Backtest Report - 2025-12-31 15:25:21

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 [%] 56.557
Equity Final [$] 1,261,123.984
Equity Peak [$] 1,293,518.784
Commissions [$] 17,343.996
Return [%] 26.112
Buy & Hold Return [%] 32.162
Return (Ann.) [%] 27.075
Volatility (Ann.) [%] 18.526
CAGR [%] 17.476
Sharpe Ratio 1.462
Sortino Ratio 2.970
Calmar Ratio 4.337
Alpha [%] 14.552
Beta 0.359
Max. Drawdown [%] -6.243
Avg. Drawdown [%] -1.621
Max. Drawdown Duration 60 days 00:00:00
Avg. Drawdown Duration 18 days 00:00:00
# Trades 26
Win Rate [%] 50.000
Best Trade [%] 7.117
Worst Trade [%] -4.319
Avg. Trade [%] 0.899
Max. Trade Duration 40 days 00:00:00
Avg. Trade Duration 6 days 00:00:00
Profit Factor 2.721
Expectancy [%] 0.934
SQN 1.736
Kelly Criterion 0.313

Equity Curve & Drawdown

Equity Curve and Drawdown

Trades

Size EntryBar ExitBar EntryPrice ExitPrice SL TP PnL Commissions ReturnPct EntryTime ExitTime Duration Tag
0 140 2 7 7,106.750 7,043.240 None None -9,485.700 594.300 -0.010 2025-01-03 2025-01-10 7 days None
1 140 8 9 7,050.710 7,399.370 None None 48,205.497 606.903 0.049 2025-01-13 2025-01-14 1 days None
2 134 20 23 7,718.150 7,939.530 None None 29,035.481 629.439 0.028 2025-02-06 2025-02-11 5 days None
3 132 24 26 8,054.560 7,988.490 None None -9,356.545 635.305 -0.009 2025-02-12 2025-02-14 2 days None
4 131 27 30 8,076.160 8,171.580 None None 11,861.484 638.536 0.011 2025-02-17 2025-02-20 3 days None
5 128 31 33 8,314.950 8,288.470 None None -4,027.011 637.571 -0.004 2025-02-21 2025-02-25 4 days None
6 126 34 36 8,414.030 8,055.570 None None -45,788.511 622.551 -0.043 2025-02-26 2025-02-28 2 days None
7 121 40 41 8,422.930 8,377.990 None None -6,047.613 609.873 -0.006 2025-03-06 2025-03-07 1 days None
8 119 46 47 8,462.700 8,505.120 None None 4,442.229 605.751 0.004 2025-03-14 2025-03-17 3 days None
9 145 62 65 7,002.370 7,468.940 None None 67,023.148 629.502 0.066 2025-04-08 2025-04-11 3 days None
10 137 79 80 7,908.130 7,928.150 None None 2,091.869 650.871 0.002 2025-05-06 2025-05-07 1 days None
11 135 83 84 8,011.850 7,986.130 None None -4,120.118 647.918 -0.004 2025-05-12 2025-05-13 1 days None
12 135 96 97 7,971.660 7,866.890 None None -14,785.411 641.461 -0.014 2025-05-29 2025-05-30 1 days None
13 132 100 101 8,062.720 8,047.500 None None -2,647.005 637.965 -0.002 2025-06-05 2025-06-06 1 days None
14 130 102 107 8,156.060 8,062.630 None None -12,778.429 632.529 -0.012 2025-06-09 2025-06-16 7 days None
15 133 110 122 7,907.160 8,299.690 None None 51,559.837 646.653 0.049 2025-06-19 2025-07-07 18 days None
16 131 123 129 8,407.130 8,506.760 None None 12,386.814 664.716 0.011 2025-07-08 2025-07-16 8 days None
17 129 130 142 8,608.400 8,898.530 None None 36,749.252 677.518 0.033 2025-07-17 2025-08-04 18 days None
18 127 144 172 9,060.730 9,711.180 None None 81,891.940 715.210 0.071 2025-08-06 2025-09-15 40 days None
19 126 175 176 9,794.330 9,722.160 None None -9,831.143 737.723 -0.008 2025-09-18 2025-09-19 1 days None
20 124 184 185 9,860.240 9,744.300 None None -15,105.849 729.289 -0.012 2025-10-09 2025-10-10 1 days None
21 127 187 188 9,529.450 9,685.480 None None 19,083.721 732.089 0.016 2025-10-14 2025-10-15 1 days None
22 130 191 197 9,390.440 9,719.020 None None 41,970.131 745.269 0.034 2025-10-20 2025-10-28 8 days None
23 131 202 208 9,662.690 9,751.990 None None 10,935.303 762.997 0.009 2025-11-04 2025-11-12 8 days None
24 133 213 218 9,593.950 9,452.960 None None -19,511.642 759.972 -0.015 2025-11-19 2025-11-26 7 days None
25 129 226 228 9,724.130 9,709.590 None None -2,627.745 752.085 -0.002 2025-12-08 2025-12-10 2 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
2025-01-06 995,243.917 0.005 NaT
2025-01-07 1,015,769.317 0.000 4 days
2025-01-08 1,013,912.917 0.002 NaT
2025-01-09 1,017,132.917 0.000 2 days
2025-01-10 990,810.117 0.026 NaT
2025-01-13 990,514.300 0.026 NaT
2025-01-14 1,039,030.571 0.000 5 days
2025-01-15 1,038,719.797 0.000 NaT
2025-01-16 1,038,719.797 0.000 NaT
2025-01-17 1,038,719.797 0.000 NaT
2025-01-20 1,038,719.797 0.000 NaT
2025-01-21 1,038,719.797 0.000 NaT
2025-01-22 1,038,719.797 0.000 NaT
2025-01-23 1,038,719.797 0.000 NaT
2025-01-24 1,038,719.797 0.000 NaT
2025-01-27 1,038,719.797 0.000 NaT
2025-02-05 1,038,719.797 0.000 NaT
2025-02-06 1,038,719.797 0.000 NaT
2025-02-07 1,053,926.727 0.000 24 days
2025-02-10 1,071,490.107 0.000 NaT
2025-02-11 1,068,074.447 0.003 NaT
2025-02-12 1,067,755.278 0.003 NaT
2025-02-13 1,054,888.398 0.015 NaT
2025-02-14 1,058,715.078 0.012 NaT
2025-02-17 1,058,398.734 0.012 NaT
2025-02-18 1,032,538.960 0.036 NaT
2025-02-19 1,060,639.770 0.010 NaT
2025-02-20 1,070,581.360 0.001 NaT
2025-02-21 1,070,260.217 0.001 NaT
2025-02-24 1,071,087.803 0.000 NaT
2025-02-25 1,066,551.483 0.005 NaT
2025-02-26 1,066,233.206 0.005 NaT
2025-02-27 1,061,716.836 0.009 NaT
2025-02-28 1,020,749.196 0.047 NaT
2025-03-03 1,020,444.695 0.048 NaT
2025-03-04 1,020,444.695 0.048 NaT
2025-03-05 1,020,444.695 0.048 NaT
2025-03-06 1,020,444.695 0.048 NaT
2025-03-07 1,014,701.203 0.053 NaT
2025-03-10 1,014,397.082 0.053 NaT
2025-03-11 1,014,397.082 0.053 NaT
2025-03-12 1,014,397.082 0.053 NaT
2025-03-13 1,014,397.082 0.053 NaT
2025-03-14 1,014,397.082 0.053 NaT
2025-03-17 1,019,142.943 0.049 NaT
2025-03-18 1,018,839.311 0.049 NaT
2025-03-19 1,018,839.311 0.049 NaT
2025-03-20 1,018,839.311 0.049 NaT
2025-03-21 1,018,839.311 0.049 NaT
2025-03-24 1,018,839.311 0.049 NaT
2025-03-25 1,018,839.311 0.049 NaT
2025-03-26 1,018,839.311 0.049 NaT
2025-03-27 1,018,839.311 0.049 NaT
2025-03-28 1,018,839.311 0.049 NaT
2025-03-31 1,018,839.311 0.049 NaT
2025-04-01 1,018,839.311 0.049 NaT
2025-04-02 1,018,839.311 0.049 NaT
2025-04-03 1,018,839.311 0.049 NaT
2025-04-07 1,018,839.311 0.049 NaT
2025-04-08 1,018,839.311 0.049 NaT
2025-04-09 1,044,415.757 0.025 NaT
2025-04-10 1,072,879.257 0.000 59 days
2025-04-11 1,086,187.357 0.000 NaT
2025-04-14 1,085,862.459 0.000 NaT
2025-04-15 1,085,862.459 0.000 NaT
2025-04-16 1,085,862.459 0.000 NaT
2025-04-17 1,085,862.459 0.000 NaT
2025-04-18 1,085,862.459 0.000 NaT
2025-04-21 1,085,862.459 0.000 NaT
2025-04-22 1,085,862.459 0.000 NaT
2025-04-23 1,085,862.459 0.000 NaT
2025-04-24 1,085,862.459 0.000 NaT
2025-04-25 1,085,862.459 0.000 NaT
2025-04-28 1,085,862.459 0.000 NaT
2025-04-29 1,085,862.459 0.000 NaT
2025-04-30 1,085,862.459 0.000 NaT
2025-05-06 1,085,862.459 0.000 NaT
2025-05-07 1,088,280.174 0.000 26 days
2025-05-08 1,087,954.327 0.000 NaT
2025-05-09 1,087,954.327 0.000 NaT
2025-05-12 1,087,954.327 0.000 NaT
2025-05-13 1,084,157.648 0.004 NaT
2025-05-14 1,083,834.209 0.004 NaT
2025-05-15 1,083,834.209 0.004 NaT
2025-05-16 1,083,834.209 0.004 NaT
2025-05-19 1,083,834.209 0.004 NaT
2025-05-20 1,083,834.209 0.004 NaT
2025-05-21 1,083,834.209 0.004 NaT
2025-05-22 1,083,834.209 0.004 NaT
2025-05-23 1,083,834.209 0.004 NaT
2025-05-26 1,083,834.209 0.004 NaT
2025-05-27 1,083,834.209 0.004 NaT
2025-05-28 1,083,834.209 0.004 NaT
2025-05-29 1,083,834.209 0.004 NaT
2025-05-30 1,069,367.407 0.017 NaT
2025-06-03 1,069,048.798 0.018 NaT
2025-06-04 1,069,048.798 0.018 NaT
2025-06-05 1,069,048.798 0.018 NaT
2025-06-06 1,066,720.474 0.020 NaT
2025-06-09 1,066,401.793 0.020 NaT
2025-06-10 1,056,883.607 0.029 NaT
2025-06-11 1,060,939.607 0.025 NaT
2025-06-12 1,063,108.007 0.023 NaT
2025-06-13 1,044,255.407 0.040 NaT
2025-06-16 1,053,937.807 0.032 NaT
2025-06-17 1,053,623.364 0.032 NaT
2025-06-18 1,053,623.364 0.032 NaT
2025-06-19 1,053,623.364 0.032 NaT
2025-06-20 1,044,584.399 0.040 NaT
2025-06-23 1,060,696.019 0.025 NaT
2025-06-24 1,082,530.629 0.005 NaT
2025-06-25 1,095,520.739 0.000 49 days
2025-06-26 1,091,544.039 0.004 NaT
2025-06-27 1,096,062.049 0.000 2 days
2025-06-30 1,110,807.759 0.000 NaT
2025-07-01 1,113,824.199 0.000 NaT
2025-07-02 1,102,583.039 0.010 NaT
2025-07-03 1,110,198.619 0.003 NaT
2025-07-04 1,101,890.109 0.011 NaT
2025-07-07 1,105,514.359 0.007 NaT
2025-07-08 1,105,183.201 0.008 NaT
2025-07-09 1,101,974.731 0.011 NaT
2025-07-10 1,102,988.671 0.010 NaT
2025-07-11 1,111,998.851 0.002 NaT
2025-07-14 1,115,889.551 0.000 13 days
2025-07-15 1,112,184.871 0.003 NaT
2025-07-16 1,117,904.331 0.000 2 days
2025-07-17 1,117,570.015 0.000 NaT
2025-07-18 1,118,664.900 0.000 2 days
2025-07-21 1,130,025.930 0.000 NaT
2025-07-22 1,132,918.110 0.000 NaT
2025-07-23 1,125,896.640 0.006 NaT
2025-07-24 1,139,686.740 0.000 2 days
2025-07-25 1,142,195.790 0.000 NaT
2025-07-28 1,147,852.440 0.000 NaT
2025-07-29 1,155,171.900 0.000 NaT
2025-07-30 1,144,493.280 0.009 NaT
2025-07-31 1,137,549.210 0.015 NaT
2025-08-01 1,140,068.580 0.013 NaT
2025-08-04 1,154,663.640 0.000 NaT
2025-08-05 1,154,319.267 0.001 NaT
2025-08-06 1,154,319.267 0.001 NaT
2025-08-07 1,154,233.133 0.001 NaT
2025-08-08 1,149,534.133 0.005 NaT
2025-08-11 1,167,914.843 0.000 13 days
2025-08-12 1,170,961.573 0.000 NaT
2025-08-13 1,187,469.033 0.000 NaT
2025-08-14 1,169,032.443 0.016 NaT
2025-08-15 1,193,824.113 0.000 2 days
2025-08-18 1,218,182.713 0.000 NaT
2025-08-19 1,221,913.973 0.000 NaT
2025-08-20 1,229,710.503 0.000 NaT
2025-08-21 1,220,482.683 0.008 NaT
2025-08-22 1,235,132.133 0.000 2 days
2025-08-25 1,253,677.943 0.000 NaT
2025-08-26 1,252,035.833 0.001 NaT
2025-08-27 1,226,886.023 0.021 NaT
2025-08-28 1,242,689.903 0.009 NaT
2025-08-29 1,239,196.133 0.012 NaT
2025-09-01 1,251,126.513 0.002 NaT
2025-09-02 1,220,119.463 0.027 NaT
2025-09-03 1,200,233.803 0.043 NaT
2025-09-04 1,175,411.653 0.062 NaT
2025-09-05 1,209,460.353 0.035 NaT
2025-09-08 1,221,755.223 0.025 NaT
2025-09-09 1,205,249.033 0.039 NaT
2025-09-10 1,207,937.623 0.036 NaT
2025-09-11 1,235,167.693 0.015 NaT
2025-09-12 1,237,649.273 0.013 NaT
2025-09-15 1,236,581.203 0.014 NaT
2025-09-16 1,236,211.207 0.014 NaT
2025-09-17 1,236,211.207 0.014 NaT
2025-09-18 1,236,211.207 0.014 NaT
2025-09-19 1,226,747.562 0.021 NaT
2025-09-22 1,226,380.064 0.022 NaT
2025-09-23 1,226,380.064 0.022 NaT
2025-09-24 1,226,380.064 0.022 NaT
2025-09-25 1,226,380.064 0.022 NaT
2025-09-26 1,226,380.064 0.022 NaT
2025-09-29 1,226,380.064 0.022 NaT
2025-09-30 1,226,380.064 0.022 NaT
2025-10-09 1,226,380.064 0.022 NaT
2025-10-10 1,211,636.703 0.034 NaT
2025-10-13 1,211,274.215 0.034 NaT
2025-10-14 1,211,274.215 0.034 NaT
2025-10-15 1,230,726.953 0.018 NaT
2025-10-16 1,230,357.936 0.019 NaT
2025-10-17 1,230,357.936 0.019 NaT
2025-10-20 1,230,357.936 0.019 NaT
2025-10-21 1,250,458.909 0.003 NaT
2025-10-22 1,245,513.709 0.007 NaT
2025-10-23 1,243,864.009 0.008 NaT
2025-10-24 1,259,796.809 0.000 60 days
2025-10-27 1,272,976.209 0.000 NaT
2025-10-28 1,272,707.109 0.000 NaT
2025-10-29 1,272,328.067 0.001 NaT
2025-10-30 1,272,328.067 0.001 NaT
2025-10-31 1,272,328.067 0.001 NaT
2025-11-03 1,272,328.067 0.001 NaT
2025-11-04 1,272,328.067 0.001 NaT
2025-11-05 1,278,337.194 0.000 9 days
2025-11-06 1,291,443.744 0.000 NaT
2025-11-07 1,287,847.794 0.003 NaT
2025-11-10 1,293,518.784 0.000 4 days
2025-11-11 1,292,802.214 0.001 NaT
2025-11-12 1,283,646.624 0.008 NaT
2025-11-13 1,283,263.370 0.008 NaT
2025-11-14 1,283,263.370 0.008 NaT
2025-11-17 1,283,263.370 0.008 NaT
2025-11-18 1,283,263.370 0.008 NaT
2025-11-19 1,283,263.370 0.008 NaT
2025-11-20 1,273,135.662 0.016 NaT
2025-11-21 1,225,364.722 0.053 NaT
2025-11-24 1,246,447.882 0.036 NaT
2025-11-25 1,266,080.012 0.021 NaT
2025-11-26 1,264,128.902 0.023 NaT
2025-11-27 1,263,751.729 0.023 NaT
2025-11-28 1,263,751.729 0.023 NaT
2025-12-01 1,263,751.729 0.023 NaT
2025-12-02 1,263,751.729 0.023 NaT
2025-12-03 1,263,751.729 0.023 NaT
2025-12-04 1,263,751.729 0.023 NaT
2025-12-05 1,263,751.729 0.023 NaT
2025-12-08 1,263,751.729 0.023 NaT
2025-12-09 1,257,909.675 0.028 NaT
2025-12-10 1,261,499.745 0.025 NaT
2025-12-11 1,261,123.984 0.025 NaT
2025-12-12 1,261,123.984 0.025 NaT
2025-12-15 1,261,123.984 0.025 NaT
2025-12-16 1,261,123.984 0.025 NaT
2025-12-17 1,261,123.984 0.025 NaT
2025-12-18 1,261,123.984 0.025 NaT
2025-12-19 1,261,123.984 0.025 NaT
2025-12-22 1,261,123.984 0.025 NaT
2025-12-23 1,261,123.984 0.025 NaT
2025-12-24 1,261,123.984 0.025 NaT
2025-12-25 1,261,123.984 0.025 NaT
2025-12-26 1,261,123.984 0.025 NaT
2025-12-29 1,261,123.984 0.025 NaT
2025-12-30 1,261,123.984 0.025 NaT
2025-12-31 1,261,123.984 0.025 51 days