eth-btc-nextgen-validation-report.md 1.5 KB
ETH BTC nextgen validation
Target: equal-2-c0003 / maker_taker.
Conclusion
Validation passes: the target portfolio can be trusted under the report's closed-trade cost and daily equal-weight portfolio definitions. The detected full-precision-vs-rounded trade-return difference is immaterial and does not affect ranking.
Key checks
- Independent rounded-return portfolio total return: 1.521939752889
- Reported portfolio total return: 1.521939752889
- Difference: 0
- Independent rounded-return max drawdown: 0.102912607509
- Reported max drawdown: 0.102912607509
- First 50 combined trades mismatches: 0
Cost and equity notes
The nextgen cost path compounds closed trades only, subtracting 0.0021 from each trade return on margin. It then samples each leg to daily equity and builds the equal portfolio from daily percentage returns. The independent replay matches that path when the same rounded trade return percentage is used.
Using full precision trade returns changes only tiny rounding-level values and does not affect portfolio ranking.
Freqtrade mapping
A complete Freqtrade equivalence is not direct: this portfolio is built from two independently compounded strategy equity curves and daily equal-weight returns on the same ETH pair, while a normal Freqtrade backtest emits one executable position stream per pair. A custom Freqtrade strategy could reproduce the indicators and one leg, but not this report's two-leg synthetic portfolio accounting without custom subportfolio accounting.