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Sar Strategy Performance Results
Description:
The freqtrade strategy I'm using is called Sar. It is a trend-following strategy based on two technical analysis indicators – the relative strength index(RSI) and the Parabolic SAR, or SAR for short. SAR stands for "stop and reverse" and is used to identify trend reversals.
First, we use the Relative Strength Index, or RSI, indicator to find out if the asset is in a long or a short direction. RSI is calculated using the most recent trading range, which makes it useful for picking out good entry and exit points for a given asset.
Next, we use the Parabolic SAR indicator to identify possible reversals in the trend. SAR stands for "stop and reverse", and it attempts to track the current trend, then when the trend reverses, the SAR will be used to generate trading signals.
Finally, we combine these two indicators with some other technical analysis indicators like MACD, MFI, Bollinger Bands, and Hilbert Sine Wave, to create an overall strategy that has historically been profitable when trading with crypto assets.
Daily Profit
Pairs
Top cryptocurrency trading pairs
| Pair | Buys | Avg Profit % | Cum Profit | Tot Profit Abs | Tot Profit % | Avg Duration | Win | Draw | Loss | Win % |
|---|---|---|---|---|---|---|---|---|---|---|
| DOT/USDT | 5 | 1.81 | 9.03 | 1.690594 | 1.69 | 3:29:00 | 5 | 0 | 0 | 100.00 |
| ALGO/USDT | 7 | 1.20 | 8.39 | 1.547445 | 1.55 | 5:36:00 | 6 | 0 | 1 | 85.71 |
| XRP/USDT | 6 | 1.22 | 7.30 | 1.373516 | 1.37 | 1 day, 4:02:00 | 6 | 0 | 0 | 100.00 |
| ETH/USDT | 5 | 1.00 | 5.00 | 0.935057 | 0.94 | 15:35:00 | 5 | 0 | 0 | 100.00 |
| LINK/USDT | 4 | 1.00 | 4.00 | 0.752953 | 0.75 | 5:32:00 | 4 | 0 | 0 | 100.00 |
| BTC/USDT | 7 | 0.35 | 2.44 | 0.417640 | 0.42 | 8:01:00 | 6 | 0 | 1 | 85.71 |
| BNB/USDT | 5 | 0.39 | 1.96 | 0.350664 | 0.35 | 1 day, 13:24:00 | 4 | 0 | 1 | 80.00 |
| LUNA/USDT | 2 | -0.88 | -1.76 | -0.356112 | -0.36 | 12:22:00 | 1 | 0 | 1 | 50.00 |
| LTC/USDT | 6 | -0.85 | -5.08 | -1.058216 | -1.06 | 13:01:00 | 5 | 0 | 1 | 83.33 |
| ETC/USDT | 5 | -1.23 | -6.15 | -1.275864 | -1.28 | 11:10:00 | 4 | 0 | 1 | 80.00 |
| BCH/USDT | 11 | -1.11 | -12.22 | -2.473355 | -2.47 | 5:25:00 | 8 | 0 | 3 | 72.73 |
| ADA/USDT | 7 | -2.19 | -15.34 | -3.006631 | -3.01 | 15:01:00 | 5 | 0 | 2 | 71.43 |
| SOL/USDT | 4 | -4.59 | -18.34 | -3.450467 | -3.45 | 19:40:00 | 2 | 0 | 2 | 50.00 |
| TOTAL | 74 | -0.28 | -20.78 | -4.552778 | -4.55 | 13:06:00 | 61 | 0 | 13 | 82.43 |
- Pair: This is the cryptocurrency trading pair that was used for the backtesting.
- Buys: This is the total number of buy orders placed during the backtesting.
- Avg Profit %: This is the average percentage of profit that was made on each buy order.
- Cum Profit: This is the cumulative profit made over all buy orders.
- Tot Profit Abs: This is the total absolute profit made over all buy orders.
- Tot Profit %: This is the total percentage of profit made over all buy orders.
- Avg Duration: This is the average duration of each buy order.
- Win: This is the total number of buy orders that resulted in a win.
- Draw: This is the total number of buy orders that resulted in a draw.
- Loss: This is the total number of buy orders that resulted in a loss.
- Win %: This is the percentage of buy orders that resulted in a win.
Sell Reason
| Sell Reason | Sells | Win | Draws | Loss | Avg Profit % | Cum Profit % | Tot Profit ABS | Tot Profit % |
|---|---|---|---|---|---|---|---|---|
| 61 | 61 | 0 | 0 | 1.21 | 73.79 | 13.875656150000001 | 14.76 | |
| 8 | 0 | 0 | 8 | -10.17 | -81.32 | -15.83978596 | -16.26 | |
| 5 | 0 | 0 | 5 | -2.65 | -13.25 | -2.58864862 | -2.65 |
Summary
A backtesting was performed with a maximum of 5 open trades and an average of 6.17 trades per day. The starting balance was $100 and the final balance was $95.44722157, resulting in an absolute profit of $-4.55277843 and a total profit percentage of -0.0455277843. The average stake amount was $18.971724497297295 and the total trade volume was $1403.9076128. The best pair was DOT/USDT and the worst pair was SOL/USDT. The maximum balance reached was $101.9762484 and the minimum balance was $91.87840766. The market change during this period was -0.034008199243972644.
| Metric | Value |
|---|---|
| Backtesting from | 2024-01-01 00:00:00 |
| Backtesting to | 2024-01-13 15:40:00 |
| Max open trades | 5 |
| Total/Daily Avg Trades | 74 / 6.17 |
| Starting balance | 100 |
| Final balance | 95.44722157 |
| Absolute profit | -4.55277843 |
| Total profit % | -0.0455277843 |
| Avg. stake amount | 18.971724497297295 |
| Total trade volume | 1403.9076128 |
| Best Pair | DOT/USDT |
| Worst Pair | SOL/USDT |
| Max Balance | 101.9762484 |
| Min Balance | 91.87840766 |
| Market Change | -0.034008199243972644 |
Config
{
"pairlists": [
{
"method": "StaticPairList"
}
],
"timeframe": "15m",
"tradable_balance_ratio": 0.99,
"fiat_display_currency": "USD",
"stake_amount": "unlimited",
"stake_currency": "USDT",
"amend_last_stake_amount": true,
"exchange": {
"pair_whitelist": [
"BTC/USDT",
"BCH/USDT",
"ETH/USDT",
"LINK/USDT",
"LTC/USDT",
"SOL/USDT",
"BNB/USDT",
"XRP/USDT",
"ADA/USDT",
"DOT/USDT",
"ETC/USDT",
"ALGO/USDT",
"LUNA/USDT"
],
"name": "binance"
},
"dry_run_wallet": 100,
"max_open_trades": 5
}