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SwingHighToSky Strategy Performance Results
Description:
This is a SwingHighToSky Strategy which uses a combination of the Commodity Channel Index (CCI) and the Relative Strength Index (RSI) to generate buy and sell signals based on specific entry and exit points. It is a trend following strategy which uses multiple time frames to build its signals.
The strategy defines certain buy and sell parameters from which to generate the signals. The buy parameters include the cciBuyTP (which defines the CCI time period for buy), cciBuyVal (which defines the CCI value for buy), rsiBuyTP (which defines the RSI time period for buy), and rsiBuyVal (which defines the RSI value for buy). The sell parameters include the cciSellTP (which defines the CCI time period for sell), cciSellVal (which defines the CCI value for sell), rsiSellTP (which defines the RSI time period for sell), and rsiSellVal (which defines the RSI value for sell).
The strategy then utilizes the TA-Lib library to create the technical indicators. These indicators are then added to the dataframe and the buy/sell conditions are created.
Finally, the strategy also defines a stoploss value to protect against large losses and a minimal_roi which defines the minimum level of return on the trades.
Overall, this strategy is designed to optimize profits from swing highs and swings lows, and does this by combining multiple time frames with specific entry and exit points.
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 | 3 | 1.36 | 4.09 | 0.809890 | 0.81 | 9:05:00 | 1 | 2 | 0 | 33.33 |
| ADA/USDT | 6 | 0.02 | 0.13 | 0.025768 | 0.03 | 6:22:00 | 1 | 5 | 0 | 16.67 |
| ETC/USDT | 1 | 0.05 | 0.05 | 0.010450 | 0.01 | 4:15:00 | 1 | 0 | 0 | 100.00 |
| ETH/USDT | 1 | 0.00 | 0.00 | 0.000000 | 0.0 | 5 days, 8:00:00 | 0 | 1 | 0 | 0.00 |
| LINK/USDT | 1 | 0.00 | 0.00 | 0.000000 | 0.0 | 1 day, 0:00:00 | 0 | 1 | 0 | 0.00 |
| LTC/USDT | 1 | 0.00 | 0.00 | 0.000000 | 0.0 | 8 days, 23:15:00 | 0 | 1 | 0 | 0.00 |
| BNB/USDT | 1 | 0.00 | 0.00 | 0.000000 | 0.0 | 4:15:00 | 0 | 1 | 0 | 0.00 |
| LUNA/USDT | 1 | 0.00 | 0.00 | 0.000000 | 0.0 | 13:15:00 | 0 | 1 | 0 | 0.00 |
| XRP/USDT | 4 | -0.37 | -1.50 | -0.301831 | -0.3 | 9:08:00 | 1 | 2 | 1 | 25.00 |
| DOT/USDT | 3 | -1.13 | -3.39 | -0.679739 | -0.68 | 3 days, 0:10:00 | 1 | 1 | 1 | 33.33 |
| BTC/USDT | 5 | -0.69 | -3.44 | -0.693136 | -0.69 | 8:21:00 | 3 | 1 | 1 | 60.00 |
| SOL/USDT | 3 | -1.51 | -4.52 | -0.875890 | -0.88 | 21:40:00 | 0 | 2 | 1 | 0.00 |
| ALGO/USDT | 1 | -20.02 | -20.02 | -3.966866 | -3.97 | 11 days, 0:45:00 | 0 | 0 | 1 | 0.00 |
| TOTAL | 31 | -0.92 | -28.59 | -5.671355 | -5.67 | 1 day, 10:48:00 | 8 | 18 | 5 | 25.81 |
- 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 % |
|---|---|---|---|---|---|---|---|---|
| 26 | 8 | 18 | 0 | 0.27 | 6.91 | 1.3618153 | 1.38 | |
| 5 | 0 | 0 | 5 | -7.1 | -35.5 | -7.03317006 | -7.1 |
Summary
A backtesting was performed with a maximum of 5 open trades and an average of 2.58 trades per day. The starting balance was $100 and the final balance was $94.32864524, resulting in an absolute profit of $-5.67135476 and a total profit percentage of -0.0567135476. The average stake amount was $19.677575832258068 and the total trade volume was $610.0048508000001. The best pair was BCH/USDT and the worst pair was ALGO/USDT. The maximum balance reached was $101.3618153 and the minimum balance was $94.32864524. The market change during this period was -0.023333079088339856.
| Metric | Value |
|---|---|
| Backtesting from | 2024-01-01 00:00:00 |
| Backtesting to | 2024-01-13 15:30:00 |
| Max open trades | 5 |
| Total/Daily Avg Trades | 31 / 2.58 |
| Starting balance | 100 |
| Final balance | 94.32864524 |
| Absolute profit | -5.67135476 |
| Total profit % | -0.0567135476 |
| Avg. stake amount | 19.677575832258068 |
| Total trade volume | 610.0048508000001 |
| Best Pair | BCH/USDT |
| Worst Pair | ALGO/USDT |
| Max Balance | 101.3618153 |
| Min Balance | 94.32864524 |
| Market Change | -0.023333079088339856 |
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
}