NEO-USDT Donchian Strategy Backtest Results on Six-Hour Bars
Summary
This report summarizes a two-year simulation of a Donchian strategy on NEO-USDT using six-hour candles from Binance, covering January 2019 through January 2021. It reports 18 closed trades, all long, with no open positions at the end. The strategy shows a net profit of 20,801.56 from a starting balance of 10,000, a 61% win rate, a Sharpe ratio of 1.14, and a maximum drawdown of 32.92%. Average wins were larger than average losses, while average holding time was over two weeks.
The report also gives market change of 92.41%, allowing a basic comparison with the asset’s move over the period. The figures describe this specific simulation, not evidence of durable performance. It provides no entry or exit settings, position sizing, fee assumptions beyond total fees paid, or details about data quality and execution modeling. With only 18 trades and one asset and period, the results do not establish robustness or predict future returns.
Key ideas
- The simulation covers NEO-USDT on six-hour bars over a two-year period.
- All 18 closed trades were long positions.
- Reported results include a 208.02% net profit, 61% profitable trades, and a 32.92% maximum drawdown.
- The report includes market change for context but gives no strategy settings or robustness analysis.
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Full text
# NEO 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 | NEO-USDT | 6h | Donchian | Executing simulation... [####################################] 100% Executed backtest simulation in: 33.83 seconds METRICS | ---------------------------------+------------------------------ Total Closed Trades | 18 Total Net Profit | 20,801.5637 (208.02%) Starting => Finishing Balance | 10,000 => 30,801.56 Total Open Trades | 0 Open PL | 0 Total Paid Fees | 626.48 Max Drawdown | -32.92% Annual Return | 75.23% Expectancy | 1,155.64 (11.56%) Avg Win | Avg Loss | 2,924.3 | 1,623.68 Ratio Avg Win / Avg Loss | 1.8 Percent Profitable | 61% Longs | Shorts | 100% | 0% Avg Holding Time | 2 weeks, 4 days, 2 hours Winning Trades Avg Holding Time | 3 weeks, 3 days, 14 hours Losing Trades Avg Holding Time | 1 week, 22 hours, 17 minutes Sharpe Ratio | 1.14 Market Change | 92.41%
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.