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Class: DCA_Conditional_Buy_LR_with_TrailingStop - Up_and_down - ETH/USDT - Binance

  • Experiment nickname: Up_and_down
  • Experiment timestamp: 2024-02-04_1948
  • Symbol: ETH/USDT
  • Exchange: Binance
  • Start date: 2019-11-01
  • End date: 2022-01-23
  • Timeframe: 1d
  • Duration: 19.38255548477173s

Optimized parameters

  • band_length=21
  • band_mult=2
  • band_low_pct=3.8906393
  • minimal_benefit_to_start_trailing=1.003
  • reinvest=2
  • dca_budget=500
  • buy_all_days=1
  • lr_buy_longitude=12

Results

  • Return: 1734.846979884518% over 1288.575267791748% on buy and hold.
  • Initial investment: 1000.0
  • Final result: 18348.46979884518

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 [%]                   93.251534
Equity Final [$]                 18348.469799
Equity Peak [$]                  24356.900137
Return [%]                         1734.84698
Buy & Hold Return [%]             1288.575268
Return (Ann.) [%]                  268.049881
Volatility (Ann.) [%]              318.068292
Sharpe Ratio                         0.842743
Sortino Ratio                        5.625764
Calmar Ratio                         5.841737
Max. Drawdown [%]                  -45.885303
Avg. Drawdown [%]                    -9.16283
Max. Drawdown Duration      162 days 00:00:00
Avg. Drawdown Duration       19 days 00:00:00
# Trades                                  119
Win Rate [%]                         84.87395
Best Trade [%]                     184.111011
Worst Trade [%]                     -47.95594
Avg. Trade [%]                      21.857992
Max. Trade Duration         166 days 00:00:00
Avg. Trade Duration          58 days 00:00:00
Profit Factor                         5.87608
Expectancy [%]                      29.426315
SQN                                   7.30593
_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 [%]
1561 21 2 3.89064 1.003 2 500 1 12 1734.85
1296 13 2 3.89064 1.003 2 500 1 11 1683.71
1274 13 2 3.89064 1.003 2 400 1 11 1677.18
1560 21 2 3.89064 1.003 2 500 1 11 1645.87
1252 13 2 3.89064 1.003 2 200 1 11 1587.41
1253 13 2 3.89064 1.003 2 200 1 12 1578.34
1539 21 2 3.89064 1.003 2 400 1 12 1535.12
1429 21 1 3.89064 1.003 2 500 1 12 1510.53
1551 21 2 3.89064 1.003 2 500 1 2 1500.85
1692 34 1 3.89064 1.003 2 500 1 11 1499.25

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