backtesting.py ema strategy Backtest.optimize
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| n1=list(range(5, 20)) | |
| n2=list(range(15, 30)) | |
| stats = bt_ema.optimize(n1=n1, n2=n2, | |
| maximize='Equity Final [$]', constraint=lambda p: p.n1 < p.n2) | |
| print(stats) | |
| Start 2015-01-01 00:00:00 | |
| End 2020-07-30 00:00:00 | |
| Duration 2037 days 00:00:00 | |
| Exposure [%] 98.3309 | |
| Equity Final [$] 102.75 | |
| Equity Peak [$] 125.776 | |
| Return [%] 10175 | |
| Buy & Hold Return [%] 2969.48 | |
| Max. Drawdown [%] -46.1918 | |
| Avg. Drawdown [%] -10.5397 | |
| Max. Drawdown Duration 260 days 00:00:00 | |
| Avg. Drawdown Duration 32 days 00:00:00 | |
| # Trades 92 | |
| Win Rate [%] 35.8696 | |
| Best Trade [%] 253.563 | |
| Worst Trade [%] -14.4748 | |
| Avg. Trade [%] 8.04839 | |
| Max. Trade Duration 116 days 00:00:00 | |
| Avg. Trade Duration 22 days 00:00:00 | |
| Expectancy [%] 14.6598 | |
| SQN 1.34727 | |
| Sharpe Ratio 0.235095 | |
| Sortino Ratio 2.36271 | |
| Calmar Ratio 0.174238 | |
| _strategy EmaCrossStrategy(n1=6,n2=16) | |
| dtype: object |
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