Golden Cross Strategy
Simple Moving Average Crossover Strategy Author: FengkieJ ([email protected]) Simple moving average crossover strategy is the ''hello world'' of algorithmic trading. This strategy uses two SMAs to determine '''Golden Cross''' to signal for long position, and "Death Cross" to signal for short position.
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Equity Curve
2019-01-01 => 2019-12-31BTC-USD4h
- PNL:
- 7175.12 (71.75%)
- Win rate:
- 46.15%
- Sharpe ratio:
- 1.14
- Smart Sharpe:
- 1.06
- Sortino ratio:
- 1.65
- Smart Sortino:
- 1.54
- Calmar ratio:
- 1.83
- Omega ratio:
- 1.20
- Serenity index:
- 0.35
- Average win/loss:
- 0.00
- Average win:
- 2885.21
- Average loss:
- 1448.02
- Total losing streak:
- 2
- Largest losing trade:
- -2891.24
- Largest winning trade:
- 10951.71
- Total winning streak:
- 2
- Current streak:
- -1
- Expectancy:
- 551.93 (5.52%)
- Expected net profit:
- 551.93
- Average holding period:
- 2418092.31
- Gross profit:
- 17311.26
- Gross loss:
- -10136.14
- Max drawdown:
- -39.35
- Total trades:
- 13
- Total winning trades:
- 6
- Total losing trades:
- 7
- Starting balance:
- 10000.00
- Finishing balance:
- 17175.12
- Longs count:
- 7
- Longs percentage:
- 53.85
- Shorts percentage:
- 46.15
- Shorts count:
- 6
- Fee:
- 218.93
- Total open trades:
- 1
- Open PL:
- -555.78