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Backtest Report
比特幣價量momentum策略
Crypto
Long
05-29-2019 - 05-29-2024
Check Detail
Profit Target:
20.00%
Trading Strategy:
Next Day Trading
Stop Loss Settings:
10.00%
Stop Loss Mode:
Fixed Stop Loss
Maximum Holding Period:
20
Investment Diversification:
1
Investment Weight:
Daily Equal
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Summary
BTC在布林上轨附近 成交量较好时追涨
Pattern Metrics
Signal Win Rate
59.76%
Purchases Count
82
Maximum Drawdown
-48.21%
Cumulative Return
2982.76%
Alpha
:
34.37%
Beta
:
61.81%
Sharpe Ratio
:
1.28
Annualized Return
:
60.42%
Average Holding Period
:
16
Average Signal Return:
5.12%
Win Average Return:
13.93%
Lose Average Return:
-7.97%
Yearly Performance
Cumulative Return Chart
Factor Distribution Chart
