Rainbow Strategy Backtesting by inno14
By inno14
Performance Metrics
- Author: inno14
- Symbol: BINANCE:BTCUSDT
- Timeframe: 1 hour
- Net P&L: +88,831.75 NONE (+88.83%)
- Win Rate: 38.3%
- Profit Factor: 2.309
- Max Drawdown: 5,417.47 NONE (5.06%)
- Total Trades: 444
- Sharpe Ratio: 0.564
Description
Jun 19, 2021Rainbow Strategy Backtesting base on "Rainbow Moving Average" Strategy as below:1.Rainbow Moving Average setup- Source: source of 1st MA- Type: SMA/EMA- Period: period of 1st MA- Displacement: period of 2nd MA to 7th MA with source is previous MA2.Trend Define- Up Trend: Main MA moving at the top of Rainbow- Down Trend: Main MA moving at the bottom of Rainbow- Sideway: Main MA moving between the top and the bottom of Rainbow3.Signal- Buy Signal: When Rainbow change to Up Trend.- Sell Signal: When Rainbow change to Down Trend.- Exit: When Rainbow change to Sideway.4.RSI Filter- "Enable": Only signals have 1st RSI moving between Overbought and Oversold and 2nd RSI moving outside Middle Channel are accepted.- The filter may help trader avoid bull trap, bear trap and choppy market.5.Backtesting Infomation- Ticker: BTCUSDT- Timeframe: H1- Rainbow parameter: + Source: hlc3+ Type: SMA+ Period: 12+ Displacement: 3- RSI Filter parameter:+ Enable+ 1st RSI filter: period 12, overbought 65, oversold 35 + 2nd RSI filter: period 9, upper middle 56, lower middle 44Jun 23, 2021Release NotesAdd Take profit by ATR- "Enable": Target of position equal to multiplier x atr(period)Jun 27, 2021Release NotesApply RSI Divergence to pass the signals filtered by Middle ChannelJul 6, 2021Release NotesAdd Stoploss Option