Backtest Analytics

Results from the local backtesting engine: yfinance data, 20 strategies, global indices, commodities, and large caps.

Strategies overview

Strategy Category Symbols Avg return % Avg Sharpe Avg max DD % Win rate % Trades
A/D Line Trend Strategy 21 309.20 0.24 -26.14 36.07 892
ADX 10 Thresh 20 Strategy 21 64.38 0.37 -20.54 38.88 802
ADX 14 Thresh 30 Strategy 21 38.43 0.28 -18.75 43.45 390
ADX Trend Strategy 21 46.21 0.33 -20.17 41.14 470
Aroon 14 Strategy 21 103.89 0.28 -24.19 43.64 560
Aroon 30 Strategy 21 69.82 0.43 -19.82 49.96 267
Aroon 40 Strategy 21 155.95 0.44 -21.33 54.53 190
Aroon Strategy 21 84.62 0.43 -19.55 48.31 318
ATR Bands 10/1.5 Strategy 21 -1.21 0.42 -22.90 67.12 408
ATR Bands 21/2.5 Strategy 21 2.38 0.56 -22.90 76.93 192
ATR Bands 7/2 Strategy 21 -6.98 0.43 -20.58 68.67 171
ATR Bands Strategy 21 5.29 0.45 -20.43 71.18 289
ATR Trailing 1.5x Strategy 21 350.17 0.72 -25.87 90.48 21
ATR Trailing 2.5x Strategy 21 350.17 0.72 -25.87 90.48 21
ATR Trailing Stop Strategy 21 350.17 0.72 -25.87 90.48 21
BB Width Squeeze Strategy 21 14.30 -0.02 -13.86 27.19 342
Bollinger 1.5σ Strategy 21 22.49 0.49 -23.86 77.25 257
Bollinger n=15 Strategy 21 20.15 0.49 -25.22 73.41 177
Bollinger 2.5σ Strategy 21 16.10 0.55 -26.45 80.71 69
Bollinger n=30 Strategy 21 6.16 0.53 -27.38 79.63 118
Bollinger Bands Strategy 21 26.06 0.55 -24.62 77.22 160
CCI Period 14 Strategy 21 53.11 0.49 -24.05 68.09 408
CCI Period 30 Strategy 21 13.11 0.50 -27.73 76.61 210
Commodity Channel Index Strategy 21 38.05 0.45 -24.87 74.87 302
Chaikin Money Flow Strategy 21 6.20 0.08 -22.51 33.37 711
Chaikin Oscillator Strategy 21 309.64 0.29 -27.12 39.60 848
Chande Momentum 10 Strategy 21 109.36 0.31 -22.04 34.94 1056
Chande Momentum 21 Strategy 21 66.59 0.24 -22.48 37.10 714
Chande Momentum 7 Strategy 21 81.30 0.42 -20.84 35.51 1280
Chande Momentum Strategy 21 74.02 0.43 -22.07 36.80 901
Chandelier Exit 14 Strategy 21 113.16 0.37 -29.99 33.91 741
Chandelier Exit 20 Strategy 21 62.51 0.26 -23.00 33.02 914
Chandelier Exit 30 Strategy 21 75.40 0.22 -21.48 32.02 729
Chandelier Exit Strategy 21 108.21 0.33 -28.38 33.28 758
Coppock Curve Strategy 21 99.29 0.36 -21.23 46.17 346
DEMA Crossover Strategy 21 54.33 0.46 -20.04 42.34 479
Disparity Index Strategy 21 109.72 0.37 -21.91 31.27 1097
Donchian 10 Strategy 21 92.03 0.37 -20.73 44.82 375
Donchian 30 Strategy 21 94.12 0.39 -21.24 51.73 145
Donchian 55 Strategy 21 183.25 0.59 -18.57 59.50 72
Donchian Breakout Strategy 21 126.90 0.42 -22.30 50.79 207
Detrended Price Oscillator Strategy 21 92.08 0.43 -19.69 30.99 529
Dual MA 10/40 Strategy 21 96.82 0.20 -18.66 34.67 986
Dual MA 15/45 Strategy 21 114.15 0.22 -20.64 32.04 809
Dual MA 30/70 Strategy 21 83.47 0.45 -18.55 28.85 533
Dual Moving Average Strategy 21 133.40 0.26 -19.52 31.51 685
Ease of Movement Strategy 21 91.76 0.39 -21.96 40.94 745
Elder Ray Strategy 21 33.44 0.15 -24.48 50.60 2918
EMA 15/30 Strategy 21 99.55 0.49 -19.89 41.47 214
EMA 20/50 Strategy 21 152.99 0.59 -19.02 48.26 141
EMA 5/13 Strategy 21 110.02 0.30 -22.00 35.69 593
EMA 9/21 Strategy 21 95.31 0.30 -21.59 40.73 348
EMA Crossover Strategy 21 109.66 0.47 -20.28 42.26 248
EMA Ribbon Strategy 21 -6.96 -0.35 -9.21 31.19 83
Force Index Strategy 21 98.53 -0.00 -27.49 35.07 3005
Fractal Breakout Strategy 21 110.61 0.56 -19.96 58.73 183
Hull MA 14/28 Strategy 21 75.36 0.48 -20.83 52.25 617
Hull MA 5/15 Strategy 21 32.45 0.20 -24.04 44.16 1398
Hull MA Crossover Strategy 21 48.00 0.37 -20.50 47.46 978
Intraday Intensity Strategy 21 6.33 0.16 -22.02 37.36 663
Keltner 1.5x Strategy 21 20.05 0.43 -24.44 75.94 195
Keltner 2.5x Strategy 21 0.86 0.45 -27.78 76.56 85
Keltner Squeeze Strategy 21 76.05 0.25 -16.53 49.28 311
Keltner Width Breakout Strategy 21 8.39 0.27 -8.27 44.59 154
Keltner Channel Strategy 21 2.10 0.39 -29.20 74.32 128
Klinger Volume Strategy 21 7.57 0.05 -17.43 36.24 1084
Know Sure Thing Strategy 21 38.73 0.33 -20.91 49.00 374
Linear Regression Reversion Strategy 21 -8.96 0.39 -21.93 67.72 197
Linear Regression Slope Strategy 21 101.43 0.30 -21.85 44.89 392
MACD 5/13/5 Strategy 21 36.49 0.33 -20.15 37.72 1268
MACD 8/17/9 Strategy 21 68.52 0.34 -22.20 38.47 827
MACD Strategy 21 56.87 0.47 -20.50 41.02 604
Mass Index Strategy 21 0.00 0.00 0.00 0.00 0
McGinley 14 Strategy 21 165.14 0.35 -23.98 27.50 836
McGinley 20 Strategy 21 224.41 0.37 -24.15 28.30 674
McGinley 7 Strategy 21 147.49 0.25 -28.13 28.95 1235
McGinley Dynamic Strategy 21 131.20 0.29 -24.05 27.09 1017
Momentum ROC 15 Strategy 21 92.80 0.41 -22.53 42.93 346
Momentum ROC 20 Strategy 21 78.29 0.36 -23.12 43.56 315
Momentum ROC 5 Strategy 21 65.37 0.37 -23.73 37.08 569
Momentum ROC 1% Strategy 21 85.26 0.43 -21.56 40.11 600
Momentum ROC 3% Strategy 21 136.70 0.43 -23.99 43.48 311
Momentum ROC Strategy 21 91.37 0.38 -22.38 40.45 443
MFI 10 Strategy 21 293.70 0.34 -20.43 67.94 102
MFI 21 Strategy 21 303.84 0.14 -10.98 26.19 10
MFI 30 Strategy 21 301.83 0.08 -5.82 9.52 4
MFI 7 Strategy 21 299.78 0.48 -19.79 68.27 186
Money Flow Index Strategy 21 311.38 0.45 -17.48 68.10 44
OBV Trend 15 Strategy 21 11.21 0.22 -17.91 28.37 1205
OBV Trend 30 Strategy 21 12.88 0.23 -17.84 24.59 794
OBV Trend Strategy 21 14.97 0.30 -18.06 27.20 1013
Parabolic SAR 0.01 Strategy 21 72.04 0.25 -23.46 32.53 861
Parabolic SAR Strategy 21 63.58 0.26 -23.75 36.04 1027
Pivot Breakout Strategy 21 77.88 0.55 -20.88 58.11 183
Pretty Good Oscillator Strategy 21 147.66 0.31 -22.75 29.71 886
Price Channel 10 Strategy 21 92.03 0.37 -20.73 44.82 375
Price Channel 30 Strategy 21 94.12 0.39 -21.24 51.73 145
Price Channel 55 Strategy 21 183.25 0.59 -18.57 59.50 72
Price Channel Strategy 21 126.90 0.42 -22.30 50.79 207
Price Oscillator Strategy 21 114.04 0.51 -21.58 44.14 268
Projection Oscillator Strategy 21 60.60 0.35 -22.89 36.54 1842
QStick Strategy 21 74.29 0.29 -21.98 38.77 887
Raff Channel Strategy 21 114.68 0.33 -23.28 28.62 864
Random Walk Index Strategy 21 37.55 0.23 -17.94 43.40 396
ROC Crossover Strategy 21 24.81 0.41 -21.38 55.71 878
RSI Period 21 Strategy 21 12.38 0.36 -28.83 74.91 70
RSI 25/75 Strategy 21 14.88 0.45 -27.00 73.30 110
RSI 35/65 Strategy 21 24.86 0.55 -24.15 73.02 248
RSI Period 7 Strategy 21 81.03 0.42 -24.21 67.57 485
RSI Mean Reversion Strategy 21 30.55 0.51 -25.65 70.99 180
Schaff Trend Cycle Strategy 21 36.95 0.30 -22.19 44.69 372
SMA 10/30 Strategy 21 66.19 0.35 -21.62 43.82 293
SMA 15/40 Strategy 21 69.28 0.48 -20.40 46.12 212
SMA 20/50 Strategy 21 86.06 0.52 -20.97 51.28 156
SMA 5/15 Strategy 21 111.86 0.48 -21.58 44.43 604
SMA 50/200 Strategy 21 33.40 0.73 -13.44 76.83 37
SMA Crossover Strategy 21 83.47 0.39 -22.39 50.28 434
Std Dev Bands 10 Strategy 21 -0.51 0.47 -22.73 71.04 350
Std Dev Bands 15 Strategy 21 3.58 0.49 -22.32 72.81 320
Std Dev Bands 30/2.5 Strategy 21 -5.01 0.39 -24.12 71.94 112
Std Dev Bands Strategy 21 8.29 0.52 -21.52 78.90 268
Stochastic 21/5 Strategy 21 17.84 0.58 -15.65 78.17 106
Stochastic 5/3 Strategy 21 31.70 0.55 -17.00 77.21 209
Stoch RSI 10/90 Strategy 21 44.05 0.34 -21.27 59.71 509
Stoch RSI 15/85 Strategy 21 48.58 0.37 -21.04 60.37 535
Stoch RSI 25/75 Strategy 21 62.79 0.38 -19.86 62.77 604
Stochastic RSI Strategy 21 51.02 0.37 -21.14 60.82 555
Stochastic Reversion Strategy 21 41.58 0.54 -17.72 76.09 182
Supertrend 14/3 Strategy 21 102.86 0.37 -23.83 50.81 286
Supertrend 20/2.5 Strategy 21 52.39 0.14 -24.15 46.93 377
Supertrend 7/2 Strategy 21 62.23 0.31 -22.62 43.48 513
Supertrend Strategy 21 98.99 0.34 -21.51 45.01 300
Swing Breakout 10 Strategy 21 92.03 0.37 -20.73 44.82 375
Swing Breakout 15 Strategy 21 87.90 0.47 -21.43 48.91 263
Swing Breakout 30 Strategy 21 94.12 0.39 -21.24 51.73 145
Swing Breakout 40 Strategy 21 99.25 0.42 -21.74 49.10 111
Swing Breakout 55 Strategy 21 183.25 0.59 -18.57 59.50 72
Swing Breakout Strategy 21 126.90 0.42 -22.30 50.79 207
TEMA Crossover Strategy 21 59.94 0.35 -21.03 43.11 812
Triple MA 20/40/60 Strategy 21 44.60 0.35 -20.35 44.69 188
Triple MA 5/15/30 Strategy 21 48.38 0.23 -19.57 46.95 456
Triple Moving Average Strategy 21 52.44 0.27 -18.15 47.99 329
TRIX 10 Strategy 21 68.00 0.45 -20.75 46.15 514
TRIX 14 Strategy 21 44.36 0.26 -21.87 49.44 395
TRIX 21 Strategy 21 36.71 0.46 -20.22 52.73 285
TRIX Strategy 21 41.32 0.39 -21.41 46.72 371
TSI 13/7 Strategy 21 40.42 0.30 -21.57 38.56 970
TSI 20/10 Strategy 21 56.43 0.18 -21.59 35.15 785
TSI 30/15 Strategy 21 47.74 0.29 -19.86 37.52 618
True Strength Index Strategy 21 48.72 0.23 -21.22 37.11 669
Twiggs Money Flow Strategy 21 13.12 0.30 -19.98 34.23 559
Ultimate Osc 10/15/30 Strategy 21 308.66 0.65 -25.75 92.86 41
Ultimate Osc 5/10/20 Strategy 21 291.23 0.69 -25.80 83.03 120
Ultimate Oscillator Strategy 21 293.86 0.65 -25.69 90.08 62
Vol Breakout 1.5x Strategy 21 88.25 0.35 -18.93 42.65 383
Vol Breakout 2.5x Strategy 21 38.17 0.13 -15.81 49.05 235
Volatility Breakout Strategy 21 72.40 0.22 -16.47 48.07 296
Volume Price Trend Strategy 21 16.95 0.36 -16.75 28.15 711
Vortex 10 Strategy 21 85.43 0.44 -22.65 38.85 912
Vortex 14 Strategy 21 97.14 0.52 -21.12 40.42 788
Vortex 21 Strategy 21 63.77 0.17 -22.72 38.96 615
Vortex Indicator Strategy 21 97.14 0.52 -21.12 40.42 788
VWMA Crossover Strategy 21 84.57 0.42 -22.36 49.56 432
Williams %R 21 Strategy 21 140.60 0.51 -23.85 77.89 288
Williams %R 7 Strategy 21 31.29 0.40 -27.31 67.76 731
Williams %R Strategy 21 58.68 0.43 -25.42 67.30 411
WMA 20/50 Strategy 21 83.16 0.55 -18.78 49.89 194
WMA 5/15 Strategy 21 89.28 0.34 -21.53 38.61 738
WMA Crossover Strategy 21 82.59 0.39 -21.43 43.03 470
Z-Score n=10 Strategy 21 21.92 0.47 -24.56 70.06 185
Z-Score n=30 Strategy 21 6.16 0.53 -27.38 79.63 118
Z-Score Mean Reversion Strategy 21 26.06 0.55 -24.62 77.22 160

How to update

  • Install Python deps: pip install -r engine/requirements.txt
  • Run pipeline: python engine/run_local.py 5y
  • Generate indices for build: npm run slim:indices
  • Rebuild the site: npm run build