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更新済 BTC Sharpe 1.5 5-10x Leverage
1) Data Analysis: Robust Returns and Drawdown Structure (Backtesting Summary)
Target Asset / Period / Range
Target Asset: OKX:BTCUSDT.P (Perpetual)
Period: 4H
Backtesting Range: 2019-12-16 12:00 — 2026-01-18 08:00
Trading began on 2020-03-05 (Report Attribute Table)
Initial Capital: 100,000 USDT (Live Trading, Capital Settings Can Be Modified)
Net Profit: +453,405.40 USDT (+453.41%)
Ending Equity: Approximately 553,405.40 USDT (Estimated from Initial Capital + Net Profit)
Annualized Return (CAGR): 32.4%
Risk Adjustment and Trade Quality
Risk Adjustment: Sharpe 1.506, Sortino 29.334, Profit Factor 233.393
Trade Quality: 329 trades, Win Rate (Percentage of Profit) 69.91%, Average Profit/Loss per Trade +1,378.13 USDT
Maximum Single Trade Profit: 6,982.34 USDT; Maximum Single Trade Loss: 38.87 USDT
Drawdown Structure (Core Characteristics)
Maximum Intrabar Equity Drawdown: 14.92% (34,733.4 USDT)
Drawdown Recovery Factor (referred to as "Return on Maximum Equity Drawdown" in the report): 12.89
Execution/Fee Assumptions
Commission: 0.05%; Slippage: 2 ticks; No Adding to Positions
2) Trading Logic: Direction → Entry → Quality Control → Exit → Execution
The "skeleton" is clear: First look at the market (HTF), then dive in (4H), conduct a check-up (scoring) upon entry, lock in profits for a period, then let them run.
A. Directional Filtering (Only act when the overall direction allows)
HTF defaults to Level D, overlaid with EMA 370 to determine the overall trend: htfTfOpt="D" / htfEmaLen=370
B. 4-Hour Entry Trigger (Catching Trend Continuation/Breakout)
Default Entry Trigger: Trend + RSI50 (switchable): triggerMode="Trend + RSI50 (Recommended)"
C. Quality Control (Trade more with good signals, less with average signals)
Three-Factor Scoring:
Momentum: RSI + MACD (Strong/Weak Momentum Conditions)
Structure: Proximity to Support/Resistance or EMA50 Structural Constraints
Volume: Trading Volume MA + Threshold Multiplier volSoftMult=1.35
D. Exit Logic (TP1 Profit Locking + Runner Trend Taking)
Specifically: TP1 (First Close) + Runner (Full Close)
E. Execution of Safety (Live Trading)
No reversal/No re-opening immediately after closing/Signal confirmation only at closing/Minimum nominal filtering
/Quantity rounding
3) Risk Control: Three-Layer Defense (Controlling Drawdowns)
First Layer: Single Trade Risk Control (Strike hard with every move)
Second Layer: Account Drawdown Control (Be more conservative as losses mount, avoid cascading losses)
Third Layer: Emergency Coverage (Long-term holding/Black Swan Events)
Holding positions for more than 35 4H: Tighten stop-loss orders
Core Conclusion: This system does not chase "maximum returns," but rather controls drawdowns, making the net asset value curve smoother and more controllable.
Suitable for OKX exchange platform
Target Asset / Period / Range
Target Asset: OKX:BTCUSDT.P (Perpetual)
Period: 4H
Backtesting Range: 2019-12-16 12:00 — 2026-01-18 08:00
Trading began on 2020-03-05 (Report Attribute Table)
Initial Capital: 100,000 USDT (Live Trading, Capital Settings Can Be Modified)
Net Profit: +453,405.40 USDT (+453.41%)
Ending Equity: Approximately 553,405.40 USDT (Estimated from Initial Capital + Net Profit)
Annualized Return (CAGR): 32.4%
Risk Adjustment and Trade Quality
Risk Adjustment: Sharpe 1.506, Sortino 29.334, Profit Factor 233.393
Trade Quality: 329 trades, Win Rate (Percentage of Profit) 69.91%, Average Profit/Loss per Trade +1,378.13 USDT
Maximum Single Trade Profit: 6,982.34 USDT; Maximum Single Trade Loss: 38.87 USDT
Drawdown Structure (Core Characteristics)
Maximum Intrabar Equity Drawdown: 14.92% (34,733.4 USDT)
Drawdown Recovery Factor (referred to as "Return on Maximum Equity Drawdown" in the report): 12.89
Execution/Fee Assumptions
Commission: 0.05%; Slippage: 2 ticks; No Adding to Positions
2) Trading Logic: Direction → Entry → Quality Control → Exit → Execution
The "skeleton" is clear: First look at the market (HTF), then dive in (4H), conduct a check-up (scoring) upon entry, lock in profits for a period, then let them run.
A. Directional Filtering (Only act when the overall direction allows)
HTF defaults to Level D, overlaid with EMA 370 to determine the overall trend: htfTfOpt="D" / htfEmaLen=370
B. 4-Hour Entry Trigger (Catching Trend Continuation/Breakout)
Default Entry Trigger: Trend + RSI50 (switchable): triggerMode="Trend + RSI50 (Recommended)"
C. Quality Control (Trade more with good signals, less with average signals)
Three-Factor Scoring:
Momentum: RSI + MACD (Strong/Weak Momentum Conditions)
Structure: Proximity to Support/Resistance or EMA50 Structural Constraints
Volume: Trading Volume MA + Threshold Multiplier volSoftMult=1.35
D. Exit Logic (TP1 Profit Locking + Runner Trend Taking)
Specifically: TP1 (First Close) + Runner (Full Close)
E. Execution of Safety (Live Trading)
No reversal/No re-opening immediately after closing/Signal confirmation only at closing/Minimum nominal filtering
/Quantity rounding
3) Risk Control: Three-Layer Defense (Controlling Drawdowns)
First Layer: Single Trade Risk Control (Strike hard with every move)
Second Layer: Account Drawdown Control (Be more conservative as losses mount, avoid cascading losses)
Third Layer: Emergency Coverage (Long-term holding/Black Swan Events)
Holding positions for more than 35 4H: Tighten stop-loss orders
Core Conclusion: This system does not chase "maximum returns," but rather controls drawdowns, making the net asset value curve smoother and more controllable.
Suitable for OKX exchange platform
リリースノート
Updated Sharp ratio 1.9リリースノート
OKX Platform BTC 4-Hour Chart Trading BacktestOptimized Sharp Version 2.0
招待専用スクリプト
このスクリプトは作者が承認したユーザーのみアクセス可能です。使用するにはアクセス申請をして許可を得る必要があります。通常は支払い後に承認されます。詳細は下記の作者の指示に従うか、w919339492に直接お問い合わせください。
TradingViewは、作者を完全に信頼し、スクリプトの動作を理解していない限り、有料スクリプトの購入・使用を推奨しません。コミュニティスクリプトには無料のオープンソースの代替が多数あります。
作者の指示
Suitable for the OKX exchange platform, approximately 4 trades in 30 days. Interested users can try it out.
免責事項
この情報および投稿は、TradingViewが提供または推奨する金融、投資、トレード、その他のアドバイスや推奨を意図するものではなく、それらを構成するものでもありません。詳細は利用規約をご覧ください。
招待専用スクリプト
このスクリプトは作者が承認したユーザーのみアクセス可能です。使用するにはアクセス申請をして許可を得る必要があります。通常は支払い後に承認されます。詳細は下記の作者の指示に従うか、w919339492に直接お問い合わせください。
TradingViewは、作者を完全に信頼し、スクリプトの動作を理解していない限り、有料スクリプトの購入・使用を推奨しません。コミュニティスクリプトには無料のオープンソースの代替が多数あります。
作者の指示
Suitable for the OKX exchange platform, approximately 4 trades in 30 days. Interested users can try it out.
免責事項
この情報および投稿は、TradingViewが提供または推奨する金融、投資、トレード、その他のアドバイスや推奨を意図するものではなく、それらを構成するものでもありません。詳細は利用規約をご覧ください。