Backtest - Modul2 - iQ-Program

Backtest - Modul2 - iQ-Program erstellt am:2024-10-25 14:55:06.794036

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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 rising, overlap=10

1 pro Symbol

anzahl:228

pf:1.532

profit1 [%]:46.656

maxDD1 [%]:-12.95

max gleichzeitige Positionen: 1 pro symbol

max gleichzeitige Positionen: 10

max parallel trades1:10

tatsaechliche overlaps

anzahl:873

pf:1.705

tq:0.57

profit2 [%]:138.158

maxDD2 [%]:-8.2

max gleichzeitige Positionen:20

max parallel trades3 fuer overlaps

anzahl:786

pf:1.589

tq:0.56

profit3 [%]:275.659

maxDD3 [%]:-15.87

max gleichzeitige Positionen:20

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	5.927	-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	-4.412	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	-0.464	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	0.279	-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	0.0	-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	-2.536	-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	-2.198	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	11.969	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	8.927	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	1.614	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	35.859437751004016
gew trade median	40.0
verlust trade max	40.0
verlust trade mean	23.362666666666666
verlust trade median	22.0

trade	gewinn
gew trade max [r]	3.227272727272727
gew trade mean [r]	1.256849928005326
gew trade median [r]	1.1632774985453684
verlust trade min [r]	-2.923913043478263
verlust trade mean [r]	-0.9789460034445923
verlust trade median [r]	-1.0617519126727086
gew trade max [%]	35.76642335766424
gew trade median [%]	8.616956241956233
verlust trade min [%]	-31.77165354330709
verlust trade median [%]	-6.610299769408143
trade mean [%]	0.10379665299495751
trade std [%]	0.48722658003690844

exit type	count	mean r
data_end	8	0.34712864766095897
sl	279	-1.2045507408512497
time	441	0.6152943702087355
tp	146	2.1969474185554034

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	874.0	33.56	20.0	0.139	0.139	454.0	400.0	559.4302539879961	-437.54922440850567	77.71936528542469	-60.35711081285005	1.279	1.288	53.16	0.0199
2.0	874.0	33.56	20.0	0.172	0.086	471.0	385.0	811.0106800404883	-660.6743667990278	113.63858821990704	-88.94234285330688	1.228	1.278	55.02	0.0283
3.0	874.0	33.56	20.0	0.242	0.081	470.0	390.0	989.2906178729427	-777.6865653764318	140.2913955453765	-108.78946791706272	1.272	1.29	54.65	0.036
4.0	874.0	33.56	20.0	0.252	0.063	468.0	398.0	1161.7922701271618	-941.8388247383799	161.16131198372707	-132.4279175150751	1.234	1.217	54.04	0.0329
5.0	874.0	33.56	20.0	0.308	0.062	466.0	400.0	1281.1325078973623	-1011.8215624032093	179.3438242138098	-141.97331958744485	1.266	1.263	53.81	0.0428
7.0	874.0	33.56	20.0	0.168	0.024	465.0	402.0	1516.3768431202102	-1369.56527933545	208.3408848444186	-189.73944664666334	1.107	1.098	53.63	0.0213
10.0	874.0	33.56	20.0	0.374	0.037	481.0	385.0	1886.417527864976	-1560.0790303151553	262.0999321080193	-219.94089037245726	1.209	1.192	55.54	0.0483
15.0	874.0	33.56	20.0	0.91	0.061	503.0	365.0	2515.9406910939488	-1722.1520547680113	352.2514648174159	-249.99434586211993	1.461	1.409	57.95	0.1173
20.0	874.0	33.56	20.0	1.253	0.063	519.0	350.0	3040.4059857153293	-1949.007607888459	430.3121755071283	-285.19947318712957	1.56	1.509	59.72	0.1666
30.0	874.0	33.56	20.0	1.933	0.064	530.0	337.0	4039.726970519922	-2359.5326783768523	571.9275488907215	-351.1913811858651	1.712	1.629	61.13	0.254
50.0	874.0	33.56	20.0	2.883	0.058	533.0	325.0	5382.872829236574	-2891.580668873998	759.8560273505705	-408.16151750483493	1.862	1.862	62.12	0.4071
100.0	874.0	33.56	20.0	4.633	0.046	521.0	327.0	7955.910792992567	-4027.043948401099	1117.386362372211	-548.5638545307955	1.976	2.037	61.44	0.6708
200.0	874.0	33.56	20.0	9.249	0.046	551.0	277.0	12728.761316809176	-5061.536394324378	1807.99292767724	-688.2778631972426	2.515	2.627	66.55	1.3507

entries same day:

	anzahl
anzahl_entries_tag
2	93
3	14
4	4
5	2

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

profit1 [%]	46.656
maxDD1 [%]	-12.95
profit2 [%]	138.158
maxDD2 [%]	-8.2
profit3 [%]	275.659
maxDD3 [%]	-15.87
years	26.04
CAGR [%]	3.38
profit mean [%]	0.104
profit std [%]	0.487
return/risk [%]	0.412
return/risk [r]	12.26
return/day	0.009
return_p_day	0.068
return/day overlap	0.104
hold_period	30.5
profit_r/day	-0.008
profit2_maxDD2	16.849
tq	0.57
actual_overlap	20
actual_overlap1	10
pf	1.705
pf_1	1.532
pf_2	1.705
pf_3	1.589
gew_r_ges	258.807
DD_r	-21.109
sharpe	2.588
calmar	16.842
calmar_r	12.261
calmar_mod	138.166
tq_1	0.548
tq_2	0.57
tq_3	0.56
CRV	0.667
count trades	874
count trades1	228
count trades2	873
count trades3	786
time_in_market
count_symbols	478

overlap	---------------------
max_overlap_1	478000
max_overlap_2	20
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
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