Strategy Concept
Donchian Breakout Filter Strategy is a futures strategy based on technical indicators that assess trend structure, momentum, volatility, and breakout quality through the indicator combination in its name. Its core idea is to open positions only when directional signals and risk filters agree, then let Freqtrade manage exits through ROI, stop-loss, trailing-stop, and strategy exit rules. The strategy was evaluated on the 1h timeframe across ETH/USDT:USDT, LINK/USDT:USDT, DOGE/USDT:USDT.
This strategy was backtested directly from the default Donchian_EMA_ADX_CHOP_PairOptimized class. Entry, exit, leverage, and pair-filter parameters were taken from the strategy and Donchian_EMA_ADX_CHOP_PairOptimized_Settings.json; no additional optimization parameters were loaded for this run.
Universe and Setup
| Item | Value |
|---|
| Strategy tested | Donchian_EMA_ADX_CHOP_PairOptimized |
| Base strategy | Donchian_EMA_ADX_CHOP_PairOptimized |
| Timerange | 20240601-20250601 |
| Backtesting from | 2024-06-01 00:00:00 |
| Backtesting to | 2025-06-01 00:00:00 |
| Timeframe | 1h |
| Detail timeframe | 5m |
| Trading mode | futures / isolated |
| Max open trades | 3 active, setting 3 |
| Stake amount | unlimited |
| Stake currency | USDT |
| Pairlist | ETH/USDT:USDT, LINK/USDT:USDT, DOGE/USDT:USDT |
Backtest Summary
| Metric | Value |
|---|
| Starting balance | 1000.000 USDT |
| Final balance | 3200.737 USDT |
| Absolute profit | 2200.737 USDT |
| Total return | +220.07% |
| CAGR | +220.07% |
| Market change | -12.28% |
| Total trades | 140 |
| Trades per day | 0.38 |
| Total volume | 249446.853 USDT |
| Average stake | 532.166 USDT |
| Backtest days | 365 |
| Metric | Value |
|---|
| Long / short trades | 63 / 77 |
| Long / short profit | +80.48% / +139.60% |
| Wins / draws / losses | 75 / 0 / 65 |
| Win rate | 53.57% |
| Avg profit per trade | +2.84% |
| Median profit per trade | +0.80% |
| Profit factor | 2.454 |
| Expectancy | 15.720 (0.675) |
| Sharpe | 1.959 |
| Sortino | 5.523 |
| Calmar | 95.923 |
| SQN | 3.151 |
Risk and Drawdown
| Metric | Value |
|---|
| Max account underwater | 12.01% |
| Absolute drawdown | 279.872 USDT |
| Drawdown duration | 27 days 07:20:00 |
| Drawdown start | 2025-02-25 19:55:00 |
| Drawdown end | 2025-03-25 03:15:00 |
| Best pair | ETH/USDT:USDT +108.12% |
| Worst pair | DOGE/USDT:USDT +51.98% |
| Best day | 614.619 USDT |
| Worst day | -107.558 USDT |
| Winning / draw / losing days | 41 / 270 / 46 |
| Max consecutive wins / losses | 6 / 7 |
| Rejected entry signals | 0 |
| Entry / exit timeouts | 0 / 0 |
Backtest Parameters
| Parameter | Value |
|---|
| Stoploss | -0.200 |
| Trailing stop | no |
| Trailing stop positive | 0.000 |
| Trailing stop positive offset | 0.000 |
| Trailing only offset reached | no |
| Use custom stoploss | yes |
| Minimal ROI | {} |
| Use exit signal | yes |
| Exit profit only | no |
| Exit profit offset | 0.000 |
| Ignore ROI if entry signal | no |
| Protections enabled | no |
Results by Pair
| Item | Trades | Avg Profit | Profit | Profit % | Avg Duration | W/D/L | Win % |
|---|
| ETH/USDT:USDT | 53 | +3.63% | 1081.184 USDT | +108.12% | 17:48:00 | 31/0/22 | 58.49% |
| LINK/USDT:USDT | 43 | +2.66% | 599.720 USDT | +59.97% | 20:45:00 | 21/0/22 | 48.84% |
| DOGE/USDT:USDT | 44 | +2.08% | 519.833 USDT | +51.98% | 19:06:00 | 23/0/21 | 52.27% |
| TOTAL | 140 | +2.84% | 2200.737 USDT | +220.07% | 19:07:00 | 75/0/65 | 53.57% |
Results by Exit Reason
| Item | Trades | Avg Profit | Profit | Profit % | Avg Duration | W/D/L | Win % |
|---|
| trailing_stop_loss | 139 | +2.82% | 2144.119 USDT | +214.41% | 18:55:00 | 74/0/65 | 53.24% |
| force_exit | 1 | +5.46% | 56.618 USDT | +5.66% | 1 day, 23:00:00 | 1/0/0 | 100.00% |
| TOTAL | 140 | +2.84% | 2200.737 USDT | +220.07% | 19:07:00 | 75/0/65 | 53.57% |
Results by Entry Tag
| Item | Trades | Avg Profit | Profit | Profit % | Avg Duration | W/D/L | Win % |
|---|
| OTHER | 140 | +2.84% | 2200.737 USDT | +220.07% | 19:07:00 | 75/0/65 | 53.57% |
| TOTAL | 140 | +2.84% | 2200.737 USDT | +220.07% | 19:07:00 | 75/0/65 | 53.57% |
Results by Mixed Tag
| Item | Trades | Avg Profit | Profit | Profit % | Avg Duration | W/D/L | Win % |
|---|
| OTHER / trailing_stop_loss | 139 | +2.82% | 2144.119 USDT | +214.41% | 18:55:00 | 74/0/65 | 53.24% |
| OTHER / force_exit | 1 | +5.46% | 56.618 USDT | +5.66% | 1 day, 23:00:00 | 1/0/0 | 100.00% |
| TOTAL | 140 | +2.84% | 2200.737 USDT | +220.07% | 19:07:00 | 75/0/65 | 53.57% |
Left Open Trades
| Item | Trades | Avg Profit | Profit | Profit % | Avg Duration | W/D/L | Win % |
|---|
| DOGE/USDT:USDT | 1 | +5.46% | 56.618 USDT | +5.66% | 1 day, 23:00:00 | 1/0/0 | 100.00% |
| TOTAL | 1 | +5.46% | 56.618 USDT | +5.66% | 1 day, 23:00:00 | 1/0/0 | 100.00% |
Monthly Breakdown
| Month | Trades | Profit | Profit % | Profit Factor | W/D/L |
|---|
| 30/06/2024 | 13 | -41.427 USDT | -4.14% | 0.60 | 4/0/9 |
| 31/07/2024 | 17 | 120.035 USDT | +12.00% | 2.11 | 11/0/6 |
| 31/08/2024 | 12 | 110.651 USDT | +11.07% | 3.40 | 8/0/4 |
| 30/09/2024 | 13 | -11.799 USDT | -1.18% | 0.89 | 6/0/7 |
| 31/10/2024 | 6 | 43.566 USDT | +4.36% | 1.91 | 3/0/3 |
| 30/11/2024 | 8 | 264.609 USDT | +26.46% | 7.21 | 4/0/4 |
| 31/12/2024 | 6 | 41.829 USDT | +4.18% | 1.40 | 4/0/2 |
| 31/01/2025 | 14 | 196.058 USDT | +19.61% | 4.21 | 9/0/5 |
| 28/02/2025 | 12 | 500.921 USDT | +50.09% | 2.78 | 6/0/6 |
| 31/03/2025 | 18 | 6.383 USDT | +0.64% | 1.02 | 9/0/9 |
| 30/04/2025 | 11 | 260.177 USDT | +26.02% | 1.99 | 4/0/7 |
| 31/05/2025 | 9 | 653.116 USDT | +65.31% | 12.44 | 6/0/3 |
| 30/06/2025 | 1 | 56.618 USDT | +5.66% | 0.00 | 1/0/0 |
Interpretation Notes
The backtest shown on this page uses the default parameters from the strategy and pair-optimized settings, without additional optimization parameters. Return, drawdown, and risk-adjusted metrics should be treated as historical research results for the stated timerange and universe, not as a guarantee of live performance.
