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Merge pull request jesse-ai#11 from gabrielweich/donchian-strategy
add donchian strategy
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‎Donchian/ADA-USDT_6h_results.txt

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loading candles...
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CANDLES |
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----------------------+--------------------------
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period | 731 days (2.0 years)
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starting-ending date | 2019-01-01 => 2021-01-01
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exchange | symbol | timeframe | strategy | DNA
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------------+----------+-------------+------------+-------
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Binance | ADA-USDT | 6h | Donchian |
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Executing simulation... [####################################] 100%
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Executed backtest simulation in: 34.98 seconds
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METRICS |
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---------------------------------+---------------------------
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Total Closed Trades | 19
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Total Net Profit | 55,272.4782 (552.72%)
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Starting => Finishing Balance | 10,000 => 65,272.48
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Total Open Trades | 1
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Open PL | 4,714.81
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Total Paid Fees | 1,277.14
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Max Drawdown | -36.15%
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Annual Return | 154.83%
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Expectancy | 2,909.08 (29.09%)
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Avg Win | Avg Loss | 8,936.79 | 1,474.71
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Ratio Avg Win / Avg Loss | 6.06
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Percent Profitable | 42%
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Longs | Shorts | 100% | 0%
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Avg Holding Time | 2 weeks, 2 days, 20 hours
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Winning Trades Avg Holding Time | 3 weeks, 2 days, 16 hours
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Losing Trades Avg Holding Time | 1 week, 4 days, 20 hours
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Sharpe Ratio | 1.68
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Market Change | 347.53%

‎Donchian/BAT-USDT_6h_results.txt

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loading candles...
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CANDLES |
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----------------------+--------------------------
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period | 701 days (1.92 years)
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starting-ending date | 2019-05-05 => 2021-04-05
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exchange | symbol | timeframe | strategy | DNA
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------------+----------+-------------+------------+-------
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Binance | BAT-USDT | 6h | Donchian |
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Executing simulation... [####################################] 100%
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Executed backtest simulation in: 33.2 seconds
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METRICS |
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---------------------------------+---------------------------
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Total Closed Trades | 17
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Total Net Profit | 21,211.9829 (212.12%)
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Starting => Finishing Balance | 10,000 => 31,211.98
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Total Open Trades | 1
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Open PL | 177.78
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Total Paid Fees | 409.07
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Max Drawdown | -36.55%
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Annual Return | 80.73%
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Expectancy | 1,247.76 (12.48%)
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Avg Win | Avg Loss | 2,755.04 | 905.49
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Ratio Avg Win / Avg Loss | 3.04
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Percent Profitable | 59%
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Longs | Shorts | 100% | 0%
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Avg Holding Time | 2 weeks, 2 days, 22 hours
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Winning Trades Avg Holding Time | 2 weeks, 6 days, 18 hours
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Losing Trades Avg Holding Time | 1 week, 4 days, 12 hours
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Sharpe Ratio | 1.13
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Market Change | 224.43%

‎Donchian/BTC-USDT_6h_results.txt

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loading candles...
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CANDLES |
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----------------------+--------------------------
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period | 731 days (2.0 years)
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starting-ending date | 2019-01-01 => 2021-01-01
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exchange | symbol | timeframe | strategy | DNA
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------------+----------+-------------+------------+-------
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Binance | BTC-USDT | 6h | Donchian |
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Executing simulation... [####################################] 100%
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Executed backtest simulation in: 35.53 seconds
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METRICS |
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---------------------------------+---------------------------
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Total Closed Trades | 18
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Total Net Profit | 45,194.3507 (451.94%)
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Starting => Finishing Balance | 10,000 => 55,194.35
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Total Open Trades | 1
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Open PL | 18,320.21
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Total Paid Fees | 760.56
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Max Drawdown | -46.89%
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Annual Return | 134.39%
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Expectancy | 2,510.8 (25.11%)
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Avg Win | Avg Loss | 5,824.01 | 1,630.71
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Ratio Avg Win / Avg Loss | 3.57
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Percent Profitable | 56%
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Longs | Shorts | 100% | 0%
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Avg Holding Time | 2 weeks, 6 days, 14 hours
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Winning Trades Avg Holding Time | 3 weeks, 6 days, 21 hours
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Losing Trades Avg Holding Time | 1 week, 4 days, 12 hours
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Sharpe Ratio | 2.03
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Market Change | 681.2%

‎Donchian/ETH-USDT_6h_results.txt

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loading candles...
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CANDLES |
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----------------------+--------------------------
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period | 731 days (2.0 years)
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starting-ending date | 2019-01-01 => 2021-01-01
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exchange | symbol | timeframe | strategy | DNA
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------------+----------+-------------+------------+-------
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Binance | ETH-USDT | 6h | Donchian |
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Executing simulation... [####################################] 100%
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Executed backtest simulation in: 36.79 seconds
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METRICS |
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---------------------------------+--------------------------
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Total Closed Trades | 24
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Total Net Profit | 33,528.8877 (335.29%)
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Starting => Finishing Balance | 10,000 => 43,528.89
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Total Open Trades | 1
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Open PL | 5,487.64
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Total Paid Fees | 1,027.9
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Max Drawdown | -34.14%
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Annual Return | 108.22%
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Expectancy | 1,397.04 (13.97%)
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Avg Win | Avg Loss | 4,302.78 | 1,508.71
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Ratio Avg Win / Avg Loss | 2.85
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Percent Profitable | 50%
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Longs | Shorts | 100% | 0%
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Avg Holding Time | 2 weeks, 1 day, 4 hours
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Winning Trades Avg Holding Time | 3 weeks, 2 days, 8 hours
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Losing Trades Avg Holding Time | 1 week
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Sharpe Ratio | 1.53
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Market Change | 460.23%

‎Donchian/NEO-USDT_6h_results.txt

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loading candles...
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CANDLES |
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----------------------+--------------------------
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period | 731 days (2.0 years)
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starting-ending date | 2019-01-01 => 2021-01-01
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exchange | symbol | timeframe | strategy | DNA
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------------+----------+-------------+------------+-------
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Binance | NEO-USDT | 6h | Donchian |
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Executing simulation... [####################################] 100%
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Executed backtest simulation in: 33.83 seconds
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METRICS |
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---------------------------------+------------------------------
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Total Closed Trades | 18
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Total Net Profit | 20,801.5637 (208.02%)
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Starting => Finishing Balance | 10,000 => 30,801.56
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Total Open Trades | 0
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Open PL | 0
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Total Paid Fees | 626.48
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Max Drawdown | -32.92%
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Annual Return | 75.23%
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Expectancy | 1,155.64 (11.56%)
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Avg Win | Avg Loss | 2,924.3 | 1,623.68
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Ratio Avg Win / Avg Loss | 1.8
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Percent Profitable | 61%
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Longs | Shorts | 100% | 0%
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Avg Holding Time | 2 weeks, 4 days, 2 hours
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Winning Trades Avg Holding Time | 3 weeks, 3 days, 14 hours
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Losing Trades Avg Holding Time | 1 week, 22 hours, 17 minutes
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Sharpe Ratio | 1.14
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Market Change | 92.41%

‎Donchian/__init__.py

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"""
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Simple Donchian Strategy
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Repo: https://github.com/gabrielweich/jesse-strategies
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Uses Donchian Channels to capture long term uptrends, the idea is to buy
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when price closes above the upperband and only exit the position when
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prices closes below the lowerband.
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"""
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from jesse.strategies import Strategy
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import jesse.indicators as ta
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from jesse import utils
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class Donchian(Strategy):
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@property
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def donchian(self):
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# Previous Donchian Channels with default parameters
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return ta.donchian(self.candles[:-1])
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@property
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def ma_trend(self):
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return ta.sma(self.candles, period=200)
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def filter_trend(self):
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# Only opens a long position when close is above 200 SMA
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return self.close > self.ma_trend
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def filters(self):
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return [self.filter_trend]
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def should_long(self) -> bool:
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# Go long if candle closes above upperband
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return self.close > self.donchian.upperband
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def should_short(self) -> bool:
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return False
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def should_cancel(self) -> bool:
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return True
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def go_long(self):
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# Open long position using entire balance
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qty = utils.size_to_qty(self.capital, self.price, fee_rate=self.fee_rate)
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self.buy = qty, self.price
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def go_short(self):
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pass
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def update_position(self):
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# Close the position when candle closes below lowerband
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if self.close < self.donchian.lowerband:
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self.liquidate()

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