$BTC #VEGAS #回测 These two days, I finally found some time to manually backtest the 5-minute trend chart of BTCUSDT using the Vegas tunnel trading method.
Let’s take a look at the results first:
Trading strategy: When the moving average group is arranged in a bullish pattern and EMA 12 crosses EMA 144, it is used as an entry signal. EMA 676 is used as the stop loss level. The profit and loss ratio is fixed at 1.5 times for long positions, otherwise short positions are used.
Initial capital: 10000 U
Stop loss amount: 100 U / time
Start time: 2024-01-01 42500 U/BTC
Deadline: 2024-05-22 66000 U/BTC
Number of transactions: 200
Win rate: 42.5%
Maximum winning streak: 13 times
Maximum losing streak: 9
Maximum drawdown: 12.9%
Final Funding: 11250 U
Maximum holding time: 1 week
Minimum holding time: 10 minutes
Compared to running backtests with TradingView's PineScript, the biggest feeling I get from manual backtesting is that it allows me to experience more scenarios that I will encounter in real trading, rather than just cold statistics.
for example:
Since the fixed profit and loss ratio is used for statistics instead of the tracking stop profit method, there are many cases of selling at a loss, especially in the start-up stage of the big trend, the situation of selling at a loss is very serious.
(Livermore: I want you to cut losses, not profits!)
There have been many cases where after adding positions, some positions were stopped at profit while others were stopped at loss due to the up and down pins.
The problem that the above strategy needs to solve is how to avoid wear and tear caused by volatile market conditions.
