Title here
Summary here
Crossover EMA avec entrée limit et TP/SL via [[exit]]
Cet exemple prolonge Crossover EMA avec entrée market et TP/SL via [[exit]] avec une entrée limit en attente. Il montre le cycle complet d’une entrée limit en attente : l’ordre est placé, peut être exécuté si le prix l’atteint, puis annulé si les conditions de la stratégie l’exigent, avant la gestion des sorties de type bracket.
Comme l’entrée peut rester en attente ou être annulée avant exécution, cet exemple ne produit pas exactement les mêmes résultats que les versions les plus simples.
# Exemple illustratif uniquement, ne pas utiliser en trading réel. Domaine public (CC0 1.0).
# Configuration du backtest
[backtest]
symbol = ["BINANCE:BTCUSDT"]
timeframe = ["D"]
start_date = 2024-01-01
end_date = 2026-01-01
initial_capital = 1000
# 95 % garde la position sous 1x pour éviter un appel de marge immédiat à 1x
# lié aux frais de trading et à l'écart entre le signal et le prix d'exécution.
default_qty_value = 95
# Classe les combinaisons testées par ratio de Calmar pour faire remonter
# en tête les configurations EMA qui maximisent le rendement par drawdown.
[[objective]]
id = "calmar"
formula = "calmar_ratio"
ascending = false
# Active l'affichage détaillé des trades dans les résultats.
[logging]
include_trades = true
timestamp_enabled = false
# EMA rapide
[[moving_average]]
id = "fast"
type = "ema"
length.start = 2
length.stop = 50
# EMA lente
[[moving_average]]
id = "slow"
type = "ema"
length.start = 2
length.stop = 50
# Contrainte sur les hyperparamètres :
# l'EMA rapide doit rester plus courte que l'EMA lente pour ne tester
# que des combinaisons de crossover cohérentes.
[constraints]
condition = "fast.length < slow.length"
# Seuil de take profit :
# Cette plage de pourcentages est testée pour placer la sortie `limit`
# au-dessus du prix moyen d'entrée.
[[constant]]
id = "take_profit_pct"
start = 1
stop = 10
# Seuil de stop loss :
# Cette plage de pourcentages est testée pour placer l'ordre de protection
# sous le prix moyen d'entrée.
[[constant]]
id = "stop_loss_pct"
start = 1
stop = 10
# Point d'entrée de la machine d'états.
# L'exécution séquentielle commence ici et passe d'abord au bloc "golden_cross".
[start]
id = "origin"
next_block_id = "golden_cross"
# Attend que l'EMA rapide croise à la hausse l'EMA lente.
# Une fois validé, l'exécution passe au bloc d'entrée limit.
[[crossover]]
id = "golden_cross"
reference = "fast"
comparison = "slow"
next_block_id = "place_limit_entry"
# Place une entrée limit long sur l'ordre "main".
# L'utilisation de "close" garde une règle simple tout en créant
# un véritable ordre limit en attente.
[[entry]]
id = "place_limit_entry"
order_id = "main"
direction = "long"
limit = "close"
next_block_id = "wait_entry_fill"
# Tant que l'entrée est en attente, on attend soit le fill, soit l'invalidation du setup.
[[or]]
id = "wait_entry_fill"
conditions = ["entry_filled", "entry_invalidated"]
next_block_id = "wait_entry_fill_route"
# Détection du fill de l'entrée : dès qu'au moins un trade est ouvert,
# on place les ordres de sortie TP/SL.
[[condition]]
id = "entry_filled"
condition = "opentrades > 0"
# Si le setup haussier est invalidé avant le fill de la limit, on annule l'entrée en attente.
[[crossunder]]
id = "entry_invalidated"
reference = "fast"
comparison = "slow"
[[if]]
id = "wait_entry_fill_route"
condition = "opentrades > 0"
then_block_id = "set_exits"
else_block_id = "cancel_entry"
# Annule l'entrée limit long en attente puis repart dans la boucle de recherche de signal.
[[cancel]]
id = "cancel_entry"
order_id = "main"
next_block_id = "golden_cross"
# Place les ordres de sortie TP/SL pour la position ouverte.
# Le TP est un ordre limit et le SL est un ordre stop.
[[exit]]
id = "set_exits"
order_id = "main_exit"
from_entry = "main"
limit = "position_avg_price * (1 + take_profit_pct / 100)"
stop = "position_avg_price * (1 - stop_loss_pct / 100)"
next_block_id = "monitor_exits"
# Surveille les sorties à chaque bougie :
# 1) Fill TP/SL (position fermée)
# 2) Sortie technique sur death cross
[[or]]
id = "monitor_exits"
conditions = ["position_closed", "death_cross"]
next_block_id = "monitor_exits_route"
# Détection du fill des sorties : dès qu'il ne reste plus de trade ouvert,
# on repart sur l'attente du prochain crossover haussier.
[[condition]]
id = "position_closed"
condition = "opentrades == 0"
# Sortie technique : si l'EMA rapide recroise sous l'EMA lente, fermeture immédiate.
[[crossunder]]
id = "death_cross"
reference = "fast"
comparison = "slow"
[[if]]
id = "monitor_exits_route"
condition = "opentrades == 0"
then_block_id = "golden_cross"
else_block_id = "close_position"
# Ferme la position sur l'ordre "main" et repart directement
# sur l'attente du prochain croisement haussier.
[[close]]
id = "close_position"
order_id = "main"
next_block_id = "golden_cross"Sortie console
[info]
[info] ================================================================
[info] Whale Engine 1.0.1044
[info] Backtesting & Strategy Optimization Software
[info] (c) 2025 Almageste - https://Whale-E.com
[info] ================================================================
[info] Strategy : C:\Whale-E_Project\dragon\doc\examples\crossover-tp-sl-limit-entry.toml
[info] Using 31 threads for parallel computation.
[info] Using database cache directory: C:\Users\Tony\AppData\Local\Almageste\Whale-E
[info] Detected 1 grid in the strategy.
[info] Analyzing hyperparameter grids.
[info] Grid 1/1 has 117 600 valid combinations out of 240 100 total combinations.
[info] Hyperparameter grid analysis completed in 6 ms.
[info] Starting exploration of 1 grid.
[info] [Run 1/1] Grid 1 BINANCE:BTCUSDT (D): Price series ready.
[info] [Run 1/1] Grid 1 BINANCE:BTCUSDT (D): Exploring 117 600 valid combinations.
[info] [Run 1/1] Grid 1 BINANCE:BTCUSDT (D): Completed in 318 ms with 117 600 backtests, 1 333 500 positions, and 270.7M candles/s.
[info] Completed 117 600 backtests in total.
[info]
[info] +======================================================================+
[info] | OBJECTIVE RANKING |
[info] | Name: calmar |
[info] | Sort order: descending |
[info] +======================================================================+
[info]
[info] ========================================================================
[info] Result 1 | score 8.025067728612 | G1C123589 | BINANCE:BTCUSDT | D
[info] ========================================================================
[info]
[info] Backtest Settings
[info] --------------------------------------------------------------
[info] Strategy | crossover-tp-sl-limit-entry
[info] Timezone | UTC
[info] Price history start date |
[info] Backtest start | 2024-01-01 00:00:00
[info] Backtest end | 2026-01-01 23:59:59
[info] Initial capital | 1000.00 USDT
[info] Quantity type | percent_of_equity
[info] Default quantity value | 95.00 %
[info] Long size multiplier | x1.00
[info] Short size multiplier | x1.00
[info] Pyramiding | 1
[info] Long margin | 100.00 %
[info] Short margin | 100.00 %
[info] Process orders on close | No
[info] Bar Magnifier | No
[info] Close open position at end | Yes
[info] Close entries rule | fifo
[info] Backtest fill limits assumption | 0
[info] Automatic slippage | No
[info] Automatic slippage ratio | 0.000000
[info] Slippage | 0
[info] Commission type | percent
[info] Commission value | 0.100000 %
[info] --------------------------------------------------------------
[info]
[info] Hyperparameters
[info] ----------------------------------
[info] fast.length | 13
[info] slow.length | 25
[info] stop_loss_pct | 2.000000000000
[info] take_profit_pct | 6.000000000000
[info] ----------------------------------
[info]
[info] Overview
[info] -------------------------------------------------------------------------------
[info] Total P&L | Max equity drawdown | Trades | Profitable trades | Profit factor
[info] -------------------------------------------------------------------------------
[info] 440.29 USDT | 33.81 USDT | 11 | 72.73 % | 6.584
[info] 44.03 % | 2.49 % | | 8/11 |
[info] -------------------------------------------------------------------------------
[info]
[info] Performance
[info] -------------------------------------------------------------
[info] Metric | All | Long | Short
[info] -------------------------------------------------------------
[info] Open P&L | 0.00 USDT | |
[info] | 0.00 % | |
[info] -------------------------------------------------------------
[info] Net profit | 440.29 USDT | 440.29 USDT | 0.00 USDT
[info] | 44.03 % | 44.03 % | 0.00 %
[info] -------------------------------------------------------------
[info] Gross profit | 519.13 USDT | 519.13 USDT | 0.00 USDT
[info] | 51.91 % | 51.91 % | 0.00 %
[info] -------------------------------------------------------------
[info] Gross loss | 78.85 USDT | 78.85 USDT | 0.00 USDT
[info] | 7.88 % | 7.88 % | 0.00 %
[info] -------------------------------------------------------------
[info] Commission paid | 25.56 USDT | 25.56 USDT | 0.00 USDT
[info] -------------------------------------------------------------
[info] Buy & hold return | 1010.86 USDT | |
[info] | 101.09 % | |
[info] -------------------------------------------------------------
[info] Max equity run-up | 442.61 USDT | |
[info] | 30.70 % | |
[info] -------------------------------------------------------------
[info] Max equity drawdown | 33.81 USDT | |
[info] | 2.49 % | |
[info] -------------------------------------------------------------
[info]
[info] Trade Analysis
[info] --------------------------------------------------------------------
[info] Metric | All | Long | Short
[info] --------------------------------------------------------------------
[info] Total trades | 11 | 11 | 0
[info] --------------------------------------------------------------------
[info] Total open trades | 0 | |
[info] --------------------------------------------------------------------
[info] Winning trades | 8 | 8 | 0
[info] --------------------------------------------------------------------
[info] Losing trades | 3 | 3 | 0
[info] --------------------------------------------------------------------
[info] Percent profitable | 72.73 % | 72.73 % | 0.00 %
[info] --------------------------------------------------------------------
[info] Avg P&L | 40.03 USDT | 40.03 USDT | 0.00 USDT
[info] | 3.61 % | 3.61 % | 0.00 %
[info] --------------------------------------------------------------------
[info] Avg winning trade | 64.89 USDT | 64.89 USDT | 0.00 USDT
[info] | 5.79 % | 5.79 % | 0.00 %
[info] --------------------------------------------------------------------
[info] Avg losing trade | 26.28 USDT | 26.28 USDT | 0.00 USDT
[info] | 2.20 % | 2.20 % | 0.00 %
[info] --------------------------------------------------------------------
[info] Largest winning trade | 75.04 USDT | 75.04 USDT | 0.00 USDT
[info] --------------------------------------------------------------------
[info] Largest winning trade percent | 5.79 % | 5.79 % | 0.00 %
[info] --------------------------------------------------------------------
[info] Largest losing trade | 29.07 USDT | 29.07 USDT | 0.00 USDT
[info] --------------------------------------------------------------------
[info] Largest losing trade percent | 2.20 % | 2.20 % | 0.00 %
[info] --------------------------------------------------------------------
[info]
[info] Risk and Performance Ratios
[info] -------------------------------------------
[info] Metric | All | Long | Short
[info] -------------------------------------------
[info] Sharpe ratio | 1.824 | |
[info] -------------------------------------------
[info] Sortino ratio | 3.782 | |
[info] -------------------------------------------
[info] Calmar ratio | 8.025 | |
[info] -------------------------------------------
[info] Profit factor | 6.584 | |
[info] -------------------------------------------
[info] Market Exposure | 7.79 % | 7.79 % | 0.00 %
[info] -------------------------------------------
[info] Margin call | 0 | 0 | 0
[info] -------------------------------------------
[info]
[info] Trade List
[info] --------------------------------------------------------------------------------------------------------------------------------------------
[info] Trade # | Type | Date | Signal | Price | Qty | P&L | Run-up | Drawdown | Cumulative P&L
[info] --------------------------------------------------------------------------------------------------------------------------------------------
[info] 11 Long | Exit | 2025-10-06 00:00:00 | main_exit | 125710.69 USDT | 1372.76 USDT | 75.04 USDT | 76.41 USDT | -4.74 USDT | 440.29 USDT
[info] | | | | | | 5.79 % | 5.89 % | -0.37 % | 44.03 %
[info] | Entry | 2025-10-02 00:00:00 | main | 118594.99 USDT | 1295.06 USDT | | | |
[info] | | | | | 0.01092 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------
[info] 10 Long | Exit | 2025-09-22 00:00:00 | main_exit | 113599.92 USDT | 1296.18 USDT | -29.07 USDT | 21.29 USDT | -27.78 USDT | 365.25 USDT
[info] | | | | | | -2.20 % | 1.61 % | -2.10 % | 36.52 %
[info] | Entry | 2025-09-14 00:00:00 | main | 115918.29 USDT | 1322.63 USDT | | | |
[info] | | | | | 0.01141 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------
[info] 9 Long | Exit | 2025-07-10 00:00:00 | main_exit | 113363.89 USDT | 1328.62 USDT | 72.62 USDT | 73.95 USDT | -22.90 USDT | 394.32 USDT
[info] | | | | | | 5.79 % | 5.89 % | -1.83 % | 39.43 %
[info] | Entry | 2025-06-27 00:00:00 | main | 106947.06 USDT | 1253.42 USDT | | | |
[info] | | | | | 0.01172 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------
[info] 8 Long | Exit | 2025-04-22 00:00:00 | main_exit | 90181.62 USDT | 1259.84 USDT | 68.86 USDT | 70.12 USDT | -16.94 USDT | 321.70 USDT
[info] | | | | | | 5.79 % | 5.89 % | -1.42 % | 32.17 %
[info] | Entry | 2025-04-20 00:00:00 | main | 85077.00 USDT | 1188.53 USDT | | | |
[info] | | | | | 0.01397 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------
[info] 7 Long | Exit | 2025-01-19 00:00:00 | main_exit | 105986.54 USDT | 1194.47 USDT | 65.29 USDT | 66.48 USDT | -1.54 USDT | 252.83 USDT
[info] | | | | | | 5.79 % | 5.89 % | -0.14 % | 25.28 %
[info] | Entry | 2025-01-17 00:00:00 | main | 99987.30 USDT | 1126.86 USDT | | | |
[info] | | | | | 0.01127 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------
[info] 6 Long | Exit | 2025-01-07 00:00:00 | main_exit | 96396.33 USDT | 1127.84 USDT | -25.30 USDT | 49.87 USDT | -24.17 USDT | 187.54 USDT
[info] | | | | | | -2.20 % | 4.33 % | -2.10 % | 18.75 %
[info] | Entry | 2025-01-06 00:00:00 | main | 98363.61 USDT | 1150.85 USDT | | | |
[info] | | | | | 0.01170 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------
[info] 5 Long | Exit | 2024-09-26 00:00:00 | main_exit | 65465.58 USDT | 1156.12 USDT | 63.19 USDT | 64.35 USDT | -4.71 USDT | 212.84 USDT
[info] | | | | | | 5.79 % | 5.89 % | -0.43 % | 21.28 %
[info] | Entry | 2024-09-19 00:00:00 | main | 61759.98 USDT | 1090.68 USDT | | | |
[info] | | | | | 0.01766 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------
[info] 4 Long | Exit | 2024-08-26 00:00:00 | main_exit | 62873.86 USDT | 1091.49 USDT | -24.48 USDT | 13.52 USDT | -23.39 USDT | 149.65 USDT
[info] | | | | | | -2.20 % | 1.21 % | -2.10 % | 14.96 %
[info] | Entry | 2024-08-25 00:00:00 | main | 64157.01 USDT | 1113.77 USDT | | | |
[info] | | | | | 0.01736 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------
[info] 3 Long | Exit | 2024-07-21 00:00:00 | main_exit | 67827.20 USDT | 1119.15 USDT | 61.17 USDT | 62.29 USDT | -12.40 USDT | 174.13 USDT
[info] | | | | | | 5.79 % | 5.89 % | -1.17 % | 17.41 %
[info] | Entry | 2024-07-19 00:00:00 | main | 63987.92 USDT | 1055.80 USDT | | | |
[info] | | | | | 0.01650 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------
[info] 2 Long | Exit | 2024-05-20 00:00:00 | main_exit | 71045.44 USDT | 1060.71 USDT | 57.98 USDT | 59.04 USDT | -18.42 USDT | 112.95 USDT
[info] | | | | | | 5.79 % | 5.89 % | -1.84 % | 11.30 %
[info] | Entry | 2024-05-18 00:00:00 | main | 67024.00 USDT | 1000.67 USDT | | | |
[info] | | | | | 0.01493 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------
[info] 1 Long | Exit | 2024-02-08 00:00:00 | main_exit | 45591.76 USDT | 1005.75 USDT | 54.98 USDT | 55.98 USDT | -18.36 USDT | 54.98 USDT
[info] | | | | | | 5.79 % | 5.89 % | -1.93 % | 5.50 %
[info] | Entry | 2024-02-04 00:00:00 | main | 43011.09 USDT | 948.82 USDT | | | |
[info] | | | | | 0.02206 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------