From da9f592d3dd06bce867f910d4730934757874129 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 12 Apr 2026 10:00:16 +0200 Subject: [PATCH] docs: update backtesting docs --- docs/backtesting.md | 352 ++++++++++++++++++++++++-------------------- 1 file changed, 189 insertions(+), 163 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index eaf3d1581..5c758880b 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -160,118 +160,131 @@ The most important in the backtesting is to understand the result. A backtesting result will look like that: ``` - BACKTESTING REPORT -┏━━━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓ -┃ Pair ┃ Trades ┃ Avg Profit % ┃ Tot Profit USDT ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃ -┡━━━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩ -│ LTC/USDT:USDT │ 16 │ 1.0 │ 56.176 │ 5.62 │ 16:16:00 │ 16 0 0 100 │ -│ ETC/USDT:USDT │ 12 │ 0.72 │ 30.936 │ 3.09 │ 9:55:00 │ 11 0 1 91.7 │ -│ ETH/USDT:USDT │ 8 │ 0.66 │ 17.864 │ 1.79 │ 1 day, 13:55:00 │ 7 0 1 87.5 │ -│ XLM/USDT:USDT │ 10 │ 0.31 │ 11.054 │ 1.11 │ 12:08:00 │ 9 0 1 90.0 │ -│ BTC/USDT:USDT │ 8 │ 0.21 │ 7.289 │ 0.73 │ 3 days, 1:24:00 │ 6 0 2 75.0 │ -│ XRP/USDT:USDT │ 9 │ -0.14 │ -7.261 │ -0.73 │ 21:18:00 │ 8 0 1 88.9 │ -│ DOT/USDT:USDT │ 6 │ -0.4 │ -9.187 │ -0.92 │ 5:35:00 │ 4 0 2 66.7 │ -│ ADA/USDT:USDT │ 8 │ -1.76 │ -52.098 │ -5.21 │ 11:38:00 │ 6 0 2 75.0 │ -│ TOTAL │ 77 │ 0.22 │ 54.774 │ 5.48 │ 22:12:00 │ 67 0 10 87.0 │ -└───────────────┴────────┴──────────────┴─────────────────┴──────────────┴─────────────────┴────────────────────────┘ - LEFT OPEN TRADES REPORT -┏━━━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓ -┃ Pair ┃ Trades ┃ Avg Profit % ┃ Tot Profit USDT ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃ -┡━━━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩ -│ BTC/USDT:USDT │ 1 │ -4.14 │ -9.930 │ -0.99 │ 17 days, 8:00:00 │ 0 0 1 0 │ -│ ETC/USDT:USDT │ 1 │ -4.24 │ -15.365 │ -1.54 │ 10:40:00 │ 0 0 1 0 │ -│ DOT/USDT:USDT │ 1 │ -5.29 │ -19.125 │ -1.91 │ 11:30:00 │ 0 0 1 0 │ -│ TOTAL │ 3 │ -4.56 │ -44.420 │ -4.44 │ 6 days, 2:03:00 │ 0 0 3 0 │ -└───────────────┴────────┴──────────────┴─────────────────┴──────────────┴──────────────────┴────────────────────────┘ - ENTER TAG STATS -┏━━━━━━━━━━━┳━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓ -┃ Enter Tag ┃ Entries ┃ Avg Profit % ┃ Tot Profit USDT ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃ -┡━━━━━━━━━━━╇━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩ -│ OTHER │ 77 │ 0.22 │ 54.774 │ 5.48 │ 22:12:00 │ 67 0 10 87.0 │ -│ TOTAL │ 77 │ 0.22 │ 54.774 │ 5.48 │ 22:12:00 │ 67 0 10 87.0 │ -└───────────┴─────────┴──────────────┴─────────────────┴──────────────┴──────────────┴────────────────────────┘ - EXIT REASON STATS -┏━━━━━━━━━━━━━┳━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓ -┃ Exit Reason ┃ Exits ┃ Avg Profit % ┃ Tot Profit USDT ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃ -┡━━━━━━━━━━━━━╇━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩ -│ roi │ 67 │ 1.05 │ 242.179 │ 24.22 │ 15:49:00 │ 67 0 0 100 │ -│ exit_signal │ 4 │ -2.23 │ -31.217 │ -3.12 │ 1 day, 8:38:00 │ 0 0 4 0 │ -│ force_exit │ 3 │ -4.56 │ -44.420 │ -4.44 │ 6 days, 2:03:00 │ 0 0 3 0 │ -│ stop_loss │ 3 │ -10.14 │ -111.768 │ -11.18 │ 1 day, 3:05:00 │ 0 0 3 0 │ -│ TOTAL │ 77 │ 0.22 │ 54.774 │ 5.48 │ 22:12:00 │ 67 0 10 87.0 │ -└─────────────┴───────┴──────────────┴─────────────────┴──────────────┴─────────────────┴────────────────────────┘ - MIXED TAG STATS -┏━━━━━━━━━━━┳━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓ -┃ Enter Tag ┃ Exit Reason ┃ Trades ┃ Avg Profit % ┃ Tot Profit USDT ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃ -┡━━━━━━━━━━━╇━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩ -│ │ roi │ 67 │ 1.05 │ 242.179 │ 24.22 │ 15:49:00 │ 67 0 0 100 │ -│ │ exit_signal │ 4 │ -2.23 │ -31.217 │ -3.12 │ 1 day, 8:38:00 │ 0 0 4 0 │ -│ │ force_exit │ 3 │ -4.56 │ -44.420 │ -4.44 │ 6 days, 2:03:00 │ 0 0 3 0 │ -│ │ stop_loss │ 3 │ -10.14 │ -111.768 │ -11.18 │ 1 day, 3:05:00 │ 0 0 3 0 │ -│ TOTAL │ │ 77 │ 0.22 │ 54.774 │ 5.48 │ 22:12:00 │ 67 0 10 87.0 │ -└───────────┴─────────────┴────────┴──────────────┴─────────────────┴──────────────┴─────────────────┴────────────────────────┘ - SUMMARY METRICS -┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓ -┃ Metric ┃ Value ┃ -┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩ -│ Backtesting from │ 2025-07-01 00:00:00 │ -│ Backtesting to │ 2025-08-01 00:00:00 │ -│ Trading Mode │ Isolated Futures │ -│ Max open trades │ 3 │ -│ │ │ -│ Total/Daily Avg Trades │ 77 / 2.48 │ -│ Starting balance │ 1000 USDT │ -│ Final balance │ 1054.669 USDT │ -│ Absolute profit │ 54.669 USDT │ -│ Total profit % │ 5.47% │ -│ CAGR % │ 87.14% │ -│ Sortino │ 2.46 │ -│ Sharpe │ 3.73 │ -│ Calmar │ 40.81 │ -│ SQN │ 0.69 │ -│ Profit factor │ 1.29 │ -│ Expectancy (Ratio) │ 0.71 (0.04) │ -│ Avg. daily profit │ 1.764 USDT │ -│ Avg. stake amount │ 345.251 USDT │ -│ Total trade volume │ 53352.96 USDT │ -│ │ │ -│ Long / Short trades │ 67 / 10 │ -│ Long / Short profit % │ 8.93% / -3.46% │ -│ Long / Short profit USDT │ 89.262 / -34.593 │ -│ │ │ -│ Best Pair │ LTC/USDT:USDT 5.62% │ -│ Worst Pair │ ADA/USDT:USDT -5.21% │ -│ Best trade │ ETC/USDT:USDT 2.00% │ -│ Worst trade │ ADA/USDT:USDT -10.17% │ -│ Best day │ 26.931 USDT │ -│ Worst day │ -47.741 USDT │ -│ Days win/draw/lose │ 20 / 6 / 5 │ -│ Min/Max/Avg. Duration Winners │ 0d 00:35 / 5d 18:15 / 0d 15:49 │ -│ Min/Max/Avg. Duration Losers │ 0d 10:40 / 17d 08:00 / 2d 17:00 │ -│ Max Consecutive Wins / Loss │ 36 / 3 │ -│ Rejected Entry signals │ 258 │ -│ Entry/Exit Timeouts │ 0 / 0 │ -│ │ │ -│ Min/Max balance realized │ 1003.168 USDT / 1149.577 USDT │ -│ Min/Max balance unrealized │ 1000 USDT / 1149.577 USDT │ -│ Min/Max balance dates │ 2025-07-01 00:05:00 / 2025-07-22 15:15:00 │ -│ Max % of account underwater │ 8.26% │ -│ Absolute drawdown │ 94.908 USDT (8.26%) │ -│ Drawdown duration │ 9 days 08:50:00 │ -│ Profit at drawdown start │ 149.577 USDT │ -│ Profit at drawdown end │ 54.669 USDT │ -│ Drawdown start │ 2025-07-22 15:10:00 │ -│ Drawdown end │ 2025-08-01 00:00:00 │ -│ Market change │ 30.51% │ -└───────────────────────────────┴───────────────────────────────────────────┘ + BACKTESTING REPORT +┏━━━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓ +┃ Pair ┃ Trades ┃ Avg Profit % ┃ Tot Profit ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃ +┡━━━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩ +│ LTC/USDT:USDT │ 16 │ 1.01 │ 56.882 │ 5.69 │ 16:16:00 │ 16 0 0 100 │ +│ ETC/USDT:USDT │ 12 │ 0.73 │ 31.513 │ 3.15 │ 9:55:00 │ 11 0 1 91.7 │ +│ ETH/USDT:USDT │ 8 │ 0.69 │ 18.659 │ 1.87 │ 1 day, 13:55:00 │ 7 0 1 87.5 │ +│ XLM/USDT:USDT │ 10 │ 0.3 │ 10.694 │ 1.07 │ 12:08:00 │ 9 0 1 90.0 │ +│ BTC/USDT:USDT │ 8 │ 0.22 │ 7.502 │ 0.75 │ 3 days, 1:24:00 │ 6 0 2 75.0 │ +│ XRP/USDT:USDT │ 9 │ -0.13 │ -6.837 │ -0.68 │ 21:18:00 │ 8 0 1 88.9 │ +│ DOT/USDT:USDT │ 6 │ -0.39 │ -9.169 │ -0.92 │ 5:35:00 │ 4 0 2 66.7 │ +│ ADA/USDT:USDT │ 8 │ -1.75 │ -52.089 │ -5.21 │ 11:38:00 │ 6 0 2 75.0 │ +│ TOTAL │ 77 │ 0.23 │ 57.157 │ 5.72 │ 22:12:00 │ 67 0 10 87.0 │ +└───────────────┴────────┴──────────────┴─────────────┴──────────────┴─────────────────┴────────────────────────┘ + LEFT OPEN TRADES REPORT +┏━━━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓ +┃ Pair ┃ Trades ┃ Avg Profit % ┃ Tot Profit ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃ +┡━━━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩ +│ BTC/USDT:USDT │ 1 │ -4.14 │ -9.930 │ -0.99 │ 17 days, 8:00:00 │ 0 0 1 0 │ +│ ETC/USDT:USDT │ 1 │ -4.24 │ -15.365 │ -1.54 │ 10:40:00 │ 0 0 1 0 │ +│ DOT/USDT:USDT │ 1 │ -5.29 │ -19.166 │ -1.92 │ 11:30:00 │ 0 0 1 0 │ +│ TOTAL │ 3 │ -4.56 │ -44.461 │ -4.45 │ 6 days, 2:03:00 │ 0 0 3 0 │ +└───────────────┴────────┴──────────────┴─────────────┴──────────────┴──────────────────┴────────────────────────┘ + ENTER TAG STATS +┏━━━━━━━━━━━┳━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓ +┃ Enter Tag ┃ Entries ┃ Avg Profit % ┃ Tot Profit ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃ +┡━━━━━━━━━━━╇━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩ +│ OTHER │ 77 │ 0.23 │ 57.157 │ 5.72 │ 22:12:00 │ 67 0 10 87.0 │ +│ TOTAL │ 77 │ 0.23 │ 57.157 │ 5.72 │ 22:12:00 │ 67 0 10 87.0 │ +└───────────┴─────────┴──────────────┴─────────────┴──────────────┴──────────────┴────────────────────────┘ + EXIT REASON STATS +┏━━━━━━━━━━━━━┳━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓ +┃ Exit Reason ┃ Exits ┃ Avg Profit % ┃ Tot Profit ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃ +┡━━━━━━━━━━━━━╇━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩ +│ roi │ 67 │ 1.06 │ 245.117 │ 24.51 │ 15:49:00 │ 67 0 0 100 │ +│ exit_signal │ 4 │ -2.23 │ -31.226 │ -3.12 │ 1 day, 8:38:00 │ 0 0 4 0 │ +│ force_exit │ 3 │ -4.56 │ -44.461 │ -4.45 │ 6 days, 2:03:00 │ 0 0 3 0 │ +│ stop_loss │ 3 │ -10.14 │ -112.273 │ -11.23 │ 1 day, 3:05:00 │ 0 0 3 0 │ +│ TOTAL │ 77 │ 0.23 │ 57.157 │ 5.72 │ 22:12:00 │ 67 0 10 87.0 │ +└─────────────┴───────┴──────────────┴─────────────┴──────────────┴─────────────────┴────────────────────────┘ + MIXED TAG STATS +┏━━━━━━━━━━━┳━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓ +┃ Enter Tag ┃ Exit Reason ┃ Trades ┃ Avg Profit % ┃ Tot Profit ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃ +┡━━━━━━━━━━━╇━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩ +│ │ roi │ 67 │ 1.06 │ 245.117 │ 24.51 │ 15:49:00 │ 67 0 0 100 │ +│ │ exit_signal │ 4 │ -2.23 │ -31.226 │ -3.12 │ 1 day, 8:38:00 │ 0 0 4 0 │ +│ │ force_exit │ 3 │ -4.56 │ -44.461 │ -4.45 │ 6 days, 2:03:00 │ 0 0 3 0 │ +│ │ stop_loss │ 3 │ -10.14 │ -112.273 │ -11.23 │ 1 day, 3:05:00 │ 0 0 3 0 │ +│ TOTAL │ │ 77 │ 0.23 │ 57.157 │ 5.72 │ 22:12:00 │ 67 0 10 87.0 │ +└───────────┴─────────────┴────────┴──────────────┴─────────────┴──────────────┴─────────────────┴────────────────────────┘ + SUMMARY METRICS +┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓ +┃ Metric ┃ Value ┃ +┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩ +│ Backtesting from │ 2025-07-01 00:00:00 │ +│ Backtesting to │ 2025-08-01 00:00:00 │ +│ Trading Mode │ Isolated Futures │ +│ Max open trades │ 3 │ +│ │ │ +│ Total/Daily Avg Trades │ 77 / 2.48 │ +│ Starting balance │ 1000 USDT │ +│ Final balance │ 1057.157 USDT │ +│ Absolute profit │ 57.157 USDT │ +│ Total profit % │ 5.72% │ +│ CAGR % │ 92.41% │ +│ Sharpe (closed trades) │ 3.89 │ +│ Sortino (closed trades) │ 2.57 │ +│ Calmar (closed trades) │ 43.03 │ +│ SQN │ 0.71 │ +│ Profit factor │ 1.30 │ +│ Expectancy (Ratio) │ 0.74 (0.04) │ +│ Avg. daily profit │ 1.844 USDT │ +│ Avg. stake amount │ 345.478 USDT │ +│ Market change │ 30.51% │ +│ Total trade volume │ 53390.788 USDT │ +│ │ │ +│ Long / Short trades │ 67 / 10 │ +│ Long / Short profit % │ 9.19% / -3.48% │ +│ Long / Short profit USDT │ 91.940 / -34.783 │ +│ │ │ +│ Best Pair │ LTC/USDT:USDT 5.69% │ +│ Worst Pair │ ADA/USDT:USDT -5.21% │ +│ Best trade │ XRP/USDT:USDT 2.00% │ +│ Worst trade │ ADA/USDT:USDT -10.17% │ +│ Best day │ 27.031 USDT │ +│ Worst day │ -47.826 USDT │ +│ Days win/draw/lose │ 20 / 6 / 5 │ +│ Min/Max/Avg. Duration Winners │ 0d 00:35 / 5d 18:15 / 0d 15:49 │ +│ Min/Max/Avg. Duration Losers │ 0d 10:40 / 17d 08:00 / 2d 17:00 │ +│ Max Consecutive Wins / Loss │ 36 / 3 │ +│ Rejected Entry signals │ 258 │ +│ Entry/Exit Timeouts │ 0 / 0 │ +│ │ │ +│ Min/Max balance (closed trades) │ 1003.205 USDT / 1151.425 USDT │ +│ Max % of account underwater │ 8.19% │ +│ Absolute drawdown │ 94.268 USDT (8.19%) │ +│ Drawdown duration │ 9 days 08:50:00 │ +│ Profit at drawdown start │ 151.425 USDT │ +│ Profit at drawdown end │ 57.157 USDT │ +│ Drawdown start │ 2025-07-22 15:10:00 │ +│ Drawdown end │ 2025-08-01 00:00:00 │ +│ │ │ +│ Wallet based Metrics │ │ +│ Min/Max balance (wallet balance) │ 1000 USDT / 1151.425 USDT │ +│ Min/Max balance dates (wallet balance) │ 2025-07-01 00:05:00 / 2025-07-22 15:15:00 │ +│ Max % of account underwater (balance) │ 5.01% │ +│ Absolute drawdown (wallet balance) │ 54.76 USDT (4.76%) │ +│ Drawdown duration │ 7 days 20:35:00 │ +│ Profit at drawdown start │ 151.425 USDT │ +│ Profit at drawdown end │ 96.664 USDT │ +│ Drawdown start │ 2025-07-22 15:15:00 │ +│ Drawdown end │ 2025-07-30 11:50:00 │ +│ Sharpe (daily wallet balance) │ 4.42 │ +│ Sortino (daily wallet balance) │ 4.35 │ +│ Calmar (daily wallet balance) │ 136.07 │ +└────────────────────────────────────────┴───────────────────────────────────────────┘ Backtested 2025-07-01 00:00:00 -> 2025-08-01 00:00:00 | Max open trades : 3 - STRATEGY SUMMARY -┏━━━━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━┓ -┃ Strategy ┃ Trades ┃ Avg Profit % ┃ Tot Profit USDT ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃ Drawdown ┃ -┡━━━━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━┩ -│ SampleStrategy │ 77 │ 0.22 │ 54.774 │ 5.48 │ 22:12:00 │ 67 0 10 87.0 │ 94.647 USDT 8.23% │ -└────────────────┴────────┴──────────────┴─────────────────┴──────────────┴──────────────┴────────────────────────┴────────────────────┘ + STRATEGY SUMMARY +┏━━━━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━┓ +┃ Strategy ┃ Trades ┃ Avg Profit % ┃ Tot Profit ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃ Drawdown ┃ +┡━━━━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━┩ +│ SampleStrategy │ 77 │ 0.23 │ 57.157 │ 5.72 │ 22:12:00 │ 67 0 10 87.0 │ 94.268 8.19% │ +└────────────────┴────────┴──────────────┴─────────────┴──────────────┴──────────────┴────────────────────────┴────────────────┘ + ``` ### Backtesting report table @@ -330,59 +343,72 @@ The last element of the backtest report is the summary metrics table. It contains key metrics about the performance of your strategy on backtesting data. ``` -┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓ -┃ Metric ┃ Value ┃ -┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩ -│ Backtesting from │ 2025-07-01 00:00:00 │ -│ Backtesting to │ 2025-08-01 00:00:00 │ -│ Trading Mode │ Isolated Futures │ -│ Max open trades │ 3 │ -│ │ │ -│ Total/Daily Avg Trades │ 77 / 2.48 │ -│ Starting balance │ 1000 USDT │ -│ Final balance │ 1054.669 USDT │ -│ Absolute profit │ 54.669 USDT │ -│ Total profit % │ 5.47% │ -│ CAGR % │ 87.14% │ -│ Sortino │ 2.46 │ -│ Sharpe │ 3.73 │ -│ Calmar │ 40.81 │ -│ SQN │ 0.69 │ -│ Profit factor │ 1.29 │ -│ Expectancy (Ratio) │ 0.71 (0.04) │ -│ Avg. daily profit │ 1.764 USDT │ -│ Avg. stake amount │ 345.251 USDT │ -│ Total trade volume │ 53352.96 USDT │ -│ │ │ -│ Long / Short trades │ 67 / 10 │ -│ Long / Short profit % │ 8.93% / -3.46% │ -│ Long / Short profit USDT │ 89.262 / -34.593 │ -│ │ │ -│ Best Pair │ LTC/USDT:USDT 5.62% │ -│ Worst Pair │ ADA/USDT:USDT -5.21% │ -│ Best trade │ ETC/USDT:USDT 2.00% │ -│ Worst trade │ ADA/USDT:USDT -10.17% │ -│ Best day │ 26.931 USDT │ -│ Worst day │ -47.741 USDT │ -│ Days win/draw/lose │ 20 / 6 / 5 │ -│ Min/Max/Avg. Duration Winners │ 0d 00:35 / 5d 18:15 / 0d 15:49 │ -│ Min/Max/Avg. Duration Losers │ 0d 10:40 / 17d 08:00 / 2d 17:00 │ -│ Max Consecutive Wins / Loss │ 36 / 3 │ -│ Rejected Entry signals │ 258 │ -│ Entry/Exit Timeouts │ 0 / 0 │ -│ │ │ -│ Min/Max balance realized │ 1003.168 USDT / 1149.577 USDT │ -│ Min/Max balance unrealized │ 1000 USDT / 1149.577 USDT │ -│ Min/Max balance dates │ 2025-07-01 00:05:00 / 2025-07-22 15:15:00 │ -│ Max % of account underwater │ 8.26% │ -│ Absolute drawdown │ 94.908 USDT (8.26%) │ -│ Drawdown duration │ 9 days 08:50:00 │ -│ Profit at drawdown start │ 149.577 USDT │ -│ Profit at drawdown end │ 54.669 USDT │ -│ Drawdown start │ 2025-07-22 15:10:00 │ -│ Drawdown end │ 2025-08-01 00:00:00 │ -│ Market change │ 30.51% │ -└───────────────────────────────┴───────────────────────────────────────────┘ + SUMMARY METRICS +┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓ +┃ Metric ┃ Value ┃ +┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩ +│ Backtesting from │ 2025-07-01 00:00:00 │ +│ Backtesting to │ 2025-08-01 00:00:00 │ +│ Trading Mode │ Isolated Futures │ +│ Max open trades │ 3 │ +│ │ │ +│ Total/Daily Avg Trades │ 77 / 2.48 │ +│ Starting balance │ 1000 USDT │ +│ Final balance │ 1057.157 USDT │ +│ Absolute profit │ 57.157 USDT │ +│ Total profit % │ 5.72% │ +│ CAGR % │ 92.41% │ +│ Sharpe (closed trades) │ 3.89 │ +│ Sortino (closed trades) │ 2.57 │ +│ Calmar (closed trades) │ 43.03 │ +│ SQN │ 0.71 │ +│ Profit factor │ 1.30 │ +│ Expectancy (Ratio) │ 0.74 (0.04) │ +│ Avg. daily profit │ 1.844 USDT │ +│ Avg. stake amount │ 345.478 USDT │ +│ Market change │ 30.51% │ +│ Total trade volume │ 53390.788 USDT │ +│ │ │ +│ Long / Short trades │ 67 / 10 │ +│ Long / Short profit % │ 9.19% / -3.48% │ +│ Long / Short profit USDT │ 91.940 / -34.783 │ +│ │ │ +│ Best Pair │ LTC/USDT:USDT 5.69% │ +│ Worst Pair │ ADA/USDT:USDT -5.21% │ +│ Best trade │ XRP/USDT:USDT 2.00% │ +│ Worst trade │ ADA/USDT:USDT -10.17% │ +│ Best day │ 27.031 USDT │ +│ Worst day │ -47.826 USDT │ +│ Days win/draw/lose │ 20 / 6 / 5 │ +│ Min/Max/Avg. Duration Winners │ 0d 00:35 / 5d 18:15 / 0d 15:49 │ +│ Min/Max/Avg. Duration Losers │ 0d 10:40 / 17d 08:00 / 2d 17:00 │ +│ Max Consecutive Wins / Loss │ 36 / 3 │ +│ Rejected Entry signals │ 258 │ +│ Entry/Exit Timeouts │ 0 / 0 │ +│ │ │ +│ Min/Max balance (closed trades) │ 1003.205 USDT / 1151.425 USDT │ +│ Max % of account underwater │ 8.19% │ +│ Absolute drawdown │ 94.268 USDT (8.19%) │ +│ Drawdown duration │ 9 days 08:50:00 │ +│ Profit at drawdown start │ 151.425 USDT │ +│ Profit at drawdown end │ 57.157 USDT │ +│ Drawdown start │ 2025-07-22 15:10:00 │ +│ Drawdown end │ 2025-08-01 00:00:00 │ +│ │ │ +│ Wallet based Metrics │ │ +│ Min/Max balance (wallet balance) │ 1000 USDT / 1151.425 USDT │ +│ Min/Max balance dates (wallet balance) │ 2025-07-01 00:05:00 / 2025-07-22 15:15:00 │ +│ Max % of account underwater (balance) │ 5.01% │ +│ Absolute drawdown (wallet balance) │ 54.76 USDT (4.76%) │ +│ Drawdown duration │ 7 days 20:35:00 │ +│ Profit at drawdown start │ 151.425 USDT │ +│ Profit at drawdown end │ 96.664 USDT │ +│ Drawdown start │ 2025-07-22 15:15:00 │ +│ Drawdown end │ 2025-07-30 11:50:00 │ +│ Sharpe (daily wallet balance) │ 4.42 │ +│ Sortino (daily wallet balance) │ 4.35 │ +│ Calmar (daily wallet balance) │ 136.07 │ +└────────────────────────────────────────┴───────────────────────────────────────────┘ ``` - `Backtesting from` / `Backtesting to`: Backtesting range (usually defined with the `--timerange` option).