erstellt am:2024-10-25 14:53:58.579553

Filter diagrams ml-filter backtest overview with charts config Strategies Underlyings history all trades risk_return forward infos: all_trades all combinations

Strategy_Code: ['triangle'] Strategy_fkt: ['SetupTriangle'] Takeprofit:6 Initialstop:-3 Timestop:40 Trailingstop: order_typ:next_open number_open_trades_per_symbol_allowed:1000 number_open_trades_allowed:1000 comment:triangle falling, overlap=10

1 pro Symbol anzahl:499 pf:1.777 profit1 [%]:222.71 maxDD1 [%]:-12.96 max gleichzeitige Positionen: 1 pro symbol max gleichzeitige Positionen: 10 max parallel trades1:10

tatsaechliche overlaps anzahl:850 pf:1.784 tq:0.595 profit2 [%]:85.315 maxDD2 [%]:-7.96 max gleichzeitige Positionen:34

max parallel trades3 fuer overlaps anzahl:711 pf:1.59 tq:0.565 profit3 [%]:234.232 maxDD3 [%]:-22.99 max gleichzeitige Positionen:34 max parallel trades3:10

Overview all symbols/strategies (profit3 entspricht hier 1 overlap pro symbol):

nr	Symbol	Strategy	count trades	count entries	count1	count2	count3	profit2 [%]	maxDD2 [%]	profit3 [%]	maxDD3 [%]	profit_dRt	maxDD_dRt	pf_1	pf_2	pf_3	sharpe	profit [r]	maxDD [r]	maxDD [r%]	tq	tq_2	tq_3	actual_overlap	time_in_market	from	to	equity	chart	trades	quantstats	rrg
1254	WYNN	triangle	30	31	30	30	30	-9.27	-32.97	-1.918	-10.67	nan	nan	0.981	0.981	0.981	0.0	-0.3	-10.13	-132.57	0.433	nan	nan	3	nan	2002-10-25	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1255	X	triangle	34	35	34	34	34	7.294	-21.55	4.642	-8.99	nan	nan	1.002	1.002	1.002	-4.212	0.03	-7.48	-104.05	0.412	nan	nan	4	nan	1996-01-02	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1256	XEC	triangle	2	2	2	2	2	2.484	-4.06	0.273	-0.41	nan	nan	2.375	2.375	2.375	0.0	0.37	-0.27	-42.11	0.5	nan	nan	1	nan	2002-09-25	2020-08-21	no plot	no plot	no plot	no qs	no rrg
1257	XEL	triangle	84	86	84	84	84	6.703	-11.14	3.656	-5.67	nan	nan	1.208	1.208	1.208	20.785	8.12	-11.54	-104.97	0.524	nan	nan	5	nan	1996-01-02	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1258	XL	triangle	0	0	0	0	0	0.0	0.0	0.0	0.0	nan	nan	0.0	0.0	0.0	0.0	nan	nan	nan	nan	nan	nan	0	nan	nan	nan	no plot	no plot	no plot	no qs	no rrg
1259	XLNX	triangle	62	64	62	62	62	65.581	-11.38	23.634	-4.61	nan	nan	2.126	2.126	2.126	0.0	23.04	-5.63	-19.66	0.532	nan	nan	4	nan	1996-01-02	2020-08-21	no plot	no plot	no plot	no qs	no rrg
1260	XOM	triangle	79	81	79	79	79	-11.947	-21.57	-4.684	-8.96	nan	nan	0.664	0.664	0.664	-4.761	-12.73	-17.78	-2498.97	0.468	nan	nan	4	nan	1996-01-02	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1261	XRAY	triangle	49	49	49	49	49	-7.431	-9.95	-2.863	-3.98	nan	nan	0.681	0.681	0.681	3.564	-7.19	-8.1	-960.5	0.449	nan	nan	4	nan	1996-01-02	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1262	XRX	triangle	71	74	71	71	71	2.496	-21.11	2.253	-8.85	nan	nan	1.046	1.046	1.046	0.0	1.64	-10.29	-86.27	0.507	nan	nan	4	nan	1996-01-02	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1263	XTO	triangle	22	24	22	22	22	-1.281	-19.33	0.112	-6.14	nan	nan	0.924	0.924	0.924	0.0	-0.88	-6.83	-114.75	0.455	nan	nan	3	nan	1996-01-02	2010-06-25	no plot	no plot	no plot	no qs	no rrg
1264	XYL	triangle	36	37	36	36	36	7.507	-6.64	4.035	-3.34	nan	nan	1.56	1.56	1.56	0.0	8.84	-4.21	-41.28	0.583	nan	nan	5	nan	2011-10-13	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1265	YNR	triangle	1	1	1	1	1	-15.702	0.0	-1.57	0.0	nan	nan	0.0	0.0	0.0	0.0	-0.99	0.0	-0.0	0.0	nan	nan	1	nan	1998-05-12	2000-10-03	no plot	no plot	no plot	no qs	no rrg
1266	YRCW	triangle	2	2	2	2	2	7.895	0.0	0.98	0.0	nan	nan	1.471	1.471	1.471	0.0	0.67	0.0	0.0	0.5	nan	nan	1	nan	1996-01-02	2020-08-21	no plot	no plot	no plot	no qs	no rrg
1267	YUM	triangle	89	91	89	89	89	33.971	-8.73	16.325	-4.45	nan	nan	1.584	1.584	1.584	7.628	19.81	-5.2	-21.57	0.551	nan	nan	5	nan	1997-09-17	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1268	YUMC	triangle	18	20	18	18	18	1.574	-14.91	0.614	-4.64	nan	nan	1.362	1.362	1.362	0.0	2.33	-5.0	-112.75	0.5	nan	nan	3	nan	2016-10-17	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1269	ZBH	triangle	56	56	56	56	56	9.016	-15.92	3.493	-4.78	nan	nan	1.045	1.045	1.045	3.25	1.43	-10.22	-289.22	0.464	nan	nan	3	nan	2001-07-25	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1270	ZBRA	triangle	4	4	4	4	4	5.293	-4.69	1.109	-0.95	nan	nan	1.918	1.918	1.918	0.0	1.21	-1.32	-52.14	0.75	nan	nan	2	nan	1996-01-02	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1271	ZION	triangle	60	63	60	60	60	11.002	-29.56	6.314	-12.38	nan	nan	1.378	1.378	1.378	10.454	10.68	-6.53	-52.98	0.5	nan	nan	4	nan	1996-01-02	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1272	ZTS	triangle	24	24	24	24	24	17.62	-5.32	5.193	-1.61	nan	nan	2.031	2.031	2.031	0.0	7.79	-3.07	-35.6	0.542	nan	nan	3	nan	2013-02-01	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1273	i_SPX	triangle	0	0	0	0	0	0.0	0.0	0.0	0.0	nan	nan	0.0	0.0	0.0	0.0	nan	nan	nan	nan	nan	nan	0	nan	nan	nan	no plot	no plot	no plot	no qs	no rrg

Statistics:

trade hold period gew trade max 40.0 gew trade mean 38.0296442687747 gew trade median 40.0 verlust trade max 40.0 verlust trade mean 29.061046511627907 verlust trade median 38.0

trade gewinn gew trade max [r] 3.7569807487577123 gew trade mean [r] 0.9500504747570871 gew trade median [r] 0.8120543144984684 verlust trade min [r] -2.5400651494326176 verlust trade mean [r] -0.7832415664604686 verlust trade median [r] -0.9341094638001737 gew trade max [%] 53.74882849109653 gew trade median [%] 8.197454988335984 verlust trade min [%] -39.671837672375354 verlust trade median [%] -7.151777234681088 trade mean [%] 0.07615021124287391 trade std [%] 0.3416790373671913

exit type count mean r data_end 6 0.9177781370614001 sl 181 -1.163045015476583 time 593 0.4321541868682973 tp 71 2.253908275079967

External Signals:False

Standardfilter: False

filter all_trades:

Bewertung nach 5,10,20,40,60 Tagen (es werden alles Signale verwendet):

Timestop	count	count per year	max pos	return p	return p day	return p plus count	return p minus count	return p plus	return p minus	return r plus	return r minus	pf p	pf r	tq	return r
1.0	851.0	32.77	34.0	0.099	0.099	410.0	422.0	677.5861163802679	-593.0930515017712	65.82510894866681	-55.002653450367916	1.142	1.197	49.28	0.0127
2.0	851.0	32.77	34.0	-0.006	-0.003	416.0	422.0	846.4565988727234	-851.3387132100072	84.73250440009411	-76.33427092087754	0.994	1.11	49.64	0.0099
3.0	851.0	32.77	34.0	0.07	0.023	448.0	392.0	1060.6723961866148	-1001.4352627204539	104.59885497805469	-91.74963338062764	1.059	1.14	53.33	0.0151
4.0	851.0	32.77	34.0	0.263	0.066	457.0	387.0	1296.7388294267616	-1073.0057314545697	125.66599956976016	-99.8506945476129	1.209	1.259	54.15	0.0303
5.0	851.0	32.77	34.0	0.265	0.053	452.0	388.0	1439.5430191691887	-1213.7727304224306	140.98616269705252	-112.54261179882386	1.186	1.253	53.81	0.0334
7.0	851.0	32.77	34.0	0.439	0.063	465.0	380.0	1762.6777325162686	-1389.500862989281	170.3359141600706	-134.53315354614304	1.269	1.266	55.03	0.0421
10.0	851.0	32.77	34.0	0.98	0.098	501.0	344.0	2337.368085318532	-1503.5744004583646	223.86940866062804	-149.21661263531902	1.555	1.5	59.29	0.0877
15.0	851.0	32.77	34.0	1.219	0.081	508.0	340.0	2959.1593455709353	-1921.4885082266164	285.6057167593154	-186.14162465196665	1.54	1.534	59.91	0.1169
20.0	851.0	32.77	34.0	1.459	0.073	506.0	342.0	3388.3885377162887	-2148.387381656049	328.21244234388325	-212.44396042537443	1.577	1.545	59.67	0.1362
30.0	851.0	32.77	34.0	2.253	0.075	520.0	326.0	4439.760585689366	-2526.899738454372	431.97021766833376	-245.3884316970687	1.757	1.76	61.47	0.2198
50.0	851.0	32.77	34.0	2.772	0.055	519.0	323.0	5805.520160498689	-3465.9801157315414	554.0380651985265	-329.6684283783969	1.675	1.681	61.64	0.2658
100.0	851.0	32.77	34.0	5.007	0.05	504.0	327.0	8632.057925200581	-4461.307857716795	824.4896350278221	-433.3522646136066	1.935	1.903	60.65	0.4696
200.0	851.0	32.77	34.0	9.637	0.048	523.0	294.0	13534.782555332	-5651.535288000834	1310.8429003795263	-554.2596917965485	2.395	2.365	64.01	0.9249

entries same day:

	anzahl
anzahl_entries_tag
2	92
3	16
4	3
6	1

Result: Profit1: mit overlap=1 pro Symbol; Profit2: mit tatsaechlichem overlap gerechnet; Profit3: mit overlap=1 pro Symbol gerechnet

profit1 [%] 222.71 maxDD1 [%] -12.96 profit2 [%] 85.315 maxDD2 [%] -7.96 profit3 [%] 234.232 maxDD3 [%] -22.99 years 25.97 CAGR [%] 2.387 profit mean [%] 0.076 profit std [%] 0.342 return/risk [%] 0.3 return/risk [r] 9.34 return/day 0.006 return_p_day 0.075 return/day overlap 0.099 hold_period 34.41 profit_r/day -0.004 profit2_maxDD2 10.718 tq 0.595 actual_overlap 34 actual_overlap1 10 pf 1.784 pf_1 1.777 pf_2 1.784 pf_3 1.59 gew_r_ges 211.29 DD_r -22.621 sharpe 2.688 calmar 10.723 calmar_r 9.34 calmar_mod 85.32 tq_1 0.593 tq_2 0.595 tq_3 0.565 CRV 0.667 count trades 851 count trades1 499 count trades2 850 count trades3 711 time_in_market count_symbols 450

overlap --------------------- max_overlap_1 450000 max_overlap_2 34 max_parallel_trades1 1 max_parallel_trades2 0 setups ['triangle'] universe sp500_bb_2022-12

Equity from all_trades (profit2)	Equity from all_trades (profit2 und profit1)	Equity from all_trades profit3	Equity from all_trades (profit2 und profit3, log)
Equity r

Equity Kurven
Equity Kurven pro Symbol
Equity Kurven pro Strategie
alle Dateien