erstellt am:2024-10-25 14:56:14.528922

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: ['SetupTriangleBreakout'] Takeprofit:6 Initialstop:-3 Timestop:40 Trailingstop: order_typ:next_open number_open_trades_per_symbol_allowed:1000 number_open_trades_allowed:1000 comment:flagge, overlap=10

1 pro Symbol anzahl:1020 pf:1.781 profit1 [%]:806.723 maxDD1 [%]:-16.16 max gleichzeitige Positionen: 1 pro symbol max gleichzeitige Positionen: 10 max parallel trades1:10

tatsaechliche overlaps anzahl:2225 pf:1.797 tq:0.583 profit2 [%]:91.632 maxDD2 [%]:-4.06 max gleichzeitige Positionen:76

max parallel trades3 fuer overlaps anzahl:1319 pf:1.709 tq:0.569 profit3 [%]:1041.62 maxDD3 [%]:-26.16 max gleichzeitige Positionen:76 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	38	39	38	38	34	-17.167	-38.11	-9.188	-43.65	nan	nan	0.887	0.887	1.082	0.0	-2.31	-12.3	-123.07	0.395	nan	nan	3	nan	2002-10-25	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1255	X	triangle	53	56	53	53	45	24.94	-22.07	41.919	-33.32	nan	nan	1.195	1.195	1.3	0.648	5.25	-8.39	-61.5	0.472	nan	nan	4	nan	1996-01-02	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1256	XEC	triangle	4	4	4	4	4	-22.579	-27.52	-11.412	-14.33	nan	nan	0.251	0.251	0.251	0.0	-1.93	-2.58	-398.37	0.25	nan	nan	1	nan	2002-09-25	2020-08-21	no plot	no plot	no plot	no qs	no rrg
1257	XEL	triangle	103	106	103	103	85	1.221	-16.49	-7.752	-27.7	nan	nan	1.07	1.07	1.034	-1.164	3.54	-18.16	-222.63	0.485	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	79	82	79	79	65	110.686	-11.13	216.308	-17.65	nan	nan	2.455	2.455	2.29	7.116	34.58	-5.44	-14.0	0.595	nan	nan	4	nan	1996-01-02	2020-08-21	no plot	no plot	no plot	no qs	no rrg
1260	XOM	triangle	104	108	104	104	88	5.822	-14.3	-0.558	-34.74	nan	nan	1.019	1.019	0.965	-0.142	0.87	-14.78	-189.19	0.5	nan	nan	5	nan	1996-01-02	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1261	XRAY	triangle	60	60	60	60	48	0.957	-9.14	4.534	-14.89	nan	nan	0.878	0.878	0.928	1.614	-2.87	-6.71	-220.54	0.517	nan	nan	4	nan	1996-01-02	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1262	XRX	triangle	93	96	93	93	75	26.642	-21.09	3.828	-43.26	nan	nan	1.283	1.283	1.055	-4.202	12.06	-10.51	-57.89	0.527	nan	nan	4	nan	1996-01-02	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1263	XTO	triangle	32	36	32	32	28	15.125	-21.0	17.722	-27.41	nan	nan	1.342	1.342	1.425	-0.286	4.39	-7.19	-62.11	0.5	nan	nan	3	nan	1996-01-02	2010-06-25	no plot	no plot	no plot	no qs	no rrg
1264	XYL	triangle	41	42	41	41	32	7.393	-6.77	2.416	-16.35	nan	nan	1.482	1.482	1.361	0.0	8.74	-5.28	-52.26	0.561	nan	nan	5	nan	2011-10-13	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1265	YNR	triangle	2	2	2	2	2	-28.793	-15.7	-15.006	-7.85	nan	nan	0.0	0.0	0.0	0.0	-1.96	-0.99	101.69	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	4.476	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	107	111	107	107	85	43.704	-8.44	101.326	-17.9	nan	nan	1.732	1.732	1.695	1.899	30.76	-4.99	-14.39	0.57	nan	nan	5	nan	1997-09-17	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1268	YUMC	triangle	25	28	25	25	19	4.226	-16.02	16.442	-21.46	nan	nan	1.419	1.419	1.947	0.0	4.11	-7.46	-168.38	0.52	nan	nan	4	nan	2016-10-17	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1269	ZBH	triangle	66	66	66	66	55	0.813	-14.72	25.61	-23.52	nan	nan	0.932	0.932	1.203	7.397	-2.66	-14.19	-616.29	0.455	nan	nan	5	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	5.293	-4.69	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	86	90	86	86	74	11.441	-25.91	-18.027	-57.38	nan	nan	1.233	1.233	1.09	-0.879	9.39	-9.57	-86.69	0.5	nan	nan	5	nan	1996-01-02	2022-11-29	no plot	no plot	no plot	no qs	no rrg
1272	ZTS	triangle	30	30	30	30	29	18.361	-7.23	27.643	-10.68	nan	nan	1.791	1.791	1.794	1.613	9.22	-4.16	-45.11	0.533	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 37.11025443330763 gew trade median 40.0 verlust trade max 40.0 verlust trade mean 28.32758620689655 verlust trade median 34.0

trade gewinn gew trade max [r] 4.649109632385702 gew trade mean [r] 1.0690902990580529 gew trade median [r] 0.9376300757784488 verlust trade min [r] -3.165303835507453 verlust trade mean [r] -0.8313018761338885 verlust trade median [r] -0.9863425188291248 gew trade max [%] 56.56565656565656 gew trade median [%] 7.784224632902355 verlust trade min [%] -30.109569028487947 verlust trade median [%] -6.809366658578017 trade mean [%] 0.030189061214540843 trade std [%] 0.1393300130030153

exit type count mean r data_end 10 0.5586610250437387 sl 540 -1.1606101646897475 time 1414 0.46105540981662485 tp 264 2.2135322198006255

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	2228.0	85.73	76.0	0.067	0.067	1159.0	1033.0	1542.3775384558812	-1393.5651196154254	176.58771179082154	-150.70175233815914	1.107	1.172	52.87	0.0116
2.0	2228.0	85.73	76.0	0.141	0.071	1166.0	1031.0	2141.0491559124653	-1826.8874461765145	249.84761824887985	-203.68862854778797	1.172	1.227	53.07	0.0207
3.0	2228.0	85.73	76.0	0.192	0.064	1202.0	1005.0	2674.3751245164294	-2246.396123530345	315.4286232384935	-248.55799822423123	1.191	1.269	54.46	0.03
4.0	2228.0	85.73	76.0	0.234	0.059	1249.0	965.0	3099.6104145221275	-2578.075348435139	366.51742212417787	-282.4569503483623	1.202	1.298	56.41	0.0377
5.0	2228.0	85.73	76.0	0.322	0.064	1232.0	979.0	3509.9724100260883	-2793.6814596296153	415.2994817589538	-308.5870333615714	1.256	1.346	55.72	0.0479
7.0	2228.0	85.73	76.0	0.532	0.076	1254.0	958.0	4299.33420296218	-3114.2552306921516	500.57064180378785	-357.84259193206765	1.381	1.399	56.69	0.0641
10.0	2228.0	85.73	76.0	0.752	0.075	1303.0	911.0	5294.247579831723	-3620.949201017622	617.2242063152489	-418.11016911962315	1.462	1.476	58.85	0.0894
15.0	2228.0	85.73	76.0	0.99	0.066	1308.0	905.0	6625.09159572111	-4422.802379746121	765.3953420310773	-504.3422608470186	1.498	1.518	59.11	0.1173
20.0	2228.0	85.73	76.0	1.386	0.069	1313.0	899.0	8104.39649723808	-5021.016463081317	935.0293184223387	-567.5315848912904	1.614	1.648	59.36	0.1652
30.0	2228.0	85.73	76.0	2.014	0.067	1343.0	869.0	10521.065955021077	-6044.693522031938	1219.860562942074	-678.0757344656485	1.741	1.799	60.71	0.2437
50.0	2228.0	85.73	76.0	2.818	0.056	1364.0	840.0	13813.837936437863	-7582.733679885632	1610.1429832796584	-837.8964324640515	1.822	1.922	61.89	0.3493
100.0	2228.0	85.73	76.0	4.946	0.049	1385.0	792.0	21220.098756147923	-10443.022649410897	2524.6661301345525	-1139.8717218987197	2.032	2.215	63.62	0.6355
200.0	2228.0	85.73	76.0	7.774	0.039	1364.0	779.0	31263.975619525652	-14588.113419270063	3754.723949257045	-1564.0172711453856	2.143	2.401	63.65	1.0213

entries same day:

	anzahl
anzahl_entries_tag
2	291
3	77
4	25
5	11
6	2
7	1
8	2
9	1
10	1

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

profit1 [%] 806.723 maxDD1 [%] -16.16 profit2 [%] 91.632 maxDD2 [%] -4.06 profit3 [%] 1041.62 maxDD3 [%] -26.16 years 25.99 CAGR [%] 2.518 profit mean [%] 0.03 profit std [%] 0.139 return/risk [%] 0.62 return/risk [r] 17.81 return/day 0.003 return_p_day 0.069 return/day overlap 0.093 hold_period 33.46 profit_r/day -0.002 profit2_maxDD2 22.569 tq 0.582 actual_overlap 76 actual_overlap1 10 pf 1.797 pf_1 1.781 pf_2 1.797 pf_3 1.709 gew_r_ges 615.162 DD_r -34.541 sharpe 2.647 calmar 22.589 calmar_r 17.809 calmar_mod 91.634 tq_1 0.575 tq_2 0.583 tq_3 0.569 CRV 0.667 count trades 2228 count trades1 1020 count trades2 2225 count trades3 1319 time_in_market count_symbols 726

overlap --------------------- max_overlap_1 726000 max_overlap_2 76 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