diff --git a/docs/backtesting.md b/docs/backtesting.md index 6b86d9635..5f42a6bcd 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -211,58 +211,59 @@ A backtesting result will look like that: │ TOTAL │ │ 77 │ 0.22 │ 54.774 │ 5.48 │ 22:12:00 │ 67 0 10 87.0 │ └───────────┴─────────────┴────────┴──────────────┴─────────────────┴──────────────┴─────────────────┴────────────────────────┘ SUMMARY METRICS -┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓ -┃ Metric ┃ Value ┃ -┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩ -│ Backtesting from │ 2025-07-01 00:00:00 │ -│ Backtesting to │ 2025-08-01 00:00:00 │ -│ Trading Mode │ Isolated Futures │ -│ Max open trades │ 3 │ -│ │ │ -│ Total/Daily Avg Trades │ 77 / 2.48 │ -│ Starting balance │ 1000 USDT │ -│ Final balance │ 1054.774 USDT │ -│ Absolute profit │ 54.774 USDT │ -│ Total profit % │ 5.48% │ -│ CAGR % │ 87.36% │ -│ Sortino │ 2.48 │ -│ Sharpe │ 3.75 │ -│ Calmar │ 40.99 │ -│ SQN │ 0.69 │ -│ Profit factor │ 1.29 │ -│ Expectancy (Ratio) │ 0.71 (0.04) │ -│ Avg. daily profit │ 1.767 USDT │ -│ Avg. stake amount │ 345.016 USDT │ -│ Total trade volume │ 53316.954 USDT │ -│ │ │ -│ Long / Short trades │ 67 / 10 │ -│ Long / Short profit % │ 8.94% / -3.47% │ -│ Long / Short profit USDT │ 89.425 / -34.651 │ -│ │ │ -│ Best Pair │ LTC/USDT:USDT 5.62% │ -│ Worst Pair │ ADA/USDT:USDT -5.21% │ -│ Best trade │ ETC/USDT:USDT 2.00% │ -│ Worst trade │ ADA/USDT:USDT -10.17% │ -│ Best day │ 26.91 USDT │ -│ Worst day │ -47.741 USDT │ -│ Days win/draw/lose │ 20 / 6 / 5 │ -│ Min/Max/Avg. Duration Winners │ 0d 00:35 / 5d 18:15 / 0d 15:49 │ -│ Min/Max/Avg. Duration Losers │ 0d 10:40 / 17d 08:00 / 2d 17:00 │ -│ Max Consecutive Wins / Loss │ 36 / 3 │ -│ Rejected Entry signals │ 258 │ -│ Entry/Exit Timeouts │ 0 / 0 │ -│ │ │ -│ Min balance │ 1003.168 USDT │ -│ Max balance │ 1149.421 USDT │ -│ Max % of account underwater │ 8.23% │ -│ Absolute drawdown │ 94.647 USDT (8.23%) │ -│ Drawdown duration │ 9 days 08:50:00 │ -│ Profit at drawdown start │ 149.421 USDT │ -│ Profit at drawdown end │ 54.774 USDT │ -│ Drawdown start │ 2025-07-22 15:10:00 │ -│ Drawdown end │ 2025-08-01 00:00:00 │ -│ Market change │ 30.51% │ -└───────────────────────────────┴─────────────────────────────────┘ +┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓ +┃ Metric ┃ Value ┃ +┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩ +│ Backtesting from │ 2025-07-01 00:00:00 │ +│ Backtesting to │ 2025-08-01 00:00:00 │ +│ Trading Mode │ Isolated Futures │ +│ Max open trades │ 3 │ +│ │ │ +│ Total/Daily Avg Trades │ 77 / 2.48 │ +│ Starting balance │ 1000 USDT │ +│ Final balance │ 1054.669 USDT │ +│ Absolute profit │ 54.669 USDT │ +│ Total profit % │ 5.47% │ +│ CAGR % │ 87.14% │ +│ Sortino │ 2.46 │ +│ Sharpe │ 3.73 │ +│ Calmar │ 40.81 │ +│ SQN │ 0.69 │ +│ Profit factor │ 1.29 │ +│ Expectancy (Ratio) │ 0.71 (0.04) │ +│ Avg. daily profit │ 1.764 USDT │ +│ Avg. stake amount │ 345.251 USDT │ +│ Total trade volume │ 53352.96 USDT │ +│ │ │ +│ Long / Short trades │ 67 / 10 │ +│ Long / Short profit % │ 8.93% / -3.46% │ +│ Long / Short profit USDT │ 89.262 / -34.593 │ +│ │ │ +│ Best Pair │ LTC/USDT:USDT 5.62% │ +│ Worst Pair │ ADA/USDT:USDT -5.21% │ +│ Best trade │ ETC/USDT:USDT 2.00% │ +│ Worst trade │ ADA/USDT:USDT -10.17% │ +│ Best day │ 26.931 USDT │ +│ Worst day │ -47.741 USDT │ +│ Days win/draw/lose │ 20 / 6 / 5 │ +│ Min/Max/Avg. Duration Winners │ 0d 00:35 / 5d 18:15 / 0d 15:49 │ +│ Min/Max/Avg. Duration Losers │ 0d 10:40 / 17d 08:00 / 2d 17:00 │ +│ Max Consecutive Wins / Loss │ 36 / 3 │ +│ Rejected Entry signals │ 258 │ +│ Entry/Exit Timeouts │ 0 / 0 │ +│ │ │ +│ Min/Max balance realized │ 1003.168 USDT / 1149.577 USDT │ +│ Min/Max balance unrealized │ 1000 USDT / 1149.577 USDT │ +│ Min/Max balance dates │ 2025-07-01 00:05:00 / 2025-07-22 15:15:00 │ +│ Max % of account underwater │ 8.26% │ +│ Absolute drawdown │ 94.908 USDT (8.26%) │ +│ Drawdown duration │ 9 days 08:50:00 │ +│ Profit at drawdown start │ 149.577 USDT │ +│ Profit at drawdown end │ 54.669 USDT │ +│ Drawdown start │ 2025-07-22 15:10:00 │ +│ Drawdown end │ 2025-08-01 00:00:00 │ +│ Market change │ 30.51% │ +└───────────────────────────────┴───────────────────────────────────────────┘ Backtested 2025-07-01 00:00:00 -> 2025-08-01 00:00:00 | Max open trades : 3 STRATEGY SUMMARY @@ -329,54 +330,59 @@ The last element of the backtest report is the summary metrics table. It contains key metrics about the performance of your strategy on backtesting data. ``` -┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓ -┃ Metric ┃ Value ┃ -┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩ -│ Backtesting from │ 2025-07-01 00:00:00 │ -│ Backtesting to │ 2025-08-01 00:00:00 │ -│ Trading Mode │ Isolated Futures │ -│ Max open trades │ 3 │ -│ │ │ -│ Total/Daily Avg Trades │ 72 / 2.32 │ -│ Starting balance │ 1000 USDT │ -│ Final balance │ 1106.734 USDT │ -│ Absolute profit │ 106.734 USDT │ -│ Total profit % │ 10.67% │ -│ CAGR % │ 230.04% │ -│ Sortino │ 4.99 │ -│ Sharpe │ 8.00 │ -│ Calmar │ 77.76 │ -│ SQN │ 1.52 │ -│ Profit factor │ 1.79 │ -│ Expectancy (Ratio) │ 1.48 (0.07) │ -│ Avg. daily profit │ 3.443 USDT │ -│ Avg. stake amount │ 363.133 USDT │ -│ Total trade volume │ 52466.174 USDT │ -│ │ │ -│ Best Pair │ LTC/USDT:USDT 4.48% │ -│ Worst Pair │ ADA/USDT:USDT -1.78% │ -│ Best trade │ ETC/USDT:USDT 2.00% │ -│ Worst trade │ ADA/USDT:USDT -10.17% │ -│ Best day │ 23.535 USDT │ -│ Worst day │ -49.813 USDT │ -│ Days win/draw/lose │ 21 / 6 / 4 │ -│ Min/Max/Avg. Duration Winners │ 0d 00:35 / 5d 18:15 / 0d 15:30 │ -│ Min/Max/Avg. Duration Losers │ 0d 12:00 / 17d 08:00 / 3d 23:28 │ -│ Max Consecutive Wins / Loss │ 58 / 4 │ -│ Rejected Entry signals │ 254 │ -│ Entry/Exit Timeouts │ 0 / 0 │ -│ │ │ -│ Min balance │ 1003.168 USDT │ -│ Max balance │ 1209 USDT │ -│ Max % of account underwater │ 8.46% │ -│ Absolute drawdown │ 102.266 USDT (8.46%) │ -│ Drawdown duration │ 9 days 08:50:00 │ -│ Profit at drawdown start │ 209 USDT │ -│ Profit at drawdown end │ 106.734 USDT │ -│ Drawdown start │ 2025-07-22 15:10:00 │ -│ Drawdown end │ 2025-08-01 00:00:00 │ -│ Market change │ 30.51% │ -└───────────────────────────────┴─────────────────────────────────┘ +┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓ +┃ Metric ┃ Value ┃ +┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩ +│ Backtesting from │ 2025-07-01 00:00:00 │ +│ Backtesting to │ 2025-08-01 00:00:00 │ +│ Trading Mode │ Isolated Futures │ +│ Max open trades │ 3 │ +│ │ │ +│ Total/Daily Avg Trades │ 77 / 2.48 │ +│ Starting balance │ 1000 USDT │ +│ Final balance │ 1054.669 USDT │ +│ Absolute profit │ 54.669 USDT │ +│ Total profit % │ 5.47% │ +│ CAGR % │ 87.14% │ +│ Sortino │ 2.46 │ +│ Sharpe │ 3.73 │ +│ Calmar │ 40.81 │ +│ SQN │ 0.69 │ +│ Profit factor │ 1.29 │ +│ Expectancy (Ratio) │ 0.71 (0.04) │ +│ Avg. daily profit │ 1.764 USDT │ +│ Avg. stake amount │ 345.251 USDT │ +│ Total trade volume │ 53352.96 USDT │ +│ │ │ +│ Long / Short trades │ 67 / 10 │ +│ Long / Short profit % │ 8.93% / -3.46% │ +│ Long / Short profit USDT │ 89.262 / -34.593 │ +│ │ │ +│ Best Pair │ LTC/USDT:USDT 5.62% │ +│ Worst Pair │ ADA/USDT:USDT -5.21% │ +│ Best trade │ ETC/USDT:USDT 2.00% │ +│ Worst trade │ ADA/USDT:USDT -10.17% │ +│ Best day │ 26.931 USDT │ +│ Worst day │ -47.741 USDT │ +│ Days win/draw/lose │ 20 / 6 / 5 │ +│ Min/Max/Avg. Duration Winners │ 0d 00:35 / 5d 18:15 / 0d 15:49 │ +│ Min/Max/Avg. Duration Losers │ 0d 10:40 / 17d 08:00 / 2d 17:00 │ +│ Max Consecutive Wins / Loss │ 36 / 3 │ +│ Rejected Entry signals │ 258 │ +│ Entry/Exit Timeouts │ 0 / 0 │ +│ │ │ +│ Min/Max balance realized │ 1003.168 USDT / 1149.577 USDT │ +│ Min/Max balance unrealized │ 1000 USDT / 1149.577 USDT │ +│ Min/Max balance dates │ 2025-07-01 00:05:00 / 2025-07-22 15:15:00 │ +│ Max % of account underwater │ 8.26% │ +│ Absolute drawdown │ 94.908 USDT (8.26%) │ +│ Drawdown duration │ 9 days 08:50:00 │ +│ Profit at drawdown start │ 149.577 USDT │ +│ Profit at drawdown end │ 54.669 USDT │ +│ Drawdown start │ 2025-07-22 15:10:00 │ +│ Drawdown end │ 2025-08-01 00:00:00 │ +│ Market change │ 30.51% │ +└───────────────────────────────┴───────────────────────────────────────────┘ ``` - `Backtesting from` / `Backtesting to`: Backtesting range (usually defined with the `--timerange` option). @@ -409,7 +415,9 @@ It contains key metrics about the performance of your strategy on backtesting da - `Max Consecutive Wins / Loss`: Maximum consecutive wins/losses in a row. - `Rejected Entry signals`: Trade entry signals that could not be acted upon due to `max_open_trades` being reached. - `Entry/Exit Timeouts`: Entry/exit orders which did not fill (only applicable if custom pricing is used). -- `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period. +- `Min/Max balance realized`: Lowest and Highest Wallet balance during the backtest period based on closed trades trades. +- `Min/Max balance unrealized`: Lowest and Highest Wallet balance during the backtest period - including capital tied in open trades. +- `Min/Max balance dates`: Dates when the minimum and maximum balance occurred. - `Max % of account underwater`: Maximum percentage your account has decreased from the top since the simulation started. Calculated as the maximum of `(Max Balance - Current Balance) / (Max Balance)`. - `Absolute drawdown`: Maximum absolute drawdown experienced, including percentage relative to the account calculated as `(Absolute Drawdown) / (DrawdownHigh + startingBalance)`.. - `Drawdown duration`: Duration of the largest drawdown period.