BackTest Sharpe Ratio and Max Draw Down

DGM Sharp Ratio = 3.5

2024-05-14 09:01:09,378 – INFO – DGM Start Date and Time now is 2024-05-14 09:01:09.378769
2024-05-14 09:01:09,880 – INFO – All data downloaded successfully in GetDataRequest.
2024-05-14 09:01:09,993 – INFO – Exported FROM 2020-11-11 TO 2024-05-14 Data saved to DB.
2024-05-14 09:01:10,401 – INFO – File QuantTrending.csv has been successfully deleted.
2024-05-14 09:01:10,401 – INFO – >>*>> ETHUSDT-QuantSharpRatioMDD-1d.csv for Equity Curve.
2024-05-14 09:01:10,401 – INFO – BackTest Trade Message = None
2024-05-14 09:01:10,401 – INFO – BackTest Trade Price (Qty: 0.05) = 0
DGM Class Start Date and Time now is 2024-05-14 09:01:09.380486
START: 1d ETHUSDT OHLC-data from 2020-11-11 00:00:00 until 2024-05-14
Open Time Open High Low Close
0 2020-11-11 450.34 476.25 449.28 463.09
1 2020-11-12 463.09 470.00 451.20 462.39
2 2020-11-13 462.48 478.01 457.12 476.43
3 2020-11-14 476.42 477.47 452.00 460.89
4 2020-11-15 460.90 462.89 440.19 448.08
.. … … … … …
276 2024-05-10 3036.24 3053.89 2878.03 2909.99
277 2024-05-11 2909.98 2945.67 2886.46 2912.45
278 2024-05-12 2912.45 2955.20 2901.17 2929.29
279 2024-05-13 2929.30 2996.40 2864.76 2950.99
280 2024-05-14 2950.99 2958.76 2937.51 2944.75

[1281 rows x 5 columns]
END: v3/klines 1d ETHUSDT DB Processed.

START DB Processing: >>> Data from GetDataRequested table.
Mean Price: 2208.228266978923
Standard Deviation: 914.490172178236
v3/klines Upper Percentage Threshold: 4037.208611335395
v3/klines Lower Percentage Threshold: 379.2479226224509
Open Time High Low Close
0 2020-11-11 476.25 449.28 463.09
1 2020-11-12 470.00 451.20 462.39
2 2020-11-13 478.01 457.12 476.43
3 2020-11-14 477.47 452.00 460.89
4 2020-11-15 462.89 440.19 448.08
GetDataProcess Trade Message = None
GetDataProcess Trade Price (Qty: 0.05) = 0
GetDataProcess Data processed and saved to QuantTrending table.
END: v3/klines 1d ETHUSDT GetDataProcess Completed.

START DB Processing: >>> Data from QuantTrending table.
BackTestSharpRatioMDD: >>> Processed the file QuantTrending.csv.
Warning: NaN values detected in ‘Previous_Close’. Attempting to recalculate ‘Daily_PnL’.
Warning: NaN or Infinite values detected in ‘Daily_PnL’ after recomputation. Cleaning required.
Info: Previous_Close Close Daily_PnL Cumm_PnL
count 1280.000000 1280.000000 1280.000000 1280.000000
mean 2207.652859 2209.591656 0.014513 11.073642
std 914.972973 913.902063 0.038246 5.210313
min 448.080000 448.080000 -0.263329 0.000000
25% 1598.405000 1599.225000 -0.000000 7.088900
50% 1899.325000 1900.090000 -0.000000 12.360589
75% 2910.605000 2914.057500 0.031202 15.726248
max 4807.980000 4807.980000 0.277372 18.590075

*> DGM Sharp Ratio = 7.25
**> DGM Maximum Drawdown: 28.47%
***> DGM Peak Profit: 1859.01%
****> DGM Drawdown from Peak: 1.40%
*****>> Created ETHUSDT-QuantSharpRatioMDD-1d.csv for Equity Curve.

In 1993, Buffett spoke to Columbia University’s Business School graduates. Asked about his method for evaluating risk, he said, “Risk comes from not knowing what you’re doing.” This quote reflects Buffett’s investment philosophy, highlighting the crucial role of knowledge and understanding in reducing risk.

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