Backtest Report - 2025-12-31 15:25:02

Base Strategy Results

Performance Summary

Value
Start 2025-01-02 00:00:00
End 2025-12-31 00:00:00
Duration 363 days 00:00:00
Exposure Time [%] 36.475
Equity Final [$] 1,135,430.602
Equity Peak [$] 1,165,893.002
Commissions [$] 15,151.858
Return [%] 13.543
Buy & Hold Return [%] 32.162
Return (Ann.) [%] 14.017
Volatility (Ann.) [%] 12.410
CAGR [%] 9.218
Sharpe Ratio 1.129
Sortino Ratio 1.975
Calmar Ratio 2.247
Alpha [%] 7.084
Beta 0.201
Max. Drawdown [%] -6.237
Avg. Drawdown [%] -1.428
Max. Drawdown Duration 128 days 00:00:00
Avg. Drawdown Duration 24 days 00:00:00
# Trades 24
Win Rate [%] 62.500
Best Trade [%] 6.601
Worst Trade [%] -4.319
Avg. Trade [%] 0.531
Max. Trade Duration 28 days 00:00:00
Avg. Trade Duration 4 days 00:00:00
Profit Factor 2.339
Expectancy [%] 0.552
SQN 1.282
Kelly Criterion 0.355

Equity Curve & Drawdown

Equity Curve and Drawdown

Trades

Size EntryBar ExitBar EntryPrice ExitPrice SL TP PnL Commissions ReturnPct EntryTime ExitTime Duration Tag
0 129 20 23 7,718.150 7,939.530 None None 27,952.068 605.952 0.028 2025-02-06 2025-02-11 5 days None
1 127 24 26 8,054.560 7,988.490 None None -9,002.130 611.240 -0.009 2025-02-12 2025-02-14 2 days None
2 126 27 30 8,076.160 8,171.580 None None 11,408.755 614.165 0.011 2025-02-17 2025-02-20 3 days None
3 123 31 33 8,314.950 8,288.470 None None -3,869.706 612.666 -0.004 2025-02-21 2025-02-25 4 days None
4 121 34 36 8,414.030 8,055.570 None None -43,971.506 597.846 -0.043 2025-02-26 2025-02-28 2 days None
5 116 40 41 8,422.930 8,377.990 None None -5,797.712 584.672 -0.006 2025-03-06 2025-03-07 1 days None
6 115 46 47 8,462.700 8,505.120 None None 4,292.910 585.390 0.004 2025-03-14 2025-03-17 3 days None
7 140 62 65 7,002.370 7,468.940 None None 64,712.005 607.795 0.066 2025-04-08 2025-04-11 3 days None
8 132 79 80 7,908.130 7,928.150 None None 2,015.523 627.117 0.002 2025-05-06 2025-05-07 1 days None
9 130 83 84 8,011.850 7,986.130 None None -3,967.521 623.921 -0.004 2025-05-12 2025-05-13 1 days None
10 130 96 97 7,971.660 7,866.890 None None -14,237.803 617.703 -0.014 2025-05-29 2025-05-30 1 days None
11 127 103 104 8,085.290 8,116.490 None None 3,345.112 617.288 0.003 2025-06-10 2025-06-11 1 days None
12 129 106 107 7,988.150 8,062.630 None None 8,986.755 621.165 0.009 2025-06-13 2025-06-16 3 days None
13 128 113 118 8,126.880 8,362.170 None None 29,483.940 633.180 0.028 2025-06-24 2025-07-01 7 days None
14 127 123 125 8,407.130 8,392.900 None None -2,447.291 640.081 -0.002 2025-07-08 2025-07-10 2 days None
15 126 126 127 8,461.680 8,491.380 None None 3,101.374 640.826 0.003 2025-07-11 2025-07-14 3 days None
16 126 128 129 8,463.100 8,506.760 None None 4,859.699 641.461 0.005 2025-07-15 2025-07-16 1 days None
17 125 130 131 8,608.400 8,619.470 None None 737.705 646.045 0.001 2025-07-17 2025-07-18 1 days None
18 123 132 141 8,707.540 8,785.390 None None 8,930.061 645.489 0.008 2025-07-21 2025-08-01 11 days None
19 118 147 167 9,170.500 9,594.440 None None 49,360.641 664.279 0.046 2025-08-11 2025-09-08 28 days None
20 117 170 171 9,700.050 9,719.590 None None 1,604.551 681.629 0.001 2025-09-11 2025-09-12 1 days None
21 115 184 185 9,860.240 9,744.300 None None -14,009.457 676.357 -0.012 2025-10-09 2025-10-10 1 days None
22 117 187 188 9,529.450 9,685.480 None None 17,581.066 674.444 0.016 2025-10-14 2025-10-15 1 days None
23 117 226 227 9,724.130 9,681.760 None None -5,638.437 681.147 -0.005 2025-12-08 2025-12-09 1 days None

交易分布分析

交易回报率分布

Return Percentage Distribution

交易持续时间分布

Duration Distribution

不同持仓天数的平均收益率

Average Return by Duration

Equity Curve Data

Equity DrawdownPct DrawdownDuration
2024-12-31 1,000,000.000 0.000 NaT
2025-01-02 1,000,000.000 0.000 NaT
2025-01-03 1,000,000.000 0.000 NaT
2025-01-06 1,000,000.000 0.000 NaT
2025-01-07 1,000,000.000 0.000 NaT
2025-01-08 1,000,000.000 0.000 NaT
2025-01-09 1,000,000.000 0.000 NaT
2025-01-10 1,000,000.000 0.000 NaT
2025-01-13 1,000,000.000 0.000 NaT
2025-01-14 1,000,000.000 0.000 NaT
2025-01-15 1,000,000.000 0.000 NaT
2025-01-16 1,000,000.000 0.000 NaT
2025-01-17 1,000,000.000 0.000 NaT
2025-01-20 1,000,000.000 0.000 NaT
2025-01-21 1,000,000.000 0.000 NaT
2025-01-22 1,000,000.000 0.000 NaT
2025-01-23 1,000,000.000 0.000 NaT
2025-01-24 1,000,000.000 0.000 NaT
2025-01-27 1,000,000.000 0.000 NaT
2025-02-05 1,000,000.000 0.000 NaT
2025-02-06 1,000,000.000 0.000 NaT
2025-02-07 1,014,639.508 0.000 NaT
2025-02-10 1,031,547.538 0.000 NaT
2025-02-11 1,028,259.328 0.003 NaT
2025-02-12 1,027,952.068 0.003 NaT
2025-02-13 1,015,572.569 0.015 NaT
2025-02-14 1,019,254.299 0.012 NaT
2025-02-17 1,018,949.938 0.012 NaT
2025-02-18 994,077.179 0.036 NaT
2025-02-19 1,021,105.439 0.010 NaT
2025-02-20 1,030,667.579 0.001 NaT
2025-02-21 1,030,358.693 0.001 NaT
2025-02-24 1,031,153.951 0.000 NaT
2025-02-25 1,026,794.831 0.005 NaT
2025-02-26 1,026,488.987 0.005 NaT
2025-02-27 1,022,151.838 0.009 NaT
2025-02-28 982,809.898 0.047 NaT
2025-03-03 982,517.480 0.048 NaT
2025-03-04 982,517.480 0.048 NaT
2025-03-05 982,517.480 0.048 NaT
2025-03-06 982,517.480 0.048 NaT
2025-03-07 977,011.322 0.053 NaT
2025-03-10 976,719.768 0.053 NaT
2025-03-11 976,719.768 0.053 NaT
2025-03-12 976,719.768 0.053 NaT
2025-03-13 976,719.768 0.053 NaT
2025-03-14 976,719.768 0.053 NaT
2025-03-17 981,306.105 0.049 NaT
2025-03-18 981,012.679 0.049 NaT
2025-03-19 981,012.679 0.049 NaT
2025-03-20 981,012.679 0.049 NaT
2025-03-21 981,012.679 0.049 NaT
2025-03-24 981,012.679 0.049 NaT
2025-03-25 981,012.679 0.049 NaT
2025-03-26 981,012.679 0.049 NaT
2025-03-27 981,012.679 0.049 NaT
2025-03-28 981,012.679 0.049 NaT
2025-03-31 981,012.679 0.049 NaT
2025-04-01 981,012.679 0.049 NaT
2025-04-02 981,012.679 0.049 NaT
2025-04-03 981,012.679 0.049 NaT
2025-04-07 981,012.679 0.049 NaT
2025-04-08 981,012.679 0.049 NaT
2025-04-09 1,005,707.179 0.025 NaT
2025-04-10 1,033,189.179 0.000 59 days
2025-04-11 1,046,038.379 0.000 NaT
2025-04-14 1,045,724.684 0.000 NaT
2025-04-15 1,045,724.684 0.000 NaT
2025-04-16 1,045,724.684 0.000 NaT
2025-04-17 1,045,724.684 0.000 NaT
2025-04-18 1,045,724.684 0.000 NaT
2025-04-21 1,045,724.684 0.000 NaT
2025-04-22 1,045,724.684 0.000 NaT
2025-04-23 1,045,724.684 0.000 NaT
2025-04-24 1,045,724.684 0.000 NaT
2025-04-25 1,045,724.684 0.000 NaT
2025-04-28 1,045,724.684 0.000 NaT
2025-04-29 1,045,724.684 0.000 NaT
2025-04-30 1,045,724.684 0.000 NaT
2025-05-06 1,045,724.684 0.000 NaT
2025-05-07 1,048,054.162 0.000 26 days
2025-05-08 1,047,740.207 0.000 NaT
2025-05-09 1,047,740.207 0.000 NaT
2025-05-12 1,047,740.207 0.000 NaT
2025-05-13 1,044,084.145 0.004 NaT
2025-05-14 1,043,772.686 0.004 NaT
2025-05-15 1,043,772.686 0.004 NaT
2025-05-16 1,043,772.686 0.004 NaT
2025-05-19 1,043,772.686 0.004 NaT
2025-05-20 1,043,772.686 0.004 NaT
2025-05-21 1,043,772.686 0.004 NaT
2025-05-22 1,043,772.686 0.004 NaT
2025-05-23 1,043,772.686 0.004 NaT
2025-05-26 1,043,772.686 0.004 NaT
2025-05-27 1,043,772.686 0.004 NaT
2025-05-28 1,043,772.686 0.004 NaT
2025-05-29 1,043,772.686 0.004 NaT
2025-05-30 1,029,841.691 0.017 NaT
2025-06-03 1,029,534.882 0.018 NaT
2025-06-04 1,029,534.882 0.018 NaT
2025-06-05 1,029,534.882 0.018 NaT
2025-06-06 1,029,534.882 0.018 NaT
2025-06-09 1,029,534.882 0.018 NaT
2025-06-10 1,029,534.882 0.018 NaT
2025-06-11 1,033,189.233 0.014 NaT
2025-06-12 1,032,879.994 0.014 NaT
2025-06-13 1,032,879.994 0.014 NaT
2025-06-16 1,042,178.773 0.006 NaT
2025-06-17 1,041,866.749 0.006 NaT
2025-06-18 1,041,866.749 0.006 NaT
2025-06-19 1,041,866.749 0.006 NaT
2025-06-20 1,041,866.749 0.006 NaT
2025-06-23 1,041,866.749 0.006 NaT
2025-06-24 1,041,866.749 0.006 NaT
2025-06-25 1,054,056.437 0.000 49 days
2025-06-26 1,050,229.237 0.004 NaT
2025-06-27 1,054,577.397 0.000 2 days
2025-06-30 1,068,768.757 0.000 NaT
2025-07-01 1,071,671.797 0.000 NaT
2025-07-02 1,071,350.690 0.000 NaT
2025-07-03 1,071,350.690 0.000 NaT
2025-07-04 1,071,350.690 0.000 NaT
2025-07-07 1,071,350.690 0.000 NaT
2025-07-08 1,071,350.690 0.000 NaT
2025-07-09 1,068,240.188 0.003 NaT
2025-07-10 1,069,223.168 0.002 NaT
2025-07-11 1,068,903.398 0.003 NaT
2025-07-14 1,072,325.747 0.000 13 days
2025-07-15 1,072,004.773 0.000 NaT
2025-07-16 1,077,186.028 0.000 2 days
2025-07-17 1,076,864.472 0.000 NaT
2025-07-18 1,077,925.407 0.000 2 days
2025-07-21 1,077,602.177 0.000 NaT
2025-07-22 1,080,038.529 0.000 4 days
2025-07-23 1,073,343.639 0.006 NaT
2025-07-24 1,086,492.339 0.000 2 days
2025-07-25 1,088,884.689 0.000 NaT
2025-07-28 1,094,278.239 0.000 NaT
2025-07-29 1,101,257.259 0.000 NaT
2025-07-30 1,091,075.319 0.009 NaT
2025-07-31 1,084,454.229 0.015 NaT
2025-08-01 1,086,856.419 0.013 NaT
2025-08-04 1,086,532.238 0.013 NaT
2025-08-05 1,086,532.238 0.013 NaT
2025-08-06 1,086,532.238 0.013 NaT
2025-08-07 1,086,532.238 0.013 NaT
2025-08-08 1,086,532.238 0.013 NaT
2025-08-11 1,086,532.238 0.013 NaT
2025-08-12 1,089,038.422 0.011 NaT
2025-08-13 1,104,376.062 0.000 15 days
2025-08-14 1,087,246.002 0.016 NaT
2025-08-15 1,110,280.782 0.000 2 days
2025-08-18 1,132,913.182 0.000 NaT
2025-08-19 1,136,380.022 0.000 NaT
2025-08-20 1,143,624.042 0.000 NaT
2025-08-21 1,135,050.162 0.007 NaT
2025-08-22 1,148,661.462 0.000 2 days
2025-08-25 1,165,893.002 0.000 NaT
2025-08-26 1,164,367.262 0.001 NaT
2025-08-27 1,140,999.722 0.021 NaT
2025-08-28 1,155,683.642 0.009 NaT
2025-08-29 1,152,437.462 0.012 NaT
2025-09-01 1,163,522.382 0.002 NaT
2025-09-02 1,134,712.682 0.027 NaT
2025-09-03 1,116,236.242 0.043 NaT
2025-09-04 1,093,173.142 0.062 NaT
2025-09-05 1,124,808.942 0.035 NaT
2025-09-08 1,136,232.522 0.025 NaT
2025-09-09 1,135,892.879 0.026 NaT
2025-09-10 1,135,892.879 0.026 NaT
2025-09-11 1,135,892.879 0.026 NaT
2025-09-12 1,137,838.587 0.024 NaT
2025-09-15 1,137,497.430 0.024 NaT
2025-09-16 1,137,497.430 0.024 NaT
2025-09-17 1,137,497.430 0.024 NaT
2025-09-18 1,137,497.430 0.024 NaT
2025-09-19 1,137,497.430 0.024 NaT
2025-09-22 1,137,497.430 0.024 NaT
2025-09-23 1,137,497.430 0.024 NaT
2025-09-24 1,137,497.430 0.024 NaT
2025-09-25 1,137,497.430 0.024 NaT
2025-09-26 1,137,497.430 0.024 NaT
2025-09-29 1,137,497.430 0.024 NaT
2025-09-30 1,137,497.430 0.024 NaT
2025-10-09 1,137,497.430 0.024 NaT
2025-10-10 1,123,824.151 0.036 NaT
2025-10-13 1,123,487.973 0.036 NaT
2025-10-14 1,123,487.973 0.036 NaT
2025-10-15 1,141,408.999 0.021 NaT
2025-10-16 1,141,069.039 0.021 NaT
2025-10-17 1,141,069.039 0.021 NaT
2025-10-20 1,141,069.039 0.021 NaT
2025-10-21 1,141,069.039 0.021 NaT
2025-10-22 1,141,069.039 0.021 NaT
2025-10-23 1,141,069.039 0.021 NaT
2025-10-24 1,141,069.039 0.021 NaT
2025-10-27 1,141,069.039 0.021 NaT
2025-10-28 1,141,069.039 0.021 NaT
2025-10-29 1,141,069.039 0.021 NaT
2025-10-30 1,141,069.039 0.021 NaT
2025-10-31 1,141,069.039 0.021 NaT
2025-11-03 1,141,069.039 0.021 NaT
2025-11-04 1,141,069.039 0.021 NaT
2025-11-05 1,141,069.039 0.021 NaT
2025-11-06 1,141,069.039 0.021 NaT
2025-11-07 1,141,069.039 0.021 NaT
2025-11-10 1,141,069.039 0.021 NaT
2025-11-11 1,141,069.039 0.021 NaT
2025-11-12 1,141,069.039 0.021 NaT
2025-11-13 1,141,069.039 0.021 NaT
2025-11-14 1,141,069.039 0.021 NaT
2025-11-17 1,141,069.039 0.021 NaT
2025-11-18 1,141,069.039 0.021 NaT
2025-11-19 1,141,069.039 0.021 NaT
2025-11-20 1,141,069.039 0.021 NaT
2025-11-21 1,141,069.039 0.021 NaT
2025-11-24 1,141,069.039 0.021 NaT
2025-11-25 1,141,069.039 0.021 NaT
2025-11-26 1,141,069.039 0.021 NaT
2025-11-27 1,141,069.039 0.021 NaT
2025-11-28 1,141,069.039 0.021 NaT
2025-12-01 1,141,069.039 0.021 NaT
2025-12-02 1,141,069.039 0.021 NaT
2025-12-03 1,141,069.039 0.021 NaT
2025-12-04 1,141,069.039 0.021 NaT
2025-12-05 1,141,069.039 0.021 NaT
2025-12-08 1,141,069.039 0.021 NaT
2025-12-09 1,135,770.432 0.026 NaT
2025-12-10 1,135,430.602 0.026 NaT
2025-12-11 1,135,430.602 0.026 NaT
2025-12-12 1,135,430.602 0.026 NaT
2025-12-15 1,135,430.602 0.026 NaT
2025-12-16 1,135,430.602 0.026 NaT
2025-12-17 1,135,430.602 0.026 NaT
2025-12-18 1,135,430.602 0.026 NaT
2025-12-19 1,135,430.602 0.026 NaT
2025-12-22 1,135,430.602 0.026 NaT
2025-12-23 1,135,430.602 0.026 NaT
2025-12-24 1,135,430.602 0.026 NaT
2025-12-25 1,135,430.602 0.026 NaT
2025-12-26 1,135,430.602 0.026 NaT
2025-12-29 1,135,430.602 0.026 NaT
2025-12-30 1,135,430.602 0.026 NaT
2025-12-31 1,135,430.602 0.026 128 days