docs: update backtesting docs
This commit is contained in:
Matthias
+134
-108
@@ -161,59 +161,59 @@ A backtesting result will look like that:
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```
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```
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BACKTESTING REPORT
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BACKTESTING REPORT
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┏━━━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓
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┏━━━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓
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┃ Pair ┃ Trades ┃ Avg Profit % ┃ Tot Profit USDT ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃
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┃ Pair ┃ Trades ┃ Avg Profit % ┃ Tot Profit ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃
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┡━━━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩
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┡━━━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩
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│ LTC/USDT:USDT │ 16 │ 1.0 │ 56.176 │ 5.62 │ 16:16:00 │ 16 0 0 100 │
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│ LTC/USDT:USDT │ 16 │ 1.01 │ 56.882 │ 5.69 │ 16:16:00 │ 16 0 0 100 │
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│ ETC/USDT:USDT │ 12 │ 0.72 │ 30.936 │ 3.09 │ 9:55:00 │ 11 0 1 91.7 │
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│ ETC/USDT:USDT │ 12 │ 0.73 │ 31.513 │ 3.15 │ 9:55:00 │ 11 0 1 91.7 │
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│ ETH/USDT:USDT │ 8 │ 0.66 │ 17.864 │ 1.79 │ 1 day, 13:55:00 │ 7 0 1 87.5 │
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│ ETH/USDT:USDT │ 8 │ 0.69 │ 18.659 │ 1.87 │ 1 day, 13:55:00 │ 7 0 1 87.5 │
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│ XLM/USDT:USDT │ 10 │ 0.31 │ 11.054 │ 1.11 │ 12:08:00 │ 9 0 1 90.0 │
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│ XLM/USDT:USDT │ 10 │ 0.3 │ 10.694 │ 1.07 │ 12:08:00 │ 9 0 1 90.0 │
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│ BTC/USDT:USDT │ 8 │ 0.21 │ 7.289 │ 0.73 │ 3 days, 1:24:00 │ 6 0 2 75.0 │
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│ BTC/USDT:USDT │ 8 │ 0.22 │ 7.502 │ 0.75 │ 3 days, 1:24:00 │ 6 0 2 75.0 │
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│ XRP/USDT:USDT │ 9 │ -0.14 │ -7.261 │ -0.73 │ 21:18:00 │ 8 0 1 88.9 │
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│ XRP/USDT:USDT │ 9 │ -0.13 │ -6.837 │ -0.68 │ 21:18:00 │ 8 0 1 88.9 │
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│ DOT/USDT:USDT │ 6 │ -0.4 │ -9.187 │ -0.92 │ 5:35:00 │ 4 0 2 66.7 │
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│ DOT/USDT:USDT │ 6 │ -0.39 │ -9.169 │ -0.92 │ 5:35:00 │ 4 0 2 66.7 │
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│ ADA/USDT:USDT │ 8 │ -1.76 │ -52.098 │ -5.21 │ 11:38:00 │ 6 0 2 75.0 │
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│ ADA/USDT:USDT │ 8 │ -1.75 │ -52.089 │ -5.21 │ 11:38:00 │ 6 0 2 75.0 │
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│ TOTAL │ 77 │ 0.22 │ 54.774 │ 5.48 │ 22:12:00 │ 67 0 10 87.0 │
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│ TOTAL │ 77 │ 0.23 │ 57.157 │ 5.72 │ 22:12:00 │ 67 0 10 87.0 │
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└───────────────┴────────┴──────────────┴─────────────────┴──────────────┴─────────────────┴────────────────────────┘
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└───────────────┴────────┴──────────────┴─────────────┴──────────────┴─────────────────┴────────────────────────┘
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LEFT OPEN TRADES REPORT
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LEFT OPEN TRADES REPORT
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┏━━━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓
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┏━━━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓
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┃ Pair ┃ Trades ┃ Avg Profit % ┃ Tot Profit USDT ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃
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┃ Pair ┃ Trades ┃ Avg Profit % ┃ Tot Profit ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃
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┡━━━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩
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┡━━━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩
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│ BTC/USDT:USDT │ 1 │ -4.14 │ -9.930 │ -0.99 │ 17 days, 8:00:00 │ 0 0 1 0 │
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│ BTC/USDT:USDT │ 1 │ -4.14 │ -9.930 │ -0.99 │ 17 days, 8:00:00 │ 0 0 1 0 │
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│ ETC/USDT:USDT │ 1 │ -4.24 │ -15.365 │ -1.54 │ 10:40:00 │ 0 0 1 0 │
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│ ETC/USDT:USDT │ 1 │ -4.24 │ -15.365 │ -1.54 │ 10:40:00 │ 0 0 1 0 │
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│ DOT/USDT:USDT │ 1 │ -5.29 │ -19.125 │ -1.91 │ 11:30:00 │ 0 0 1 0 │
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│ DOT/USDT:USDT │ 1 │ -5.29 │ -19.166 │ -1.92 │ 11:30:00 │ 0 0 1 0 │
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│ TOTAL │ 3 │ -4.56 │ -44.420 │ -4.44 │ 6 days, 2:03:00 │ 0 0 3 0 │
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│ TOTAL │ 3 │ -4.56 │ -44.461 │ -4.45 │ 6 days, 2:03:00 │ 0 0 3 0 │
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└───────────────┴────────┴──────────────┴─────────────────┴──────────────┴──────────────────┴────────────────────────┘
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└───────────────┴────────┴──────────────┴─────────────┴──────────────┴──────────────────┴────────────────────────┘
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ENTER TAG STATS
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ENTER TAG STATS
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┏━━━━━━━━━━━┳━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓
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┏━━━━━━━━━━━┳━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓
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┃ Enter Tag ┃ Entries ┃ Avg Profit % ┃ Tot Profit USDT ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃
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┃ Enter Tag ┃ Entries ┃ Avg Profit % ┃ Tot Profit ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃
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┡━━━━━━━━━━━╇━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩
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┡━━━━━━━━━━━╇━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩
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│ OTHER │ 77 │ 0.22 │ 54.774 │ 5.48 │ 22:12:00 │ 67 0 10 87.0 │
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│ OTHER │ 77 │ 0.23 │ 57.157 │ 5.72 │ 22:12:00 │ 67 0 10 87.0 │
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│ TOTAL │ 77 │ 0.22 │ 54.774 │ 5.48 │ 22:12:00 │ 67 0 10 87.0 │
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│ TOTAL │ 77 │ 0.23 │ 57.157 │ 5.72 │ 22:12:00 │ 67 0 10 87.0 │
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└───────────┴─────────┴──────────────┴─────────────────┴──────────────┴──────────────┴────────────────────────┘
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└───────────┴─────────┴──────────────┴─────────────┴──────────────┴──────────────┴────────────────────────┘
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EXIT REASON STATS
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EXIT REASON STATS
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┏━━━━━━━━━━━━━┳━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓
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┏━━━━━━━━━━━━━┳━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓
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┃ Exit Reason ┃ Exits ┃ Avg Profit % ┃ Tot Profit USDT ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃
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┃ Exit Reason ┃ Exits ┃ Avg Profit % ┃ Tot Profit ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃
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┡━━━━━━━━━━━━━╇━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩
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┡━━━━━━━━━━━━━╇━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩
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│ roi │ 67 │ 1.05 │ 242.179 │ 24.22 │ 15:49:00 │ 67 0 0 100 │
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│ roi │ 67 │ 1.06 │ 245.117 │ 24.51 │ 15:49:00 │ 67 0 0 100 │
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│ exit_signal │ 4 │ -2.23 │ -31.217 │ -3.12 │ 1 day, 8:38:00 │ 0 0 4 0 │
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│ exit_signal │ 4 │ -2.23 │ -31.226 │ -3.12 │ 1 day, 8:38:00 │ 0 0 4 0 │
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│ force_exit │ 3 │ -4.56 │ -44.420 │ -4.44 │ 6 days, 2:03:00 │ 0 0 3 0 │
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│ force_exit │ 3 │ -4.56 │ -44.461 │ -4.45 │ 6 days, 2:03:00 │ 0 0 3 0 │
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│ stop_loss │ 3 │ -10.14 │ -111.768 │ -11.18 │ 1 day, 3:05:00 │ 0 0 3 0 │
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│ stop_loss │ 3 │ -10.14 │ -112.273 │ -11.23 │ 1 day, 3:05:00 │ 0 0 3 0 │
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│ TOTAL │ 77 │ 0.22 │ 54.774 │ 5.48 │ 22:12:00 │ 67 0 10 87.0 │
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│ TOTAL │ 77 │ 0.23 │ 57.157 │ 5.72 │ 22:12:00 │ 67 0 10 87.0 │
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└─────────────┴───────┴──────────────┴─────────────────┴──────────────┴─────────────────┴────────────────────────┘
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└─────────────┴───────┴──────────────┴─────────────┴──────────────┴─────────────────┴────────────────────────┘
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MIXED TAG STATS
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MIXED TAG STATS
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┏━━━━━━━━━━━┳━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓
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┏━━━━━━━━━━━┳━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┓
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┃ Enter Tag ┃ Exit Reason ┃ Trades ┃ Avg Profit % ┃ Tot Profit USDT ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃
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┃ Enter Tag ┃ Exit Reason ┃ Trades ┃ Avg Profit % ┃ Tot Profit ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃
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┡━━━━━━━━━━━╇━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩
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┡━━━━━━━━━━━╇━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━┩
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│ │ roi │ 67 │ 1.05 │ 242.179 │ 24.22 │ 15:49:00 │ 67 0 0 100 │
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│ │ roi │ 67 │ 1.06 │ 245.117 │ 24.51 │ 15:49:00 │ 67 0 0 100 │
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│ │ exit_signal │ 4 │ -2.23 │ -31.217 │ -3.12 │ 1 day, 8:38:00 │ 0 0 4 0 │
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│ │ exit_signal │ 4 │ -2.23 │ -31.226 │ -3.12 │ 1 day, 8:38:00 │ 0 0 4 0 │
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│ │ force_exit │ 3 │ -4.56 │ -44.420 │ -4.44 │ 6 days, 2:03:00 │ 0 0 3 0 │
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│ │ force_exit │ 3 │ -4.56 │ -44.461 │ -4.45 │ 6 days, 2:03:00 │ 0 0 3 0 │
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│ │ stop_loss │ 3 │ -10.14 │ -111.768 │ -11.18 │ 1 day, 3:05:00 │ 0 0 3 0 │
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│ │ stop_loss │ 3 │ -10.14 │ -112.273 │ -11.23 │ 1 day, 3:05:00 │ 0 0 3 0 │
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│ TOTAL │ │ 77 │ 0.22 │ 54.774 │ 5.48 │ 22:12:00 │ 67 0 10 87.0 │
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│ TOTAL │ │ 77 │ 0.23 │ 57.157 │ 5.72 │ 22:12:00 │ 67 0 10 87.0 │
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└───────────┴─────────────┴────────┴──────────────┴─────────────────┴──────────────┴─────────────────┴────────────────────────┘
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└───────────┴─────────────┴────────┴──────────────┴─────────────┴──────────────┴─────────────────┴────────────────────────┘
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SUMMARY METRICS
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SUMMARY METRICS
|
||||||
┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓
|
┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓
|
||||||
┃ Metric ┃ Value ┃
|
┃ Metric ┃ Value ┃
|
||||||
┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩
|
┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩
|
||||||
│ Backtesting from │ 2025-07-01 00:00:00 │
|
│ Backtesting from │ 2025-07-01 00:00:00 │
|
||||||
│ Backtesting to │ 2025-08-01 00:00:00 │
|
│ Backtesting to │ 2025-08-01 00:00:00 │
|
||||||
│ Trading Mode │ Isolated Futures │
|
│ Trading Mode │ Isolated Futures │
|
||||||
@@ -221,30 +221,31 @@ A backtesting result will look like that:
|
|||||||
│ │ │
|
│ │ │
|
||||||
│ Total/Daily Avg Trades │ 77 / 2.48 │
|
│ Total/Daily Avg Trades │ 77 / 2.48 │
|
||||||
│ Starting balance │ 1000 USDT │
|
│ Starting balance │ 1000 USDT │
|
||||||
│ Final balance │ 1054.669 USDT │
|
│ Final balance │ 1057.157 USDT │
|
||||||
│ Absolute profit │ 54.669 USDT │
|
│ Absolute profit │ 57.157 USDT │
|
||||||
│ Total profit % │ 5.47% │
|
│ Total profit % │ 5.72% │
|
||||||
│ CAGR % │ 87.14% │
|
│ CAGR % │ 92.41% │
|
||||||
│ Sortino │ 2.46 │
|
│ Sharpe (closed trades) │ 3.89 │
|
||||||
│ Sharpe │ 3.73 │
|
│ Sortino (closed trades) │ 2.57 │
|
||||||
│ Calmar │ 40.81 │
|
│ Calmar (closed trades) │ 43.03 │
|
||||||
│ SQN │ 0.69 │
|
│ SQN │ 0.71 │
|
||||||
│ Profit factor │ 1.29 │
|
│ Profit factor │ 1.30 │
|
||||||
│ Expectancy (Ratio) │ 0.71 (0.04) │
|
│ Expectancy (Ratio) │ 0.74 (0.04) │
|
||||||
│ Avg. daily profit │ 1.764 USDT │
|
│ Avg. daily profit │ 1.844 USDT │
|
||||||
│ Avg. stake amount │ 345.251 USDT │
|
│ Avg. stake amount │ 345.478 USDT │
|
||||||
│ Total trade volume │ 53352.96 USDT │
|
│ Market change │ 30.51% │
|
||||||
|
│ Total trade volume │ 53390.788 USDT │
|
||||||
│ │ │
|
│ │ │
|
||||||
│ Long / Short trades │ 67 / 10 │
|
│ Long / Short trades │ 67 / 10 │
|
||||||
│ Long / Short profit % │ 8.93% / -3.46% │
|
│ Long / Short profit % │ 9.19% / -3.48% │
|
||||||
│ Long / Short profit USDT │ 89.262 / -34.593 │
|
│ Long / Short profit USDT │ 91.940 / -34.783 │
|
||||||
│ │ │
|
│ │ │
|
||||||
│ Best Pair │ LTC/USDT:USDT 5.62% │
|
│ Best Pair │ LTC/USDT:USDT 5.69% │
|
||||||
│ Worst Pair │ ADA/USDT:USDT -5.21% │
|
│ Worst Pair │ ADA/USDT:USDT -5.21% │
|
||||||
│ Best trade │ ETC/USDT:USDT 2.00% │
|
│ Best trade │ XRP/USDT:USDT 2.00% │
|
||||||
│ Worst trade │ ADA/USDT:USDT -10.17% │
|
│ Worst trade │ ADA/USDT:USDT -10.17% │
|
||||||
│ Best day │ 26.931 USDT │
|
│ Best day │ 27.031 USDT │
|
||||||
│ Worst day │ -47.741 USDT │
|
│ Worst day │ -47.826 USDT │
|
||||||
│ Days win/draw/lose │ 20 / 6 / 5 │
|
│ 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 Winners │ 0d 00:35 / 5d 18:15 / 0d 15:49 │
|
||||||
│ Min/Max/Avg. Duration Losers │ 0d 10:40 / 17d 08:00 / 2d 17:00 │
|
│ Min/Max/Avg. Duration Losers │ 0d 10:40 / 17d 08:00 / 2d 17:00 │
|
||||||
@@ -252,26 +253,38 @@ A backtesting result will look like that:
|
|||||||
│ Rejected Entry signals │ 258 │
|
│ Rejected Entry signals │ 258 │
|
||||||
│ Entry/Exit Timeouts │ 0 / 0 │
|
│ Entry/Exit Timeouts │ 0 / 0 │
|
||||||
│ │ │
|
│ │ │
|
||||||
│ Min/Max balance realized │ 1003.168 USDT / 1149.577 USDT │
|
│ Min/Max balance (closed trades) │ 1003.205 USDT / 1151.425 USDT │
|
||||||
│ Min/Max balance unrealized │ 1000 USDT / 1149.577 USDT │
|
│ Max % of account underwater │ 8.19% │
|
||||||
│ Min/Max balance dates │ 2025-07-01 00:05:00 / 2025-07-22 15:15:00 │
|
│ Absolute drawdown │ 94.268 USDT (8.19%) │
|
||||||
│ Max % of account underwater │ 8.26% │
|
|
||||||
│ Absolute drawdown │ 94.908 USDT (8.26%) │
|
|
||||||
│ Drawdown duration │ 9 days 08:50:00 │
|
│ Drawdown duration │ 9 days 08:50:00 │
|
||||||
│ Profit at drawdown start │ 149.577 USDT │
|
│ Profit at drawdown start │ 151.425 USDT │
|
||||||
│ Profit at drawdown end │ 54.669 USDT │
|
│ Profit at drawdown end │ 57.157 USDT │
|
||||||
│ Drawdown start │ 2025-07-22 15:10:00 │
|
│ Drawdown start │ 2025-07-22 15:10:00 │
|
||||||
│ Drawdown end │ 2025-08-01 00:00:00 │
|
│ Drawdown end │ 2025-08-01 00:00:00 │
|
||||||
│ Market change │ 30.51% │
|
│ │ │
|
||||||
└───────────────────────────────┴───────────────────────────────────────────┘
|
│ 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
|
Backtested 2025-07-01 00:00:00 -> 2025-08-01 00:00:00 | Max open trades : 3
|
||||||
STRATEGY SUMMARY
|
STRATEGY SUMMARY
|
||||||
┏━━━━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━┓
|
┏━━━━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━┓
|
||||||
┃ Strategy ┃ Trades ┃ Avg Profit % ┃ Tot Profit USDT ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃ Drawdown ┃
|
┃ Strategy ┃ Trades ┃ Avg Profit % ┃ Tot Profit ┃ 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% │
|
│ SampleStrategy │ 77 │ 0.23 │ 57.157 │ 5.72 │ 22:12:00 │ 67 0 10 87.0 │ 94.268 8.19% │
|
||||||
└────────────────┴────────┴──────────────┴─────────────────┴──────────────┴──────────────┴────────────────────────┴────────────────────┘
|
└────────────────┴────────┴──────────────┴─────────────┴──────────────┴──────────────┴────────────────────────┴────────────────┘
|
||||||
|
|
||||||
```
|
```
|
||||||
|
|
||||||
### Backtesting report table
|
### Backtesting report table
|
||||||
@@ -330,9 +343,10 @@ 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.
|
It contains key metrics about the performance of your strategy on backtesting data.
|
||||||
|
|
||||||
```
|
```
|
||||||
┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓
|
SUMMARY METRICS
|
||||||
|
┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓
|
||||||
┃ Metric ┃ Value ┃
|
┃ Metric ┃ Value ┃
|
||||||
┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩
|
┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩
|
||||||
│ Backtesting from │ 2025-07-01 00:00:00 │
|
│ Backtesting from │ 2025-07-01 00:00:00 │
|
||||||
│ Backtesting to │ 2025-08-01 00:00:00 │
|
│ Backtesting to │ 2025-08-01 00:00:00 │
|
||||||
│ Trading Mode │ Isolated Futures │
|
│ Trading Mode │ Isolated Futures │
|
||||||
@@ -340,30 +354,31 @@ It contains key metrics about the performance of your strategy on backtesting da
|
|||||||
│ │ │
|
│ │ │
|
||||||
│ Total/Daily Avg Trades │ 77 / 2.48 │
|
│ Total/Daily Avg Trades │ 77 / 2.48 │
|
||||||
│ Starting balance │ 1000 USDT │
|
│ Starting balance │ 1000 USDT │
|
||||||
│ Final balance │ 1054.669 USDT │
|
│ Final balance │ 1057.157 USDT │
|
||||||
│ Absolute profit │ 54.669 USDT │
|
│ Absolute profit │ 57.157 USDT │
|
||||||
│ Total profit % │ 5.47% │
|
│ Total profit % │ 5.72% │
|
||||||
│ CAGR % │ 87.14% │
|
│ CAGR % │ 92.41% │
|
||||||
│ Sortino │ 2.46 │
|
│ Sharpe (closed trades) │ 3.89 │
|
||||||
│ Sharpe │ 3.73 │
|
│ Sortino (closed trades) │ 2.57 │
|
||||||
│ Calmar │ 40.81 │
|
│ Calmar (closed trades) │ 43.03 │
|
||||||
│ SQN │ 0.69 │
|
│ SQN │ 0.71 │
|
||||||
│ Profit factor │ 1.29 │
|
│ Profit factor │ 1.30 │
|
||||||
│ Expectancy (Ratio) │ 0.71 (0.04) │
|
│ Expectancy (Ratio) │ 0.74 (0.04) │
|
||||||
│ Avg. daily profit │ 1.764 USDT │
|
│ Avg. daily profit │ 1.844 USDT │
|
||||||
│ Avg. stake amount │ 345.251 USDT │
|
│ Avg. stake amount │ 345.478 USDT │
|
||||||
│ Total trade volume │ 53352.96 USDT │
|
│ Market change │ 30.51% │
|
||||||
|
│ Total trade volume │ 53390.788 USDT │
|
||||||
│ │ │
|
│ │ │
|
||||||
│ Long / Short trades │ 67 / 10 │
|
│ Long / Short trades │ 67 / 10 │
|
||||||
│ Long / Short profit % │ 8.93% / -3.46% │
|
│ Long / Short profit % │ 9.19% / -3.48% │
|
||||||
│ Long / Short profit USDT │ 89.262 / -34.593 │
|
│ Long / Short profit USDT │ 91.940 / -34.783 │
|
||||||
│ │ │
|
│ │ │
|
||||||
│ Best Pair │ LTC/USDT:USDT 5.62% │
|
│ Best Pair │ LTC/USDT:USDT 5.69% │
|
||||||
│ Worst Pair │ ADA/USDT:USDT -5.21% │
|
│ Worst Pair │ ADA/USDT:USDT -5.21% │
|
||||||
│ Best trade │ ETC/USDT:USDT 2.00% │
|
│ Best trade │ XRP/USDT:USDT 2.00% │
|
||||||
│ Worst trade │ ADA/USDT:USDT -10.17% │
|
│ Worst trade │ ADA/USDT:USDT -10.17% │
|
||||||
│ Best day │ 26.931 USDT │
|
│ Best day │ 27.031 USDT │
|
||||||
│ Worst day │ -47.741 USDT │
|
│ Worst day │ -47.826 USDT │
|
||||||
│ Days win/draw/lose │ 20 / 6 / 5 │
|
│ 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 Winners │ 0d 00:35 / 5d 18:15 / 0d 15:49 │
|
||||||
│ Min/Max/Avg. Duration Losers │ 0d 10:40 / 17d 08:00 / 2d 17:00 │
|
│ Min/Max/Avg. Duration Losers │ 0d 10:40 / 17d 08:00 / 2d 17:00 │
|
||||||
@@ -371,18 +386,29 @@ It contains key metrics about the performance of your strategy on backtesting da
|
|||||||
│ Rejected Entry signals │ 258 │
|
│ Rejected Entry signals │ 258 │
|
||||||
│ Entry/Exit Timeouts │ 0 / 0 │
|
│ Entry/Exit Timeouts │ 0 / 0 │
|
||||||
│ │ │
|
│ │ │
|
||||||
│ Min/Max balance realized │ 1003.168 USDT / 1149.577 USDT │
|
│ Min/Max balance (closed trades) │ 1003.205 USDT / 1151.425 USDT │
|
||||||
│ Min/Max balance unrealized │ 1000 USDT / 1149.577 USDT │
|
│ Max % of account underwater │ 8.19% │
|
||||||
│ Min/Max balance dates │ 2025-07-01 00:05:00 / 2025-07-22 15:15:00 │
|
│ Absolute drawdown │ 94.268 USDT (8.19%) │
|
||||||
│ Max % of account underwater │ 8.26% │
|
|
||||||
│ Absolute drawdown │ 94.908 USDT (8.26%) │
|
|
||||||
│ Drawdown duration │ 9 days 08:50:00 │
|
│ Drawdown duration │ 9 days 08:50:00 │
|
||||||
│ Profit at drawdown start │ 149.577 USDT │
|
│ Profit at drawdown start │ 151.425 USDT │
|
||||||
│ Profit at drawdown end │ 54.669 USDT │
|
│ Profit at drawdown end │ 57.157 USDT │
|
||||||
│ Drawdown start │ 2025-07-22 15:10:00 │
|
│ Drawdown start │ 2025-07-22 15:10:00 │
|
||||||
│ Drawdown end │ 2025-08-01 00:00:00 │
|
│ Drawdown end │ 2025-08-01 00:00:00 │
|
||||||
│ Market change │ 30.51% │
|
│ │ │
|
||||||
└───────────────────────────────┴───────────────────────────────────────────┘
|
│ 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).
|
- `Backtesting from` / `Backtesting to`: Backtesting range (usually defined with the `--timerange` option).
|
||||||
|
|||||||
Reference in New Issue
Block a user