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VWAP Strategy Performance Results
Description:
This strategy is designed to take advantage of periods of unusually high volume. The VWAP (Volume-Weighted Average Price) is calculated to determine the overall trend of the asset. Then, the system uses several technical indicators to find the most opportune moments to open positions. Specifically, these are the TCP (Top Percent Change) indicator, the CTI (Commodity Channel Index) indicator, as well as RSI (Relative Strength Index) signals with different lookback windows. To meet the buy criteria, all of these indicators should be in line with their respective thresholds, in addition to a close price below the VWAP low with increasing volume. The system then adds additional filters to optimize the entry detection.
Daily Profit
Pairs
Top cryptocurrency trading pairs
| Pair | Buys | Avg Profit % | Cum Profit | Tot Profit Abs | Tot Profit % | Avg Duration | Win | Draw | Loss | Win % |
|---|---|---|---|---|---|---|---|---|---|---|
| SOL/USDT | 1 | 2.00 | 2.00 | 0.395200 | 0.4 | 3:50:00 | 1 | 0 | 0 | 100.00 |
| BCH/USDT | 1 | 2.00 | 2.00 | 0.393764 | 0.39 | 5 days, 6:30:00 | 1 | 0 | 0 | 100.00 |
| BTC/USDT | 1 | 2.00 | 2.00 | 0.368579 | 0.37 | 0:45:00 | 1 | 0 | 0 | 100.00 |
| ETH/USDT | 1 | 2.00 | 2.00 | 0.305973 | 0.31 | 0:35:00 | 1 | 0 | 0 | 100.00 |
| LTC/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 | |
| ETC/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 | |
| LINK/USDT | 1 | -15.16 | -15.16 | -2.988990 | -2.99 | 0:05:00 | 0 | 0 | 1 | 0.00 |
| DOT/USDT | 1 | -15.16 | -15.16 | -2.994985 | -2.99 | 0:05:00 | 0 | 0 | 1 | 0.00 |
| ADA/USDT | 1 | -15.16 | -15.16 | -3.005188 | -3.01 | 4 days, 10:25:00 | 0 | 0 | 1 | 0.00 |
| TOTAL | 7 | -5.36 | -37.50 | -7.525647 | -7.53 | 1 day, 10:02:00 | 4 | 0 | 3 | 57.14 |
- 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 % |
|---|---|---|---|---|---|---|---|---|
| 4 | 4 | 0 | 0 | 2.0 | 7.99 | 1.46351582 | 1.6 | |
| 3 | 0 | 0 | 3 | -15.16 | -45.49 | -8.98916324 | -9.1 |
Summary
A backtesting was performed with a maximum of 5 open trades and an average of 0.58 trades per day. The starting balance was $100 and the final balance was $92.47435258, resulting in an absolute profit of $-7.52564742 and a total profit percentage of -0.0752564742. The average stake amount was $18.913887314285713 and the total trade volume was $132.3972112. The best pair was SOL/USDT and the worst pair was LINK/USDT. The maximum balance reached was $97.01100968 and the minimum balance was $92.08058858. 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 | 7 / 0.58 |
| Starting balance | 100 |
| Final balance | 92.47435258 |
| Absolute profit | -7.52564742 |
| Total profit % | -0.0752564742 |
| Avg. stake amount | 18.913887314285713 |
| Total trade volume | 132.3972112 |
| Best Pair | SOL/USDT |
| Worst Pair | LINK/USDT |
| Max Balance | 97.01100968 |
| Min Balance | 92.08058858 |
| 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
}