RSI2 Bitcoin Backtest Shows Losses Despite Frequent Winning Trades
Summary
This document reports a one-year backtest of an RSI2 strategy on BTCUSDT using three-hour candles from June 2019 to June 2020. It lists 116 closed trades and a 63% profitable-trade rate, but the simulation ends with a net loss of 43.3% from the stated starting balance. Maximum drawdown is reported as 50.11%, annual return as negative 32.22%, and the Sharpe ratio as negative 0.57.
The trade statistics illustrate why a high win rate alone does not establish profitability: the average loss is substantially larger than the average win, and the reported expectancy is negative. Fees are also reported and are a material cost in the simulation. The document gives summary metrics but does not specify RSI2 entry and exit rules, position sizing, the fee model, or other testing assumptions. The results describe this historical sample only and do not establish how the strategy would perform in other periods or under live execution.
Key ideas
- The reported test covers BTCUSDT three-hour candles over a one-year period.
- The strategy had more winning trades than losing trades but finished with a substantial net loss.
- Average losses exceeded average wins, contributing to negative expectancy.
- The reported maximum drawdown and Sharpe ratio also indicate poor results in this sample.
- The document omits strategy rules and several backtest assumptions, limiting reproducibility.
Tags
Full text
# RSI2 results loading candles... CANDLES | ----------------------+-------------------------- period | 366 days (1.0 years) starting-ending date | 2019-06-01 => 2020-06-01 exchange | symbol | timeframe | strategy | DNA ------------+----------+-------------+------------+------- Binance | BTCUSDT | 3h | RSI2 | Executed backtest simulation in: 15.3 seconds METRICS | ---------------------------------+---------------------------------------- Total Closed Trades | 116 Total Net Profit | -4330.43 (-43.3%) Starting => Finishing Balance | 10000 => 5675.42 Total Open Trades | 0 Open PL | 0 Total Paid Fees | 1772.67 Max Drawdown | -50.11% Annual Return | -32.22% Expectancy | -37.33 (-0.37%) Avg Win | Avg Loss | 86.89 | 248.22 Ratio Avg Win / Avg Loss | 0.35 Percent Profitable | 63% Longs | Shorts | 51% | 49% Avg Holding Time | 13.0 hours, 12.0 minutes, 55.0 seconds Winning Trades Avg Holding Time | 8.0 hours, 35.0 minutes, 20.0 seconds Losing Trades Avg Holding Time | 21.0 hours, 4.0 minutes, 11.0 seconds Sharpe Ratio | -0.57
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.