Title here
Summary here
Crossover de moyennes mobiles
Cet exemple est une stratégie simple de croisement de moyennes mobiles sur BTC/USDT en journalier.
Deux moyennes mobiles, fast et slow, sont définies avec trois types possibles : sma, ema et wma. Cela produit 9 couples de types candidats. La contrainte fast.type = slow.type ne conserve que les 3 grilles cohérentes où les deux moyennes utilisent le même type : sma/sma, ema/ema et wma/wma.
Dans chacune de ces grilles, fast.length et slow.length varient de 2 à 50. La contrainte fast.length < slow.length ne conserve que les couples où la moyenne rapide reste plus courte que la moyenne lente, soit 1 176 combinaisons valides par grille (49 × 48 / 2 = 1 176).
Au total, cet exemple lance 3 528 backtests et les résultats sont classés par ratio de Sortino.
# 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.
# Quand cela arrive, la stratégie passe au bloc d'entrée long.
[[crossover]]
id = "golden_cross"
reference = "fast"
comparison = "slow"
next_block_id = "open_position"
# Ouvre la position long, puis passe au bloc qui surveille le croisement baissier.
[[entry]]
id = "open_position"
order_id = "main"
next_block_id = "death_cross"
# Une fois ouverte, ferme la position quand la moyenne rapide croise sous la lente.
[[crossunder]]
id = "death_cross"
reference = "fast"
comparison = "slow"
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
Les premières lignes correspondent à la phase d’analyse avant les backtests. Le message « Detected 9 grids in the strategy » vient de la combinaison des trois types de moyennes mobiles testés pour fast et slow, soit 9 grilles possibles. La contrainte fast.type = slow.type ne conserve ensuite que les cas où les deux blocs utilisent le même type. Il ne reste donc que 3 grilles valides, chacune avec 1 176 paires de longueurs.
Les lignes [Run 1/3] à [Run 3/3] correspondent aux trois jobs lancés pour explorer les trois grilles valides. Chaque job utilise tous les cœurs CPU affectés au logiciel. Si des cœurs se libèrent pendant l’exécution, une nouvelle grille peut démarrer avant que la précédente soit terminée. L’exploration de chaque grille dure moins de 10 millisecondes.
Les résultats sont classés par ratio de Sortino, car cette stratégie déclare explicitement cet objectif. La ligne qui commence par Result 1 identifie le meilleur résultat dans l’espace exploré. Le code G1C2196 sert à identifier ce résultat : G1 désigne la grille et C2196 le numéro de la combinaison dans l’espace des hyperparamètres. C’est ce code qu’il faut utiliser avec l’option --export-pinescript pour exporter cette combinaison en Pine Script.
Le tableau Grid Parameters montre la grille de types retenue, ici fast.type = sma et slow.type = sma. Le tableau Hyperparameters donne ensuite les longueurs gagnantes : fast.length = 42 et slow.length = 46. Le reste de la sortie présente le résultat détaillé de ce backtest.
Si vous exportez cette combinaison en Pine Script et que l’historique disponible est suffisant sur TradingView, vous retrouvez le même résultat sur le spot BINANCE:BTCUSDT, à l’exception de certaines métriques propres à Whale‑E.
[info]
[info] ================================================================
[info] Whale Engine 1.0.1068
[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.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 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 1/3] Grid 1 BINANCE:BTCUSDT (D): Completed in 6 ms with 1 176 backtests, 22 228 positions, and 143.5M candles/s.
[info] [Run 2/3] Grid 5 BINANCE:BTCUSDT (D): Exploring 1 176 valid combinations (fast.type="ema"; slow.type="ema").
[info] [Run 3/3] Grid 9 BINANCE:BTCUSDT (D): Price series ready.
[info] [Run 2/3] Grid 5 BINANCE:BTCUSDT (D): Completed in 5 ms with 1 176 backtests, 13 335 positions, and 172.2M 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 5 ms with 1 176 backtests, 20 305 positions, and 172.2M 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
[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] ---------------------------------------------------------------------------------------------------------------------------------------------