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eth-nextgen-micro-portfolio-worst-months.csv

eth-nextgen-micro-portfolio-worst-months.csv 12 KB
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  1. name,cost_model,month,start_equity,end_equity,return
    2. 

  2. nonoverlap-m0.40-r48_q0.15_mf0.4_us,taker_taker,2022-01,12535.384210039712,11498.23360344683,-0.08273783948019864
    3. 

  3. switch-l90-r48_q0.15_mf0.4_us,taker_taker,2022-01,14480.488288499117,13337.753051969996,-0.07891551816223763
    4. 

  4. nonoverlap-m0.40-r48_q0.15_mf0.4_us,maker_taker,2022-01,13746.724173038392,12662.487226291252,-0.07887238683916176
    5. 

  5. nonoverlap-m0.25-r48_q0.15_mf0.4_us,taker_taker,2022-01,12997.463628485066,11998.513803667825,-0.07685728949669501
    6. 

  6. nonoverlap-m0.40-r48_q0.15_mf0.25_us,taker_taker,2022-01,12998.959068033131,11999.980693695818,-0.0768506438945552
    7. 

  7. riskoff-overlay-l60-m0.40-r48_q0.15_mf0.4_us,taker_taker,2022-01,14122.916622195331,13045.84238280143,-0.07626429215769714
    8. 

  8. switch-l90-r48_q0.15_mf0.4_us,maker_taker,2022-01,15313.651694427426,14154.410545225528,-0.07569985084770747
    9. 

  9. switch-l30-r48_q0.15_mf0.4_us,maker_taker,2022-01,13690.885518920499,12654.48752716518,-0.07569985084770736
    10. 

  10. riskoff-overlay-l90-m0.40-r48_q0.15_mf0.4_us,taker_taker,2022-01,14088.689938475038,13044.819479242651,-0.07409279810904656
    11. 

  11. nonoverlap-m0.25-r48_q0.15_mf0.4_us,maker_taker,2022-01,14096.370349546145,13060.729658197872,-0.07346860685890089
    12. 

  12. nonoverlap-m0.40-r48_q0.15_mf0.25_us,maker_taker,2022-01,14097.867300864593,13062.216732462128,-0.07346150636124593
    13. 

  13. nonoverlap-m0.25-r48_q0.15_mf0.25_us,taker_taker,2022-01,13290.700370632618,12318.18629427514,-0.0731725228345651
    14. 

  14. riskoff-overlay-l60-m0.25-r48_q0.15_mf0.4_us,taker_taker,2022-01,13996.182927098816,12977.427879550536,-0.0727880632065625
    15. 

  15. riskoff-overlay-l60-m0.40-r48_q0.15_mf0.25_us,taker_taker,2022-01,13996.41869736836,12977.837983678502,-0.07277438148384163
    16. 

  16. switch-l90-r48_q0.15_mf0.25_us,taker_taker,2022-01,14209.092241018738,13181.342431594636,-0.072330434062297
    17. 

  17. riskoff-overlay-l60-m0.40-r48_q0.15_mf0.4_us,maker_taker,2022-01,15059.933980989665,13971.99255059607,-0.07224078350986907
    18. 

  18. switch-l30-r48_q0.15_mf0.25_us,taker_taker,2022-01,13162.673359883893,12216.622002426639,-0.0718738003740601
    19. 

  19. riskoff-overlay-l90-m0.40-r48_q0.15_mf0.25_us,taker_taker,2022-01,13974.761730409113,12976.491575050171,-0.0714337871812657
    20. 

  20. riskoff-overlay-l90-m0.25-r48_q0.15_mf0.4_us,taker_taker,2022-01,13975.288194580897,12977.040509434824,-0.071429488340223
    21. 

  21. riskoff-overlay-l30-m0.40-r48_q0.15_mf0.25_us,taker_taker,2022-01,13568.65157130771,12602.233045802815,-0.07122436009400401
    22. 

  22. switch-l30-r48_q0.15_mf0.4_us,taker_taker,2025-01,17928.642175041008,16655.476049189878,-0.0710129698290004
    23. 

  23. switch-l30-r96_q0.15_mf0.4_us,taker_taker,2025-01,19153.563217106646,17793.411810252404,-0.07101296982900018
    24. 

  24. riskoff-overlay-l60-m0.25-r48_q0.15_mf0.25_us,taker_taker,2022-01,13916.537445663358,12933.810751315094,-0.0706157475007908
    25. 

  25. riskoff-overlay-l30-m0.40-r48_q0.15_mf0.4_us,maker_taker,2022-01,14372.993659537611,13358.104371790127,-0.0706108491931342
    26. 

  26. riskoff-overlay-l90-m0.40-r48_q0.15_mf0.4_us,maker_taker,2022-01,14959.569727765907,13903.261805724454,-0.0706108491931341
    27. 

  27. nonoverlap-m0.25-r48_q0.15_mf0.25_us,maker_taker,2022-01,14314.820381077669,13311.57756304637,-0.0700842058317026
    28. 

  28. switch-l30-r48_q0.15_mf0.25_us,maker_taker,2022-01,13973.597315521753,12995.79772797247,-0.06997479356751979
    29. 

  29. switch-l90-r48_q0.15_mf0.25_us,maker_taker,2022-01,15239.308872946393,14172.941380450296,-0.06997479356751979
    30. 

  30. nonoverlap-m0.40-r96_q0.15_mf0.4_us,taker_taker,2022-01,14171.770580097354,13182.34643637625,-0.06981655101802442
    31. 

  31. riskoff-overlay-l30-m0.40-r48_q0.15_mf0.4_us,taker_taker,2022-01,13439.18763162268,12501.346569640373,-0.06978405895424433
    32. 

  32. riskoff-overlay-l90-m0.25-r48_q0.15_mf0.25_us,taker_taker,2022-01,13903.19744068023,12933.068757028572,-0.0697773794690636
    33. 

  33. riskoff-overlay-l30-m0.25-r48_q0.15_mf0.25_us,taker_taker,2022-01,13648.85277967263,12698.318215704523,-0.06964208489256674
    34. 

  34. riskoff-overlay-l60-m0.25-r48_q0.15_mf0.4_us,maker_taker,2022-01,14916.057862244428,13882.350805539467,-0.0693016255535911
    35. 

  35. riskoff-overlay-l60-m0.40-r48_q0.15_mf0.25_us,maker_taker,2022-01,14916.208567221302,13882.678607659684,-0.06928905257015672
    36. 

  36. nonoverlap-m0.25-r96_q0.15_mf0.4_us,taker_taker,2022-01,14029.633392144015,13064.993849296394,-0.06875728794080804
    37. 

  37. nonoverlap-m0.40-r96_q0.15_mf0.25_us,taker_taker,2022-01,14032.638377575477,13067.886293668294,-0.06875058402765377
    38. 

  38. riskoff-overlay-l30-m0.25-r48_q0.15_mf0.4_us,taker_taker,2022-01,13567.961495250318,12635.537150565646,-0.06872250816831127
    39. 

  39. switch-l30-r48_q0.15_mf0.4_us,maker_taker,2025-01,21643.33763665235,20158.210886542216,-0.06861819443204165
    40. 

  40. switch-l30-r96_q0.15_mf0.4_us,maker_taker,2025-01,21813.266714430254,20316.4797378215,-0.06861819443204142
    41. 

  41. switch-l30-r48_q0.15_mf0.4_us,taker_taker,2022-01,12842.333928140588,11965.205934806698,-0.06829973416373292
    42. 

  42. riskoff-overlay-l90-m0.40-r48_q0.15_mf0.25_us,maker_taker,2022-01,14921.803427332741,13902.817369077731,-0.06828839846452484
    43. 

  43. riskoff-overlay-l30-m0.40-r48_q0.15_mf0.25_us,maker_taker,2022-01,14487.044262779236,13497.747211589362,-0.06828839846452472
    44. 

  44. riskoff-overlay-l30-m0.25-r48_q0.15_mf0.4_us,maker_taker,2022-01,14486.323888833524,13497.15138193251,-0.0682831969305544
    45. 

  45. riskoff-overlay-l90-m0.25-r48_q0.15_mf0.4_us,maker_taker,2022-01,14854.426350594416,13840.118630806364,-0.06828319693055418
    46. 

  46. nonoverlap-m0.25-r96_q0.15_mf0.25_us,taker_taker,2022-01,13940.28449930699,12990.943021481175,-0.06810058129538243
    47. 

  47. nonoverlap-m0.40-r48_q0.15_mf0.4_us,taker_taker,2021-03,11548.26204811384,10767.600287310866,-0.06759993473913917
    48. 

  48. riskoff-overlay-l60-m0.25-r48_q0.15_mf0.25_us,maker_taker,2022-01,14825.733468439013,13825.47498928035,-0.06746772301606607
    49. 

  49. riskoff-overlay-l30-m0.40-r96_q0.15_mf0.4_us,taker_taker,2022-01,14186.021607524268,13231.322720185126,-0.06729856430169046
    50. 

  50. riskoff-overlay-l60-m0.40-r96_q0.15_mf0.4_us,taker_taker,2022-01,14279.713446357457,13318.709232778057,-0.06729856430169034
    51. 

  51. riskoff-overlay-l60-m0.25-r96_q0.15_mf0.4_us,taker_taker,2022-01,14092.144675360638,13145.465464110428,-0.0671777953646352
    52. 

  52. riskoff-overlay-l30-m0.25-r96_q0.15_mf0.4_us,taker_taker,2022-01,14034.192870060098,13091.40673332738,-0.06717779536463508
    53. 

  53. riskoff-overlay-l60-m0.40-r96_q0.15_mf0.25_us,taker_taker,2022-01,14092.562799781472,13146.04947702706,-0.06716403085811262
    54. 

  54. riskoff-overlay-l30-m0.40-r96_q0.15_mf0.25_us,taker_taker,2022-01,14034.536386580556,13091.920351632954,-0.06716403085811262
    55. 

  55. riskoff-overlay-l60-m0.25-r96_q0.15_mf0.25_us,taker_taker,2022-01,13975.838212705376,13037.965372347335,-0.06710673278296997
    56. 

  56. riskoff-overlay-l30-m0.25-r96_q0.15_mf0.25_us,taker_taker,2022-01,13939.808400626584,13004.353403239937,-0.06710673278296986
    57. 

  57. riskoff-overlay-l120-m0.40-r96_q0.15_mf0.4_us,taker_taker,2022-01,14235.871972699519,13281.589552859223,-0.06703364723076655
    58. 

  58. riskoff-overlay-l120-m0.25-r96_q0.15_mf0.25_us,taker_taker,2022-01,13959.190526809387,13023.45507340819,-0.06703364723076644
    59. 

  59. switch-l120-r96_q0.15_mf0.25_us,taker_taker,2022-01,14537.940356223944,13563.409190922906,-0.06703364723076632
    60. 

  60. riskoff-overlay-l120-m0.40-r96_q0.15_mf0.25_us,taker_taker,2022-01,14065.38323053303,13122.529292891943,-0.06703364723076632
    61. 

  61. switch-l120-r48_q0.15_mf0.25_us,taker_taker,2022-01,13673.470399658452,12756.887808467422,-0.06703364723076632
    62. 

  62. riskoff-overlay-l120-m0.40-r48_q0.15_mf0.25_us,taker_taker,2022-01,13860.948557567583,12931.798621675798,-0.06703364723076632
    63. 

  63. riskoff-overlay-l120-m0.40-r48_q0.15_mf0.4_us,taker_taker,2022-01,13964.846166331266,13028.731594785497,-0.06703364723076632
    64. 

  64. riskoff-overlay-l120-m0.25-r48_q0.15_mf0.4_us,taker_taker,2022-01,13898.054653570172,12966.417360728841,-0.06703364723076621
    65. 

  65. riskoff-overlay-l120-m0.25-r48_q0.15_mf0.25_us,taker_taker,2022-01,13832.206072123365,12904.982849861384,-0.06703364723076621
    66. 

  66. switch-l120-r96_q0.15_mf0.4_us,taker_taker,2022-01,14966.93859014252,13963.650108566364,-0.06703364723076621
    67. 

  67. equal-2-c0003,taker_taker,2022-01,13782.447404956783,12858.559687636322,-0.06703364723076621
    68. 

  68. riskoff-overlay-l120-m0.25-r96_q0.15_mf0.4_us,taker_taker,2022-01,14065.61699062927,13122.747383196356,-0.06703364723076621
    69. 

  69. switch-l120-r48_q0.15_mf0.4_us,taker_taker,2022-01,13915.157366982898,12982.37361688397,-0.0670336472307661
    70. 

  70. riskoff-overlay-l30-m0.25-r48_q0.15_mf0.25_us,maker_taker,2022-01,14557.368801406974,13584.318383630867,-0.06684246521816917
    71. 

  71. riskoff-overlay-l90-m0.25-r48_q0.15_mf0.25_us,maker_taker,2022-01,14829.469427869915,13838.23113343362,-0.06684246521816906
    72. 

  72. switch-l30-r48_q0.15_mf0.4_us,taker_taker,2021-07,11378.199037631199,10619.25784735109,-0.06670134594851596
    73. 

  73. riskoff-overlay-l90-m0.25-r96_q0.15_mf0.25_us,taker_taker,2022-01,13943.241161566164,13014.204211239872,-0.06662991334375934
    74. 

  74. nonoverlap-m0.40-r96_q0.15_mf0.4_us,maker_taker,2022-01,15369.624473334568,14348.522253496465,-0.06643638051207157
    75. 

  75. riskoff-overlay-l90-m0.40-r96_q0.15_mf0.25_us,taker_taker,2022-01,14039.85866527302,13107.624004367448,-0.06639914853355422
    76. 

  76. riskoff-overlay-l90-m0.25-r96_q0.15_mf0.4_us,taker_taker,2022-01,14039.669371270438,13107.507960870353,-0.06639482638441474
    77. 

  77. riskoff-overlay-l90-m0.40-r96_q0.15_mf0.4_us,taker_taker,2022-01,14194.342638977934,13256.936601521016,-0.06604082071985384
    78. 

  78. nonoverlap-m0.25-r96_q0.15_mf0.4_us,maker_taker,2022-01,15110.635958933632,14118.229687788067,-0.06567600952353292
    79. 

  79. nonoverlap-m0.40-r96_q0.15_mf0.25_us,maker_taker,2022-01,15113.7340861955,14121.23256002149,-0.06566884930710382
    80. 

  80. nonoverlap-m0.25-r96_q0.15_mf0.25_us,maker_taker,2022-01,14949.532250593678,13974.73308768401,-0.0652059975234982
    81. 

  81. equal-2-c0003,maker_taker,2022-01,14674.139052431323,13728.37225290863,-0.0644512632832106
    82. 

  82. riskoff-overlay-l120-m0.25-r48_q0.15_mf0.25_us,maker_taker,2022-01,14726.076281686424,13776.962062126811,-0.06445126328321049
    83. 

  83. switch-l120-r96_q0.15_mf0.25_us,maker_taker,2022-01,15584.877066052864,14580.412051032223,-0.06445126328321049
    84. 

  84. switch-l120-r48_q0.15_mf0.25_us,maker_taker,2022-01,14416.747702645236,13487.570100774428,-0.06445126328321049
    85. 

  85. riskoff-overlay-l120-m0.25-r48_q0.15_mf0.4_us,maker_taker,2022-01,14756.185702862851,13805.130893071693,-0.06445126328321038
    86. 

  86. riskoff-overlay-l120-m0.40-r96_q0.15_mf0.4_us,maker_taker,2022-01,15325.494738726813,14337.747242375675,-0.06445126328321038
    87. 

  87. switch-l120-r48_q0.15_mf0.4_us,maker_taker,2022-01,14513.040160136015,13577.656387735284,-0.06445126328321038
    88. 

  88. switch-l120-r96_q0.15_mf0.4_us,maker_taker,2022-01,16210.499989629754,15165.712786845648,-0.06445126328321038
    89. 

  89. riskoff-overlay-l120-m0.40-r96_q0.15_mf0.25_us,maker_taker,2022-01,15079.363757722664,14107.47971403038,-0.06445126328321038
    90. 

  90. riskoff-overlay-l120-m0.25-r96_q0.15_mf0.4_us,maker_taker,2022-01,15079.651648787993,14107.749050152861,-0.06445126328321038
    91. 

  91. riskoff-overlay-l120-m0.40-r48_q0.15_mf0.4_us,maker_taker,2022-01,14802.376891760054,13848.345001491918,-0.06445126328321027
    92. 

  92. riskoff-overlay-l120-m0.25-r96_q0.15_mf0.25_us,maker_taker,2022-01,14926.781535005113,13964.731608321537,-0.06445126328321027
    93. 

  93. riskoff-overlay-l120-m0.40-r48_q0.15_mf0.25_us,maker_taker,2022-01,14756.056629226825,13805.010138394568,-0.06445126328321016
    94. 

  94. riskoff-overlay-l60-m0.25-r96_q0.15_mf0.25_us,maker_taker,2022-01,14850.284886461757,13898.307934430775,-0.06410496224882867
    95. 

  95. riskoff-overlay-l60-m0.25-r96_q0.15_mf0.4_us,maker_taker,2022-01,14955.9628418748,13999.92483207962,-0.06392353470673218
    96. 

  96. riskoff-overlay-l60-m0.40-r96_q0.15_mf0.25_us,maker_taker,2022-01,14956.379592851505,14000.504075809442,-0.06391088906963349
    97. 

  97. riskoff-overlay-l30-m0.25-r96_q0.15_mf0.25_us,maker_taker,2022-01,14856.738576573654,13909.018706972307,-0.06379057319455883
    98. 

  98. riskoff-overlay-l90-m0.25-r96_q0.15_mf0.25_us,maker_taker,2022-01,14865.39109825655,13917.119279337474,-0.06379057319455872
    99. 

  99. switch-l30-r48_q0.15_mf0.4_us,maker_taker,2021-07,11871.405918968227,11115.79535882787,-0.06364962712066269
    100. 

  100. riskoff-overlay-l60-m0.40-r96_q0.15_mf0.4_us,maker_taker,2022-01,15126.08165914207,14163.429475562536,-0.06364187403402755
    101. 

  101. riskoff-overlay-l30-m0.40-r96_q0.15_mf0.25_us,maker_taker,2022-01,14966.784143085632,14017.803869306112,-0.06340575668808124
    102.