| RSILongOnlyTakeProfitStopLoss_bitflyer_ETH-JPY-SPOT_1D | |
|---|---|
| Start | 2019-09-26 00:00:00 |
| End | 2025-07-04 00:00:00 |
| Duration | 2108 days 00:00:00 |
| Exposure Time [%] | 22.90184921763869 |
| Equity Initial [$] | 10000000.0 |
| Equity Final [$] | 7110049.979200003 |
| Equity Peak [$] | 18512565.660399996 |
| Return [%] | -28.899500207999974 |
| Buy & Hold Return [%] | 1997.2290365744873 |
| Return (Ann.) [%] | -5.732079834142123 |
| Volatility (Ann.) [%] | 42.63465373989688 |
| Sharpe Ratio | -0.134446496718657 |
| Sortino Ratio | -0.20766601233641616 |
| Calmar Ratio | -0.07721127656431197 |
| Max. Drawdown [%] | -74.23889474703444 |
| Avg. Drawdown [%] | -14.93227725023453 |
| Max. Drawdown Duration | 1268 days 00:00:00 |
| Avg. Drawdown Duration | 187 days 00:00:00 |
| # Trades | 58 |
| Win Rate [%] | 37.93103448275862 |
| Best Trade [%] | 54.91841787639342 |
| Worst Trade [%] | -17.654519572139606 |
| Avg. Trade [%] | -0.6181477943648539 |
| Max. Trade Duration | 31 days 00:00:00 |
| Avg. Trade Duration | 9 days 00:00:00 |
| Profit Factor | 1.064563259908198 |
| Expectancy [%] | 0.2716153774804275 |
| SQN | -0.2839260933345525 |
| Kelly Criterion | -0.04927955487988145 |
| _parameter | {'RSI_shifter': 1, 'RSI_timeperiod': 14, 'RSI_lower_threshold': 30, 'RSI_upper_threshold': 70, 'TakeProfit_minimum_holding_timeperiod': 30, 'TakeProfit_take_profit_level_pct': 0.05, 'StopLoss_minimum_holding_timeperiod': 30, 'StopLoss_loss_cut_level_pct': -0.05} |
| Size | EntryBar | ExitBar | EntryPrice | ExitPrice | PnL | ReturnPct | EntryTime | ExitTime | Tag | Duration | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | 611 | 58 | 59 | 16,358.64 | 16,630.00 | 165,803.59 | 1.66 | 2019-11-23 | 2019-11-24 | NaN | 1 days |
| 2 | 611 | 59 | 60 | 16,631.66 | 15,298.00 | -814,868.09 | -8.02 | 2019-11-24 | 2019-11-25 | NaN | 1 days |
| 3 | 611 | 60 | 82 | 15,299.53 | 14,542.00 | -462,850.71 | -4.95 | 2019-11-25 | 2019-12-17 | NaN | 22 days |
| 4 | 611 | 82 | 83 | 14,543.45 | 13,383.00 | -709,037.52 | -7.98 | 2019-12-17 | 2019-12-18 | NaN | 1 days |
| 5 | 611 | 83 | 111 | 13,384.34 | 18,089.00 | 2,874,548.30 | 35.15 | 2019-12-18 | 2020-01-15 | NaN | 28 days |
| 6 | 953 | 169 | 173 | 11,598.16 | 12,029.00 | 410,590.81 | 3.71 | 2020-03-13 | 2020-03-17 | NaN | 4 days |
| 7 | 952 | 173 | 204 | 12,030.20 | 18,637.00 | 6,289,670.84 | 54.92 | 2020-03-17 | 2020-04-17 | NaN | 31 days |
| 8 | 47 | 836 | 837 | 370,752.07 | 356,059.00 | -690,574.36 | -3.96 | 2022-01-09 | 2022-01-10 | NaN | 1 days |
| 9 | 47 | 837 | 839 | 356,094.61 | 355,897.00 | -9,287.48 | -0.06 | 2022-01-10 | 2022-01-12 | NaN | 2 days |
| 10 | 47 | 839 | 850 | 355,932.59 | 293,786.00 | -2,920,889.72 | -17.46 | 2022-01-12 | 2022-01-23 | NaN | 11 days |
| 11 | 48 | 850 | 851 | 293,815.38 | 274,195.00 | -941,778.17 | -6.68 | 2022-01-23 | 2022-01-24 | NaN | 1 days |
| 12 | 48 | 851 | 852 | 274,222.42 | 289,131.00 | 715,611.86 | 5.44 | 2022-01-24 | 2022-01-25 | NaN | 1 days |
| 13 | 48 | 852 | 853 | 289,159.91 | 278,326.00 | -520,027.83 | -3.75 | 2022-01-25 | 2022-01-26 | NaN | 1 days |
| 14 | 48 | 853 | 854 | 278,353.83 | 280,016.00 | 79,784.04 | 0.60 | 2022-01-26 | 2022-01-27 | NaN | 1 days |
| 15 | 48 | 854 | 855 | 280,044.00 | 282,620.00 | 123,647.92 | 0.92 | 2022-01-27 | 2022-01-28 | NaN | 1 days |
| 16 | 48 | 855 | 856 | 282,648.26 | 279,666.00 | -143,148.58 | -1.06 | 2022-01-28 | 2022-01-29 | NaN | 1 days |
| 17 | 48 | 856 | 887 | 279,693.97 | 302,645.00 | 1,101,649.60 | 8.21 | 2022-01-29 | 2022-03-01 | NaN | 31 days |
| 18 | 49 | 958 | 960 | 292,125.21 | 270,030.00 | -1,082,665.27 | -7.56 | 2022-05-11 | 2022-05-13 | NaN | 2 days |
| 19 | 49 | 960 | 961 | 270,057.00 | 252,545.00 | -858,088.15 | -6.48 | 2022-05-13 | 2022-05-14 | NaN | 1 days |
| 20 | 49 | 961 | 962 | 252,570.25 | 259,932.00 | 360,725.53 | 2.91 | 2022-05-14 | 2022-05-15 | NaN | 1 days |
| 21 | 49 | 962 | 976 | 259,957.99 | 219,599.00 | -1,977,590.67 | -15.53 | 2022-05-15 | 2022-05-29 | NaN | 14 days |
| 22 | 50 | 976 | 992 | 219,620.96 | 194,000.00 | -1,281,047.99 | -11.67 | 2022-05-29 | 2022-06-14 | NaN | 16 days |
| 23 | 50 | 992 | 993 | 194,019.40 | 161,329.00 | -1,634,520.00 | -16.85 | 2022-06-14 | 2022-06-15 | NaN | 1 days |
| 24 | 50 | 993 | 994 | 161,345.13 | 163,220.00 | 93,743.36 | 1.16 | 2022-06-15 | 2022-06-16 | NaN | 1 days |
| 25 | 50 | 994 | 995 | 163,236.32 | 165,752.00 | 125,783.90 | 1.54 | 2022-06-16 | 2022-06-17 | NaN | 1 days |
| 26 | 50 | 995 | 996 | 165,768.58 | 140,940.00 | -1,241,428.76 | -14.98 | 2022-06-17 | 2022-06-18 | NaN | 1 days |
| 27 | 50 | 996 | 997 | 140,954.09 | 146,198.00 | 262,195.30 | 3.72 | 2022-06-18 | 2022-06-19 | NaN | 1 days |
| 28 | 50 | 997 | 998 | 146,212.62 | 134,400.00 | -590,630.99 | -8.08 | 2022-06-19 | 2022-06-20 | NaN | 1 days |
| 29 | 50 | 998 | 1002 | 134,413.44 | 143,124.00 | 435,528.00 | 6.48 | 2022-06-20 | 2022-06-24 | NaN | 4 days |
| 30 | 50 | 1002 | 1033 | 143,138.31 | 210,996.00 | 3,392,884.38 | 47.41 | 2022-06-24 | 2022-07-25 | NaN | 31 days |
| 31 | 65 | 1142 | 1173 | 160,519.05 | 172,992.00 | 810,741.73 | 7.77 | 2022-11-11 | 2022-12-12 | NaN | 31 days |
| 32 | 46 | 1423 | 1424 | 245,843.58 | 242,002.00 | -176,712.77 | -1.56 | 2023-08-19 | 2023-08-20 | NaN | 1 days |
| 33 | 46 | 1424 | 1425 | 242,026.20 | 243,426.00 | 64,390.79 | 0.58 | 2023-08-20 | 2023-08-21 | NaN | 1 days |
| 34 | 46 | 1425 | 1432 | 243,450.34 | 241,613.00 | -84,517.76 | -0.75 | 2023-08-21 | 2023-08-28 | NaN | 7 days |
| 35 | 46 | 1432 | 1448 | 241,637.16 | 227,844.00 | -634,485.42 | -5.71 | 2023-08-28 | 2023-09-13 | NaN | 16 days |
| 36 | 46 | 1448 | 1468 | 227,866.78 | 258,954.00 | 1,430,011.92 | 13.64 | 2023-09-13 | 2023-10-03 | NaN | 20 days |
| 37 | 24 | 1746 | 1748 | 480,588.05 | 472,460.00 | -195,073.30 | -1.69 | 2024-07-07 | 2024-07-09 | NaN | 2 days |
| 38 | 24 | 1748 | 1774 | 472,507.25 | 437,768.00 | -833,741.90 | -7.35 | 2024-07-09 | 2024-08-04 | NaN | 26 days |
| 39 | 24 | 1774 | 1775 | 437,811.78 | 426,209.00 | -278,466.64 | -2.65 | 2024-08-04 | 2024-08-05 | NaN | 1 days |
| 40 | 24 | 1775 | 1776 | 426,251.62 | 391,731.00 | -828,494.90 | -8.10 | 2024-08-05 | 2024-08-06 | NaN | 1 days |
| 41 | 25 | 1776 | 1777 | 391,770.17 | 354,096.00 | -941,854.33 | -9.62 | 2024-08-06 | 2024-08-07 | NaN | 1 days |
| 42 | 25 | 1777 | 1778 | 354,131.41 | 356,591.00 | 61,489.76 | 0.69 | 2024-08-07 | 2024-08-08 | NaN | 1 days |
| 43 | 25 | 1778 | 1779 | 356,626.66 | 341,996.00 | -365,766.48 | -4.10 | 2024-08-08 | 2024-08-09 | NaN | 1 days |
| 44 | 25 | 1779 | 1809 | 342,030.20 | 317,996.00 | -600,854.99 | -7.03 | 2024-08-09 | 2024-09-08 | NaN | 30 days |
| 45 | 25 | 1809 | 1840 | 318,027.80 | 359,611.00 | 1,039,580.01 | 13.08 | 2024-09-08 | 2024-10-09 | NaN | 31 days |
| 46 | 22 | 1962 | 1963 | 408,090.80 | 397,582.00 | -231,193.71 | -2.58 | 2025-02-08 | 2025-02-09 | NaN | 1 days |
| 47 | 22 | 1963 | 1964 | 397,621.76 | 399,567.00 | 42,795.32 | 0.49 | 2025-02-09 | 2025-02-10 | NaN | 1 days |
| 48 | 22 | 1964 | 1965 | 399,606.96 | 400,623.00 | 22,352.95 | 0.25 | 2025-02-10 | 2025-02-11 | NaN | 1 days |
| 49 | 22 | 1965 | 1967 | 400,663.06 | 397,623.00 | -66,881.37 | -0.76 | 2025-02-11 | 2025-02-13 | NaN | 2 days |
| 50 | 22 | 1967 | 1982 | 397,662.76 | 347,995.00 | -1,092,690.77 | -12.49 | 2025-02-13 | 2025-02-28 | NaN | 15 days |
| 51 | 22 | 1982 | 1983 | 348,029.80 | 346,536.00 | -32,863.59 | -0.43 | 2025-02-28 | 2025-03-01 | NaN | 1 days |
| 52 | 22 | 1983 | 1984 | 346,570.65 | 336,968.00 | -211,258.38 | -2.77 | 2025-03-01 | 2025-03-02 | NaN | 1 days |
| 53 | 22 | 1984 | 1985 | 337,001.70 | 334,484.00 | -55,389.33 | -0.75 | 2025-03-02 | 2025-03-03 | NaN | 1 days |
| 54 | 22 | 1985 | 1994 | 334,517.45 | 275,460.00 | -1,299,263.86 | -17.65 | 2025-03-03 | 2025-03-12 | NaN | 9 days |
| 55 | 22 | 1994 | 2021 | 275,487.55 | 229,999.00 | -1,000,748.01 | -16.51 | 2025-03-12 | 2025-04-08 | NaN | 27 days |
| 56 | 22 | 2021 | 2022 | 230,022.00 | 229,359.00 | -14,586.00 | -0.29 | 2025-04-08 | 2025-04-09 | NaN | 1 days |
| 57 | 22 | 2022 | 2023 | 229,381.94 | 215,248.00 | -310,946.59 | -6.16 | 2025-04-09 | 2025-04-10 | NaN | 1 days |
| 58 | 22 | 2023 | 2053 | 215,269.52 | 321,667.00 | 2,340,744.45 | 49.43 | 2025-04-10 | 2025-05-10 | NaN | 30 days |