BTC Sharpe 1.5 5-10x Leverage

18 янв.

1) Data Analysis: Robust Returns and Drawdown Structure (Backtesting Summary)

Target Asset / Period / Range
Target Asset: OKX:BTCUSDT.P (Perpetual)
Period: 4H
Backtesting Range: 2019-12-16 12:00 — 2026-01-18 08:00

Trading began on 2020-03-05 (Report Attribute Table)

Initial Capital: 100,000 USDT (Live Trading, Capital Settings Can Be Modified)
Net Profit: +453,405.40 USDT (+453.41%)
Ending Equity: Approximately 553,405.40 USDT (Estimated from Initial Capital + Net Profit)
Annualized Return (CAGR): 32.4%

Risk Adjustment and Trade Quality
Risk Adjustment: Sharpe 1.506, Sortino 29.334, Profit Factor 233.393
Trade Quality: 329 trades, Win Rate (Percentage of Profit) 69.91%, Average Profit/Loss per Trade +1,378.13 USDT
Maximum Single Trade Profit: 6,982.34 USDT; Maximum Single Trade Loss: 38.87 USDT

Drawdown Structure (Core Characteristics)
Maximum Intrabar Equity Drawdown: 14.92% (34,733.4 USDT)
Drawdown Recovery Factor (referred to as "Return on Maximum Equity Drawdown" in the report): 12.89

Execution/Fee Assumptions
Commission: 0.05%; Slippage: 2 ticks; No Adding to Positions

2) Trading Logic: Direction → Entry → Quality Control → Exit → Execution
The "skeleton" is clear: First look at the market (HTF), then dive in (4H), conduct a check-up (scoring) upon entry, lock in profits for a period, then let them run.

A. Directional Filtering (Only act when the overall direction allows)

HTF defaults to Level D, overlaid with EMA 370 to determine the overall trend: htfTfOpt="D" / htfEmaLen=370

B. 4-Hour Entry Trigger (Catching Trend Continuation/Breakout)

Default Entry Trigger: Trend + RSI50 (switchable): triggerMode="Trend + RSI50 (Recommended)"

C. Quality Control (Trade more with good signals, less with average signals)

Three-Factor Scoring:

Momentum: RSI + MACD (Strong/Weak Momentum Conditions)

Structure: Proximity to Support/Resistance or EMA50 Structural Constraints

Volume: Trading Volume MA + Threshold Multiplier volSoftMult=1.35

D. Exit Logic (TP1 Profit Locking + Runner Trend Taking)

Specifically: TP1 (First Close) + Runner (Full Close)

E. Execution of Safety (Live Trading)

No reversal/No re-opening immediately after closing/Signal confirmation only at closing/Minimum nominal filtering

/Quantity rounding

3) Risk Control: Three-Layer Defense (Controlling Drawdowns)

First Layer: Single Trade Risk Control (Strike hard with every move)

Second Layer: Account Drawdown Control (Be more conservative as losses mount, avoid cascading losses)

Third Layer: Emergency Coverage (Long-term holding/Black Swan Events)

Holding positions for more than 35 4H: Tighten stop-loss orders

Core Conclusion: This system does not chase "maximum returns," but rather controls drawdowns, making the net asset value curve smoother and more controllable.

Suitable for OKX exchange platform

21 янв.

Информация о релизе

Updated Sharp ratio 1.9

24 янв.

Информация о релизе

OKX Platform BTC 4-Hour Chart Trading Backtest

Optimized Sharp Version 2.0