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Donchian Strategy Backtest on BAT-USDT Six-Hour Candles

Article Jesse

Summary

This document reports a backtest of a Donchian strategy on BAT-USDT using six-hour candles over the stated historical sample. It presents headline performance and trading statistics rather than describing the strategy’s entry and exit rules, parameter choices, or implementation. The simulation closed 17 trades and ended with a reported net profit of 21,211.98 from a starting balance of 10,000; it also lists a 36.55% maximum drawdown, a Sharpe ratio of 1.13, and an annual return of 80.73%.

The reported trades were long only, and the sample’s market change was 224.43%. That comparison matters: the strategy’s return occurred during a strongly rising underlying market, so the figures alone cannot show whether it added value over simply holding BAT. The document supplies no benchmark-adjusted analysis, out-of-sample results, parameter sensitivity, or explanation of fees and execution assumptions beyond a total paid-fees figure. It is a single historical result set, not evidence that the strategy will perform similarly in other periods or markets.

Key ideas

  • The report evaluates a Donchian strategy on BAT-USDT six-hour candles.
  • The displayed sample spans 701 days and records 17 closed trades.
  • Reported net profit is 21,211.98 from a starting balance of 10,000, alongside a 36.55% maximum drawdown.
  • All reported positions were long, while BAT’s market change over the sample was 224.43%.
  • The report does not provide enough strategy or validation details to assess robustness or benchmark-adjusted performance.

Tags

CryptoBreakoutBacktestingRisk management
Full text
# BAT USDT 6h results


loading candles...
 CANDLES              |
----------------------+--------------------------
 period               |    701 days (1.92 years)
 starting-ending date | 2019-05-05 => 2021-04-05


 exchange   | symbol   | timeframe   | strategy   | DNA
------------+----------+-------------+------------+-------
 Binance    | BAT-USDT | 6h          | Donchian   |


Executing simulation...  [####################################]  100%
Executed backtest simulation in:  33.2 seconds


 METRICS                         |
---------------------------------+---------------------------
 Total Closed Trades             |                        17
 Total Net Profit                |     21,211.9829 (212.12%)
 Starting => Finishing Balance   |       10,000 => 31,211.98
 Total Open Trades               |                         1
 Open PL                         |                    177.78
 Total Paid Fees                 |                    409.07
 Max Drawdown                    |                   -36.55%
 Annual Return                   |                    80.73%
 Expectancy                      |         1,247.76 (12.48%)
 Avg Win | Avg Loss              |         2,755.04 | 905.49
 Ratio Avg Win / Avg Loss        |                      3.04
 Percent Profitable              |                       59%
 Longs | Shorts                  |                 100% | 0%
 Avg Holding Time                | 2 weeks, 2 days, 22 hours
 Winning Trades Avg Holding Time | 2 weeks, 6 days, 18 hours
 Losing Trades Avg Holding Time  |  1 week, 4 days, 12 hours
 Sharpe Ratio                    |                      1.13
 Market Change                   |                   224.43%

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.