BTC Sharpe 1.5 5-10x Leverage

1월 18일

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

1월 21일

릴리즈 노트

Updated Sharp ratio 1.9

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OKX Platform BTC 4-Hour Chart Trading Backtest

Optimized Sharp Version 2.0