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Momentumv2 Strategy Performance Results
Description:
The Momentumv2 strategy is a variation of the popular Momentum trading strategy, which is a classic trend following strategy. The strategy uses the MACD indicator and the relative strength index (RSI). To enter the market, the strategy will look for the MACD indicator to cross above its signal line, while the closing price of the candle is above the exponential moving average (EMA) of a given period, usually around 30.
The Momentumv2 strategy also has some additional parameters, such as the ATR Time Period and ATR Multiplier, that can be optimized and tuned to achieve better backtest performance. Additionally, the sell-trend entry will be triggered when either the MACD indicator crosses below its signal line, or when the RSI reaches a certain threshold, usually around 90.
When it comes to the exit logic, the Momentumv2 strategy implements a custom stop-loss that depends on the ATR indicator. This means that the stop-loss price is determined by the ATR value multiplied by the ATR Multiplier. This helps to ensure that unprofitable positions will be closed in a timely manner and also helps to protect profits.
In conclusion, the Momentumv2 strategy is an effective way of using the classic Momentum trading strategy, while also including some additional parameters that can be optimized to maximize profit potential.
Daily Profit
Pairs
Top cryptocurrency trading pairs
| Pair | Buys | Avg Profit % | Cum Profit | Tot Profit Abs | Tot Profit % | Avg Duration | Win | Draw | Loss | Win % |
|---|---|---|---|---|---|---|---|---|---|---|
| BCH/USDT | 1 | 8.99 | 8.99 | 1.696968 | 1.7 | 1 day, 12:00:00 | 1 | 0 | 0 | 100.00 |
| LTC/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 | |
| ETC/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 | |
| LINK/USDT | 1 | -0.21 | -0.21 | -0.040791 | -0.04 | 1 day, 16:00:00 | 0 | 0 | 1 | 0.00 |
| SOL/USDT | 2 | -0.82 | -1.64 | -0.281577 | -0.28 | 1 day, 18:00:00 | 1 | 0 | 1 | 50.00 |
| ETH/USDT | 1 | -1.62 | -1.62 | -0.318790 | -0.32 | 1 day, 12:00:00 | 0 | 0 | 1 | 0.00 |
| BTC/USDT | 3 | -0.62 | -1.86 | -0.352959 | -0.35 | 21:20:00 | 1 | 0 | 2 | 33.33 |
| ALGO/USDT | 1 | -1.86 | -1.86 | -0.365861 | -0.37 | 1 day, 4:00:00 | 0 | 0 | 1 | 0.00 |
| DOT/USDT | 1 | -3.08 | -3.08 | -0.610112 | -0.61 | 1 day, 16:00:00 | 0 | 0 | 1 | 0.00 |
| BNB/USDT | 5 | -3.69 | -18.43 | -3.525049 | -3.53 | 22:24:00 | 0 | 0 | 5 | 0.00 |
| TOTAL | 15 | -1.31 | -19.71 | -3.798171 | -3.8 | 1 day, 5:20:00 | 3 | 0 | 12 | 20.00 |
- 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 % |
|---|---|---|---|---|---|---|---|---|
| 7 | 0 | 0 | 7 | -1.79 | -12.54 | -2.36377024 | -2.51 | |
| 6 | 2 | 0 | 4 | -1.33 | -7.99 | -1.54614493 | -1.6 | |
| 1 | 0 | 0 | 1 | -8.17 | -8.17 | -1.585224 | -1.63 | |
| 1 | 1 | 0 | 0 | 8.99 | 8.99 | 1.696968 | 1.8 |
Summary
A backtesting was performed with a maximum of 5 open trades and an average of 1.25 trades per day. The starting balance was $100 and the final balance was $96.20182883, resulting in an absolute profit of $-3.7981711700000003 and a total profit percentage of -0.037981711700000004. The average stake amount was $19.15624324 and the total trade volume was $287.3436486. The best pair was BCH/USDT and the worst pair was BNB/USDT. The maximum balance reached was $99.6341388 and the minimum balance was $95.11498283. The market change during this period was 0.02980921016134554.
| Metric | Value |
|---|---|
| Backtesting from | 2024-01-01 00:00:00 |
| Backtesting to | 2024-01-13 08:00:00 |
| Max open trades | 5 |
| Total/Daily Avg Trades | 15 / 1.25 |
| Starting balance | 100 |
| Final balance | 96.20182883 |
| Absolute profit | -3.7981711700000003 |
| Total profit % | -0.037981711700000004 |
| Avg. stake amount | 19.15624324 |
| Total trade volume | 287.3436486 |
| Best Pair | BCH/USDT |
| Worst Pair | BNB/USDT |
| Max Balance | 99.6341388 |
| Min Balance | 95.11498283 |
| Market Change | 0.02980921016134554 |
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
}