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已更新 BTC Sharpe 1.5 5-10x Leverage
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
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
版本注释
Updated Sharp ratio 1.9版本注释
OKX Platform BTC 4-Hour Chart Trading BacktestOptimized Sharp Version 2.0
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作者的说明
Suitable for the OKX exchange platform, approximately 4 trades in 30 days. Interested users can try it out.
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。
仅限邀请脚本
只有作者授权的用户才能访问此脚本。您需要申请并获得使用许可。通常情况下，付款后即可获得许可。更多详情，请按照下方作者的说明操作，或直接联系w919339492。
TradingView不建议您付费购买或使用任何脚本，除非您完全信任其作者并了解其工作原理。您也可以在我们的社区脚本找到免费的开源替代方案。
作者的说明
Suitable for the OKX exchange platform, approximately 4 trades in 30 days. Interested users can try it out.
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。