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eth-focused-portfolio-conservative-worst-months.csv

eth-focused-portfolio-conservative-worst-months.csv 16 KB
Пермалинк Историја Датотека

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  1. portfolio,month,start_equity,end_equity,return,cost_model,scope
    2. 

  2. all_legs-risk-2-c0010-eth_btc_rsi_filter+eth_robust_twap,2022-01,12447.343114021663,11723.075186807962,-0.058186547970853986,maker_taker,all_legs
    3. 

  3. all_legs-risk-2-c0026-eth_btc_rsi_filter+eth_robust_twap,2022-01,12768.092810999571,12028.14850935938,-0.05795260988412754,maker_taker,all_legs
    4. 

  4. all_legs-equal-2-c0011-eth_btc_rsi_filter+eth_robust_twap,2022-01,12236.078178224714,11528.623128055313,-0.05781714041582264,maker_taker,all_legs
    5. 

  5. all_legs-equal-2-c0027-eth_btc_rsi_filter+eth_robust_twap,2022-01,12601.196277484161,11872.631142901522,-0.05781714041582231,maker_taker,all_legs
    6. 

  6. all_legs-equal-2-c0025-eth_btc_rsi_filter+eth_robust_twap,2022-01,12726.40050716026,11990.596422049784,-0.0578171404158222,maker_taker,all_legs
    7. 

  7. all_legs-equal-2-c0009-eth_btc_rsi_filter+eth_robust_twap,2022-01,12357.90073390808,11643.402251930924,-0.0578171404158222,maker_taker,all_legs
    8. 

  8. all_legs-risk-3-c0132-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2024-04,14072.020540505539,13313.526492028384,-0.05390086280032569,maker_taker,all_legs
    9. 

  9. all_legs-risk-3-c0120-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2024-04,14215.159313209355,13453.863380525992,-0.05355521636510485,maker_taker,all_legs
    10. 

  10. all_legs-equal-2-c0027-eth_btc_rsi_filter+eth_robust_twap,2024-04,14864.564481592419,14075.7379518494,-0.053067584369516196,maker_taker,all_legs
    11. 

  11. all_legs-risk-3-c0096-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-12,14501.406853482444,13770.5977439347,-0.05039573862947255,maker_taker,all_legs
    12. 

  12. all_legs-equal-2-c0015-eth_btc_rsi_filter+eth_robust_twap,2025-12,15148.19373100926,14387.816309340224,-0.05019591346475183,maker_taker,all_legs
    13. 

  13. all_legs-risk-3-c0090-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-01,11181.04507656979,10619.824267042148,-0.050193949285089356,maker_taker,all_legs
    14. 

  14. all_legs-risk-3-c0092-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-01,11096.42893579958,10539.918375370176,-0.05015222137222686,maker_taker,all_legs
    15. 

  15. all_legs-risk-2-c0016-eth_btc_rsi_filter+eth_robust_twap,2025-12,15518.497500104466,14743.263341457661,-0.04995549077103545,maker_taker,all_legs
    16. 

  16. all_legs-risk-3-c0130-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-01,11406.969708466708,10840.244043530303,-0.049682402901075284,maker_taker,all_legs
    17. 

  17. all_legs-risk-3-c0132-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-01,11325.59255372698,10763.612523722772,-0.049620364439057485,maker_taker,all_legs
    18. 

  18. all_legs-risk-3-c0084-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-12,14115.765920997832,13432.953724996862,-0.04837230936121273,maker_taker,all_legs
    19. 

  19. all_legs-risk-2-c0016-eth_btc_rsi_filter+eth_robust_twap,2022-01,12216.867880688653,11628.044495356045,-0.04819757331282659,maker_taker,all_legs
    20. 

  20. all_legs-risk-2-c0032-eth_btc_rsi_filter+eth_robust_twap,2022-01,12527.083570677176,11931.282861957396,-0.04756100694613419,maker_taker,all_legs
    21. 

  21. all_legs-risk-3-c0104-eth_btc_rsi_filter+btc_lead_eth_lag_5m+eth_robust_twap,2025-12,14151.336479926347,13479.266111598638,-0.04749165347605444,maker_taker,all_legs
    22. 

  22. all_legs-risk-3-c0078-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-01,11359.547140912282,10822.842981030752,-0.047246967966579345,maker_taker,all_legs
    23. 

  23. all_legs-risk-3-c0080-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-01,11280.033392485373,10748.668095998499,-0.0471067130741708,maker_taker,all_legs
    24. 

  24. all_legs-risk-3-c0092-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-12,15513.590174261672,14783.742088037436,-0.04704572429888698,maker_taker,all_legs
    25. 

  25. all_legs-equal-2-c0011-eth_btc_rsi_filter+eth_robust_twap,2022-04,12617.493660196862,12024.667297032818,-0.04698447878235701,maker_taker,all_legs
    26. 

  26. all_legs-equal-2-c0009-eth_btc_rsi_filter+eth_robust_twap,2022-04,12743.113593447968,12144.385043195447,-0.04698447878235701,maker_taker,all_legs
    27. 

  27. all_legs-equal-2-c0015-eth_btc_rsi_filter+eth_robust_twap,2022-01,12090.076442610773,11522.353062702661,-0.046957799034851644,maker_taker,all_legs
    28. 

  28. all_legs-equal-2-c0031-eth_btc_rsi_filter+eth_robust_twap,2022-01,12451.008995804099,11866.337017598004,-0.04695779903485142,maker_taker,all_legs
    29. 

  29. all_legs-risk-3-c0118-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-01,11595.979514423303,11055.283070846865,-0.04662792331634513,maker_taker,all_legs
    30. 

  30. all_legs-risk-3-c0120-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-01,11520.357080054608,10985.122319614586,-0.046459910636510005,maker_taker,all_legs
    31. 

  31. all_legs-risk-2-c0010-eth_btc_rsi_filter+eth_robust_twap,2022-04,12875.559151645462,12277.848033185757,-0.04642214846128212,maker_taker,all_legs
    32. 

  32. all_legs-equal-2-c0011-eth_btc_rsi_filter+eth_robust_twap,2025-12,16276.490258678066,15522.285658438013,-0.04633705352036421,maker_taker,all_legs
    33. 

  33. all_legs-risk-3-c0090-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-12,15892.993748093886,15158.901280930193,-0.04618969080332869,maker_taker,all_legs
    34. 

  34. all_legs-risk-2-c0010-eth_btc_rsi_filter+eth_robust_twap,2025-12,17089.93802979185,16312.428558898968,-0.04549516034157042,maker_taker,all_legs
    35. 

  35. all_legs-equal-2-c0009-eth_btc_rsi_filter+eth_robust_twap,2025-12,16861.83197368485,16096.042272999342,-0.04541556942808023,maker_taker,all_legs
    36. 

  36. all_legs-risk-3-c0080-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-12,15092.108306488819,14413.306430381552,-0.044977273043781296,maker_taker,all_legs
    37. 

  37. all_legs-risk-3-c0136-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2024-04,13383.473023319106,12785.25135459128,-0.04469853734419271,maker_taker,all_legs
    38. 

  38. all_legs-risk-3-c0130-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2024-04,13998.26557196986,13374.976219995096,-0.04452618424548527,maker_taker,all_legs
    39. 

  39. all_legs-risk-3-c0124-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2024-04,13516.059909507987,12916.613046429153,-0.04435071071689678,maker_taker,all_legs
    40. 

  40. all_legs-risk-3-c0078-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-12,15474.91780805166,14791.094927330008,-0.044189112291495025,maker_taker,all_legs
    41. 

  41. all_legs-risk-3-c0118-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2024-04,14135.613038470256,13511.055825044905,-0.0441832421222631,maker_taker,all_legs
    42. 

  42. all_legs-risk-3-c0152-eth_btc_rsi_filter+btc_lead_eth_lag_5m+eth_robust_twap,2024-04,13245.612879154898,12660.923714853876,-0.04414209970013305,maker_taker,all_legs
    43. 

  43. all_legs-equal-2-c0025-eth_btc_rsi_filter+eth_robust_twap,2022-04,13657.998833471604,13056.521650343484,-0.04403845617954527,maker_taker,all_legs
    44. 

  44. all_legs-equal-2-c0027-eth_btc_rsi_filter+eth_robust_twap,2022-04,13523.629400268574,12928.06963953644,-0.04403845617954505,maker_taker,all_legs
    45. 

  45. all_legs-risk-2-c0026-eth_btc_rsi_filter+eth_robust_twap,2022-04,13730.006743906706,13129.088630294544,-0.04376677483271052,maker_taker,all_legs
    46. 

  46. all_legs-risk-3-c0144-eth_btc_rsi_filter+btc_lead_eth_lag_5m+eth_robust_twap,2024-04,13355.550760154409,12773.365461344762,-0.04359126098689747,maker_taker,all_legs
    47. 

  47. all_legs-risk-2-c0032-eth_btc_rsi_filter+eth_robust_twap,2024-04,14315.560500195728,13694.562778846046,-0.04337921112772303,maker_taker,all_legs
    48. 

  48. all_legs-risk-3-c0136-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-12,15794.152695334078,15111.529053110591,-0.043220022966167004,maker_taker,all_legs
    49. 

  49. all_legs-risk-2-c0026-eth_btc_rsi_filter+eth_robust_twap,2024-04,15004.125164014034,14355.75564239482,-0.04321275079564557,maker_taker,all_legs
    50. 

  50. all_legs-risk-3-c0078-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-04,11867.016731710302,11355.242945533319,-0.04312573224991367,maker_taker,all_legs
    51. 

  51. all_legs-equal-2-c0031-eth_btc_rsi_filter+eth_robust_twap,2024-04,14146.073467214474,13538.511945070724,-0.0429491281486597,maker_taker,all_legs
    52. 

  52. all_legs-equal-2-c0025-eth_btc_rsi_filter+eth_robust_twap,2024-04,14911.600789514616,14271.160536304098,-0.0429491281486597,maker_taker,all_legs
    53. 

  53. all_legs-risk-3-c0092-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-01,13546.391003704619,12967.065078444479,-0.04276607142830202,maker_taker,all_legs
    54. 

  54. all_legs-equal-2-c0031-eth_btc_rsi_filter+eth_robust_twap,2025-12,16781.235038851777,16064.942040833226,-0.042684164565968796,maker_taker,all_legs
    55. 

  55. all_legs-risk-3-c0080-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-04,11810.812591351074,11306.918262079584,-0.04266381549737619,maker_taker,all_legs
    56. 

  56. all_legs-risk-2-c0032-eth_btc_rsi_filter+eth_robust_twap,2025-12,17039.502238745,16318.628939729937,-0.042306006884163416,maker_taker,all_legs
    57. 

  57. all_legs-risk-3-c0132-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-01,14657.205011641088,14048.78459038676,-0.04150998916717796,maker_taker,all_legs
    58. 

  58. all_legs-risk-3-c0104-eth_btc_rsi_filter+btc_lead_eth_lag_5m+eth_robust_twap,2022-01,11223.428147839719,10761.228246181607,-0.04118170451753422,maker_taker,all_legs
    59. 

  59. all_legs-risk-3-c0096-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-01,12958.235672288614,12425.279626707672,-0.041128750785161095,maker_taker,all_legs
    60. 

  60. all_legs-risk-3-c0124-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-12,15357.4991406338,14726.00052430891,-0.041119886157377716,maker_taker,all_legs
    61. 

  61. all_legs-risk-3-c0096-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-01,10972.139801495881,10526.484280413495,-0.040617010824235744,maker_taker,all_legs
    62. 

  62. all_legs-risk-3-c0118-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-04,12568.251059456521,12059.097679897839,-0.04051107645367957,maker_taker,all_legs
    63. 

  63. all_legs-risk-3-c0144-eth_btc_rsi_filter+btc_lead_eth_lag_5m+eth_robust_twap,2022-01,11454.877660435794,10992.98198023719,-0.04032305659570279,maker_taker,all_legs
    64. 

  64. all_legs-risk-3-c0144-eth_btc_rsi_filter+btc_lead_eth_lag_5m+eth_robust_twap,2025-12,15398.320426853468,14779.42582913487,-0.040192344396165036,maker_taker,all_legs
    65. 

  65. all_legs-risk-3-c0120-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-04,12531.909802554032,12031.45088143893,-0.03993476884210467,maker_taker,all_legs
    66. 

  66. all_legs-equal-2-c0015-eth_btc_rsi_filter+eth_robust_twap,2022-04,12489.537731617414,11991.720190534323,-0.03985876433383606,maker_taker,all_legs
    67. 

  67. all_legs-risk-3-c0136-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-01,13975.019181201467,13418.275636788845,-0.03983848159303616,maker_taker,all_legs
    68. 

  68. all_legs-risk-3-c0136-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-01,11189.149969127273,10744.532954649309,-0.03973644250946107,maker_taker,all_legs
    69. 

  69. all_legs-risk-2-c0016-eth_btc_rsi_filter+eth_robust_twap,2022-04,12667.426580308898,12164.843318829666,-0.039675245662010084,maker_taker,all_legs
    70. 

  70. all_legs-risk-3-c0132-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-12,16970.543474138758,16299.109167204044,-0.039564690898550525,maker_taker,all_legs
    71. 

  71. all_legs-risk-3-c0152-eth_btc_rsi_filter+btc_lead_eth_lag_5m+eth_robust_twap,2022-01,11583.80451320166,11127.687412658417,-0.03937541418481483,maker_taker,all_legs
    72. 

  72. all_legs-risk-3-c0090-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-04,11770.813368524536,11308.611934823908,-0.03926673707498973,maker_taker,all_legs
    73. 

  73. all_legs-risk-3-c0130-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-12,17347.041569119305,16671.634469503133,-0.03893500208234424,maker_taker,all_legs
    74. 

  74. all_legs-equal-2-c0027-eth_btc_rsi_filter+eth_robust_twap,2025-12,18028.968308436197,17329.31344535045,-0.038807260133590704,maker_taker,all_legs
    75. 

  75. all_legs-risk-3-c0092-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-04,11711.48183374309,11258.591558129301,-0.03867062102328689,maker_taker,all_legs
    76. 

  76. all_legs-risk-3-c0104-eth_btc_rsi_filter+btc_lead_eth_lag_5m+eth_robust_twap,2025-01,12941.839865346761,12442.049355605805,-0.0386181960942974,maker_taker,all_legs
    77. 

  77. all_legs-risk-3-c0152-eth_btc_rsi_filter+btc_lead_eth_lag_5m+eth_robust_twap,2025-12,15028.575350085332,14455.531367257992,-0.03813029309022864,maker_taker,all_legs
    78. 

  78. all_legs-equal-2-c0025-eth_btc_rsi_filter+eth_robust_twap,2025-12,18676.363457593423,17968.75695779438,-0.037887809444581366,maker_taker,all_legs
    79. 

  79. all_legs-risk-2-c0026-eth_btc_rsi_filter+eth_robust_twap,2025-12,18809.3220371432,18099.140102634803,-0.037756912934234665,maker_taker,all_legs
    80. 

  80. all_legs-risk-3-c0084-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-01,11149.480410393611,10730.007469370246,-0.03762264478552113,maker_taker,all_legs
    81. 

  81. all_legs-risk-3-c0120-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-12,16490.81395418217,15873.792960369003,-0.037416042381382075,maker_taker,all_legs
    82. 

  82. all_legs-risk-3-c0144-eth_btc_rsi_filter+btc_lead_eth_lag_5m+eth_robust_twap,2025-01,13956.216384707419,13436.598094728466,-0.03723203163776734,maker_taker,all_legs
    83. 

  83. all_legs-equal-2-c0031-eth_btc_rsi_filter+eth_robust_twap,2022-04,13388.314150397464,12894.299693328981,-0.0368989292840739,maker_taker,all_legs
    84. 

  84. all_legs-risk-3-c0118-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-12,16872.85862620017,16250.93358681008,-0.036859494479753674,maker_taker,all_legs
    85. 

  85. all_legs-risk-3-c0084-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-04,11675.780089936072,11246.960653777265,-0.03672726214914135,maker_taker,all_legs
    86. 

  86. all_legs-risk-3-c0080-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-01,13495.41418919899,12999.80441793046,-0.03672430977814589,maker_taker,all_legs
    87. 

  87. all_legs-risk-2-c0032-eth_btc_rsi_filter+eth_robust_twap,2022-04,13512.921539892628,13016.952250272077,-0.036703335259984926,maker_taker,all_legs
    88. 

  88. all_legs-risk-3-c0124-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-01,11376.938466605756,10960.189336114674,-0.036631043730644075,maker_taker,all_legs
    89. 

  89. all_legs-risk-3-c0130-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-04,12463.370140835457,12008.521218271164,-0.03649485792562712,maker_taker,all_legs
    90. 

  90. all_legs-risk-3-c0132-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-04,12423.294445583477,11978.876239863814,-0.03577297533003854,maker_taker,all_legs
    91. 

  91. all_legs-risk-3-c0104-eth_btc_rsi_filter+btc_lead_eth_lag_5m+eth_robust_twap,2022-04,11637.041024927034,11224.775108759108,-0.03542703985358775,maker_taker,all_legs
    92. 

  92. all_legs-risk-3-c0120-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-01,14598.915564002884,14084.543341498493,-0.03523359116979197,maker_taker,all_legs
    93. 

  93. all_legs-risk-3-c0084-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-01,12910.075470029658,12455.516346248874,-0.03520964109280611,maker_taker,all_legs
    94. 

  94. all_legs-risk-3-c0104-eth_btc_rsi_filter+btc_lead_eth_lag_5m+eth_robust_twap,2025-08,14607.056864834381,14098.512890902886,-0.03481495133737611,maker_taker,all_legs
    95. 

  95. all_legs-risk-3-c0152-eth_btc_rsi_filter+btc_lead_eth_lag_5m+eth_robust_twap,2022-04,12447.271051419715,12015.99720498665,-0.03464806419426969,maker_taker,all_legs
    96. 

  96. all_legs-risk-3-c0090-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-01,13783.05214635036,13312.269075697153,-0.03415666324514821,maker_taker,all_legs
    97. 

  97. all_legs-risk-3-c0124-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-04,12368.783828683207,11950.3555910218,-0.03382937590768398,maker_taker,all_legs
    98. 

  98. all_legs-risk-3-c0124-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-01,13920.182329871534,13451.150791702084,-0.033694353066263116,maker_taker,all_legs
    99. 

  99. all_legs-risk-3-c0096-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2022-04,11579.774552759134,11200.144621572952,-0.03278387929372317,maker_taker,all_legs
    100. 

  100. all_legs-risk-3-c0130-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap,2025-01,14882.021946765415,14396.613313099842,-0.03261711583291116,maker_taker,all_legs
    101. 

  101. all_legs-risk-3-c0152-eth_btc_rsi_filter+btc_lead_eth_lag_5m+eth_robust_twap,2025-01,13491.090521264781,13052.648795099247,-0.032498612730709864,maker_taker,all_legs
    102.