erstellt am:2024-10-25 16:28:19.102228

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:triangle abc, overlap=10

1 pro Symbol anzahl:538 pf:1.735 profit1 [%]:256.817 maxDD1 [%]:-15.13 max gleichzeitige Positionen: 1 pro symbol max gleichzeitige Positionen: 10 max parallel trades1:10

tatsaechliche overlaps anzahl:1134 pf:1.615 tq:0.554 profit2 [%]:167.533 maxDD2 [%]:-7.85 max gleichzeitige Positionen:25

max parallel trades3 fuer overlaps anzahl:1016 pf:1.592 tq:0.55 profit3 [%]:743.794 maxDD3 [%]:-14.91 max gleichzeitige Positionen:25 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	0.117	-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	3.758	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	5.125	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	1.677	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	0.817	-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	-6.966	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	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	1.671	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	3.432	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	1.857	-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	0.0	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	4.623	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 34.94267515923567 gew trade median 40.0 verlust trade max 40.0 verlust trade mean 23.07707509881423 verlust trade median 21.0

trade gewinn gew trade max [r] 3.635290029129027 gew trade mean [r] 1.2549954794791118 gew trade median [r] 1.1548433551857271 verlust trade min [r] -3.252778592735502 verlust trade mean [r] -0.9646335981940718 verlust trade median [r] -1.0514405972904544 gew trade max [%] 53.77952755905514 gew trade median [%] 7.974275625468701 verlust trade min [%] -24.763655462184875 verlust trade median [%] -6.522371078847103 trade mean [%] 0.08950013987785188 trade std [%] 0.42503703446653995

exit type count mean r data_end 6 0.47901917794706933 sl 378 -1.16335185540915 time 549 0.5355146266784 tp 204 2.1711172385157678

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	1137.0	43.61	25.0	0.074	0.074	588.0	531.0	772.4748371723082	-687.859470993574	99.92343972495009	-90.08546286134552	1.123	1.109	52.55	0.0087
2.0	1137.0	43.61	25.0	0.259	0.129	619.0	507.0	1197.5446144241394	-903.32109704491	155.19508679098527	-118.14368231279613	1.326	1.314	54.97	0.0326
3.0	1137.0	43.61	25.0	0.371	0.124	621.0	500.0	1549.8744545156069	-1128.4167928561449	200.50457241943369	-150.66632315523765	1.373	1.331	55.4	0.0438
4.0	1137.0	43.61	25.0	0.362	0.091	615.0	512.0	1732.1012222914615	-1320.2814119129632	229.6517364112078	-175.9417990923595	1.312	1.305	54.57	0.0472
5.0	1137.0	43.61	25.0	0.407	0.081	636.0	494.0	1948.1677796480471	-1484.928681314936	258.74011938258633	-198.50997161086144	1.312	1.303	56.28	0.053
7.0	1137.0	43.61	25.0	0.591	0.084	638.0	487.0	2365.1704873582994	-1692.6696823121058	314.53283602943736	-228.50929579267873	1.397	1.376	56.71	0.0757
10.0	1137.0	43.61	25.0	0.691	0.069	657.0	474.0	2887.9862499546007	-2102.0263766817693	379.76057535291835	-285.50289874499856	1.374	1.33	58.09	0.0829
15.0	1137.0	43.61	25.0	1.005	0.067	654.0	479.0	3705.5881547110853	-2563.8927960493147	484.8254946051359	-355.27373580458175	1.445	1.365	57.72	0.114
20.0	1137.0	43.61	25.0	1.625	0.081	672.0	460.0	4594.2933366055295	-2750.123382155097	595.588478399726	-373.4799899112792	1.671	1.595	59.36	0.1957
30.0	1137.0	43.61	25.0	2.253	0.075	667.0	465.0	5715.368527296408	-3160.3648997246546	726.0002273015284	-426.5973852903187	1.808	1.702	58.92	0.264
50.0	1137.0	43.61	25.0	3.026	0.061	704.0	424.0	7226.508775167866	-3810.4469861416374	945.5711054186947	-497.39742532530283	1.896	1.901	62.41	0.397
100.0	1137.0	43.61	25.0	4.945	0.049	701.0	416.0	11036.072279354246	-5507.708997551671	1459.503105853763	-708.2911869577504	2.004	2.061	62.76	0.6719
200.0	1137.0	43.61	25.0	6.622	0.033	655.0	444.0	15749.63232411233	-8451.896966311193	2140.507468168763	-1045.6375822985174	1.863	2.047	59.6	0.9935

entries same day:

	anzahl
anzahl_entries_tag
2	118
3	21
4	8
5	2
6	2
8	1

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

profit1 [%] 256.817 maxDD1 [%] -15.13 profit2 [%] 167.533 maxDD2 [%] -7.85 profit3 [%] 743.794 maxDD3 [%] -14.91 years 26.07 CAGR [%] 3.835 profit mean [%] 0.09 profit std [%] 0.425 return/risk [%] 0.489 return/risk [r] 11.05 return/day 0.008 return_p_day 0.075 return/day overlap 0.124 hold_period 29.68 profit_r/day -0.01 profit2_maxDD2 21.342 tq 0.552 actual_overlap 25 actual_overlap1 10 pf 1.615 pf_1 1.735 pf_2 1.615 pf_3 1.592 gew_r_ges 300.033 DD_r -27.154 sharpe 2.51 calmar 21.347 calmar_r 11.049 calmar_mod 167.542 tq_1 0.556 tq_2 0.554 tq_3 0.55 CRV 0.667 count trades 1137 count trades1 538 count trades2 1134 count trades3 1016 time_in_market count_symbols 591

overlap --------------------- max_overlap_1 591000 max_overlap_2 25 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