eth-btc-calendar-carry-candidate-stress-parameter-stability.csv 1.7 KB

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  1. parameter,value,variants,all_horizons_positive,positive_rate,avg_full_calmar,median_full_return,median_3y_return,median_3m_return
  2. hour,12,27,0,0.0,-0.13106148259192715,-0.5291880388657997,-0.5961582504316425,-0.013035807265599941
  3. hour,13,27,0,0.0,-0.11095698679344562,-0.3784169558081666,-0.47393218977203266,-0.004351563355147747
  4. hour,14,27,2,0.07407407407407407,0.02460056058590753,-0.09035660993615291,-0.16611571354315313,0.01003672177888748
  5. hour,15,27,1,0.037037037037037035,-0.0932073321190995,-0.2956752156246304,-0.20752220640975683,-0.014481991329706845
  6. hour,16,27,3,0.1111111111111111,-0.0831299040669013,-0.2580657570371624,-0.26775982409621735,0.027225554654120687
  7. hold,2,45,0,0.0,-0.18108712944493952,-0.5402806061264751,-0.39314177148988483,-0.027911765079093098
  8. hold,4,45,0,0.0,-0.12850442746987928,-0.5339487975725847,-0.44235137947404524,-0.013035807265599941
  9. hold,8,45,6,0.13333333333333333,0.0733384699235392,0.24670328874249026,-0.1557177519715115,0.03615806084554407
  10. vol_gate,active,45,0,0.0,-0.07735673792682425,-0.2956752156246304,-0.315116927650941,0.03178371527713497
  11. vol_gate,calm,45,4,0.08888888888888889,-0.05141147654584364,-0.3041683749118894,-0.20920856187257564,-0.03004641710885847
  12. vol_gate,none,45,2,0.044444444444444446,-0.10748487251861172,-0.5748978746029362,-0.44235137947404524,-0.0022993503777144486
  13. weekdays,all,45,1,0.022222222222222223,-0.1240473981019952,-0.5455565154578896,-0.4981984112846696,-0.004351563355147747
  14. weekdays,weekday,45,4,0.08888888888888889,-0.1337930225841975,-0.5606949856339044,-0.44235137947404524,0.005642932598481032
  15. weekdays,weekend,45,1,0.022222222222222223,0.021587333694913124,-0.041189947337701094,-0.10604312652683334,-0.0067473367549322205