ETH-USDT Donchian Strategy Backtest Results on Six-Hour Bars
Summary
The document reports a historical simulation of a Donchian strategy on Binance ETH-USDT six-hour candles over the stated two-year period. It presents closed and open trade counts, net profit, balance change, fees, drawdown, annual return, expectancy, win rate, average win and loss, holding times, Sharpe ratio, and the market’s change over the same period. The listed trades were entirely long, with one position still open at the end.
These figures offer a snapshot of the strategy’s simulated performance, including both substantial gains and a sizable maximum drawdown. The market-change figure provides context for interpreting the result. However, the document gives no entry or exit parameters, position sizing, data handling details, benchmark methodology, or out-of-sample results. The reported backtest alone therefore cannot establish robustness or indicate how the strategy would perform under different market conditions.
Key ideas
- The simulation applies a Donchian strategy to ETH-USDT six-hour candles on Binance.
- The report covers the stated period from the start of 2019 through the start of 2021.
- The reported closed trades were long, and one trade remained open at the end.
- The results include profit, drawdown, fees, trade statistics, and a market-change comparison.
- The document omits strategy parameters and out-of-sample validation, limiting conclusions about robustness.
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Full text
# ETH 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 | ETH-USDT | 6h | Donchian | Executing simulation... [####################################] 100% Executed backtest simulation in: 36.79 seconds METRICS | ---------------------------------+-------------------------- Total Closed Trades | 24 Total Net Profit | 33,528.8877 (335.29%) Starting => Finishing Balance | 10,000 => 43,528.89 Total Open Trades | 1 Open PL | 5,487.64 Total Paid Fees | 1,027.9 Max Drawdown | -34.14% Annual Return | 108.22% Expectancy | 1,397.04 (13.97%) Avg Win | Avg Loss | 4,302.78 | 1,508.71 Ratio Avg Win / Avg Loss | 2.85 Percent Profitable | 50% Longs | Shorts | 100% | 0% Avg Holding Time | 2 weeks, 1 day, 4 hours Winning Trades Avg Holding Time | 3 weeks, 2 days, 8 hours Losing Trades Avg Holding Time | 1 week Sharpe Ratio | 1.53 Market Change | 460.23%
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.