📊 High-Frequency Scalping Strategy Annual Test Report (2023-2024)
This article is produced by the Quantitative Trading Lab at https://www.itrade.icu.
We used real market data combined with a quantitative backtesting engine to conduct continuous 12 months of practical backtesting on a high-frequency scalping strategy.
The results show that the strategy can maintain steady profitability and low drawdown performance even in markets with intertwined fluctuations and trends, making it very suitable for live deployment of quantitative trading on mainstream coins.
🧠 Strategy Introduction (Brief)
- 🧩 Strategy type: High-frequency short-term scalping trading strategy
- 📚 Technical basis: Nonlinear regression channel combined with dynamic oscillators
- ⏱️ Average holding period: 30~90 minutes, meeting the demand for fast trading
- 🛡️ Risk control: Time-limited stop loss, trailing take profit, and volatility filters to protect capital safety
- 💹 Applicable markets: BTC, ETH, and other mainstream digital currencies, with significant effects on 5-minute cycle oscillating markets
- 🎯 Target users: Digital currency quantitative trading enthusiasts, active traders, and quantitative strategy developers
✍️ Complete Backtest
👉 For the full report and detailed strategy data, please visit: Complete Backtest Data
📅 Annual Profit Statistics (August 2023 - July 2024)
| Time Range | Trades | Avg Profit % | Total Profit USDT | Total Profit % | Avg Holding Time | Win Rate | Max Drawdown |
|---|---|---|---|---|---|---|---|
| 2024-01-01 ~ 02-01 | 58 | 0.95 | 198.90 | 19.89 | 1h31m | 65.5% | 4.236 USDT (0.41%) |
| 2024-02-01 ~ 03-01 | 73 | 0.77 | 202.47 | 20.25 | 1h36m | 68.5% | 1.855 USDT (0.16%) |
| 2024-03-01 ~ 04-01 | 60 | 1.11 | 245.30 | 24.53 | 1h26m | 80.0% | 8.434 USDT (0.70%) |
| 2024-04-01 ~ 05-01 | 59 | 1.27 | 277.68 | 27.77 | 1h24m | 72.9% | 3.074 USDT (0.28%) |
| 2024-05-01 ~ 06-01 | 91 | 0.79 | 264.26 | 26.43 | 1h35m | 70.3% | 23.368 USDT (1.94%) |
| 2024-06-01 ~ 07-01 | 69 | 0.73 | 179.39 | 17.94 | 1h24m | 66.7% | 4.184 USDT (0.37%) |
| 2024-07-01 ~ 08-01 | 54 | 0.82 | 155.77 | 15.58 | 1h19m | 74.1% | 13.640 USDT (1.17%) |
| 2024-08-01 ~ 09-01 | 57 | 0.90 | 182.33 | 18.23 | 1h26m | 73.7% | 11.085 USDT (1.05%) |
| 2024-09-01 ~ 10-01 | 62 | 0.69 | 151.18 | 15.12 | 1h33m | 62.9% | 9.247 USDT (0.92%) |
| 2024-10-01 ~ 11-01 | 61 | 0.45 | 94.38 | 9.44 | 1h33m | 57.4% | 4.073 USDT (0.39%) |
| 2024-11-01 ~ 12-01 | 53 | 1.33 | 259.26 | 25.93 | 1h33m | 77.4% | 5.655 USDT (0.46%) |
| 2024-12-01 ~ 2025-01-01 | 52 | 0.85 | 155.91 | 15.59 | 1h44m | 75.0% | 5.056 USDT (0.49%) |
📈 Summary Statistics
Average monthly profit USDT: 202.23 USD
Annual total profit USDT: 2,426.76 USD
Cumulative total profit rate (12 months): 236.11%
Average win rate: 70.1%
Total trades: 770 times
Highest monthly win rate: 80.0% (March 2024)
Lowest monthly win rate: 57.4% (October 2024)
Max drawdown: 23.368 USDT (1.94%) (May 2024)
Average profit per trade %: about 0.89%
Average holding time: about 1 hour 32 minutes
📈 Annual Profit Summary
This strategy is based on quantitative scalping trading methods, combining advanced nonlinear regression and dynamic oscillators, successfully achieving over 236% profit for the entire year. It features high win rates (above 70%) and low drawdowns (max drawdown less than 2%), especially suitable for 5-minute cycle oscillating markets of mainstream coins for fast trading needs.
The strategy demonstrates stable monthly returns and strict risk control, performing excellently in the digital currency quantitative trading field.
🆚 High-Frequency Scalping Strategy Source Files
📢 Final Summary
This strategy’s practical test is based on real market data and validated through long-term live-level backtesting, featuring high frequency, stability, low risk, and high returns as core advantages. It is suitable for small and medium-sized quantitative investors, especially fast short-term traders of BTC, ETH, and other mainstream coins. At the same time, the strategy provides an excellent reference case for digital currency quantitative trading enthusiasts and strategy developers.
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