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Roth01 Strategy Performance Results
Description:
The Roth01 strategy implements the buy and sell parameters set in the respective buy_params and sell_params dictionaries. These parameters determine the conditions for entering and exiting a trade, based on the technical indicators taken from pandas, ta-lib, and qtpylib. The indicators used are MACD, ADX, CCI, Bollinger bands, RSI, SAR, and Money Flow Index (MFI). The buy signal is triggered when the MFI is below 24, the close is below the lower Bollinger band, and the CCI is below -57. The sell signal is triggered when the SAR is above the close, the RSI is above 75, the close is above the upper Bollinger band, the CCI is above 83, the MFI is below 92, and the SAR is active. Additionally, the strategy sets a stop loss of -0.29585 and a minimum return on investment (ROI) that changes depending on the holding period.
Daily Profit
Pairs
Top cryptocurrency trading pairs
| Pair | Buys | Avg Profit % | Cum Profit | Tot Profit Abs | Tot Profit % | Avg Duration | Win | Draw | Loss | Win % |
|---|---|---|---|---|---|---|---|---|---|---|
| ETC/USDT | 7 | 1.50 | 10.50 | 2.121939 | 2.12 | 1 day, 7:31:00 | 3 | 4 | 0 | 42.86 |
| LTC/USDT | 3 | 1.14 | 3.41 | 0.695944 | 0.7 | 3:00:00 | 3 | 0 | 0 | 100.00 |
| LUNA/USDT | 4 | 0.64 | 2.56 | 0.523038 | 0.52 | 3:34:00 | 2 | 2 | 0 | 50.00 |
| SOL/USDT | 1 | 2.45 | 2.45 | 0.502564 | 0.5 | 2:15:00 | 1 | 0 | 0 | 100.00 |
| ETH/USDT | 2 | 1.26 | 2.52 | 0.498265 | 0.5 | 2:50:00 | 2 | 0 | 0 | 100.00 |
| ADA/USDT | 2 | 0.50 | 1.00 | 0.200448 | 0.2 | 3:05:00 | 1 | 1 | 0 | 50.00 |
| XRP/USDT | 4 | 0.18 | 0.72 | 0.142809 | 0.14 | 7:29:00 | 2 | 2 | 0 | 50.00 |
| BNB/USDT | 2 | 0.00 | 0.00 | 0.000000 | 0.0 | 5:12:00 | 0 | 2 | 0 | 0.00 |
| BCH/USDT | 6 | -0.94 | -5.64 | -1.188266 | -1.19 | 1 day, 15:08:00 | 3 | 2 | 1 | 50.00 |
| BTC/USDT | 4 | -1.51 | -6.03 | -1.245782 | -1.25 | 9:18:00 | 1 | 2 | 1 | 25.00 |
| LINK/USDT | 2 | -3.90 | -7.80 | -1.574469 | -1.57 | 5 days, 14:08:00 | 1 | 0 | 1 | 50.00 |
| DOT/USDT | 1 | -10.55 | -10.55 | -2.123499 | -2.12 | 11 days, 4:00:00 | 0 | 0 | 1 | 0.00 |
| ALGO/USDT | 4 | -4.00 | -15.99 | -3.207420 | -3.21 | 2 days, 16:11:00 | 1 | 2 | 1 | 25.00 |
| TOTAL | 42 | -0.54 | -22.86 | -4.654427 | -4.65 | 1 day, 8:28:00 | 20 | 17 | 5 | 47.62 |
- 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 % |
|---|---|---|---|---|---|---|---|---|
| 37 | 20 | 17 | 0 | 0.79 | 29.14 | 5.893055100000001 | 5.83 | |
| 5 | 0 | 0 | 5 | -10.4 | -52.0 | -10.54748242 | -10.4 |
Summary
A backtesting was performed with a maximum of 5 open trades and an average of 3.5 trades per day. The starting balance was $100 and the final balance was $95.34557268, resulting in an absolute profit of $-4.65442732 and a total profit percentage of -0.0465442732. The average stake amount was $20.093024426190475 and the total trade volume was $843.9070259. The best pair was ETC/USDT and the worst pair was ALGO/USDT. The maximum balance reached was $105.8930551 and the minimum balance was $95.34557268. 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 | 42 / 3.5 |
| Starting balance | 100 |
| Final balance | 95.34557268 |
| Absolute profit | -4.65442732 |
| Total profit % | -0.0465442732 |
| Avg. stake amount | 20.093024426190475 |
| Total trade volume | 843.9070259 |
| Best Pair | ETC/USDT |
| Worst Pair | ALGO/USDT |
| Max Balance | 105.8930551 |
| Min Balance | 95.34557268 |
| 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
}