erstellt am:2024-10-25 16:27:17.423001

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:retracement, overlap=10

1 pro Symbol anzahl:767 pf:1.677 profit1 [%]:396.236 maxDD1 [%]:-16.17 max gleichzeitige Positionen: 1 pro symbol max gleichzeitige Positionen: 10 max parallel trades1:10

tatsaechliche overlaps anzahl:1866 pf:1.668 tq:0.569 profit2 [%]:175.636 maxDD2 [%]:-8.79 max gleichzeitige Positionen:39

max parallel trades3 fuer overlaps anzahl:1247 pf:1.518 tq:0.539 profit3 [%]:573.404 maxDD3 [%]:-27.14 max gleichzeitige Positionen:39 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	5.927	-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	0.0	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	10.334	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	3.394	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	-2.338	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	2.085	-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	2.425	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	0.0	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	-4.426	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	5.835	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	10.456	-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	-4.33	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	0.0	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 36.48916116870876 gew trade median 40.0 verlust trade max 40.0 verlust trade mean 26.79006211180124 verlust trade median 29.0

trade gewinn gew trade max [r] 3.8028436576304605 gew trade mean [r] 1.1251844303896914 gew trade median [r] 0.9469410611787772 verlust trade min [r] -2.640317166094462 verlust trade mean [r] -0.8890432637642253 verlust trade median [r] -1.0200334268737592 gew trade max [%] 55.63135442784165 gew trade median [%] 8.229537366548033 verlust trade min [%] -33.14285714285714 verlust trade median [%] -7.13571190396798 trade mean [%] 0.0567392083032755 trade std [%] 0.2809322840867264

exit type count mean r data_end 8 0.7170703756998476 sl 516 -1.1725965254597677 time 1091 0.4667888701998509 tp 259 2.193812509872067

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	1874.0	71.97	39.0	0.05	0.05	936.0	901.0	1271.8967288865665	-1178.7946224119319	145.2934437058991	-126.05653818826909	1.079	1.153	50.95	0.0103
2.0	1874.0	71.97	39.0	0.247	0.124	1011.0	842.0	1931.7928885101421	-1468.0319648126533	223.96941321259328	-163.4194482038261	1.316	1.371	54.56	0.0323
3.0	1874.0	71.97	39.0	0.298	0.099	1012.0	848.0	2449.4404305561675	-1890.9019146376372	281.315682275981	-212.49140991308738	1.295	1.324	54.41	0.0367
4.0	1874.0	71.97	39.0	0.338	0.084	1041.0	822.0	2805.539936924316	-2172.858273587689	322.11897418605366	-248.9989154017803	1.291	1.294	55.88	0.039
5.0	1874.0	71.97	39.0	0.353	0.071	1011.0	847.0	3126.554981776665	-2464.2135189553287	364.9444810444936	-285.3031169411506	1.269	1.279	54.41	0.0425
7.0	1874.0	71.97	39.0	0.439	0.063	1040.0	825.0	3705.6642876402257	-2882.8188800683993	430.883933919875	-331.44541688419315	1.285	1.3	55.76	0.0531
10.0	1874.0	71.97	39.0	0.684	0.068	1067.0	797.0	4644.485850550402	-3363.6451686115633	537.1550576202835	-393.6989260287678	1.381	1.364	57.24	0.0766
15.0	1874.0	71.97	39.0	1.11	0.074	1097.0	767.0	6199.437456794621	-4122.443497001773	718.1274300803191	-481.7736584885351	1.504	1.491	58.85	0.1263
20.0	1874.0	71.97	39.0	1.391	0.07	1112.0	748.0	7314.3955253351905	-4713.649507767966	853.1530205606923	-556.6582977038106	1.552	1.533	59.78	0.1586
30.0	1874.0	71.97	39.0	1.919	0.064	1112.0	747.0	9237.790605688117	-5657.313745344861	1068.7230982276421	-653.2855059773734	1.633	1.636	59.82	0.2226
50.0	1874.0	71.97	39.0	3.221	0.064	1144.0	717.0	12840.087234938397	-6842.957350238357	1490.8630087977417	-776.3829055253937	1.876	1.92	61.47	0.3837
100.0	1874.0	71.97	39.0	5.308	0.053	1160.0	687.0	19383.54519326341	-9563.313227955758	2281.5734835845856	-1051.4863986120474	2.027	2.17	62.8	0.6649
200.0	1874.0	71.97	39.0	9.272	0.046	1186.0	631.0	28869.783632663486	-12004.453289457926	3427.0035042244535	-1309.6052858574226	2.405	2.617	65.27	1.164

entries same day:

	anzahl
anzahl_entries_tag
2	238
3	52
4	13
5	4
6	2
7	2
8	1

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

profit1 [%] 396.236 maxDD1 [%] -16.17 profit2 [%] 175.636 maxDD2 [%] -8.79 profit3 [%] 573.404 maxDD3 [%] -27.14 years 26.04 CAGR [%] 3.952 profit mean [%] 0.057 profit std [%] 0.281 return/risk [%] 0.45 return/risk [r] 10.8 return/day 0.005 return_p_day 0.068 return/day overlap 0.113 hold_period 32.34 profit_r/day -0.004 profit2_maxDD2 19.981 tq 0.566 actual_overlap 39 actual_overlap1 10 pf 1.668 pf_1 1.677 pf_2 1.668 pf_3 1.518 gew_r_ges 478.141 DD_r -44.282 sharpe 2.475 calmar 19.973 calmar_r 10.798 calmar_mod 175.647 tq_1 0.565 tq_2 0.569 tq_3 0.539 CRV 0.667 count trades 1874 count trades1 767 count trades2 1866 count trades3 1247 time_in_market count_symbols 582

overlap --------------------- max_overlap_1 582000 max_overlap_2 39 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