VWAP Bands Backtest — Strategy by signalsr
By signalsr
Performance Metrics
- Author: signalsr
- Symbol: BITMEX:XBTUSD
- Timeframe: 15 minutes
- Net P&L: −55,280.35 USD (−55.28%)
- Win Rate: 65.1%
- Profit Factor: 0.618
- Max Drawdown: 64,261.38 USD (59.52%)
- Total Trades: 284
- Sharpe Ratio: −1.895
Description
This is a backtest for evaluating the profitability of a vwap offsets strategy over time.I took part of the code to create the script from NoroSo there is a link for its code