Strategy VS Buy & Hold by reimadara
By reimadara
Performance Metrics
- Author: reimadara
- Symbol: AMEX:SPY
- Timeframe: 1 day
- Net P&L: +2,742,213.24 USD (+266.39%)
- Win Rate: 51.9%
- Profit Factor: 3.383
- Max Drawdown: 415,288.87 USD (11.66%)
- Total Trades: 27
- Sharpe Ratio: 0.05
Description
Nov 18, 2019SUMMARY:A strategy wrapper that makes a detailed and visual comparison between a given strategy and the buy & hold returns of the traded security.DESCRIPTION:TradingView has a "Buy & Hold Return" metric in the strategy tester that is often enough to assess how our strategy compares to a simple buy hold. However, one may want more information on how and when your strategy beats or is beaten by a simple buy & hold strategy. This script aims to show such detail by providing a more comprehensive metrics and charting the profit/loss of the given strategy against buy & hold.As seen in the script, it plots/draws 4 elements:1) Strategy P/L: strategy net profit + strategy open profit2) Buy & Hold P/L: unrealized return3) Difference: Strategy P/L - Buy & Hold P/L4) Strategy vs Buy Hold Stats > Percent of bars strategy P/L is above Buy & Hold > Percent of bars strategy P/L is below Buy & Hold > All Time Average DifferenceADJUSTABLE PARAMETERS:All labels/panels can be disabled by unchecking these two options:>bnh_info_panel = input(true, title='Enable Info Panel')>bnh_indicator_panel = input(true, title='Enable Indicator Panel')Comparison Date Range can be changed to better isolate specific areas:>From Year, From Month, From Daydefault: 1970 01 01>To Year, To Month, To Daydefault: 2050 12 31Default settings basically covers all historical data.HOW TO USE:The default script contains a simple 50-200 SMA cross strategy, just delete and replace it. Those are everything between these lines:///////////////////////////////////////////////////////////////////////////////////////////////////////////////////STRATEGY SCRIPT START//////////////////////////////////(STRATEGY SCRIPT GOES HERE)//////////////////////////////STRATEGY SCRIPT END/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////Removing all plots and drawings from your strategy is advisable.If you are going to use the Comparison Date Range, apply "bnh_timeCond" to your strategy to align the dates. A sample on how it’s applied can be seen on the Placeholder MA cross strategy.Note: bnh_timeCond returns a boolean seriesDec 5, 2023Release Notes-Updated to Pine v5.