Strategy Concept
VWAP DMI Directional 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 AVAX/USDT:USDT, STX/USDT:USDT.
This strategy was backtested directly from the default VWAP_DMI_PairOptimized class. Entry, exit, leverage, and pair-filter parameters were taken from the strategy and VWAP_DMI_PairOptimized_Settings.json; no additional optimization parameters were loaded for this run.
Universe and Setup
| Item | Value |
|---|
| Strategy tested | VWAP_DMI_PairOptimized |
| Base strategy | VWAP_DMI_PairOptimized |
| Timerange | 20240801-20250801 |
| Backtesting from | 2024-08-01 00:00:00 |
| Backtesting to | 2025-08-01 00:00:00 |
| Timeframe | 1h |
| Detail timeframe | 5m |
| Trading mode | futures / isolated |
| Max open trades | 2 active, setting 3 |
| Stake amount | unlimited |
| Stake currency | USDT |
| Pairlist | AVAX/USDT:USDT, STX/USDT:USDT |
Backtest Summary
| Metric | Value |
|---|
| Starting balance | 1000.000 USDT |
| Final balance | 3476.483 USDT |
| Absolute profit | 2476.483 USDT |
| Total return | +247.65% |
| CAGR | +247.65% |
| Market change | -36.67% |
| Total trades | 110 |
| Trades per day | 0.30 |
| Total volume | 140953.940 USDT |
| Average stake | 644.206 USDT |
| Backtest days | 365 |
| Metric | Value |
|---|
| Long / short trades | 55 / 55 |
| Long / short profit | +80.35% / +167.30% |
| Wins / draws / losses | 54 / 0 / 56 |
| Win rate | 49.09% |
| Avg profit per trade | +3.71% |
| Median profit per trade | -2.61% |
| Profit factor | 2.312 |
| Expectancy | 22.513 (0.668) |
| Sharpe | 2.052 |
| Sortino | 8.273 |
| Calmar | 117.991 |
| SQN | 3.722 |
Risk and Drawdown
| Metric | Value |
|---|
| Max account underwater | 10.99% |
| Absolute drawdown | 246.089 USDT |
| Drawdown duration | 29 days 07:00:00 |
| Drawdown start | 2025-02-02 12:00:00 |
| Drawdown end | 2025-03-03 19:00:00 |
| Best pair | AVAX/USDT:USDT +125.05% |
| Worst pair | STX/USDT:USDT +122.60% |
| Best day | 233.502 USDT |
| Worst day | -108.254 USDT |
| Winning / draw / losing days | 48 / 259 / 48 |
| Max consecutive wins / losses | 8 / 6 |
| Rejected entry signals | 0 |
| Entry / exit timeouts | 0 / 0 |
Backtest Parameters
| Parameter | Value |
|---|
| Stoploss | -0.250 |
| Trailing stop | no |
| Trailing stop positive | 0.000 |
| Trailing stop positive offset | 0.000 |
| Trailing only offset reached | no |
| Use custom stoploss | no |
| 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 % |
|---|
| AVAX/USDT:USDT | 46 | +4.46% | 1250.462 USDT | +125.05% | 3 days, 9:55:00 | 26/0/20 | 56.52% |
| STX/USDT:USDT | 64 | +3.18% | 1226.021 USDT | +122.60% | 2 days, 16:37:00 | 28/0/36 | 43.75% |
| TOTAL | 110 | +3.71% | 2476.483 USDT | +247.65% | 2 days, 23:51:00 | 54/0/56 | 49.09% |
Results by Exit Reason
| Item | Trades | Avg Profit | Profit | Profit % | Avg Duration | W/D/L | Win % |
|---|
| take_profit_achieved | 53 | +12.98% | 4273.689 USDT | +427.37% | 3 days, 20:57:00 | 53/0/0 | 100.00% |
| force_exit | 1 | +8.61% | 91.009 USDT | +9.10% | 2 days, 21:00:00 | 1/0/0 | 100.00% |
| stop_loss_achieved | 56 | -5.14% | -1888.214 USDT | -188.82% | 2 days, 3:56:00 | 0/0/56 | 0.00% |
| TOTAL | 110 | +3.71% | 2476.483 USDT | +247.65% | 2 days, 23:51:00 | 54/0/56 | 49.09% |
Results by Entry Tag
| Item | Trades | Avg Profit | Profit | Profit % | Avg Duration | W/D/L | Win % |
|---|
| OTHER | 110 | +3.71% | 2476.483 USDT | +247.65% | 2 days, 23:51:00 | 54/0/56 | 49.09% |
| TOTAL | 110 | +3.71% | 2476.483 USDT | +247.65% | 2 days, 23:51:00 | 54/0/56 | 49.09% |
Results by Mixed Tag
| Item | Trades | Avg Profit | Profit | Profit % | Avg Duration | W/D/L | Win % |
|---|
| OTHER / take_profit_achieved | 53 | +12.98% | 4273.689 USDT | +427.37% | 3 days, 20:57:00 | 53/0/0 | 100.00% |
| OTHER / force_exit | 1 | +8.61% | 91.009 USDT | +9.10% | 2 days, 21:00:00 | 1/0/0 | 100.00% |
| OTHER / stop_loss_achieved | 56 | -5.14% | -1888.214 USDT | -188.82% | 2 days, 3:56:00 | 0/0/56 | 0.00% |
| TOTAL | 110 | +3.71% | 2476.483 USDT | +247.65% | 2 days, 23:51:00 | 54/0/56 | 49.09% |
Left Open Trades
| Item | Trades | Avg Profit | Profit | Profit % | Avg Duration | W/D/L | Win % |
|---|
| AVAX/USDT:USDT | 1 | +8.61% | 91.009 USDT | +9.10% | 2 days, 21:00:00 | 1/0/0 | 100.00% |
| TOTAL | 1 | +8.61% | 91.009 USDT | +9.10% | 2 days, 21:00:00 | 1/0/0 | 100.00% |
Monthly Breakdown
| Month | Trades | Profit | Profit % | Profit Factor | W/D/L |
|---|
| 31/08/2024 | 4 | 35.262 USDT | +3.53% | 1.94 | 2/0/2 |
| 30/09/2024 | 10 | 201.308 USDT | +20.13% | 4.48 | 6/0/4 |
| 31/10/2024 | 12 | 29.015 USDT | +2.90% | 1.21 | 4/0/8 |
| 30/11/2024 | 6 | 99.651 USDT | +9.97% | 1.84 | 3/0/3 |
| 31/12/2024 | 9 | 298.254 USDT | +29.83% | 3.57 | 5/0/4 |
| 31/01/2025 | 8 | 568.731 USDT | +56.87% | 0.00 | 8/0/0 |
| 28/02/2025 | 14 | -87.918 USDT | -8.79% | 0.78 | 4/0/10 |
| 31/03/2025 | 15 | 198.817 USDT | +19.88% | 1.60 | 6/0/9 |
| 30/04/2025 | 7 | 141.682 USDT | +14.17% | 1.75 | 3/0/4 |
| 31/05/2025 | 8 | 136.425 USDT | +13.64% | 1.71 | 3/0/5 |
| 30/06/2025 | 9 | 594.388 USDT | +59.44% | 7.10 | 6/0/3 |
| 31/07/2025 | 7 | 169.860 USDT | +16.99% | 1.79 | 3/0/4 |
| 31/08/2025 | 1 | 91.009 USDT | +9.10% | 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.
