Strategy crypto 1d - 238

This post documents a systematic backtest of a crypto strategy on Bitcoin. Over the backtest window, the strategy produced a 55% return alongside a 30% maximum drawdown — figures must be read together with risk and drawdown. The strategy parameter set and full backtest output are published to our free community channels. For informational and educational purposes only — not financial advice.

Input Parameters

Parameter	Value
strategy_buy	ma0c&psar0a
strategy_sell	ichimoku6c
score_weights	[ 0.28 0.33 0.61 0.57 0.33 0.17 2.01 5.93 -1.2 -0.29 0.03 -1.28 -1.1 0.74 -0.03 -0.46]
leverage	1.0
interest_rate_annual_pct	7.0
date_start_simulation	2018-01-02 00:00:00+00:00
date_start	2016-12-20 00:00:00+00:00
date_end	2026-02-28 00:00:00+00:00
base_currency	USD
initial_cash	100000.0
position_target_w	0.4
position_target_hard_limit	10000000.0
bar_size	1 day
nbar_back_for_stop	0
trailing_stop	28.0
stop_limit	False
nbar_freeze	2
enable_freeze_global	False
position_max_w	0.6000000000000001
max_entry_per_bar	10
min_value_traded	0.0
skip_zero_volume	False
min_price_threshold	0.0
exposure_penalty_trigger_pct	15.0
stability_penalty_trigger	0.5
max_workers_outer	8
max_workers_inner	8
seed_portfolio (screening_mode)	False
no_sell_all	False
target_price	None
target_duration	65
target_trend	-7.0
nb_symbol	9
logfile	/app/strategy_evaluate-260323_085238-1.log

Results Summary

Metric	Value
equity_final	3629429.7908
cagr_pct	55.3278
return	3529.4298
max_drawdown_pct	30.0875
ulcer_index_pct	4.3207
net_exposure_pct	19.0726
sharpe_ratio	1.5421
sortino_ratio	2.6342
calmar_ratio	1.8397
benchmark_cagr	5.0000
stability	0.9477
k_ratio	228.4631
composite_objective	2.9607
trades	35
win_rate	0.6571
risk_reward_ratio	8.0394
kelly_pct	61.4496
return_mean	57.4565
return_min	-21.0663
return_q0.01	-20.9960
return_q0.05	-17.5624
return_q0.2	-9.1721
return_q0.5	20.1785
return_q0.8	101.7265
return_q0.95	224.6643
return_q0.99	319.5544
return_max	356.6240
yearly_sortino	2.6900
yearly_downside_semidev	0.4554