Strategy Concept
VWAP MACD Momentum 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 DOT/USDT:USDT, BCH/USDT:USDT.
This strategy was backtested directly from the default VWAP_MACD_PairOptimized class. Entry, exit, leverage, and pair-filter parameters were taken from the strategy and VWAP_MACD_PairOptimized_Settings.json; no additional optimization parameters were loaded for this run.
Universe and Setup
| Item | Value |
|---|
| Strategy tested | VWAP_MACD_PairOptimized |
| Base strategy | VWAP_MACD_PairOptimized |
| Timerange | 20240401-20250401 |
| Backtesting from | 2024-04-01 00:00:00 |
| Backtesting to | 2025-04-01 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 | DOT/USDT:USDT, BCH/USDT:USDT |
Backtest Summary
| Metric | Value |
|---|
| Starting balance | 1000.000 USDT |
| Final balance | 2440.423 USDT |
| Absolute profit | 1440.423 USDT |
| Total return | +144.04% |
| CAGR | +144.04% |
| Market change | -56.79% |
| Total trades | 146 |
| Trades per day | 0.40 |
| Total volume | 165289.780 USDT |
| Average stake | 565.053 USDT |
| Backtest days | 365 |
| Metric | Value |
|---|
| Long / short trades | 66 / 80 |
| Long / short profit | +82.32% / +61.72% |
| Wins / draws / losses | 66 / 0 / 80 |
| Win rate | 45.21% |
| Avg profit per trade | +1.94% |
| Median profit per trade | -1.95% |
| Profit factor | 1.867 |
| Expectancy | 9.866 (0.475) |
| Sharpe | 1.923 |
| Sortino | 6.430 |
| Calmar | 73.071 |
| SQN | 3.030 |
Risk and Drawdown
| Metric | Value |
|---|
| Max account underwater | 10.32% |
| Absolute drawdown | 236.306 USDT |
| Drawdown duration | 16 days 15:00:00 |
| Drawdown start | 2025-02-14 18:00:00 |
| Drawdown end | 2025-03-03 09:00:00 |
| Best pair | DOT/USDT:USDT +80.84% |
| Worst pair | BCH/USDT:USDT +63.20% |
| Best day | 241.541 USDT |
| Worst day | -103.040 USDT |
| Winning / draw / losing days | 56 / 252 / 54 |
| Max consecutive wins / losses | 4 / 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 % |
|---|
| DOT/USDT:USDT | 79 | +1.96% | 808.391 USDT | +80.84% | 1 day, 22:14:00 | 39/0/40 | 49.37% |
| BCH/USDT:USDT | 67 | +1.91% | 632.031 USDT | +63.20% | 2 days, 8:47:00 | 27/0/40 | 40.30% |
| TOTAL | 146 | +1.94% | 1440.423 USDT | +144.04% | 2 days, 3:05:00 | 66/0/80 | 45.21% |
Results by Exit Reason
| Item | Trades | Avg Profit | Profit | Profit % | Avg Duration | W/D/L | Win % |
|---|
| take_profit_achieved | 66 | +8.48% | 3102.026 USDT | +310.20% | 2 days, 23:37:00 | 66/0/0 | 100.00% |
| stop_loss_achieved | 80 | -3.45% | -1661.603 USDT | -166.16% | 1 day, 10:08:00 | 0/0/80 | 0.00% |
| TOTAL | 146 | +1.94% | 1440.423 USDT | +144.04% | 2 days, 3:05:00 | 66/0/80 | 45.21% |
Results by Entry Tag
| Item | Trades | Avg Profit | Profit | Profit % | Avg Duration | W/D/L | Win % |
|---|
| OTHER | 146 | +1.94% | 1440.423 USDT | +144.04% | 2 days, 3:05:00 | 66/0/80 | 45.21% |
| TOTAL | 146 | +1.94% | 1440.423 USDT | +144.04% | 2 days, 3:05:00 | 66/0/80 | 45.21% |
Results by Mixed Tag
| Item | Trades | Avg Profit | Profit | Profit % | Avg Duration | W/D/L | Win % |
|---|
| OTHER / take_profit_achieved | 66 | +8.48% | 3102.026 USDT | +310.20% | 2 days, 23:37:00 | 66/0/0 | 100.00% |
| OTHER / stop_loss_achieved | 80 | -3.45% | -1661.603 USDT | -166.16% | 1 day, 10:08:00 | 0/0/80 | 0.00% |
| TOTAL | 146 | +1.94% | 1440.423 USDT | +144.04% | 2 days, 3:05:00 | 66/0/80 | 45.21% |
Left Open Trades
| Item | Trades | Avg Profit | Profit | Profit % | Avg Duration | W/D/L | Win % |
|---|
| TOTAL | 0 | 0.00% | 0.000 USDT | 0.00% | 0:00 | 0/0/0 | 0.00% |
Monthly Breakdown
| Month | Trades | Profit | Profit % | Profit Factor | W/D/L |
|---|
| 30/04/2024 | 9 | 169.472 USDT | +16.95% | 5.87 | 6/0/3 |
| 31/05/2024 | 12 | 46.638 USDT | +4.66% | 1.55 | 5/0/7 |
| 30/06/2024 | 10 | 115.341 USDT | +11.53% | 3.29 | 5/0/5 |
| 31/07/2024 | 11 | 123.493 USDT | +12.35% | 2.67 | 6/0/5 |
| 31/08/2024 | 12 | 30.986 USDT | +3.10% | 1.26 | 5/0/7 |
| 30/09/2024 | 9 | 93.280 USDT | +9.33% | 3.07 | 5/0/4 |
| 31/10/2024 | 16 | 52.765 USDT | +5.28% | 1.43 | 6/0/10 |
| 30/11/2024 | 6 | 151.731 USDT | +15.17% | 3.32 | 4/0/2 |
| 31/12/2024 | 14 | 277.273 USDT | +27.73% | 2.37 | 7/0/7 |
| 31/01/2025 | 15 | -25.133 USDT | -2.51% | 0.92 | 5/0/10 |
| 28/02/2025 | 18 | 97.328 USDT | +9.73% | 1.33 | 5/0/13 |
| 31/03/2025 | 14 | 307.247 USDT | +30.72% | 2.30 | 7/0/7 |
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.
