eth-nextgen-micro-leverage-units.md 2.3 KB
ETH nextgen micro leverage-unit interpretation
This report treats simultaneous same-price same-direction virtual legs as one netted trade with a larger position unit.
Summary
- Raw virtual trade events:
474 - Netted trades:
277 - Position unit counts:
{"0.5": 36, "1.0": 241} - Source counts:
{"micro": 44, "nextgen": 233} - Side counts:
{"long": 265, "short": 12} - Grouped total return:
1.63276 - Published total return:
1.67172 - Max absolute equity difference vs published:
1249.08
Repeated-leg examples
| source | side | entry_time | exit_time | leg_count | position_unit | entry_price | exit_price | net_return |
|---|---|---|---|---|---|---|---|---|
| nextgen | long | 2019-12-30 00:15:00+0000 | 2019-12-30 00:45:00+0000 | 2 | 1 | 133.19 | 133.89 | 0.013667 |
| nextgen | long | 2020-01-03 19:15:00+0000 | 2020-01-03 19:30:00+0000 | 2 | 1 | 132.65 | 133.27 | 0.011922 |
| nextgen | long | 2020-01-14 16:30:00+0000 | 2020-01-14 16:45:00+0000 | 2 | 1 | 153.79 | 154.89 | 0.019358 |
| nextgen | long | 2020-02-18 21:45:00+0000 | 2020-02-18 23:00:00+0000 | 2 | 1 | 278.85 | 281.25 | 0.02372 |
| nextgen | long | 2020-02-23 12:00:00+0000 | 2020-02-23 12:30:00+0000 | 2 | 1 | 268.41 | 270.04 | 0.016118 |
| nextgen | long | 2020-03-19 02:45:00+0000 | 2020-03-19 03:45:00+0000 | 2 | 1 | 115.92 | 116.48 | 0.012393 |
| nextgen | long | 2020-03-24 04:15:00+0000 | 2020-03-24 05:15:00+0000 | 2 | 1 | 132.99 | 133.83 | 0.016849 |
| nextgen | long | 2020-04-18 07:30:00+0000 | 2020-04-18 07:45:00+0000 | 2 | 1 | 172.78 | 173.41 | 0.008839 |
| nextgen | long | 2020-05-03 05:15:00+0000 | 2020-05-03 05:30:00+0000 | 2 | 1 | 216.49 | 217.24 | 0.008293 |
| nextgen | long | 2020-05-16 08:15:00+0000 | 2020-05-16 08:30:00+0000 | 2 | 1 | 198.98 | 199.92 | 0.012072 |
| nextgen | long | 2020-05-17 18:45:00+0000 | 2020-05-17 19:00:00+0000 | 2 | 1 | 206.8 | 207.61 | 0.00965 |
| nextgen | long | 2020-05-29 05:15:00+0000 | 2020-05-29 05:30:00+0000 | 2 | 1 | 219.85 | 221.27 | 0.017277 |
Interpretation
A nextgen trade with leg_count=2 is not two unrelated discretionary orders. It is one ETH direction with position_unit=1.0, because each nextgen leg contributes 0.5 unit. A nextgen trade with leg_count=1 is position_unit=0.5. Micro trades are position_unit=1.0.