Bitcoin Hourly Bollinger Strategy: Two-Year Backtest Results
Summary
This document reports a backtest of a simple Bollinger strategy on BTC-USDT using one-hour candles from Binance over the two years ending January 1, 2021. It records 277 closed trades, all long, and reports a net profit of 27,125.64 from a starting balance of 10,000, with a maximum drawdown of 18.72%. Fees totaled 11,139.24, and the reported Sharpe ratio was 1.8.
The trade profile included a 36% win rate, average winners larger than average losers, and an average holding period of about 18.5 hours. The report also states that Bitcoin's market change over the period was 681.2%, so the strategy's absolute return should be read alongside the strong market move. This is a single historical simulation; the document gives no details on Bollinger parameters, execution assumptions, benchmark-adjusted performance, or out-of-sample validation. The metrics do not establish that the approach will perform similarly in other periods or after trading costs change.
Key ideas
- The simulation covers Binance BTC-USDT one-hour candles over a two-year period ending January 1, 2021.
- It reports 277 closed trades, all of them long.
- The reported net profit is 27,125.64 from a starting balance of 10,000, with maximum drawdown of 18.72%.
- The win rate is 36%, while average winning trades exceed average losing trades.
- The report does not provide parameter details or out-of-sample evidence.
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Full text
# BTC USDT results loading candles... CANDLES | ----------------------+-------------------------- period | 731 days (2.0 years) starting-ending date | 2019-01-01 => 2021-01-01 exchange | symbol | timeframe | strategy | DNA ------------+----------+-------------+-----------------+------- Binance | BTC-USDT | 1h | SimpleBollinger | Executing simulation... [####################################] 100% Executed backtest simulation in: 31.17 seconds METRICS | ---------------------------------+---------------------------------- Total Closed Trades | 277 Total Net Profit | 27,125.64 (271.26%) Starting => Finishing Balance | 10,000 => 37,125.64 Total Open Trades | 0 Open PL | 0 Total Paid Fees | 11,139.24 Max Drawdown | -18.72% Annual Return | 92.34% Expectancy | 97.93 (0.98%) Avg Win | Avg Loss | 734.44 | 267.35 Ratio Avg Win / Avg Loss | 2.75 Percent Profitable | 36% Longs | Shorts | 100% | 0% Avg Holding Time | 18 hours, 31 minutes, 11 seconds Winning Trades Avg Holding Time | 1 day, 7 hours, 39 minutes Losing Trades Avg Holding Time | 10 hours, 58 minutes, 58 seconds Sharpe Ratio | 1.8 Market Change | 681.2%
Shown in full with attribution under the source's licence. Licence: MIT
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.