Title here
Summary here
Breakout avec filtre RSI
Cette stratégie construit un breakout long sur BTCUSDT en 4h à partir d’un canal de résistance highest, validé par un filtre RSI et géré avec un canal de sortie lowest.
La position s’ouvre lorsque la clôture casse la résistance de la bougie précédente et que le RSI reste sous un plafond optimisé. Elle se ferme si le breakout échoue et repasse sous le canal bas, ou si le RSI tombe sous son seuil de sortie.
L’exploration porte sur les longueurs des deux canaux, celle du RSI et les deux seuils RSI, avec les contraintes exit_low.length < breakout_high.length et rsi_exit_floor < rsi_entry_ceiling. Cette stratégie exécute 911 625 backtests. Seuls les résultats avec au moins 20 positions et un drawdown maximal de 25 % sont retenus, puis 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 = "240"
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
# Fonction objectif :
# classe les exécutions retenues par ratio de Calmar pour favoriser
# le rendement relatif au 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
# Filtres d'acceptation des résultats :
# - au moins 20 positions pour éviter les optimisations trop peu actives
# - drawdown maximum de 25 %
[filters]
min_required_positions = 20
max_allowed_drawdown = 25
# Canal de breakout :
# mémorise le plus haut des N dernières bougies pour détecter la résistance.
[[highest]]
id = "breakout_high"
source = "high"
length.start = 10
length.stop = 60
length.step = 2
# Canal de sortie :
# mémorise le plus bas des N dernières bougies pour détecter un breakout raté.
[[lowest]]
id = "exit_low"
source = "low"
length.start = 10
length.stop = 60
length.step = 2
# Filtre RSI :
# le momentum doit rester sous un plafond configurable au moment de l'entrée.
[[rsi]]
id = "rsi_filter"
source = "close"
length.start = 8
length.stop = 18
# Plafond RSI autorisé à l'entrée :
# un RSI trop élevé signale un breakout déjà trop étiré.
[[constant]]
id = "rsi_entry_ceiling"
start = 50
stop = 80
step = 2
# Seuil RSI de sortie :
# si le momentum retombe sous ce niveau, la position est clôturée.
[[constant]]
id = "rsi_exit_floor"
start = 20
stop = 50
step = 2
# Contraintes entre hyperparamètres :
# - le canal de sortie doit rester plus court que le canal de breakout
# - le seuil RSI de sortie doit rester sous le plafond RSI d'entrée
[constraints]
condition = "exit_low.length < breakout_high.length and rsi_exit_floor < rsi_entry_ceiling"
# Point d'entrée de la machine d'états.
# La stratégie commence par surveiller la prochaine clôture de breakout valide.
[start]
id = "entry_start"
next_block_id = "wait_breakout"
# Condition d'entrée :
# - la clôture casse la résistance calculée sur la bougie précédente
# - le RSI reste sous le plafond optimisé
# Si les deux conditions sont vraies, le bloc "open_long" est exécuté.
[[condition]]
id = "wait_breakout"
condition = "close > breakout_high[1] and rsi_filter < rsi_entry_ceiling"
next_block_id = "open_long"
# Ouvre une position longue puis passe au bloc de surveillance des sorties.
[[entry]]
id = "open_long"
order_id = "breakout_long"
direction = "long"
next_block_id = "monitor_exit"
# Une fois la position ouverte, la stratégie surveille deux sorties :
# - l'échec du breakout si le prix retombe sous le canal bas
# - la perte de momentum si le RSI passe sous le seuil de sortie
# Dès qu'un bloc enfant est validé, le bloc `[[or]]` passe au bloc de clôture commun.
[[or]]
id = "monitor_exit"
conditions = ["breakout_failure", "momentum_loss"]
next_block_id = "close_long"
# Sortie 1 :
# le prix retombe sous le plus bas du canal de sortie calculé sur la bougie précédente.
[[condition]]
id = "breakout_failure"
condition = "close < exit_low[1]"
# Sortie 2 :
# le breakout reste en place mais le RSI perd trop de force.
[[condition]]
id = "momentum_loss"
condition = "rsi_filter < rsi_exit_floor"
# Ferme la position et revient directement
# à l'état d'attente du prochain breakout.
[[close]]
id = "close_long"
order_id = "breakout_long"
next_block_id = "wait_breakout"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\rsi-filtered-breakout.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 911 625 valid combinations out of 1 903 616 total combinations.
[info] Hyperparameter grid analysis completed in 8 ms.
[info] Starting exploration of 1 grid.
[info] [Run 1/1] Grid 1 BINANCE:BTCUSDT (240): Price series ready.
[info] [Run 1/1] Grid 1 BINANCE:BTCUSDT (240): Exploring 911 625 valid combinations.
[info] [Run 1/1] Grid 1 BINANCE:BTCUSDT (240): Completed in 05s 239ms with 911 625 backtests, 12 093 168 positions, and 755.0M candles/s.
[info] [Run 1/1] 123 098 backtests exceeded the maximum allowed drawdown.
[info] [Run 1/1] 259 441 backtests fell below the minimum required number of positions.
[info] [Run 1/1] 344 315 backtests opened no positions.
[info] Completed 911 625 backtests in total.
[info]
[info] +======================================================================+
[info] | OBJECTIVE RANKING |
[info] | Name: calmar |
[info] | Sort order: descending |
[info] +======================================================================+
[info]
[info] ========================================================================
[info] Result 1 | score 8.049818639128 | G1C246180 | BINANCE:BTCUSDT | 240
[info] ========================================================================
[info]
[info] Backtest Settings
[info] --------------------------------------------------------
[info] Strategy | rsi-filtered-breakout
[info] Timezone | UTC
[info] Price history start date |
[info] Backtest start | 2024-01-01 00:00:00
[info] Backtest end | 2026-01-01 03:59:59
[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] breakout_high.length | 34
[info] exit_low.length | 18
[info] rsi_entry_ceiling | 74.000000000000
[info] rsi_exit_floor | 32.000000000000
[info] rsi_filter.length | 9
[info] ---------------------------------------
[info]
[info] Overview
[info] --------------------------------------------------------------------------------
[info] Total P&L | Max equity drawdown | Trades | Profitable trades | Profit factor
[info] --------------------------------------------------------------------------------
[info] 1355.93 USDT | 155.09 USDT | 20 | 60.00 % | 4.933
[info] 135.59 % | 6.63 % | | 12/20 |
[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 | 1355.93 USDT | 1355.93 USDT | 0.00 USDT
[info] | 135.59 % | 135.59 % | 0.00 %
[info] --------------------------------------------------------------
[info] Gross profit | 1700.72 USDT | 1700.72 USDT | 0.00 USDT
[info] | 170.07 % | 170.07 % | 0.00 %
[info] --------------------------------------------------------------
[info] Gross loss | 344.79 USDT | 344.79 USDT | 0.00 USDT
[info] | 34.48 % | 34.48 % | 0.00 %
[info] --------------------------------------------------------------
[info] Commission paid | 77.07 USDT | 77.07 USDT | 0.00 USDT
[info] --------------------------------------------------------------
[info] Buy & hold return | 1075.24 USDT | |
[info] | 107.52 % | |
[info] --------------------------------------------------------------
[info] Max equity run-up | 1612.48 USDT | |
[info] | 61.74 % | |
[info] --------------------------------------------------------------
[info] Max equity drawdown | 155.09 USDT | |
[info] | 6.63 % | |
[info] --------------------------------------------------------------
[info]
[info] Trade Analysis
[info] ----------------------------------------------------------------------
[info] Metric | All | Long | Short
[info] ----------------------------------------------------------------------
[info] Total trades | 20 | 20 | 0
[info] ----------------------------------------------------------------------
[info] Total open trades | 0 | |
[info] ----------------------------------------------------------------------
[info] Winning trades | 12 | 12 | 0
[info] ----------------------------------------------------------------------
[info] Losing trades | 8 | 8 | 0
[info] ----------------------------------------------------------------------
[info] Percent profitable | 60.00 % | 60.00 % | 0.00 %
[info] ----------------------------------------------------------------------
[info] Avg P&L | 67.80 USDT | 67.80 USDT | 0.00 USDT
[info] | 4.98 % | 4.98 % | 0.00 %
[info] ----------------------------------------------------------------------
[info] Avg winning trade | 141.73 USDT | 141.73 USDT | 0.00 USDT
[info] | 9.62 % | 9.62 % | 0.00 %
[info] ----------------------------------------------------------------------
[info] Avg losing trade | 43.10 USDT | 43.10 USDT | 0.00 USDT
[info] | 2.00 % | 2.00 % | 0.00 %
[info] ----------------------------------------------------------------------
[info] Largest winning trade | 396.02 USDT | 396.02 USDT | 0.00 USDT
[info] ----------------------------------------------------------------------
[info] Largest winning trade percent | 31.10 % | 31.10 % | 0.00 %
[info] ----------------------------------------------------------------------
[info] Largest losing trade | 98.02 USDT | 98.02 USDT | 0.00 USDT
[info] ----------------------------------------------------------------------
[info] Largest losing trade percent | 4.36 % | 4.36 % | 0.00 %
[info] ----------------------------------------------------------------------
[info]
[info] Risk and Performance Ratios
[info] ---------------------------------------------
[info] Metric | All | Long | Short
[info] ---------------------------------------------
[info] Sharpe ratio | 2.030 | |
[info] ---------------------------------------------
[info] Sortino ratio | 3.115 | |
[info] ---------------------------------------------
[info] Calmar ratio | 8.050 | |
[info] ---------------------------------------------
[info] Profit factor | 4.933 | |
[info] ---------------------------------------------
[info] Market Exposure | 27.65 % | 27.65 % | 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] 20 Long | Exit | 2025-12-01 04:00:00 | breakout_long | 86346.13 USDT | 2234.64 USDT | -98.02 USDT | 78.80 USDT | -100.56 USDT | 1355.93 USDT
[info] | | | | | | -4.21 % | 3.38 % | -4.32 % | 135.59 %
[info] | Entry | 2025-11-26 20:00:00 | breakout_long | 89957.37 USDT | 2328.10 USDT | | | |
[info] | | | | | 0.02588 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 19 Long | Exit | 2025-10-29 16:00:00 | breakout_long | 111509.74 USDT | 2330.55 USDT | -44.68 USDT | 59.86 USDT | -143.57 USDT | 1453.96 USDT
[info] | | | | | | -1.88 % | 2.52 % | -6.05 % | 145.40 %
[info] | Entry | 2025-10-21 16:00:00 | breakout_long | 113422.60 USDT | 2370.53 USDT | | | |
[info] | | | | | 0.02090 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 18 Long | Exit | 2025-09-19 20:00:00 | breakout_long | 115125.13 USDT | 2377.33 USDT | 40.12 USDT | 99.80 USDT | -63.81 USDT | 1498.64 USDT
[info] | | | | | | 1.72 % | 4.27 % | -2.73 % | 149.86 %
[info] | Entry | 2025-09-05 08:00:00 | breakout_long | 112954.32 USDT | 2332.51 USDT | | | |
[info] | | | | | 0.02065 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 17 Long | Exit | 2025-08-15 20:00:00 | breakout_long | 116936.28 USDT | 2337.56 USDT | 3.66 USDT | 156.68 USDT | -20.06 USDT | 1458.52 USDT
[info] | | | | | | 0.16 % | 6.72 % | -0.86 % | 145.85 %
[info] | Entry | 2025-08-07 12:00:00 | breakout_long | 116519.54 USDT | 2329.23 USDT | | | |
[info] | | | | | 0.01999 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 16 Long | Exit | 2025-07-01 12:00:00 | breakout_long | 106605.79 USDT | 2331.47 USDT | -45.63 USDT | 4.47 USDT | -49.95 USDT | 1454.85 USDT
[info] | | | | | | -1.92 % | 0.19 % | -2.10 % | 145.49 %
[info] | Entry | 2025-06-29 12:00:00 | breakout_long | 108477.12 USDT | 2372.39 USDT | | | |
[info] | | | | | 0.02187 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 15 Long | Exit | 2025-05-28 16:00:00 | breakout_long | 107107.31 USDT | 2377.78 USDT | 9.76 USDT | 120.31 USDT | -101.25 USDT | 1500.48 USDT
[info] | | | | | | 0.41 % | 5.09 % | -4.28 % | 150.05 %
[info] | Entry | 2025-05-19 00:00:00 | breakout_long | 106454.27 USDT | 2363.28 USDT | | | |
[info] | | | | | 0.02220 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 14 Long | Exit | 2025-05-05 00:00:00 | breakout_long | 94277.61 USDT | 2381.45 USDT | 258.69 USDT | 352.47 USDT | -29.03 USDT | 1490.73 USDT
[info] | | | | | | 12.20 % | 16.62 % | -1.37 % | 149.07 %
[info] | Entry | 2025-04-11 20:00:00 | breakout_long | 83858.28 USDT | 2118.26 USDT | | | |
[info] | | | | | 0.02526 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 13 Long | Exit | 2025-03-28 08:00:00 | breakout_long | 85212.98 USDT | 2121.80 USDT | -9.74 USDT | 80.84 USDT | -58.35 USDT | 1232.03 USDT
[info] | | | | | | -0.46 % | 3.80 % | -2.74 % | 123.20 %
[info] | Entry | 2025-03-19 20:00:00 | breakout_long | 85433.38 USDT | 2127.29 USDT | | | |
[info] | | | | | 0.02490 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 12 Long | Exit | 2025-02-24 16:00:00 | breakout_long | 94323.95 USDT | 2126.06 USDT | -96.73 USDT | 21.50 USDT | -106.03 USDT | 1241.77 USDT
[info] | | | | | | -4.36 % | 0.97 % | -4.77 % | 124.18 %
[info] | Entry | 2025-02-20 20:00:00 | breakout_long | 98422.80 USDT | 2218.45 USDT | | | |
[info] | | | | | 0.02254 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 11 Long | Exit | 2025-01-27 00:00:00 | breakout_long | 102620.01 USDT | 2229.93 USDT | 127.62 USDT | 281.26 USDT | -28.09 USDT | 1338.50 USDT
[info] | | | | | | 6.08 % | 13.39 % | -1.34 % | 133.85 %
[info] | Entry | 2025-01-14 12:00:00 | breakout_long | 96548.04 USDT | 2097.99 USDT | | | |
[info] | | | | | 0.02173 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 10 Long | Exit | 2025-01-07 20:00:00 | breakout_long | 96451.99 USDT | 2101.69 USDT | -10.33 USDT | 128.44 USDT | -19.72 USDT | 1210.89 USDT
[info] | | | | | | -0.49 % | 6.09 % | -0.93 % | 121.09 %
[info] | Entry | 2025-01-02 12:00:00 | breakout_long | 96733.00 USDT | 2107.81 USDT | | | |
[info] | | | | | 0.02179 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 9 Long | Exit | 2024-11-25 20:00:00 | breakout_long | 94669.49 USDT | 2131.96 USDT | 396.02 USDT | 508.92 USDT | -28.71 USDT | 1221.22 USDT
[info] | | | | | | 22.84 % | 29.35 % | -1.66 % | 122.12 %
[info] | Entry | 2024-11-08 20:00:00 | breakout_long | 76912.58 USDT | 1732.07 USDT | | | |
[info] | | | | | 0.02252 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 8 Long | Exit | 2024-10-21 16:00:00 | breakout_long | 67341.02 USDT | 1739.42 USDT | 75.15 USDT | 133.16 USDT | -15.13 USDT | 825.20 USDT
[info] | | | | | | 4.52 % | 8.01 % | -0.91 % | 82.52 %
[info] | Entry | 2024-10-14 04:00:00 | breakout_long | 64300.00 USDT | 1660.87 USDT | | | |
[info] | | | | | 0.02583 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 7 Long | Exit | 2024-09-30 04:00:00 | breakout_long | 64553.68 USDT | 1668.07 USDT | 85.08 USDT | 136.99 USDT | -52.24 USDT | 750.05 USDT
[info] | | | | | | 5.38 % | 8.66 % | -3.30 % | 75.01 %
[info] | Entry | 2024-09-17 16:00:00 | breakout_long | 61135.49 USDT | 1579.74 USDT | | | |
[info] | | | | | 0.02584 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 6 Long | Exit | 2024-09-16 16:00:00 | breakout_long | 57881.70 USDT | 1582.49 USDT | -12.77 USDT | 63.81 USDT | -25.86 USDT | 664.97 USDT
[info] | | | | | | -0.80 % | 4.00 % | -1.62 % | 66.50 %
[info] | Entry | 2024-09-12 04:00:00 | breakout_long | 58232.73 USDT | 1592.08 USDT | | | |
[info] | | | | | 0.02734 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 5 Long | Exit | 2024-08-27 00:00:00 | breakout_long | 62834.00 USDT | 1596.61 USDT | 28.96 USDT | 85.59 USDT | -48.45 USDT | 677.74 USDT
[info] | | | | | | 1.85 % | 5.47 % | -3.09 % | 67.77 %
[info] | Entry | 2024-08-21 20:00:00 | breakout_long | 61570.00 USDT | 1564.49 USDT | | | |
[info] | | | | | 0.02541 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 4 Long | Exit | 2024-07-23 20:00:00 | breakout_long | 65536.00 USDT | 1575.49 USDT | 154.66 USDT | 226.88 USDT | -59.97 USDT | 648.79 USDT
[info] | | | | | | 10.90 % | 15.99 % | -4.23 % | 64.88 %
[info] | Entry | 2024-07-10 08:00:00 | breakout_long | 58977.99 USDT | 1417.83 USDT | | | |
[info] | | | | | 0.02404 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 3 Long | Exit | 2024-04-24 16:00:00 | breakout_long | 64610.10 USDT | 1419.48 USDT | -26.88 USDT | 32.15 USDT | -27.47 USDT | 494.13 USDT
[info] | | | | | | -1.86 % | 2.22 % | -1.90 % | 49.41 %
[info] | Entry | 2024-04-22 04:00:00 | breakout_long | 65703.49 USDT | 1443.51 USDT | | | |
[info] | | | | | 0.02197 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 2 Long | Exit | 2024-03-14 20:00:00 | breakout_long | 69415.09 USDT | 1463.27 USDT | 346.78 USDT | 440.19 USDT | -2.99 USDT | 521.01 USDT
[info] | | | | | | 31.10 % | 39.48 % | -0.27 % | 52.10 %
[info] | Entry | 2024-02-26 16:00:00 | breakout_long | 52842.33 USDT | 1113.92 USDT | | | |
[info] | | | | | 0.02108 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------
[info] 1 Long | Exit | 2024-02-17 16:00:00 | breakout_long | 50984.56 USDT | 1125.23 USDT | 174.23 USDT | 215.79 USDT | -25.48 USDT | 174.23 USDT
[info] | | | | | | 18.34 % | 22.72 % | -2.68 % | 17.42 %
[info] | Entry | 2024-01-29 20:00:00 | breakout_long | 42995.99 USDT | 948.92 USDT | | | |
[info] | | | | | 0.02207 | | | |
[info] --------------------------------------------------------------------------------------------------------------------------------------------------