Title here
Summary here
Crossover de moyennes mobiles avec blocs condition
Cet exemple reprend exactement la stratégie Crossover de moyennes mobiles, mais remplace les blocs dédiés [[crossover]] et [[crossunder]] par des blocs [[condition]].
Les signaux de croisement sont donc exprimés directement dans les conditions, en comparant la position relative de fast et slow sur la bougie en cours et sur la précédente.
# 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 résultats par ratio de Sortino.
[[objective]]
id = "sortino"
formula = "sortino_ratio"
ascending = false
# Active l'affichage détaillé des trades dans les résultats.
[logging]
include_trades = true
timestamp_enabled = false
# Moyenne mobile rapide, teste sma, ema et wma avec des longueurs de 2 à 50.
[[moving_average]]
id = "fast"
type = ["sma", "ema", "wma"]
length.start = 2
length.stop = 50
# Moyenne mobile lente, teste sma, ema et wma avec des longueurs de 2 à 50.
[[moving_average]]
id = "slow"
type = ["sma", "ema", "wma"]
length.start = 2
length.stop = 50
# Contrainte sur les hyperparamètres :
# La rapide doit rester plus courte que la lente, et les deux moyennes doivent avoir le même type.
[constraints]
condition = "fast.length < slow.length and fast.type = slow.type"
# Point d'entrée de la machine d'états : la stratégie commence au bloc de croisement haussier.
[start]
id = "origin"
next_block_id = "golden_cross"
# Attend que la moyenne rapide croise au-dessus de la moyenne lente.
# Le croisement est exprimé manuellement avec la bougie en cours et la
# précédente. Quand cela arrive, la stratégie passe au bloc d'entrée long.
[[condition]]
id = "golden_cross"
condition = "fast > slow and fast[1] <= slow[1]"
next_block_id = "open_position"
# Ouvre la position longue, puis passe au bloc qui surveille le croisement baissier.
[[entry]]
id = "open_position"
order_id = "main"
next_block_id = "death_cross"
# Une fois la position ouverte, la stratégie attend que la moyenne rapide
# repasse sous la moyenne lente. Le croisement est exprimé manuellement avec
# la bougie en cours et la précédente. Quand cela arrive, elle ferme la position.
[[condition]]
id = "death_cross"
condition = "fast < slow and fast[1] >= slow[1]"
next_block_id = "close_position"
# Ferme la position puis revient 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\simple-crossover-condition-blocks.toml
[info] Using 31 threads for parallel computation.
[info] Using database cache directory: C:\Users\Tony\AppData\Local\Almageste\Whale-E
[info] Detected 9 grids in the strategy.
[info] Analyzing hyperparameter grids.
[info] Grid 1/9 has 1 176 valid combinations out of 2 401 total combinations.
[info] Grid 5/9 has 1 176 valid combinations out of 2 401 total combinations.
[info] Grid 9/9 has 1 176 valid combinations out of 2 401 total combinations.
[info] Skipped 6 grids because they have no valid combinations.
[info] Hyperparameter grid analysis completed in less than 1 ms.
[info] Starting exploration of 3 grids.
[info] [Run 1/3] Grid 1 BINANCE:BTCUSDT (D): Price series ready.
[info] [Run 1/3] Grid 1 BINANCE:BTCUSDT (D): Exploring 1 176 valid combinations (fast.type="sma"; slow.type="sma").
[info] [Run 2/3] Grid 5 BINANCE:BTCUSDT (D): Price series ready.
[info] [Run 2/3] Grid 5 BINANCE:BTCUSDT (D): Exploring 1 176 valid combinations (fast.type="ema"; slow.type="ema").
[info] [Run 1/3] Grid 1 BINANCE:BTCUSDT (D): Completed in 10 ms with 1 176 backtests, 22 228 positions, and 86.1M candles/s.
[info] [Run 3/3] Grid 9 BINANCE:BTCUSDT (D): Price series ready.
[info] [Run 2/3] Grid 5 BINANCE:BTCUSDT (D): Completed in 8 ms with 1 176 backtests, 13 335 positions, and 107.6M candles/s.
[info] [Run 3/3] Grid 9 BINANCE:BTCUSDT (D): Exploring 1 176 valid combinations (fast.type="wma"; slow.type="wma").
[info] [Run 3/3] Grid 9 BINANCE:BTCUSDT (D): Completed in 9 ms with 1 176 backtests, 20 305 positions, and 95.6M candles/s.
[info] Completed 3 528 backtests in total.
[info]
[info] +======================================================================+
[info] | OBJECTIVE RANKING |
[info] | Name: sortino |
[info] | Sort order: descending |
[info] +======================================================================+
[info]
[info] ========================================================================
[info] Result 1 | score 2.458143085209 | G1C2196 | BINANCE:BTCUSDT | D
[info] ========================================================================
[info]
[info] Backtest Settings
[info] --------------------------------------------------------------------
[info] Strategy | simple-crossover-condition-blocks
[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] Grid Parameters
[info] ----------------
[info] fast.type | sma
[info] slow.type | sma
[info] ----------------
[info]
[info] Hyperparameters
[info] -----------------
[info] fast.length | 42
[info] slow.length | 46
[info] -----------------
[info]
[info] Overview
[info] --------------------------------------------------------------------------------
[info] Total P&L | Max equity drawdown | Trades | Profitable trades | Profit factor
[info] --------------------------------------------------------------------------------
[info] 1493.25 USDT | 562.64 USDT | 21 | 61.90 % | 2.536
[info] 149.33 % | 21.30 % | | 13/21 |
[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 | 1493.25 USDT | 1493.25 USDT | 0.00 USDT
[info] | 149.33 % | 149.33 % | 0.00 %
[info] --------------------------------------------------------------
[info] Gross profit | 2465.32 USDT | 2465.32 USDT | 0.00 USDT
[info] | 246.53 % | 246.53 % | 0.00 %
[info] --------------------------------------------------------------
[info] Gross loss | 972.07 USDT | 972.07 USDT | 0.00 USDT
[info] | 97.21 % | 97.21 % | 0.00 %
[info] --------------------------------------------------------------
[info] Commission paid | 74.42 USDT | 74.42 USDT | 0.00 USDT
[info] --------------------------------------------------------------
[info] Buy & hold return | 1010.86 USDT | |
[info] | 101.09 % | |
[info] --------------------------------------------------------------
[info] Max equity run-up | 1890.85 USDT | |
[info] | 65.43 % | |
[info] --------------------------------------------------------------
[info] Max equity drawdown | 562.64 USDT | |
[info] | 21.30 % | |
[info] --------------------------------------------------------------
[info]
[info] Trade Analysis
[info] ----------------------------------------------------------------------
[info] Metric | All | Long | Short
[info] ----------------------------------------------------------------------
[info] Total trades | 21 | 21 | 0
[info] ----------------------------------------------------------------------
[info] Total open trades | 0 | |
[info] ----------------------------------------------------------------------
[info] Winning trades | 13 | 13 | 0
[info] ----------------------------------------------------------------------
[info] Losing trades | 8 | 8 | 0
[info] ----------------------------------------------------------------------
[info] Percent profitable | 61.90 % | 61.90 % | 0.00 %
[info] ----------------------------------------------------------------------
[info] Avg P&L | 71.11 USDT | 71.11 USDT | 0.00 USDT
[info] | 5.65 % | 5.65 % | 0.00 %
[info] ----------------------------------------------------------------------
[info] Avg winning trade | 189.64 USDT | 189.64 USDT | 0.00 USDT
[info] | 12.73 % | 12.73 % | 0.00 %
[info] ----------------------------------------------------------------------
[info] Avg losing trade | 121.51 USDT | 121.51 USDT | 0.00 USDT
[info] | 5.86 % | 5.86 % | 0.00 %
[info] ----------------------------------------------------------------------
[info] Largest winning trade | 967.04 USDT | 967.04 USDT | 0.00 USDT
[info] ----------------------------------------------------------------------
[info] Largest winning trade percent | 62.73 % | 62.73 % | 0.00 %
[info] ----------------------------------------------------------------------
[info] Largest losing trade | 286.97 USDT | 286.97 USDT | 0.00 USDT
[info] ----------------------------------------------------------------------
[info] Largest losing trade percent | 12.01 % | 12.01 % | 0.00 %
[info] ----------------------------------------------------------------------
[info]
[info] Risk and Performance Ratios
[info] ---------------------------------------------
[info] Metric | All | Long | Short
[info] ---------------------------------------------
[info] Sharpe ratio | 1.493 | |
[info] ---------------------------------------------
[info] Sortino ratio | 2.458 | |
[info] ---------------------------------------------
[info] Calmar ratio | 2.709 | |
[info] ---------------------------------------------
[info] Profit factor | 2.536 | |
[info] ---------------------------------------------
[info] Market Exposure | 59.02 % | 59.02 % | 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] 21 Long | Exit | 2025-11-12 00:00:00 | main | 103059.00 USDT | 2372.42 USDT | 34.73 USDT | 139.33 USDT | -50.33 USDT | 1493.25 USDT
[info] | | | | | | 1.49 % | 5.97 % | -2.16 % | 149.33 %
[info] | Entry | 2025-11-07 00:00:00 | main | 101346.04 USDT | 2332.99 USDT | | | |
[info] | | | | | 0.02302 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 20 Long | Exit | 2025-10-26 00:00:00 | main | 111646.27 USDT | 2326.71 USDT | -206.73 USDT | 57.16 USDT | -405.43 USDT | 1458.53 USDT
[info] | | | | | | -8.17 % | 2.26 % | -16.02 % | 145.85 %
[info] | Entry | 2025-10-08 00:00:00 | main | 121332.96 USDT | 2528.58 USDT | | | |
[info] | | | | | 0.02084 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 19 Long | Exit | 2025-09-18 00:00:00 | main | 116447.60 USDT | 2535.06 USDT | 20.64 USDT | 41.44 USDT | -21.75 USDT | 1665.25 USDT
[info] | | | | | | 0.82 % | 1.65 % | -0.87 % | 166.53 %
[info] | Entry | 2025-09-15 00:00:00 | main | 115268.01 USDT | 2509.38 USDT | | | |
[info] | | | | | 0.02177 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 18 Long | Exit | 2025-08-25 00:00:00 | main | 113493.59 USDT | 2509.34 USDT | -94.30 USDT | 150.99 USDT | -154.00 USDT | 1644.62 USDT
[info] | | | | | | -3.63 % | 5.80 % | -5.92 % | 164.46 %
[info] | Entry | 2025-07-12 00:00:00 | main | 117527.66 USDT | 2598.54 USDT | | | |
[info] | | | | | 0.02211 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 17 Long | Exit | 2025-07-03 00:00:00 | main | 108849.59 USDT | 2629.81 USDT | 510.67 USDT | 588.93 USDT | -12.75 USDT | 1738.92 USDT
[info] | | | | | | 24.13 % | 27.83 % | -0.60 % | 173.89 %
[info] | Entry | 2025-04-22 00:00:00 | main | 87516.22 USDT | 2114.39 USDT | | | |
[info] | | | | | 0.02416 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 16 Long | Exit | 2025-03-01 00:00:00 | main | 84349.95 USDT | 2104.53 USDT | -286.97 USDT | 92.50 USDT | -436.85 USDT | 1228.25 USDT
[info] | | | | | | -12.01 % | 3.87 % | -18.28 % | 122.82 %
[info] | Entry | 2025-02-19 00:00:00 | main | 95671.74 USDT | 2387.01 USDT | | | |
[info] | | | | | 0.02495 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 15 Long | Exit | 2025-02-18 00:00:00 | main | 95780.01 USDT | 2384.92 USDT | -125.80 USDT | 43.92 USDT | -236.68 USDT | 1515.22 USDT
[info] | | | | | | -5.02 % | 1.75 % | -9.44 % | 151.52 %
[info] | Entry | 2025-02-02 00:00:00 | main | 100635.66 USDT | 2505.83 USDT | | | |
[info] | | | | | 0.02490 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 14 Long | Exit | 2025-01-19 00:00:00 | main | 104556.23 USDT | 2513.53 USDT | 50.82 USDT | 84.80 USDT | -314.47 USDT | 1641.02 USDT
[info] | | | | | | 2.07 % | 3.45 % | -12.78 % | 164.10 %
[info] | Entry | 2025-01-07 00:00:00 | main | 102235.60 USDT | 2457.74 USDT | | | |
[info] | | | | | 0.02404 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 13 Long | Exit | 2025-01-06 00:00:00 | main | 98363.61 USDT | 2511.22 USDT | 967.04 USDT | 1224.58 USDT | -7.64 USDT | 1590.20 USDT
[info] | | | | | | 62.73 % | 79.43 % | -0.50 % | 159.02 %
[info] | Entry | 2024-10-11 00:00:00 | main | 60326.40 USDT | 1540.13 USDT | | | |
[info] | | | | | 0.02553 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 12 Long | Exit | 2024-10-05 00:00:00 | main | 62086.00 USDT | 1541.60 USDT | -29.58 USDT | 81.51 USDT | -84.10 USDT | 623.16 USDT
[info] | | | | | | -1.88 % | 5.19 % | -5.36 % | 62.32 %
[info] | Entry | 2024-09-26 00:00:00 | main | 63152.01 USDT | 1568.06 USDT | | | |
[info] | | | | | 0.02483 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 11 Long | Exit | 2024-09-22 00:00:00 | main | 63348.97 USDT | 1577.39 USDT | 124.83 USDT | 145.94 USDT | -16.49 USDT | 652.74 USDT
[info] | | | | | | 8.60 % | 10.06 % | -1.14 % | 65.27 %
[info] | Entry | 2024-09-17 00:00:00 | main | 58213.99 USDT | 1449.53 USDT | | | |
[info] | | | | | 0.02490 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 10 Long | Exit | 2024-08-28 00:00:00 | main | 59415.00 USDT | 1455.07 USDT | 43.03 USDT | 181.26 USDT | -12.24 USDT | 527.91 USDT
[info] | | | | | | 3.05 % | 12.85 % | -0.87 % | 52.79 %
[info] | Entry | 2024-08-16 00:00:00 | main | 57541.05 USDT | 1409.18 USDT | | | |
[info] | | | | | 0.02449 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 9 Long | Exit | 2024-08-14 00:00:00 | main | 60587.16 USDT | 1417.74 USDT | 124.90 USDT | 176.82 USDT | -10.74 USDT | 484.88 USDT
[info] | | | | | | 9.67 % | 13.69 % | -0.83 % | 48.49 %
[info] | Entry | 2024-08-08 00:00:00 | main | 55133.76 USDT | 1290.13 USDT | | | |
[info] | | | | | 0.02340 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 8 Long | Exit | 2024-07-02 00:00:00 | main | 62900.00 USDT | 1284.42 USDT | -164.03 USDT | 23.02 USDT | -254.59 USDT | 359.97 USDT
[info] | | | | | | -11.33 % | 1.59 % | -17.59 % | 36.00 %
[info] | Entry | 2024-06-07 00:00:00 | main | 70799.06 USDT | 1445.72 USDT | | | |
[info] | | | | | 0.02042 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 7 Long | Exit | 2024-06-05 00:00:00 | main | 70537.83 USDT | 1450.96 USDT | 41.15 USDT | 53.41 USDT | -36.96 USDT | 524.00 USDT
[info] | | | | | | 2.92 % | 3.79 % | -2.62 % | 52.40 %
[info] | Entry | 2024-05-29 00:00:00 | main | 68398.40 USDT | 1406.96 USDT | | | |
[info] | | | | | 0.02057 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 6 Long | Exit | 2024-05-07 00:00:00 | main | 63165.18 USDT | 1414.27 USDT | 89.16 USDT | 142.86 USDT | -6.90 USDT | 482.85 USDT
[info] | | | | | | 6.74 % | 10.79 % | -0.52 % | 48.29 %
[info] | Entry | 2024-05-03 00:00:00 | main | 59060.60 USDT | 1322.37 USDT | | | |
[info] | | | | | 0.02239 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 5 Long | Exit | 2024-05-02 00:00:00 | main | 58364.97 USDT | 1322.55 USDT | -54.97 USDT | 2.47 USDT | -94.72 USDT | 393.69 USDT
[info] | | | | | | -3.99 % | 0.18 % | -6.88 % | 39.37 %
[info] | Entry | 2024-05-01 00:00:00 | main | 60672.01 USDT | 1374.83 USDT | | | |
[info] | | | | | 0.02266 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 4 Long | Exit | 2024-04-22 00:00:00 | main | 64941.15 USDT | 1391.69 USDT | 284.09 USDT | 474.83 USDT | -15.39 USDT | 448.66 USDT
[info] | | | | | | 25.68 % | 42.92 % | -1.39 % | 44.87 %
[info] | Entry | 2024-02-25 00:00:00 | main | 51568.21 USDT | 1105.11 USDT | | | |
[info] | | | | | 0.02143 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 3 Long | Exit | 2024-02-20 00:00:00 | main | 51774.74 USDT | 1106.94 USDT | -9.69 USDT | 6.68 USDT | -33.17 USDT | 164.58 USDT
[info] | | | | | | -0.87 % | 0.60 % | -2.97 % | 16.46 %
[info] | Entry | 2024-02-17 00:00:00 | main | 52124.10 USDT | 1114.41 USDT | | | |
[info] | | | | | 0.02138 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 2 Long | Exit | 2024-02-16 00:00:00 | main | 51880.01 USDT | 1121.65 USDT | 100.49 USDT | 121.87 USDT | -8.21 USDT | 174.27 USDT
[info] | | | | | | 9.85 % | 11.95 % | -0.81 % | 17.43 %
[info] | Entry | 2024-02-10 00:00:00 | main | 47132.78 USDT | 1019.01 USDT | | | |
[info] | | | | | 0.02162 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------
[info] 1 Long | Exit | 2024-02-02 00:00:00 | main | 43082.95 USDT | 1024.51 USDT | 73.77 USDT | 93.81 USDT | -10.78 USDT | 73.77 USDT
[info] | | | | | | 7.77 % | 9.88 % | -1.14 % | 7.38 %
[info] | Entry | 2024-01-24 00:00:00 | main | 39897.59 USDT | 948.76 USDT | | | |
[info] | | | | | 0.02378 | | | |
[info] ---------------------------------------------------------------------------------------------------------------------------------------------