Monthly Returns in Strategies with Market Benchmark — Strategy by levieux
By QuantNomad
Performance Metrics
- Author: QuantNomad
- Symbol: BINANCE:FTMUSDT
- Timeframe: 1 hour
- Net P&L: +22,004.39 NONE (+2,200.44%)
- Win Rate: 32.8%
- Profit Factor: 2.374
- Max Drawdown: 4,284.72 NONE (69.91%)
- Total Trades: 247
- Sharpe Ratio: 0.257
Description
Nov 16, 2021This is a modified version of this excellent script Monthly Returns in PineScript Strategues by QuantNomadI liked and used the script but wanted to see how strategy performed vs market on each month/year. So I am sharing back.The modification consists in adding Market or Buy & Hold performance between parenthesis inside each cell to better see how strategy performed vs market.Also, 3 red levels and 3 green levels have been used :For green :1/ Light when strategy pnl > 0 but 0 and > market3/ Dark when strategy pnl > 0 and market market x 2Same logic in the opposite direction for red.The strategy provided here is just a showcase of how to use the table in pine script.DisclaimerPlease remember that past performance may not be indicative of future results.Due to various factors, including changing market conditions, the strategy may no longer perform as well as in historical backtesting.This post and the script don’t provide any financial advice.Nov 16, 2021Release NotesRefactor codeNov 16, 2021Release NotesFixed bug with red color levelDec 7, 2021Release NotesGet number precision as input (0 => no digit after the decimal point, 1 => 1 digit after decimal point etc.)