Simple Bollinger Bands Strategy
Simple Bollinger Bands Strategy Timeframe: 1h Repo: https://github.com/gabrielweich/jesse-strategies When the price closes above the upperband in an uptrend (determined by the ichimoku cloud), it gives a long signal indicating a possible continuation of the uptrend. The position can also be closed when the price closes below lowerband, but the best results were achieved when using the middleband instead.
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Equity Curve
2019-01-01 => 2019-12-31BTC-USD1h
- PNL:
- 8688.38 (86.88%)
- Win rate:
- 38.10%
- Sharpe ratio:
- 1.75
- Smart Sharpe:
- 1.75
- Sortino ratio:
- 3.77
- Smart Sortino:
- 3.76
- Calmar ratio:
- 4.91
- Omega ratio:
- 1.48
- Serenity index:
- 1.31
- Average win/loss:
- 0.00
- Average win:
- 545.64
- Average loss:
- 224.39
- Total losing streak:
- 9
- Largest losing trade:
- -1214.25
- Largest winning trade:
- 2467.66
- Total winning streak:
- 4
- Current streak:
- -2
- Expectancy:
- 68.96 (0.69%)
- Expected net profit:
- 68.96
- Average holding period:
- 65314.29
- Gross profit:
- 26190.50
- Gross loss:
- -17502.12
- Max drawdown:
- -17.76
- Total trades:
- 126
- Total winning trades:
- 48
- Total losing trades:
- 78
- Starting balance:
- 10000.00
- Finishing balance:
- 18688.38
- Longs count:
- 126
- Longs percentage:
- 100.00
- Shorts percentage:
- 0.00
- Shorts count:
- 0
- Fee:
- 1850.01
- Total open trades:
- 0
- Open PL:
- 0.00