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JustROCR6 Strategy Performance Results
Description:
The JustROCR6 strategy is a momentum-based strategy which uses Relative Strength Indicators (RSI). Specifically, this strategy leverages seven different time periods of the RSI indicator, from 499 to 2. When all the RSI indicators have values of 1.20 or above (as well as 1.15, 1.125, 1.10, 1.075, 1.05 and 1.02 respectively). A buy signal is generated.
Conversely, when all RSI indicators have values below 1.20 (as well as 1.15, 1.125, 1.10, 1.075, 1.05 and 1.02 respectively), a sell signal is generated.
While this strategy does provide strong momentum signals, it should be noted that false positives can arise and so traders should be mindful to take appropriate risk mitigation measures such as setting stop losses, trailing stops, etc.
Finally, the JustROCR6 strategy is based on the IStrategy interface and makes uses of the pandas and talib.abstract libraries in its implementation.
Daily Profit
Pairs
Top cryptocurrency trading pairs
| Pair | Buys | Avg Profit % | Cum Profit | Tot Profit Abs | Tot Profit % | Avg Duration | Win | Draw | Loss | Win % |
|---|---|---|---|---|---|---|---|---|---|---|
| BTC/USDT | 0 | 0.00 | 0.00 | 0.000000 | 0.0 | 0:00 | 0 | 0 | 0 | |
| BCH/USDT | 0 | 0.00 | 0.00 | 0.000000 | 0.0 | 0:00 | 0 | 0 | 0 | |
| ETH/USDT | 0 | 0.00 | 0.00 | 0.000000 | 0.0 | 0:00 | 0 | 0 | 0 | |
| LINK/USDT | 0 | 0.00 | 0.00 | 0.000000 | 0.0 | 0:00 | 0 | 0 | 0 | |
| LTC/USDT | 0 | 0.00 | 0.00 | 0.000000 | 0.0 | 0:00 | 0 | 0 | 0 | |
| SOL/USDT | 0 | 0.00 | 0.00 | 0.000000 | 0.0 | 0:00 | 0 | 0 | 0 | |
| BNB/USDT | 0 | 0.00 | 0.00 | 0.000000 | 0.0 | 0:00 | 0 | 0 | 0 | |
| XRP/USDT | 0 | 0.00 | 0.00 | 0.000000 | 0.0 | 0:00 | 0 | 0 | 0 | |
| ADA/USDT | 0 | 0.00 | 0.00 | 0.000000 | 0.0 | 0:00 | 0 | 0 | 0 | |
| DOT/USDT | 0 | 0.00 | 0.00 | 0.000000 | 0.0 | 0:00 | 0 | 0 | 0 | |
| ALGO/USDT | 0 | 0.00 | 0.00 | 0.000000 | 0.0 | 0:00 | 0 | 0 | 0 | |
| LUNA/USDT | 0 | 0.00 | 0.00 | 0.000000 | 0.0 | 0:00 | 0 | 0 | 0 | |
| ETC/USDT | 2 | -0.98 | -1.96 | -0.386018 | -0.39 | 0:00:00 | 0 | 0 | 2 | 0.00 |
| TOTAL | 2 | -0.98 | -1.96 | -0.386018 | -0.39 | 0:00:00 | 0 | 0 | 2 | 0.00 |
- 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 % |
|---|---|---|---|---|---|---|---|---|
| 1 | 0 | 0 | 1 | -1.18 | -1.18 | -0.234375 | -0.24 | |
| 1 | 0 | 0 | 1 | -0.77 | -0.77 | -0.1516425 | -0.15 |
Summary
A backtesting was performed with a maximum of 5 open trades and an average of 0.17 trades per day. The starting balance was $100 and the final balance was $99.6139825, resulting in an absolute profit of $-0.3860175 and a total profit percentage of -0.003860175. The average stake amount was $19.70625 and the total trade volume was $39.4125. The best pair was BTC/USDT and the worst pair was ETC/USDT. The maximum balance reached was $99.765625 and the minimum balance was $99.6139825. The market change during this period was -0.02114756712873641.
| 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 | 2 / 0.17 |
| Starting balance | 100 |
| Final balance | 99.6139825 |
| Absolute profit | -0.3860175 |
| Total profit % | -0.003860175 |
| Avg. stake amount | 19.70625 |
| Total trade volume | 39.4125 |
| Best Pair | BTC/USDT |
| Worst Pair | ETC/USDT |
| Max Balance | 99.765625 |
| Min Balance | 99.6139825 |
| Market Change | -0.02114756712873641 |
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
}