Slow Trend Following

This is a slow trend following strategy that uses a trend following indicator to determine long and short positions. It also incorporates a stop loss and take profit based on price fluctuations. The strategy is conservative in its risk management, with a measured risk calculation to determine position size. It also has customizable hyperparameters for further optimizations. This is a strategy that worked well for me during a bear market too. It's not super aggressive, but it's safe enough for me to trade BTC with it in most market situations.

Filter Metrics

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

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

Performance Metrics

PNL:
9070.18 (90.70%)
Win rate:
33.33%
Sharpe ratio:
1.85
Smart Sharpe:
1.84
Sortino ratio:
3.49
Smart Sortino:
3.47
Calmar ratio:
4.89
Omega ratio:
1.56
Serenity index:
1.45
Average win/loss:
0.00
Average win:
1216.40
Average loss:
305.86

Risk Metrics

Total losing streak:
6
Largest losing trade:
-647.72
Largest winning trade:
4087.65
Total winning streak:
2
Current streak:
-2
Expectancy:
201.56 (2.02%)
Expected net profit:
201.56
Average holding period:
286554.67
Gross profit:
18245.98
Gross loss:
-9175.80
Max drawdown:
-18.60

Trade Metrics

Total trades:
45
Total winning trades:
15
Total losing trades:
30
Starting balance:
10000.00
Finishing balance:
19070.18
Longs count:
21
Longs percentage:
46.67
Shorts percentage:
53.33
Shorts count:
24
Fee:
839.51
Total open trades:
0
Open PL:
0.00