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eth-focused-portfolio-conservative-legs.csv

eth-focused-portfolio-conservative-legs.csv 8.3 KB
Постоянная ссылка История Исходник

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  1. leg_key,cost_model,roundtrip_cost_on_margin,family,bar,maker_dependent,name,first_candle,last_candle,years,trades,gross_total_return,gross_max_drawdown_mark_to_market,net_total_return,net_annualized_return,net_max_drawdown,net_calmar,net_sharpe_daily
    2. 

  2. eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0,maker_taker,0.0021,eth_btc_rsi_filter,15m,False,eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,282,3.8458294410117393,0.11263566699295541,1.6873395911345326,0.1689017202954699,0.11233785060294797,1.5035156840631023,1.6845362495181657
    3. 

  3. eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0,maker_taker,0.0021,eth_btc_rsi_filter,15m,False,eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,265,2.727830556575837,0.10694940596464002,1.1357774144705073,0.12726923370951004,0.10440746348169751,1.2189668196643832,1.4044691922601347
    4. 

  4. eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0000-ps0.0000-mm25,maker_taker,0.0021,eth_robust_twap,15m,True,rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0000-ps0.0000-mm25,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,296,0.953933274802125,0.09145351017811607,0.4208685365987246,0.0570218983092623,0.11720657762273039,0.48650766420982666,0.6457430029279858
    5. 

  5. eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0002-ps0.0000-mm25,maker_taker,0.0021,eth_robust_twap,15m,True,rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0002-ps0.0000-mm25,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,297,0.7253140540224468,0.10521923557248025,0.26863919822363846,0.03827929552643505,0.12657717220452885,0.30241863410079756,0.46014620782578447
    6. 

  6. eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0005-ps0.0000-mm25,maker_taker,0.0021,eth_robust_twap,15m,True,rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0005-ps0.0000-mm25,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,270,0.46197763888459975,0.10095127975709454,0.09222176834838036,0.014023934460213328,0.12038887520433542,0.11648862435512065,0.1981810045709644
    7. 

  7. eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0002-ps0.0002-mm25,maker_taker,0.0021,eth_robust_twap,15m,True,rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0002-ps0.0002-mm25,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,297,0.4569784286641621,0.11645352964449789,0.07283524460077229,0.01116099842590823,0.1506927398865764,0.0740646061270696,0.16846725626099632
    8. 

  8. btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb16-br0.024-gap0.006-mh32-sl0.006-tp0.018,maker_taker,0.0021,btc_lead_eth_lag_15m,15m,False,btc-lead-eth-lag-lb16-br0.024-gap0.006-mh32-sl0.006-tp0.018,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,1093,1.484852561478943,0.7400072225672044,-0.750094527191172,-0.1966113857131928,0.9124574040291382,-0.21547459075351452,-0.2968869401726117
    9. 

  9. btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018,maker_taker,0.0021,btc_lead_eth_lag_15m,15m,False,btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,999,0.5258063153183284,0.6722596237835687,-0.8131617236774411,-0.2326652309448598,0.883582371414534,-0.26332036318513713,-0.5041827814968831
    10. 

  10. btc_lead_eth_lag_5m:5m:btc-lead-eth-lag-lb16-br0.012-gap0.006-mh32-sl0.006-tp0.018,maker_taker,0.0021,btc_lead_eth_lag_5m,5m,False,btc-lead-eth-lag-lb16-br0.012-gap0.006-mh32-sl0.006-tp0.018,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,1772,6.189037100584501,0.46080245856310903,-0.8262170291613448,-0.2413902145632395,0.8987286425288885,-0.26859076604480236,-0.3033246049166554
    11. 

  11. btc_lead_eth_lag_5m:5m:btc-lead-eth-lag-lb16-br0.012-gap0.006-mh8-sl0.006-tp0.018,maker_taker,0.0021,btc_lead_eth_lag_5m,5m,False,btc-lead-eth-lag-lb16-br0.012-gap0.006-mh8-sl0.006-tp0.018,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,2028,9.328546066569702,0.4155412495717532,-0.8540771870267659,-0.26203038632278286,0.8698662589471174,-0.3012306588830602,-0.4911001399063539
    12. 

  12. eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0,taker_taker,0.003,eth_btc_rsi_filter,15m,False,eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,282,3.8458294410117393,0.11263566699295541,1.0865282149968638,0.12312511318400854,0.11721770699526807,1.0503968755247783,1.2818678597079942
    13. 

  13. eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0,taker_taker,0.003,eth_btc_rsi_filter,15m,False,eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,265,2.727830556575837,0.10694940596464002,0.6850328501422533,0.08586318881913435,0.10852113124073746,0.7912117007761378,0.9908679103123683
    14. 

  14. eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0000-ps0.0000-mm25,taker_taker,0.003,eth_robust_twap,15m,True,rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0000-ps0.0000-mm25,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,296,0.953933274802125,0.09145351017811607,0.23250728769687834,0.03355386835559804,0.14238417520209545,0.23565728640821756,0.4032030160082673
    15. 

  15. eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0002-ps0.0000-mm25,taker_taker,0.003,eth_robust_twap,15m,True,rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0002-ps0.0000-mm25,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,297,0.7253140540224468,0.10521923557248025,0.10501046223059585,0.015889186392080257,0.1387776169120021,0.11449386972940655,0.21930889098652567
    16. 

  16. eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0005-ps0.0000-mm25,taker_taker,0.003,eth_robust_twap,15m,True,rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0005-ps0.0000-mm25,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,270,0.46197763888459975,0.10095127975709454,-0.04153732202291316,-0.006675284631256551,0.17670871440943084,-0.03777563915602962,-0.02747673618422814
    17. 

  17. eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0002-ps0.0002-mm25,taker_taker,0.003,eth_robust_twap,15m,True,rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0002-ps0.0002-mm25,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,297,0.4569784286641621,0.11645352964449789,-0.06562145464925495,-0.010658138741267198,0.2239784077091052,-0.047585563493734585,-0.07369845985825528
    18. 

  18. btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb16-br0.024-gap0.006-mh32-sl0.006-tp0.018,taker_taker,0.003,btc_lead_eth_lag_15m,15m,False,btc-lead-eth-lag-lb16-br0.024-gap0.006-mh32-sl0.006-tp0.018,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,1093,1.484852561478943,0.7400072225672044,-0.90675575447271,-0.31240580880277546,0.9473492114017404,-0.3297683737346715,-0.6529691846447134
    19. 

  19. btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018,taker_taker,0.003,btc_lead_eth_lag_15m,15m,False,btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,999,0.5258063153183284,0.6722596237835687,-0.9241412405233823,-0.3344444694750608,0.9332763300882749,-0.3583552466646476,-0.8656709185163272
    20. 

  20. btc_lead_eth_lag_5m:5m:btc-lead-eth-lag-lb16-br0.012-gap0.006-mh32-sl0.006-tp0.018,taker_taker,0.003,btc_lead_eth_lag_5m,5m,False,btc-lead-eth-lag-lb16-br0.012-gap0.006-mh32-sl0.006-tp0.018,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,1772,6.189037100584501,0.46080245856310903,-0.9648351378617085,-0.41051691522134504,0.9710627454749552,-0.4227501437309879,-0.7983641006510345
    21. 

  21. btc_lead_eth_lag_5m:5m:btc-lead-eth-lag-lb16-br0.012-gap0.006-mh8-sl0.006-tp0.018,taker_taker,0.003,btc_lead_eth_lag_5m,5m,False,btc-lead-eth-lag-lb16-br0.012-gap0.006-mh8-sl0.006-tp0.018,2019-12-30 00:00,2026-04-29 02:00,6.33447488584475,2028,9.328546066569702,0.4155412495717532,-0.976551766636869,-0.4470497341579135,0.9787875110703343,-0.4567382900799897,-1.1476318521807591
    22.