Strategy Stats [presentTrading] by PresentTrading
By PresentTrading
Performance Metrics
- Author: PresentTrading
- Symbol: BITFINEX:BTCUSD
- Timeframe: 6 hours
- Net P&L: +103,349.03 USD (+1,026.61%)
- Win Rate: 84.9%
- Profit Factor: 1.961
- Max Drawdown: 16,365.10 USD (60.14%)
- Total Trades: 538
- Sharpe Ratio: 0.189
Description
Mar 30Hello! it's another weekend. This tool is a strategy performance analysis tool. Looking at the TradingView community, it seems few creators focus on this aspect. I've intentionally created a shared version. Welcome to share your idea or question on this. █ Introduction and How it is DifferentStrategy Stats is a comprehensive performance analytics framework designed specifically for trading strategies. Unlike standard strategy backtesting tools that simply show cumulative profits, this analytics suite provides real-time, multi-timeframe statistical analysis of your trading performance.Multi-timeframe analysis: Automatically tracks performance metrics across the most recent time periods (last 7 days, 30 days, 90 days, 1 year, and 4 years)Advanced statistical measures: Goes beyond basic metrics to include Information Coefficient (IC) and Sortino RatioReal-time feedback: Updates performance statistics with each new tradeVisual analytics: Color-coded performance table provides instant visual feedback on strategy healthIntegrated risk management: Implements sophisticated take profit mechanisms with 3-step ATR and percentage-based exitsBTCUSD PerformanceThe table in the upper right corner is a comprehensive performance dashboard showing trading strategy statistics.Note: While this presentation uses Vegas SuperTrend as the underlying strategy, this is merely an example. The Stats framework can be applied to any trading strategy. The Vegas SuperTrend implementation is included solely to demonstrate how the analytics module integrates with a trading strategy.⚠️ Timeframe LimitationsImportant: TradingView's backtesting engine has a maximum storage limit of 10,000 bars. When using this strategy stats framework on smaller timeframes such as 1-hour or 2-hour charts, you may encounter errors if your backtesting period is too long.Recommended Timeframe Usage:Ideal for: 4H, 6H, 8H, Daily charts and aboveMay cause errors on: 1H, 2H charts spanning multiple yearsNot recommended for: Timeframes below 1H with long history█ Strategy, How it Works: Detailed ExplanationThe Strategy Stats framework consists of three primary components: statistical data collection, performance analysis, and visualization.🔶 Statistical Data CollectionThe system maintains several critical data arrays:equityHistory: Tracks equity curve over timetradeHistory: Records profit/loss of each tradepredictionSignals: Stores trade direction signals (1 for long, -1 for short)actualReturns: Records corresponding actual returns from each tradeFor each closed trade, the system captures:float tradePnL = strategy.closedtrades.profit(tradeIndex)float tradeReturn = strategy.closedtrades.profit_percent(tradeIndex)int tradeType = entryPrice 0.3 (green), >0.1 (lime), 1.0 (green), >0.5 (lime), <0 (red)Multi-Step Take Profit:ATR multipliers: 2.618, 5.0, 10.0Percentage levels: 3%, 8%, 17%Short multiplier: 1.5x (makes short take profits more aggressive)Stop loss: 20%Apr 2Release NotesPeriod Adjustment: Replaced previous periods with 30D, 90D, 180D, and 360D to mitigate TradingView's backtesting engine storage limitations..Pair-Specific Metrics Added: Now tracks underlying asset performance, including pair returns and max drawdown, for direct benchmarking against strategy returns.Improved Sortino Calculation: Adjusted Sortino ratio to exclusively measure downside volatility based on negative returns, providing clearer risk-adjusted insights.Refined IC Calculation: Explicitly adjusted returns based on trade direction for more accurate Information Coefficient (IC) assessment.Total Return Metrics: Added comprehensive metrics from backtest inception, enhancing long-term strategy evaluation.