MACD + EMA

""" MACD indicator with 100 period exponential moving average (EMA) Timeframe: 1h Repo: https://github.com/gabrielweich/jesse-strategies When the MACD line crosses the signal line AND the closing price of the last candle is above the 100 period EMA a long order is placed. The script has been seet up to use the built in optimization, but the optimization was never completed due to lack of processing power. Change the default values in the hyperparameters function to manually tune parameters.

Filter Metrics

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

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

Performance Metrics

PNL:
6446.41 (64.46%)
Win rate:
23.42%
Sharpe ratio:
1.22
Smart Sharpe:
1.19
Sortino ratio:
2.10
Smart Sortino:
2.04
Calmar ratio:
2.25
Omega ratio:
1.24
Serenity index:
0.37
Average win/loss:
0.00
Average win:
946.97
Average loss:
213.82

Risk Metrics

Total losing streak:
13
Largest losing trade:
-1248.22
Largest winning trade:
6517.15
Total winning streak:
3
Current streak:
1
Expectancy:
58.08 (0.58%)
Expected net profit:
58.08
Average holding period:
148994.59
Gross profit:
24621.17
Gross loss:
-18174.75
Max drawdown:
-28.77

Trade Metrics

Total trades:
111
Total winning trades:
26
Total losing trades:
85
Starting balance:
10000.00
Finishing balance:
16446.41
Longs count:
111
Longs percentage:
100.00
Shorts percentage:
0.00
Shorts count:
0
Fee:
2400.38
Total open trades:
0
Open PL:
0.00