Golden Cross Strategy

Simple Moving Average Crossover Strategy Author: FengkieJ ([email protected]) Simple moving average crossover strategy is the ''hello world'' of algorithmic trading. This strategy uses two SMAs to determine '''Golden Cross''' to signal for long position, and "Death Cross" to signal for short position.

Filter Metrics

Select the info for the backtest metrics that you want to see:

2019-01-01 => 2019-12-31BTC-USD4h

Performance Metrics

PNL:
7175.12 (71.75%)
Win rate:
46.15%
Sharpe ratio:
1.14
Smart Sharpe:
1.06
Sortino ratio:
1.65
Smart Sortino:
1.54
Calmar ratio:
1.83
Omega ratio:
1.20
Serenity index:
0.35
Average win/loss:
0.00
Average win:
2885.21
Average loss:
1448.02

Risk Metrics

Total losing streak:
2
Largest losing trade:
-2891.24
Largest winning trade:
10951.71
Total winning streak:
2
Current streak:
-1
Expectancy:
551.93 (5.52%)
Expected net profit:
551.93
Average holding period:
2418092.31
Gross profit:
17311.26
Gross loss:
-10136.14
Max drawdown:
-39.35

Trade Metrics

Total trades:
13
Total winning trades:
6
Total losing trades:
7
Starting balance:
10000.00
Finishing balance:
17175.12
Longs count:
7
Longs percentage:
53.85
Shorts percentage:
46.15
Shorts count:
6
Fee:
218.93
Total open trades:
1
Open PL:
-555.78