Simple Donchian Strategy

Uses Donchian Channels to capture long term uptrends, the idea is to buy when price closes above the upperband and only exit the position when prices closes below the lowerband. Repo: https://github.com/gabrielweich/jesse-strategies

Filter Metrics

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

2019-01-01 => 2019-12-31BTC-USD6h

Performance Metrics

PNL:
4919.74 (49.20%)
Win rate:
50.00%
Sharpe ratio:
1.06
Smart Sharpe:
1.04
Sortino ratio:
1.61
Smart Sortino:
1.58
Calmar ratio:
1.13
Omega ratio:
1.27
Serenity index:
0.10
Average win/loss:
0.00
Average win:
2486.41
Average loss:
1502.46

Risk Metrics

Total losing streak:
3
Largest losing trade:
-2871.56
Largest winning trade:
5063.54
Total winning streak:
4
Current streak:
-3
Expectancy:
491.97 (4.92%)
Expected net profit:
491.97
Average holding period:
1373760.00
Gross profit:
12432.03
Gross loss:
-7512.30
Max drawdown:
-43.80

Trade Metrics

Total trades:
10
Total winning trades:
5
Total losing trades:
5
Starting balance:
10000.00
Finishing balance:
14919.74
Longs count:
10
Longs percentage:
100.00
Shorts percentage:
0.00
Shorts count:
0
Fee:
151.41
Total open trades:
0
Open PL:
0.00