IFR2

IFR2 (portuguese translation of RSI2) Repo: https://github.com/gabrielweich/jesse-strategies Simillar to RSI2 described by Larry Connors but with some modifications. Uses Ichimoku Cloud with parameters adapted to crypto market and also Hilbert Transform Trendmode as filters to only buy in an uptrend. The exit occurs when the close is above the highest high of the two previous cadles. References: - RSI2: https://school.stockcharts.com/doku.php?id=trading_strategies:rsi2 - Ichimoku Crypto Parameters: https://www.altcointrading.net/ichimoku-cloud/

Filter Metrics

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

2019-01-01 => 2019-12-31BTC-USD1h

The equity curve for this strategy at this period, symbol and timeframe is not available.

Performance Metrics

PNL:
-454.82 (-4.55%)
Win rate:
65.05%
Sharpe ratio:
-0.22
Smart Sharpe:
-0.21
Sortino ratio:
-0.25
Smart Sortino:
-0.24
Calmar ratio:
-0.50
Omega ratio:
0.93
Serenity index:
-0.07
Average win/loss:
0.00
Average win:
61.27
Average loss:
126.66

Risk Metrics

Total losing streak:
5
Largest losing trade:
-823.98
Largest winning trade:
234.03
Total winning streak:
6
Current streak:
-1
Expectancy:
-4.42 (-0.04%)
Expected net profit:
-4.42
Average holding period:
23102.91
Gross profit:
4104.80
Gross loss:
-4559.61
Max drawdown:
-9.13

Trade Metrics

Total trades:
103
Total winning trades:
67
Total losing trades:
36
Starting balance:
10000.00
Finishing balance:
9545.18
Longs count:
103
Longs percentage:
100.00
Shorts percentage:
0.00
Shorts count:
0
Fee:
1486.91
Total open trades:
1
Open PL:
-15.10