.931401
Return [%]                            -9.4925
Buy & Hold Return [%]              -73.781199
Return (Ann.) [%]                   -9.467833
Volatility (Ann.) [%]                9.095637
Sharpe Ratio                              0.0
Sortino Ratio                             0.0
Calmar Ratio                              0.0
Max. Drawdown [%]                  -13.054445
Avg. Drawdown [%]                   -3.767063
Max. Drawdown Duration      228 days 00:00:00
Avg. Drawdown Duration       63 days 00:00:00
# Trades                                   22
Win Rate [%]                        68.181818
Best Trade [%]                      11.499928
Worst Trade [%]                     -64.13213
Avg. Trade [%]                     -13.151987
Max. Trade Duration         318 days 00:00:00
Avg. Trade Duration          59 days 00:00:00
Profit Factor                        0.318507
Expectancy [%]                      -8.710241
SQN                                 -1.660402
_strategy                 DCA_Conditional_...
_equity_curve                             ...
_trades                       Size  EntryB...
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 [%]
9 3 1 2.81119 1.003 2 50 0 11 -9.4925
8 3 1 2.81119 1.003 2 50 0 10 -10.054
141 3 2 2.81119 1.003 2 50 0 11 -10.4277
273 5 1 2.81119 1.003 2 50 0 11 -10.6003
1 3 1 2.81119 1.003 2 50 0 3 -10.7228
140 3 2 2.81119 1.003 2 50 0 10 -11.0005
272 5 1 2.81119 1.003 2 50 0 10 -11.0342
537 9 1 2.81119 1.003 2 50 0 11 -12.5013
10 3 1 2.81119 1.003 2 50 0 12 -12.7831
133 3 2 2.81119 1.003 2 50 0 3 -13.5443

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