ETH-USDT RSI Backtest Results on Hourly Binance Candles
Summary
This report presents a backtest of a long-only RSI strategy on hourly ETH-USDT candles from Binance, covering January 2020 through May 2021. It reports 108 closed trades, a net profit of 152.12% from a starting balance of 1,000, a maximum drawdown of 31.13%, and a Sharpe ratio of 1.45. The reported win rate is 47%, with average wins larger than average losses; fees totaled 268.69.
The results describe one historical simulation, with an average holding period of just over two days. The report does not specify RSI parameters, position sizing, execution assumptions, or whether the simulation accounts for slippage, limiting interpretation and reproducibility. The market itself rose 2,596.89% over the same interval, so the strategy's reported return substantially lagged the underlying market change. No out-of-sample or robustness evidence is shown, and the drawdown indicates material risk despite the positive simulated return.
Key ideas
- The report tests a long-only RSI strategy on hourly ETH-USDT data from Binance.
- The historical simulation reports 108 closed trades and a net return of 152.12% with a maximum drawdown of 31.13%.
- The reported win rate is 47%, while average winning trades exceed average losing trades.
- The market change over the period was much larger than the strategy's reported return.
- RSI settings, sizing, slippage, and out-of-sample robustness are not documented.
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Full text
# ETH USDT results loading candles... CANDLES | ----------------------+-------------------------- period | 493 days (1.35 years) starting-ending date | 2020-01-01 => 2021-05-08 exchange | symbol | timeframe | strategy | DNA ------------+----------+-------------+------------+------- Binance | ETH-USDT | 1h | TV_RSI | Executed backtest simulation in: 45.32 seconds METRICS | ---------------------------------+------------------------------ Total Closed Trades | 108 Total Net Profit | 1,521.2327 (152.12%) Starting => Finishing Balance | 1,000 => 2,521.23 Total Open Trades | 0 Open PL | 0 Total Paid Fees | 268.69 Max Drawdown | -31.13% Annual Return | 98.03% Expectancy | 14.09 (1.41%) Avg Win | Avg Loss | 100.49 | 63.22 Ratio Avg Win / Avg Loss | 1.59 Percent Profitable | 47% Longs | Shorts | 100% | 0% Avg Holding Time | 2 days, 4 hours, 41 minutes Winning Trades Avg Holding Time | 2 days, 21 hours, 39 minutes Losing Trades Avg Holding Time | 1 day, 13 hours, 31 minutes Sharpe Ratio | 1.45 Market Change | 2596.89%
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.