Title here
Summary here
Crossover EMA avec entrée market et TP/SL sur le close
Cet exemple ajoute un TP et un SL évalués sur le close à un crossover EMA.
Les sorties sont gérées par un bloc [[or]] évalué à chaque bougie : dès qu’un signal de TP, de SL ou de death cross devient vrai, la stratégie bascule vers un bloc [[close]] commun. Les résultats sont classés par ratio de Calmar.
# 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 :
# c'est la ligne réactive utilisée pour détecter les croisements.
[[moving_average]]
id = "fast"
type = "ema"
length.start = 2
length.stop = 50
# EMA lente :
# c'est la ligne de référence utilisée pour confirmer la tendance de fond.
[[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 valider une sortie sur le
# close une fois le prix suffisamment 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 valider une sortie sur le
# close une fois le prix suffisamment 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, le bloc "enter_long" est exécuté.
[[crossover]]
id = "golden_cross"
reference = "fast"
comparison = "slow"
next_block_id = "enter_long"
# Ouvre une position longue sur l'ordre "main",
# puis bascule vers le bloc de surveillance des sorties.
[[entry]]
id = "enter_long"
order_id = "main"
direction = "long"
next_block_id = "monitor_exits"
# Surveille les sorties à chaque bougie.
# Les blocs enfants sont testés dans l'ordre : TP, puis SL, puis death cross.
# Dès qu'un bloc enfant est validé, le bloc `[[or]]` passe à "close_position".
[[or]]
id = "monitor_exits"
conditions = ["take_profit_hit", "stop_loss_hit", "death_cross"]
next_block_id = "close_position"
# TP : valide la sortie si le close atteint le seuil calculé depuis
# position_avg_price (prix moyen d'entrée de la position ouverte).
[[condition]]
id = "take_profit_hit"
condition = "close >= position_avg_price * (1 + take_profit_pct / 100)"
# SL : valide la sortie si le close atteint le seuil de protection
# calculé depuis position_avg_price.
[[condition]]
id = "stop_loss_hit"
condition = "close <= position_avg_price * (1 - stop_loss_pct / 100)"
# Sortie technique : si l'EMA rapide recroise sous l'EMA lente,
# la stratégie ferme aussi la position.
[[crossunder]]
id = "death_cross"
reference = "fast"
comparison = "slow"
# 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.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 222 ms with 117 600 backtests, 1 333 500 positions, and 387.8M 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 8.912543536018 | G1C97857 | BINANCE:BTCUSDT | D
[info] ========================================================================
[info]
[info] Backtest Settings
[info] ------------------------------------------------------
[info] Strategy | crossover-tp-sl
[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 | 6
[info] slow.length | 39
[info] stop_loss_pct | 1.000000000000
[info] take_profit_pct | 5.000000000000
[info] ----------------------------------
[info]
[info] Overview
[info] -------------------------------------------------------------------------------
[info] Total P&L | Max equity drawdown | Trades | Profitable trades | Profit factor
[info] -------------------------------------------------------------------------------
[info] 735.95 USDT | 60.71 USDT | 12 | 83.33 % | 10.642
[info] 73.60 % | 3.55 % | | 10/12 |
[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 | 735.95 USDT | 735.95 USDT | 0.00 USDT
[info] | 73.60 % | 73.60 % | 0.00 %
[info] -------------------------------------------------------------
[info] Gross profit | 812.29 USDT | 812.29 USDT | 0.00 USDT
[info] | 81.23 % | 81.23 % | 0.00 %
[info] -------------------------------------------------------------
[info] Gross loss | 76.33 USDT | 76.33 USDT | 0.00 USDT
[info] | 7.63 % | 7.63 % | 0.00 %
[info] -------------------------------------------------------------
[info] Commission paid | 30.92 USDT | 30.92 USDT | 0.00 USDT
[info] -------------------------------------------------------------
[info] Buy & hold return | 1010.86 USDT | |
[info] | 101.09 % | |
[info] -------------------------------------------------------------
[info] Max equity run-up | 759.01 USDT | |
[info] | 43.17 % | |
[info] -------------------------------------------------------------
[info] Max equity drawdown | 60.71 USDT | |
[info] | 3.55 % | |
[info] -------------------------------------------------------------
[info]
[info] Trade Analysis
[info] ----------------------------------------------------------------------
[info] Metric | All | Long | Short
[info] ----------------------------------------------------------------------
[info] Total trades | 12 | 12 | 0
[info] ----------------------------------------------------------------------
[info] Total open trades | 0 | |
[info] ----------------------------------------------------------------------
[info] Winning trades | 10 | 10 | 0
[info] ----------------------------------------------------------------------
[info] Losing trades | 2 | 2 | 0
[info] ----------------------------------------------------------------------
[info] Percent profitable | 83.33 % | 83.33 % | 0.00 %
[info] ----------------------------------------------------------------------
[info] Avg P&L | 61.33 USDT | 61.33 USDT | 0.00 USDT
[info] | 5.02 % | 5.02 % | 0.00 %
[info] ----------------------------------------------------------------------
[info] Avg winning trade | 81.23 USDT | 81.23 USDT | 0.00 USDT
[info] | 6.56 % | 6.56 % | 0.00 %
[info] ----------------------------------------------------------------------
[info] Avg losing trade | 38.17 USDT | 38.17 USDT | 0.00 USDT
[info] | 2.68 % | 2.68 % | 0.00 %
[info] ----------------------------------------------------------------------
[info] Largest winning trade | 136.45 USDT | 136.45 USDT | 0.00 USDT
[info] ----------------------------------------------------------------------
[info] Largest winning trade percent | 9.48 % | 9.48 % | 0.00 %
[info] ----------------------------------------------------------------------
[info] Largest losing trade | 50.39 USDT | 50.39 USDT | 0.00 USDT
[info] ----------------------------------------------------------------------
[info] Largest losing trade percent | 3.11 % | 3.11 % | 0.00 %
[info] ----------------------------------------------------------------------
[info]
[info] Risk and Performance Ratios
[info] ---------------------------------------------
[info] Metric | All | Long | Short
[info] ---------------------------------------------
[info] Sharpe ratio | 2.343 | |
[info] ---------------------------------------------
[info] Sortino ratio | 7.170 | |
[info] ---------------------------------------------
[info] Calmar ratio | 8.913 | |
[info] ---------------------------------------------
[info] Profit factor | 10.642 | |
[info] ---------------------------------------------
[info] Market Exposure | 11.61 % | 11.61 % | 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] 12 Long | Exit | 2025-10-07 00:00:00 | main | 124658.54 USDT | 1654.22 USDT | 77.24 USDT | 99.34 USDT | -5.76 USDT | 735.95 USDT
[info] | | | | | | 4.90 % | 6.31 % | -0.37 % | 73.60 %
[info] | Entry | 2025-10-02 00:00:00 | main | 118594.99 USDT | 1573.76 USDT | | | |
[info] | | | | | 0.01327 | | | |
[info] ------------------------------------------------------------------------------------------------------------------------------------------
[info] 11 Long | Exit | 2025-09-23 00:00:00 | main | 112650.99 USDT | 1573.73 USDT | -50.39 USDT | 24.51 USDT | -60.71 USDT | 658.72 USDT
[info] | | | | | | -3.11 % | 1.51 % | -3.74 % | 65.87 %
[info] | Entry | 2025-09-13 00:00:00 | main | 116029.41 USDT | 1620.93 USDT | | | |
[info] | | | | | 0.01397 | | | |
[info] ------------------------------------------------------------------------------------------------------------------------------------------
[info] 10 Long | Exit | 2025-07-11 00:00:00 | main | 116010.01 USDT | 1631.10 USDT | 136.45 USDT | 150.15 USDT | -15.31 USDT | 709.11 USDT
[info] | | | | | | 9.14 % | 10.06 % | -1.03 % | 70.91 %
[info] | Entry | 2025-06-25 00:00:00 | main | 106083.00 USDT | 1491.53 USDT | | | |
[info] | | | | | 0.01406 | | | |
[info] ------------------------------------------------------------------------------------------------------------------------------------------
[info] 9 Long | Exit | 2025-04-23 00:00:00 | main | 93442.99 USDT | 1501.63 USDT | 129.93 USDT | 138.58 USDT | -1.92 USDT | 572.66 USDT
[info] | | | | | | 9.48 % | 10.11 % | -0.14 % | 57.27 %
[info] | Entry | 2025-04-21 00:00:00 | main | 85179.24 USDT | 1368.83 USDT | | | |
[info] | | | | | 0.01607 | | | |
[info] ------------------------------------------------------------------------------------------------------------------------------------------
[info] 8 Long | Exit | 2025-01-22 00:00:00 | main | 106143.82 USDT | 1374.56 USDT | 70.45 USDT | 116.42 USDT | -42.25 USDT | 442.73 USDT
[info] | | | | | | 5.41 % | 8.94 % | -3.24 % | 44.27 %
[info] | Entry | 2025-01-16 00:00:00 | main | 100497.35 USDT | 1301.44 USDT | | | |
[info] | | | | | 0.01295 | | | |
[info] ------------------------------------------------------------------------------------------------------------------------------------------
[info] 7 Long | Exit | 2025-01-07 00:00:00 | main | 102235.60 USDT | 1307.59 USDT | 64.61 USDT | 69.04 USDT | -12.56 USDT | 372.29 USDT
[info] | | | | | | 5.20 % | 5.56 % | -1.01 % | 37.23 %
[info] | Entry | 2025-01-03 00:00:00 | main | 96984.79 USDT | 1240.44 USDT | | | |
[info] | | | | | 0.01279 | | | |
[info] ------------------------------------------------------------------------------------------------------------------------------------------
[info] 6 Long | Exit | 2024-10-15 00:00:00 | main | 66084.00 USDT | 1246.34 USDT | 64.41 USDT | 73.51 USDT | -10.42 USDT | 307.68 USDT
[info] | | | | | | 5.46 % | 6.23 % | -0.88 % | 30.77 %
[info] | Entry | 2024-10-12 00:00:00 | main | 62539.99 USDT | 1179.50 USDT | | | |
[info] | | | | | 0.01886 | | | |
[info] ------------------------------------------------------------------------------------------------------------------------------------------
[info] 5 Long | Exit | 2024-09-27 00:00:00 | main | 65173.99 USDT | 1184.86 USDT | 59.76 USDT | 73.03 USDT | -4.85 USDT | 243.26 USDT
[info] | | | | | | 5.32 % | 6.50 % | -0.43 % | 24.33 %
[info] | Entry | 2024-09-19 00:00:00 | main | 61759.98 USDT | 1122.80 USDT | | | |
[info] | | | | | 0.01818 | | | |
[info] ------------------------------------------------------------------------------------------------------------------------------------------
[info] 4 Long | Exit | 2024-08-27 00:00:00 | main | 62834.00 USDT | 1124.10 USDT | -25.94 USDT | 13.93 USDT | -25.42 USDT | 183.50 USDT
[info] | | | | | | -2.26 % | 1.21 % | -2.21 % | 18.35 %
[info] | Entry | 2024-08-25 00:00:00 | main | 64157.02 USDT | 1147.77 USDT | | | |
[info] | | | | | 0.01789 | | | |
[info] ------------------------------------------------------------------------------------------------------------------------------------------
[info] 3 Long | Exit | 2024-07-22 00:00:00 | main | 68165.35 USDT | 1153.36 USDT | 66.75 USDT | 71.31 USDT | -15.46 USDT | 209.44 USDT
[info] | | | | | | 6.15 % | 6.57 % | -1.42 % | 20.94 %
[info] | Entry | 2024-07-18 00:00:00 | main | 64087.99 USDT | 1084.37 USDT | | | |
[info] | | | | | 0.01692 | | | |
[info] ------------------------------------------------------------------------------------------------------------------------------------------
[info] 2 Long | Exit | 2024-05-21 00:00:00 | main | 71446.62 USDT | 1090.99 USDT | 92.76 USDT | 94.90 USDT | -2.96 USDT | 142.69 USDT
[info] | | | | | | 9.30 % | 9.52 % | -0.30 % | 14.27 %
[info] | Entry | 2024-05-17 00:00:00 | main | 65235.21 USDT | 996.14 USDT | | | |
[info] | | | | | 0.01527 | | | |
[info] ------------------------------------------------------------------------------------------------------------------------------------------
[info] 1 Long | Exit | 2024-02-09 00:00:00 | main | 45288.66 USDT | 1000.88 USDT | 49.93 USDT | 58.13 USDT | -24.30 USDT | 49.93 USDT
[info] | | | | | | 5.26 % | 6.12 % | -2.56 % | 4.99 %
[info] | Entry | 2024-01-31 00:00:00 | main | 42941.10 USDT | 949.00 USDT | | | |
[info] | | | | | 0.02210 | | | |
[info] ------------------------------------------------------------------------------------------------------------------------------------------