Donchian Bitcoin Strategy Backtest on Six-Hour Binance Data
Summary
The document reports a backtest of a Donchian strategy on Binance BTC-USDT six-hour candles spanning January 2019 to January 2021. It records 18 closed trades and one still-open position. The reported net profit was 45,194.35 from a starting balance of 10,000, with a maximum drawdown of 46.89% and annual return of 134.39%. The test took long positions only, and the reported market change was 681.2%.
Other reported measures include 56% profitable trades, an average win-to-loss ratio of 3.57, a Sharpe ratio of 2.03, and paid fees of 760.56. These are historical simulation figures, not evidence of future results. The excerpt gives no Donchian parameters, execution assumptions, sizing rules, or robustness checks. The open position and its unrealized profit also mean the final account figures include exposure that had not yet closed, which limits direct interpretation of realized performance.
Key ideas
- The simulation covers BTC-USDT on Binance using six-hour candles from 2019 through 2020.
- The tested Donchian strategy took long positions only and recorded 18 closed trades plus one open trade.
- The report shows a maximum drawdown of 46.89% despite substantial simulated returns.
- Fees, win rate, average win-to-loss ratio, and Sharpe ratio are included among the reported metrics.
- The excerpt omits strategy parameters and robustness details, and the open position complicates interpretation of final results.
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Full text
# BTC USDT 6h 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 | 6h | Donchian | Executing simulation... [####################################] 100% Executed backtest simulation in: 35.53 seconds METRICS | ---------------------------------+--------------------------- Total Closed Trades | 18 Total Net Profit | 45,194.3507 (451.94%) Starting => Finishing Balance | 10,000 => 55,194.35 Total Open Trades | 1 Open PL | 18,320.21 Total Paid Fees | 760.56 Max Drawdown | -46.89% Annual Return | 134.39% Expectancy | 2,510.8 (25.11%) Avg Win | Avg Loss | 5,824.01 | 1,630.71 Ratio Avg Win / Avg Loss | 3.57 Percent Profitable | 56% Longs | Shorts | 100% | 0% Avg Holding Time | 2 weeks, 6 days, 14 hours Winning Trades Avg Holding Time | 3 weeks, 6 days, 21 hours Losing Trades Avg Holding Time | 1 week, 4 days, 12 hours Sharpe Ratio | 2.03 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.