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CCIStrategy Strategy Performance Results
Description:
CCIStrategy is a strategy that is based on using multiple technical indicators in the market. It uses CCI (Commodity Channel Index), RSI (Relative Strength Index), MFI (Money Flow Index), CMF (Chaikin Money Flow) and bollinger bands(BB) as indicators.
It consists of both a buy and sell signals. The buy signal is triggered when the CCI_one and CCI_two are below -100, the CMF is below -0.1, MFI is below 25, resample_medium is greater than resample_short, and resample_long is below the close price.
For sell signals, it is when the CCI_one and CCI_two are above 100, CMF is above 0.3, and resample_sma is below resample_medium and resample_medium is below resample_short. Additionally, the stoploss for this strategy is set to -0.02 and the timeframe is 1m.
CCIStrategy also has the populate_indicators method which takes in dataframe, metadata as inputs and returns a dataframe with added variables with various technical indicators as outputs. There is also the chaikin_mf function which takes in dataframe and periods and returns a pandas Series with the chaikin money flow data. Lastly, there is the resample function which takes in the dataframe, interval and factor as inputs and then resamples the dataframe and returns it with added sma variables.
Daily Profit
Pairs
Top cryptocurrency trading pairs
| Pair | Buys | Avg Profit % | Cum Profit | Tot Profit Abs | Tot Profit % | Avg Duration | Win | Draw | Loss | Win % |
|---|---|---|---|---|---|---|---|---|---|---|
| BCH/USDT | 6 | 2.47 | 14.81 | 2.803647 | 2.8 | 4:22:00 | 5 | 0 | 1 | 83.33 |
| ALGO/USDT | 8 | 0.70 | 5.59 | 1.047610 | 1.05 | 4:43:00 | 5 | 0 | 3 | 62.50 |
| LUNA/USDT | 9 | 0.23 | 2.05 | 0.388753 | 0.39 | 6:06:00 | 4 | 0 | 5 | 44.44 |
| SOL/USDT | 4 | 0.43 | 1.71 | 0.338588 | 0.34 | 3:33:00 | 2 | 0 | 2 | 50.00 |
| LINK/USDT | 7 | -0.01 | -0.06 | -0.048689 | -0.05 | 4:48:00 | 3 | 0 | 4 | 42.86 |
| BTC/USDT | 5 | -0.16 | -0.82 | -0.172267 | -0.17 | 8:22:00 | 2 | 0 | 3 | 40.00 |
| DOT/USDT | 4 | -0.55 | -2.20 | -0.436591 | -0.44 | 2:56:00 | 2 | 0 | 2 | 50.00 |
| ADA/USDT | 6 | -1.02 | -6.15 | -1.251168 | -1.25 | 3:54:00 | 1 | 0 | 5 | 16.67 |
| BNB/USDT | 5 | -1.38 | -6.88 | -1.337239 | -1.34 | 2:48:00 | 1 | 0 | 4 | 20.00 |
| XRP/USDT | 6 | -1.18 | -7.06 | -1.338225 | -1.34 | 11:08:00 | 2 | 0 | 4 | 33.33 |
| LTC/USDT | 5 | -1.62 | -8.12 | -1.586374 | -1.59 | 5:17:00 | 1 | 0 | 4 | 20.00 |
| ETC/USDT | 6 | -1.71 | -10.29 | -1.950121 | -1.95 | 3:48:00 | 1 | 0 | 5 | 16.67 |
| ETH/USDT | 6 | -1.91 | -11.44 | -2.228700 | -2.23 | 9:12:00 | 0 | 0 | 6 | 0.00 |
| TOTAL | 77 | -0.37 | -28.86 | -5.770775 | -5.77 | 5:34:00 | 29 | 0 | 48 | 37.66 |
- Pair: This is the cryptocurrency trading pair that was used for the backtesting.
- Buys: This is the total number of buy orders placed during the backtesting.
- Avg Profit %: This is the average percentage of profit that was made on each buy order.
- Cum Profit: This is the cumulative profit made over all buy orders.
- Tot Profit Abs: This is the total absolute profit made over all buy orders.
- Tot Profit %: This is the total percentage of profit made over all buy orders.
- Avg Duration: This is the average duration of each buy order.
- Win: This is the total number of buy orders that resulted in a win.
- Draw: This is the total number of buy orders that resulted in a draw.
- Loss: This is the total number of buy orders that resulted in a loss.
- Win %: This is the percentage of buy orders that resulted in a win.
Sell Reason
| Sell Reason | Sells | Win | Draws | Loss | Avg Profit % | Cum Profit % | Tot Profit ABS | Tot Profit % |
|---|---|---|---|---|---|---|---|---|
| 44 | 0 | 0 | 44 | -2.19 | -96.16 | -18.61341097 | -19.23 | |
| 32 | 28 | 0 | 4 | 2.09 | 66.74 | 12.73903041 | 13.35 | |
| 1 | 1 | 0 | 0 | 0.56 | 0.56 | 0.10360548 | 0.11 |
Summary
A backtesting was performed with a maximum of 5 open trades and an average of 6.42 trades per day. The starting balance was $100 and the final balance was $94.22922492, resulting in an absolute profit of $-5.77077508 and a total profit percentage of -0.0577077508. The average stake amount was $19.25767714025974 and the total trade volume was $1482.8411398. The best pair was BCH/USDT and the worst pair was ETH/USDT. The maximum balance reached was $101.42753616 and the minimum balance was $94.12561944. The market change during this period was -0.018861146831135437.
| Metric | Value |
|---|---|
| Backtesting from | 2024-01-01 00:00:00 |
| Backtesting to | 2024-01-13 15:48:00 |
| Max open trades | 5 |
| Total/Daily Avg Trades | 77 / 6.42 |
| Starting balance | 100 |
| Final balance | 94.22922492 |
| Absolute profit | -5.77077508 |
| Total profit % | -0.0577077508 |
| Avg. stake amount | 19.25767714025974 |
| Total trade volume | 1482.8411398 |
| Best Pair | BCH/USDT |
| Worst Pair | ETH/USDT |
| Max Balance | 101.42753616 |
| Min Balance | 94.12561944 |
| Market Change | -0.018861146831135437 |
Config
{
"pairlists": [
{
"method": "StaticPairList"
}
],
"timeframe": "15m",
"tradable_balance_ratio": 0.99,
"fiat_display_currency": "USD",
"stake_amount": "unlimited",
"stake_currency": "USDT",
"amend_last_stake_amount": true,
"exchange": {
"pair_whitelist": [
"BTC/USDT",
"BCH/USDT",
"ETH/USDT",
"LINK/USDT",
"LTC/USDT",
"SOL/USDT",
"BNB/USDT",
"XRP/USDT",
"ADA/USDT",
"DOT/USDT",
"ETC/USDT",
"ALGO/USDT",
"LUNA/USDT"
],
"name": "binance"
},
"dry_run_wallet": 100,
"max_open_trades": 5
}