eth-robust-twap-fill-slippage-summary.md 46 KB
ETH Robust Price TWAP fill/slippage stress
Baseline: ETH 15m RSI2 long price-TWAP, trend=60, rsi=3, exit=50, stop=0.012, max_hold=48, offsets=(0.003,0.006,0.009), valid=4.
Stress dimensions: fill_buffer 0/0.0002/0.0005/0.001; additional adverse price_slippage 0/0.0002/0.0005 on entries and exits; deterministic maker miss ratio 0/10%/25%. A missed maker fill removes that fill opportunity.
Decision: 暂不值得实盘小仓. Harshest maker_taker scenario fb0.0010-ps0.0005-mm25 has 3y annualized=-0.0435, 1y/6m/3m min total return=-0.0939, worst rolling 365D return=-0.2069, worst month=2025-12 -0.0873.
Best maker_taker scenario: fb0.0000-ps0.0000-mm25 3y Calmar=1.1604, worst rolling 365D return=-0.1080. Worst ranked maker_taker scenario: fb0.0010-ps0.0005-mm10 3y Calmar=-0.3134, worst rolling 365D return=-0.2151.
Maker_taker ranked scenarios
| scenario_id | trades | fill_attempts | missed_fills | actual_miss_ratio | net_annualized_return_3y | net_calmar_3y | net_total_return_1y | net_total_return_6m | net_total_return_3m | worst_365_start | worst_365_end | worst_365_total_return | worst_month | worst_month_return |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| fb0.0000-ps0.0000-mm25 | 296 | 636 | 159 | 0.25 | 0.0980112071730781 | 1.1603630583688582 | 0.12714355148738665 | 0.05728180640356184 | 0.10826361454446998 | 2021-05-20 | 2022-05-20 | -0.10801686172588731 | 2022-04 | -0.05702686768594101 |
| fb0.0002-ps0.0000-mm25 | 297 | 618 | 154 | 0.24919093851132687 | 0.06896818574698771 | 0.9050703853023281 | 0.059498309425950247 | 0.028399433434151522 | 0.06824700996604816 | 2021-05-20 | 2022-05-20 | -0.10097346442539168 | 2022-04 | -0.057026867685940785 |
| fb0.0000-ps0.0000-mm00 | 339 | 636 | 0 | 0.0 | 0.09459326800117562 | 0.7434326776384158 | 0.08807129207789965 | 0.0328189885466319 | 0.10968801187241373 | 2021-05-20 | 2022-05-20 | -0.10098988574010825 | 2025-12 | -0.07553547207367417 |
| fb0.0000-ps0.0002-mm25 | 296 | 636 | 159 | 0.25 | 0.06822813545520856 | 0.7164698953833312 | 0.09232807979083923 | 0.03906378280205658 | 0.1003534502803074 | 2021-05-20 | 2022-05-20 | -0.13909245795293879 | 2022-04 | -0.05893172338192221 |
| fb0.0002-ps0.0000-mm00 | 328 | 618 | 0 | 0.0 | 0.08064896201099137 | 0.6206297166200956 | 0.06916061732211642 | 0.0261602347759875 | 0.10253367087439202 | 2021-05-20 | 2022-05-20 | -0.11007278668642273 | 2025-12 | -0.07553547207367406 |
| fb0.0002-ps0.0000-mm10 | 312 | 621 | 62 | 0.0998389694041868 | 0.0783694278674143 | 0.5674534201678418 | 0.037375013978735216 | 0.0005435967683986576 | 0.08578266595140516 | 2020-03-27 | 2021-03-27 | -0.09188131845575409 | 2025-12 | -0.0779267522705166 |
| fb0.0002-ps0.0002-mm25 | 297 | 618 | 154 | 0.24919093851132687 | 0.0407225459222762 | 0.46872362513045535 | 0.028172094693990957 | 0.010441658126865594 | 0.06058881534809912 | 2021-05-20 | 2022-05-20 | -0.1317795923387226 | 2022-04 | -0.05893172338192243 |
| fb0.0000-ps0.0000-mm10 | 324 | 637 | 63 | 0.0989010989010989 | 0.04746446836171159 | 0.399288254525161 | 0.07415496532376786 | 0.018217975748332282 | 0.09749018228823303 | 2021-05-20 | 2022-05-20 | -0.10069909061911597 | 2025-12 | -0.07918429658856696 |
| fb0.0000-ps0.0002-mm00 | 339 | 636 | 0 | 0.0 | 0.05514416132154243 | 0.39112920553490976 | 0.04351544770397986 | 0.008911650876965549 | 0.09868437783462469 | 2021-05-20 | 2022-05-20 | -0.14335996019876807 | 2025-12 | -0.08000647558322693 |
| fb0.0005-ps0.0000-mm00 | 304 | 584 | 0 | 0.0 | 0.05083238728376571 | 0.3508260200297494 | 0.013479359436639582 | -0.006087126693428591 | 0.0789755745972287 | 2021-05-20 | 2022-05-20 | -0.12029527870129375 | 2025-12 | -0.08195701816243317 |
| fb0.0005-ps0.0000-mm10 | 297 | 585 | 58 | 0.09914529914529914 | 0.040272847025863756 | 0.3231628935004928 | 0.008480911621070675 | -0.00968553861224597 | 0.06664881862550853 | 2021-05-20 | 2022-05-20 | -0.153629579880453 | 2025-12 | -0.0843316879696594 |
| fb0.0005-ps0.0000-mm25 | 270 | 584 | 146 | 0.25 | 0.03653586768911965 | 0.30492026612638673 | 0.017834803108164987 | 0.0036628884548421947 | 0.06704132144805608 | 2020-03-08 | 2021-03-08 | -0.08807779044852548 | 2022-09 | -0.0593383074231385 |
| fb0.0002-ps0.0002-mm00 | 328 | 618 | 0 | 0.0 | 0.042813031259993695 | 0.298745118120097 | 0.027431877516877368 | 0.0028085579860424037 | 0.09203823314008952 | 2021-05-20 | 2022-05-20 | -0.150662448717916 | 2025-12 | -0.08000647558322693 |
| fb0.0002-ps0.0002-mm10 | 312 | 621 | 62 | 0.0998389694041868 | 0.04401869246225654 | 0.29348304013565185 | 0.0012576068016798558 | -0.019507007716955238 | 0.07671498425170431 | 2020-03-27 | 2021-03-27 | -0.1512303844684556 | 2025-12 | -0.0820209852750784 |
| fb0.0000-ps0.0005-mm25 | 296 | 636 | 159 | 0.25 | 0.01856632009872561 | 0.16704989339941514 | 0.04209081481095822 | 0.012309265602021613 | 0.08858522794341783 | 2021-05-20 | 2022-05-20 | -0.1837064298453548 | 2022-04 | -0.06178157461718914 |
| fb0.0010-ps0.0000-mm25 | 253 | 532 | 133 | 0.25 | 0.014974095280571253 | 0.11437894216471094 | -0.04117719291328237 | -0.05926572370126826 | 0.04061604850932077 | 2021-05-20 | 2022-05-20 | -0.14004649026672789 | 2025-12 | -0.08221424203645455 |
| fb0.0005-ps0.0002-mm00 | 304 | 584 | 0 | 0.0 | 0.017145964907559375 | 0.10990557931394554 | -0.02100810775616846 | -0.025600537727118677 | 0.07083702653888069 | 2021-05-20 | 2022-05-20 | -0.15941091646652417 | 2025-12 | -0.08566779569802097 |
| fb0.0000-ps0.0002-mm10 | 324 | 637 | 63 | 0.0989010989010989 | 0.013668887981147293 | 0.104194992558602 | 0.034506388948578604 | -0.002962851255431942 | 0.08747683797544736 | 2021-05-20 | 2022-05-20 | -0.1385983074265048 | 2025-12 | -0.0829060888636921 |
| fb0.0005-ps0.0002-mm25 | 270 | 584 | 146 | 0.25 | 0.011571509457442009 | 0.09013934009210954 | -0.007887486999696769 | -0.010879558898553188 | 0.06110798743120327 | 2021-05-20 | 2022-05-20 | -0.11793760353506977 | 2022-09 | -0.061050305304441665 |
| fb0.0005-ps0.0002-mm10 | 297 | 585 | 58 | 0.09914529914529914 | 0.010078318621863591 | 0.07468568275010179 | -0.022720845530251887 | -0.02737903684642895 | 0.059441636218859006 | 2021-05-20 | 2022-05-20 | -0.1870652396565855 | 2025-12 | -0.08766990879800829 |
| fb0.0010-ps0.0000-mm00 | 279 | 532 | 0 | 0.0 | 0.0014237126107430331 | 0.008966108325523527 | -0.04447704570703748 | -0.043731105226319955 | 0.058071278367233914 | 2021-05-20 | 2022-05-20 | -0.15251303005995342 | 2025-12 | -0.08981206392145291 |
| fb0.0010-ps0.0000-mm10 | 265 | 532 | 53 | 0.09962406015037593 | -0.00023953218975059087 | -0.001625408850966933 | -0.05596324281975473 | -0.04662066736563497 | 0.040251346250947506 | 2021-05-20 | 2022-05-20 | -0.13758605090259401 | 2022-01 | -0.08492575729218654 |
| fb0.0002-ps0.0005-mm25 | 297 | 618 | 154 | 0.24919093851132687 | -0.0002650132282643325 | -0.002581132526543933 | -0.01710771087709717 | -0.015915425816797724 | 0.049204036064786516 | 2021-05-20 | 2022-05-20 | -0.17603461570849477 | 2022-04 | -0.06178157461718936 |
| fb0.0000-ps0.0005-mm00 | 339 | 636 | 0 | 0.0 | -0.0013997354673191964 | -0.008682493265034168 | -0.01994901571868446 | -0.025929442097401556 | 0.08237753414064586 | 2021-05-20 | 2022-05-20 | -0.20323548979677775 | 2025-12 | -0.08667536940281106 |
| fb0.0002-ps0.0005-mm10 | 312 | 621 | 62 | 0.0998389694041868 | -0.00548589089431939 | -0.032749957658661524 | -0.05059637709458209 | -0.04884299271116166 | 0.06325040427049955 | 2020-03-27 | 2021-03-27 | -0.17767407950102942 | 2025-12 | -0.08813125880354122 |
| fb0.0010-ps0.0002-mm25 | 253 | 532 | 133 | 0.25 | -0.006309784517752992 | -0.04459979431207967 | -0.06263444355858527 | -0.07107854309145223 | 0.03563370504114638 | 2021-05-20 | 2022-05-20 | -0.1673553895547799 | 2025-12 | -0.08425659590244328 |
| fb0.0002-ps0.0005-mm00 | 328 | 618 | 0 | 0.0 | -0.011492603829138637 | -0.07051593610333624 | -0.03215573302464947 | -0.03124018341868129 | 0.07647629110527165 | 2021-05-20 | 2022-05-20 | -0.20813217152782004 | 2025-12 | -0.08667536940281095 |
| fb0.0010-ps0.0002-mm00 | 279 | 532 | 0 | 0.0 | -0.026819846927434443 | -0.15895022985545892 | -0.07333840083506282 | -0.06028269212495796 | 0.05090759453519467 | 2021-05-20 | 2022-05-20 | -0.1876145073389076 | 2025-12 | -0.09276687577476128 |
| fb0.0010-ps0.0002-mm10 | 265 | 532 | 53 | 0.09962406015037593 | -0.025576170110328422 | -0.1632190044656909 | -0.08136185940333762 | -0.06142854932043651 | 0.03402651249030786 | 2021-05-20 | 2022-05-20 | -0.1694717954919711 | 2022-01 | -0.08715488741628585 |
| fb0.0005-ps0.0005-mm25 | 270 | 584 | 146 | 0.25 | -0.024768536881032754 | -0.17505433047830588 | -0.0452739943661602 | -0.03231324891239018 | 0.05226441912603241 | 2021-05-25 | 2022-05-25 | -0.16182129218137575 | 2022-09 | -0.0636136006880661 |
| fb0.0005-ps0.0005-mm00 | 304 | 584 | 0 | 0.0 | -0.03138832876190323 | -0.18205421058620178 | -0.07057539180711148 | -0.054167048445646904 | 0.058738111793789294 | 2021-05-20 | 2022-05-20 | -0.21487491698740224 | 2025-12 | -0.09120810880219199 |
| fb0.0000-ps0.0005-mm10 | 324 | 637 | 63 | 0.0989010989010989 | -0.03500435039721361 | -0.21272567328365483 | -0.022260058095047164 | -0.0339203703204457 | 0.0726250545931697 | 2021-05-25 | 2022-05-25 | -0.19269920326000034 | 2025-12 | -0.08846330398426117 |
| fb0.0005-ps0.0005-mm10 | 297 | 585 | 58 | 0.09914529914529914 | -0.0335926118325337 | -0.22364391060194738 | -0.06774249264756038 | -0.05333789698667224 | 0.048718472425956394 | 2021-05-20 | 2022-05-20 | -0.23477629871674055 | 2025-12 | -0.09265677276847462 |
| fb0.0010-ps0.0005-mm25 | 253 | 532 | 133 | 0.25 | -0.043499038308114635 | -0.27421786661281516 | -0.09393042567712051 | -0.08852394403062125 | 0.02820375085134863 | 2021-05-25 | 2022-05-25 | -0.20691053288041616 | 2025-12 | -0.0873138326490358 |
| fb0.0010-ps0.0005-mm00 | 279 | 532 | 0 | 0.0 | -0.06771448620611398 | -0.3018366517977474 | -0.11502185732199832 | -0.08458457519122631 | 0.040248464526315475 | 2021-05-20 | 2022-05-20 | -0.23758864910041855 | 2025-12 | -0.09718452330918448 |
| fb0.0010-ps0.0005-mm10 | 265 | 532 | 53 | 0.09962406015037593 | -0.062395457616116645 | -0.31337743317112604 | -0.118195480163784 | -0.08321922225896927 | 0.024756367929046785 | 2021-05-20 | 2022-05-20 | -0.21512951721068074 | 2022-01 | -0.09049006194232967 |
Three cost total metrics
| cost_model | scenario_id | trades | net_annualized_return | net_max_drawdown | net_calmar | net_sharpe_daily |
|---|---|---|---|---|---|---|
| maker_maker | fb0.0000-ps0.0000-mm00 | 339 | 0.09614416420914917 | 0.11471927586617364 | 0.8380820353268847 | 0.8610880251857551 |
| maker_maker | fb0.0000-ps0.0000-mm10 | 324 | 0.06957749010965708 | 0.10758456242015825 | 0.646723735678087 | 0.6735400981232692 |
| maker_maker | fb0.0000-ps0.0000-mm25 | 296 | 0.07839136009079106 | 0.09130572945376804 | 0.8585590472773554 | 0.8619730708845682 |
| maker_maker | fb0.0000-ps0.0002-mm00 | 339 | 0.04910281999490396 | 0.13371622446386502 | 0.36721662006074157 | 0.47778645496060135 |
| maker_maker | fb0.0000-ps0.0002-mm10 | 324 | 0.03505913255922355 | 0.14277766611617718 | 0.24555053680942074 | 0.37383804356261946 |
| maker_maker | fb0.0000-ps0.0002-mm25 | 296 | 0.04926009954986155 | 0.1215472483507577 | 0.4052753165395247 | 0.5710134791722584 |
| maker_maker | fb0.0000-ps0.0005-mm00 | 339 | -0.006887739293428119 | 0.22865473292731878 | -0.030122880927277752 | -0.004239551052452284 |
| maker_maker | fb0.0000-ps0.0005-mm10 | 324 | -0.014660814949610357 | 0.26427768231971716 | -0.055475039817679477 | -0.08445420868823231 |
| maker_maker | fb0.0000-ps0.0005-mm25 | 296 | 0.004001144568009263 | 0.20278513943446105 | 0.019730955528437077 | 0.08965253217776056 |
| maker_maker | fb0.0002-ps0.0000-mm00 | 328 | 0.0828712770996507 | 0.1177304618035673 | 0.7039068379594146 | 0.7564562738219878 |
| maker_maker | fb0.0002-ps0.0000-mm10 | 312 | 0.08118304272822985 | 0.1270482297822392 | 0.6389938912756019 | 0.7898759641216869 |
| maker_maker | fb0.0002-ps0.0000-mm25 | 297 | 0.058312713915912084 | 0.11646497615037704 | 0.5006888409148856 | 0.6705614519019168 |
| maker_maker | fb0.0002-ps0.0002-mm00 | 328 | 0.03757138927460346 | 0.1457658848024551 | 0.25775159479545556 | 0.3815191746527079 |
| maker_maker | fb0.0002-ps0.0002-mm10 | 312 | 0.039416848904977764 | 0.15821064700466825 | 0.24914156949130425 | 0.41815955564086416 |
| maker_maker | fb0.0002-ps0.0002-mm25 | 297 | 0.030490805642374497 | 0.1270425778817091 | 0.24000462011062823 | 0.3791430732889783 |
| maker_maker | fb0.0002-ps0.0005-mm00 | 328 | -0.016136411720328647 | 0.25279367634112976 | -0.06383233929694324 | -0.08739590375324056 |
| maker_maker | fb0.0002-ps0.0005-mm10 | 312 | -0.009434894215200718 | 0.19728709666649777 | -0.04782316925242126 | -0.037394055245867856 |
| maker_maker | fb0.0002-ps0.0005-mm25 | 297 | -0.00989131122622433 | 0.2088822584835514 | -0.04735352489021096 | -0.06696484616747649 |
| maker_maker | fb0.0005-ps0.0000-mm00 | 304 | 0.05781584950143359 | 0.13443823666581095 | 0.430055101400603 | 0.5535817300883208 |
| maker_maker | fb0.0005-ps0.0000-mm10 | 297 | 0.04190249367417054 | 0.13059219121765916 | 0.32086523155378627 | 0.4484683328382124 |
| maker_maker | fb0.0005-ps0.0000-mm25 | 270 | 0.03274594054149915 | 0.11177906205387181 | 0.2929523646004229 | 0.3992393026434294 |
| maker_maker | fb0.0005-ps0.0002-mm00 | 304 | 0.015733490424988394 | 0.15204045303377672 | 0.10348226482522452 | 0.1948815708823736 |
| maker_maker | fb0.0005-ps0.0002-mm10 | 297 | 0.011096592632833024 | 0.18304508005058095 | 0.06062218459937135 | 0.15902901244487921 |
| maker_maker | fb0.0005-ps0.0002-mm25 | 270 | 0.007373653414244119 | 0.13134627284279296 | 0.05613903809108897 | 0.12663267285279742 |
| maker_maker | fb0.0005-ps0.0005-mm00 | 304 | -0.03374900495674882 | 0.2797937803016296 | -0.12062099779475424 | -0.24909960470401873 |
| maker_maker | fb0.0005-ps0.0005-mm10 | 297 | -0.033430096252871744 | 0.2927253263102346 | -0.11420295153225667 | -0.28196372221688326 |
| maker_maker | fb0.0005-ps0.0005-mm25 | 270 | -0.029535958631332848 | 0.24492557988487607 | -0.1205915635484698 | -0.28912351636788114 |
| maker_maker | fb0.0010-ps0.0000-mm00 | 279 | 0.0109374324558289 | 0.1492567439777436 | 0.07327931833659612 | 0.15604059906560466 |
| maker_maker | fb0.0010-ps0.0000-mm10 | 265 | 0.0038802939953912485 | 0.1384969044079436 | 0.02801718935148049 | 0.08890052316248537 |
| maker_maker | fb0.0010-ps0.0000-mm25 | 253 | -0.0009572304122207331 | 0.1559191212312973 | -0.006139275315698678 | 0.0299180435982392 |
| maker_maker | fb0.0010-ps0.0002-mm00 | 279 | -0.026182906544314988 | 0.24205497360124023 | -0.10816925657329618 | -0.19561741017234602 |
| maker_maker | fb0.0010-ps0.0002-mm10 | 265 | -0.022923360181497543 | 0.20133361072476938 | -0.11385759237604216 | -0.1875964647763095 |
| maker_maker | fb0.0010-ps0.0002-mm25 | 253 | -0.023254723345395356 | 0.21528704717036284 | -0.10801728971178291 | -0.24561918111255643 |
| maker_maker | fb0.0010-ps0.0005-mm00 | 279 | -0.06918431726153906 | 0.4179195154156689 | -0.16554459581225184 | -0.6211860235184659 |
| maker_maker | fb0.0010-ps0.0005-mm10 | 265 | -0.06181059856547555 | 0.37014440006705374 | -0.166990500340619 | -0.6047662540963631 |
| maker_maker | fb0.0010-ps0.0005-mm25 | 253 | -0.05860757580757703 | 0.3572312207588092 | -0.16406062069011304 | -0.6910896336492488 |
| maker_taker | fb0.0000-ps0.0000-mm00 | 339 | 0.06368741324364158 | 0.1272385124388937 | 0.5005356634786772 | 0.5981669634150294 |
| maker_taker | fb0.0000-ps0.0000-mm10 | 324 | 0.04094419743046651 | 0.12857635102568932 | 0.3184426770851969 | 0.4236890372917797 |
| maker_taker | fb0.0000-ps0.0000-mm25 | 296 | 0.05436871757165762 | 0.11720657762273039 | 0.4638708737547308 | 0.6194111111498473 |
| maker_taker | fb0.0000-ps0.0002-mm00 | 339 | 0.018007365584406854 | 0.1549988686987928 | 0.11617740010348283 | 0.21372496043096512 |
| maker_taker | fb0.0000-ps0.0002-mm10 | 324 | 0.0073290138159591844 | 0.21301383198286783 | 0.03440628126228272 | 0.1218915359508258 |
| maker_taker | fb0.0000-ps0.0002-mm25 | 296 | 0.025871028126738915 | 0.1466031349198979 | 0.1764698151978436 | 0.32489425997628957 |
| maker_taker | fb0.0000-ps0.0005-mm00 | 339 | -0.03635888706769985 | 0.31843966628629 | -0.11417826017633041 | -0.26882337377316323 |
| maker_taker | fb0.0000-ps0.0005-mm10 | 324 | -0.04108879560972145 | 0.3280030685317402 | -0.12526954639067764 | -0.3365515400673786 |
| maker_taker | fb0.0000-ps0.0005-mm25 | 296 | -0.018402944894011064 | 0.26324507159757193 | -0.06990803201871151 | -0.1574126340606596 |
| maker_taker | fb0.0002-ps0.0000-mm00 | 328 | 0.05169421442546662 | 0.12994698747298108 | 0.3978100256938624 | 0.4998877342322666 |
| maker_taker | fb0.0002-ps0.0000-mm10 | 312 | 0.05299515419979017 | 0.13810724384079687 | 0.38372465285658974 | 0.5406362713775987 |
| maker_taker | fb0.0002-ps0.0000-mm25 | 297 | 0.035360441626068884 | 0.12657717220452885 | 0.2793587580620932 | 0.42877963724292745 |
| maker_taker | fb0.0002-ps0.0002-mm00 | 328 | 0.007668076945926083 | 0.17847165957525774 | 0.04296523584851082 | 0.12438785931598731 |
| maker_taker | fb0.0002-ps0.0002-mm10 | 312 | 0.012290474841033516 | 0.1699041337690665 | 0.07233770343538973 | 0.16840605098983627 |
| maker_taker | fb0.0002-ps0.0002-mm25 | 297 | 0.008127693735603847 | 0.1506927398865764 | 0.05393553625557151 | 0.13500668400939222 |
| maker_taker | fb0.0002-ps0.0005-mm00 | 328 | -0.044525670080626356 | 0.3376015911265677 | -0.1318882115811284 | -0.3444284276216867 |
| maker_taker | fb0.0002-ps0.0005-mm10 | 312 | -0.03531586922424601 | 0.28934025946949393 | -0.12205653402329059 | -0.28726389580509387 |
| maker_taker | fb0.0002-ps0.0005-mm25 | 297 | -0.031398611865819714 | 0.2771748988025839 | -0.11328086346008981 | -0.3117923762372922 |
| maker_taker | fb0.0005-ps0.0000-mm00 | 304 | 0.02900141165707848 | 0.14489343543975222 | 0.20015683642988424 | 0.30939392309486374 |
| maker_taker | fb0.0005-ps0.0000-mm10 | 297 | 0.01625196374878124 | 0.17033859681004998 | 0.09540975476570542 | 0.2076226009657597 |
| maker_taker | fb0.0005-ps0.0000-mm25 | 270 | 0.011582142691124897 | 0.12038887520433542 | 0.09620608774246446 | 0.1720615194482377 |
| maker_taker | fb0.0005-ps0.0002-mm00 | 304 | -0.011963532056446846 | 0.2091212249542939 | -0.057208597831528714 | -0.048980173438779966 |
| maker_taker | fb0.0005-ps0.0002-mm10 | 297 | -0.013814126968795692 | 0.2463846467049564 | -0.0560673205637606 | -0.08312529275419114 |
| maker_taker | fb0.0005-ps0.0002-mm25 | 270 | -0.013283730097057633 | 0.18976684518731932 | -0.07000026840276145 | -0.10201979184312114 |
| maker_taker | fb0.0005-ps0.0005-mm00 | 304 | -0.06012858837553703 | 0.38589323993342506 | -0.15581664085618735 | -0.4919357257355012 |
| maker_taker | fb0.0005-ps0.0005-mm10 | 297 | -0.05727051000654426 | 0.35897871432371636 | -0.1595373422472604 | -0.5231338329530516 |
| maker_taker | fb0.0005-ps0.0005-mm25 | 270 | -0.04945605256056407 | 0.3290654468030612 | -0.15029245106418748 | -0.5174442893600635 |
| maker_taker | fb0.0010-ps0.0000-mm00 | 279 | -0.01421506778070969 | 0.18649441750384382 | -0.07622248414173954 | -0.08081170127920476 |
| maker_taker | fb0.0010-ps0.0000-mm10 | 265 | -0.018631734726394455 | 0.187282094194721 | -0.09948486963747138 | -0.1407349923339398 |
| maker_taker | fb0.0010-ps0.0000-mm25 | 253 | -0.019654925929646017 | 0.20743052128012904 | -0.09475426185282829 | -0.19831617726679265 |
| maker_taker | fb0.0010-ps0.0002-mm00 | 279 | -0.050437367370374964 | 0.34685172023307564 | -0.14541478224897464 | -0.42908559245942895 |
| maker_taker | fb0.0010-ps0.0002-mm10 | 265 | -0.044850819246351814 | 0.3014350899453211 | -0.14879096940733588 | -0.416584552355768 |
| maker_taker | fb0.0010-ps0.0002-mm25 | 253 | -0.04154660801868548 | 0.2830418534310481 | -0.14678609369976678 | -0.4725900046120191 |
| maker_taker | fb0.0010-ps0.0005-mm00 | 279 | -0.09239530330761347 | 0.4984902841635221 | -0.1853502590580173 | -0.8500984833145148 |
| maker_taker | fb0.0010-ps0.0005-mm10 | 265 | -0.08288916307363214 | 0.44919331766769577 | -0.18452893178378021 | -0.8299711788596305 |
| maker_taker | fb0.0010-ps0.0005-mm25 | 253 | -0.07625573260765128 | 0.4272816477390756 | -0.17846713756874882 | -0.9114039067362422 |
| taker_taker | fb0.0000-ps0.0000-mm00 | 339 | 0.03217038552679319 | 0.1465097117443793 | 0.21957851901942177 | 0.3345325520172211 |
| taker_taker | fb0.0000-ps0.0000-mm10 | 324 | 0.013059505092624546 | 0.19996862995992123 | 0.06530776899977762 | 0.17386342597507196 |
| taker_taker | fb0.0000-ps0.0000-mm25 | 296 | 0.03086819507315819 | 0.14238417520209545 | 0.21679512508566967 | 0.37553614261446056 |
| taker_taker | fb0.0000-ps0.0002-mm00 | 339 | -0.0121868695451528 | 0.2481201250614106 | -0.04911681203665567 | -0.04913744870895301 |
| taker_taker | fb0.0000-ps0.0002-mm10 | 324 | -0.019675573475469554 | 0.2775370440097166 | -0.0708935037687463 | -0.12870930063638003 |
| taker_taker | fb0.0000-ps0.0002-mm25 | 296 | 0.002990639044027521 | 0.1983240719158438 | 0.015079556481154537 | 0.0787183692587916 |
| taker_taker | fb0.0000-ps0.0005-mm00 | 339 | -0.06497487307803662 | 0.4150551855166463 | -0.1565451422975433 | -0.5300072248692761 |
| taker_taker | fb0.0000-ps0.0005-mm10 | 324 | -0.06682453493095364 | 0.42078152645745126 | -0.158810524534068 | -0.5853061207914307 |
| taker_taker | fb0.0000-ps0.0005-mm25 | 296 | -0.040319256465094155 | 0.32847825936806596 | -0.12274558609346405 | -0.4024472695177463 |
| taker_taker | fb0.0002-ps0.0000-mm00 | 328 | 0.021394275593641154 | 0.15729464825993406 | 0.13601400829789506 | 0.2430042844732555 |
| taker_taker | fb0.0002-ps0.0000-mm10 | 312 | 0.025524419087615602 | 0.14903422246167702 | 0.17126548967086405 | 0.29089241550799033 |
| taker_taker | fb0.0002-ps0.0000-mm25 | 297 | 0.01289387370816475 | 0.1387776169120021 | 0.09291032657190433 | 0.18663715237639605 |
| taker_taker | fb0.0002-ps0.0002-mm00 | 328 | -0.021393093916142303 | 0.2716687448623273 | -0.07874698256872947 | -0.1312343019994046 |
| taker_taker | fb0.0002-ps0.0002-mm10 | 312 | -0.014145061304291051 | 0.2150986863502178 | -0.06576079819130298 | -0.0800190438067289 |
| taker_taker | fb0.0002-ps0.0002-mm25 | 297 | -0.01376188141392698 | 0.2239784077091052 | -0.061442893333719904 | -0.10824103069134931 |
| taker_taker | fb0.0002-ps0.0005-mm00 | 328 | -0.07211447608065258 | 0.4401577964979004 | -0.16383777966544907 | -0.5978774689733606 |
| taker_taker | fb0.0002-ps0.0005-mm10 | 312 | -0.060536974627251605 | 0.3899541103703203 | -0.15524127844110325 | -0.5337982222271626 |
| taker_taker | fb0.0002-ps0.0005-mm25 | 297 | -0.0524500642319532 | 0.34206921848481675 | -0.15333172760846142 | -0.5538208685354378 |
| taker_taker | fb0.0005-ps0.0000-mm00 | 304 | 0.0009525348890795371 | 0.18325859611941991 | 0.005197763757061746 | 0.06549395336144151 |
| taker_taker | fb0.0005-ps0.0000-mm10 | 297 | -0.008783074218263187 | 0.23465660403010802 | -0.03742947808592789 | -0.03259419599551882 |
| taker_taker | fb0.0005-ps0.0000-mm25 | 270 | -0.009159543300559125 | 0.17670871440943084 | -0.05183413467281886 | -0.05480719462617581 |
| taker_taker | fb0.0005-ps0.0002-mm00 | 304 | -0.03892391855526689 | 0.3010935503696361 | -0.129275165500829 | -0.29087898366524717 |
| taker_taker | fb0.0005-ps0.0002-mm10 | 297 | -0.03812666246551799 | 0.30485128412246565 | -0.12506643222864577 | -0.3233593659155298 |
| taker_taker | fb0.0005-ps0.0002-mm25 | 270 | -0.03352883347924607 | 0.26132042378977777 | -0.12830544583158462 | -0.32924399629067086 |
| taker_taker | fb0.0005-ps0.0005-mm00 | 304 | -0.08580573028115313 | 0.4785950515508565 | -0.17928670595967336 | -0.7309387616248884 |
| taker_taker | fb0.0005-ps0.0005-mm10 | 297 | -0.08053780244990572 | 0.44682731589340713 | -0.1802436860621977 | -0.7604645436840151 |
| taker_taker | fb0.0005-ps0.0005-mm25 | 270 | -0.06897819194865695 | 0.40642393407137023 | -0.16971980773293732 | -0.7426517246519508 |
| taker_taker | fb0.0010-ps0.0000-mm00 | 279 | -0.03875861389614821 | 0.2968365391063899 | -0.13057224697750786 | -0.3153109701715536 |
| taker_taker | fb0.0010-ps0.0000-mm10 | 265 | -0.04065326901403621 | 0.28417087758631293 | -0.14305923731290285 | -0.36812761464500965 |
| taker_taker | fb0.0010-ps0.0000-mm25 | 253 | -0.03801266544978854 | 0.2672788927638458 | -0.14222097770875838 | -0.42379728250257515 |
| taker_taker | fb0.0010-ps0.0002-mm00 | 279 | -0.07410400213070967 | 0.4372177896437612 | -0.16948990614285972 | -0.6586219571451599 |
| taker_taker | fb0.0010-ps0.0002-mm10 | 265 | -0.06630016286848184 | 0.38906836310559184 | -0.17040748916017157 | -0.6421173028766276 |
| taker_taker | fb0.0010-ps0.0002-mm25 | 253 | -0.05950570686668388 | 0.36114084393296675 | -0.16477146760428196 | -0.6956285344499116 |
| taker_taker | fb0.0010-ps0.0005-mm00 | 279 | -0.1150430875400793 | 0.5679539517740159 | -0.2025570685453281 | -1.0734286705453755 |
| taker_taker | fb0.0010-ps0.0005-mm10 | 265 | -0.10350760518473612 | 0.5206085465951561 | -0.198820410962687 | -1.0500136846924693 |
| taker_taker | fb0.0010-ps0.0005-mm25 | 253 | -0.09358248272885827 | 0.4898190718954083 | -0.1910552040506113 | -1.1261386990530264 |
Maker_taker horizons
| scenario_id | horizon | net_total_return | net_annualized_return | net_max_drawdown | net_calmar |
|---|---|---|---|---|---|
| fb0.0000-ps0.0000-mm00 | 3y | 0.311794664817576 | 0.09459326800117562 | 0.1272385124388937 | 0.7434326776384158 |
| fb0.0000-ps0.0000-mm10 | 3y | 0.14940498401954305 | 0.04746446836171159 | 0.11887268864985016 | 0.399288254525161 |
| fb0.0000-ps0.0000-mm25 | 3y | 0.3241328808882873 | 0.0980112071730781 | 0.08446598369897615 | 1.1603630583688582 |
| fb0.0000-ps0.0002-mm00 | 3y | 0.17489557530383504 | 0.05514416132154243 | 0.14098707164075633 | 0.39112920553490976 |
| fb0.0000-ps0.0002-mm10 | 3y | 0.04160847560982339 | 0.013668887981147293 | 0.1311856514933724 | 0.104194992558602 |
| fb0.0000-ps0.0002-mm25 | 3y | 0.2191876894527549 | 0.06822813545520856 | 0.09522819576209078 | 0.7164698953833312 |
| fb0.0000-ps0.0005-mm00 | 3y | -0.004197152844813035 | -0.0013997354673191964 | 0.1612135390828533 | -0.008682493265034168 |
| fb0.0000-ps0.0005-mm10 | 3y | -0.1014677484909523 | -0.03500435039721361 | 0.16455160233780414 | -0.21272567328365483 |
| fb0.0000-ps0.0005-mm25 | 3y | 0.056792746200725386 | 0.01856632009872561 | 0.11114236424164406 | 0.16704989339941514 |
| fb0.0002-ps0.0000-mm00 | 3y | 0.2622524102253596 | 0.08064896201099137 | 0.12994698747298108 | 0.6206297166200956 |
| fb0.0002-ps0.0000-mm10 | 3y | 0.2542741595774254 | 0.0783694278674143 | 0.13810724384079687 | 0.5674534201678418 |
| fb0.0002-ps0.0000-mm25 | 3y | 0.2217256608861824 | 0.06896818574698771 | 0.07620201353063795 | 0.9050703853023281 |
| fb0.0002-ps0.0002-mm00 | 3y | 0.13414668949647712 | 0.042813031259993695 | 0.14330955943113569 | 0.298745118120097 |
| fb0.0002-ps0.0002-mm10 | 3y | 0.1380886154425558 | 0.04401869246225654 | 0.14998717623311555 | 0.29348304013565185 |
| fb0.0002-ps0.0002-mm25 | 3y | 0.12733342107369716 | 0.0407225459222762 | 0.08687965303848784 | 0.46872362513045535 |
| fb0.0002-ps0.0005-mm00 | 3y | -0.034113678658270974 | -0.011492603829138637 | 0.16297881676415693 | -0.07051593610333624 |
| fb0.0002-ps0.0005-mm10 | 3y | -0.01638237720898894 | -0.00548589089431939 | 0.16750833547622962 | -0.032749957658661524 |
| fb0.0002-ps0.0005-mm25 | 3y | -0.0007955545897997407 | -0.0002650132282643325 | 0.10267323569750139 | -0.002581132526543933 |
| fb0.0005-ps0.0000-mm00 | 3y | 0.1605379440000474 | 0.05083238728376571 | 0.14489343543975222 | 0.3508260200297494 |
| fb0.0005-ps0.0000-mm10 | 3y | 0.1258713482646665 | 0.040272847025863756 | 0.12462088883296354 | 0.3231628935004928 |
| fb0.0005-ps0.0000-mm25 | 3y | 0.11377047534158291 | 0.03653586768911965 | 0.11982105405213 | 0.30492026612638673 |
| fb0.0005-ps0.0002-mm00 | 3y | 0.05237390305669565 | 0.017145964907559375 | 0.1560063193751237 | 0.10990557931394554 |
| fb0.0005-ps0.0002-mm10 | 3y | 0.030569010136095365 | 0.010078318621863591 | 0.1349431142724588 | 0.07468568275010179 |
| fb0.0005-ps0.0002-mm25 | 3y | 0.03515040548559978 | 0.011571509457442009 | 0.12837357634987762 | 0.09013934009210954 |
| fb0.0005-ps0.0005-mm00 | 3y | -0.09131962785432324 | -0.03138832876190323 | 0.17241199014752262 | -0.18205421058620178 |
| fb0.0005-ps0.0005-mm10 | 3y | -0.09751484375013153 | -0.0335926118325337 | 0.1502057969837753 | -0.22364391060194738 |
| fb0.0005-ps0.0005-mm25 | 3y | -0.07254409535557849 | -0.024768536881032754 | 0.1414905693184338 | -0.17505433047830588 |
| fb0.0010-ps0.0000-mm00 | 3y | 0.004281136078721159 | 0.0014237126107430331 | 0.15878824558590232 | 0.008966108325523527 |
| fb0.0010-ps0.0000-mm10 | 3y | -0.0007190803154298875 | -0.00023953218975059087 | 0.147367346749771 | -0.001625408850966933 |
| fb0.0010-ps0.0000-mm25 | 3y | 0.045640892436419334 | 0.014974095280571253 | 0.13091653933123343 | 0.11437894216471094 |
| fb0.0010-ps0.0002-mm00 | 3y | -0.07838956612036385 | -0.026819846927434443 | 0.16873109873337722 | -0.15895022985545892 |
| fb0.0010-ps0.0002-mm10 | 3y | -0.07484849199983723 | -0.025576170110328422 | 0.15669848124643235 | -0.1632190044656909 |
| fb0.0010-ps0.0002-mm25 | 3y | -0.0188271801247899 | -0.006309784517752992 | 0.14147564164985427 | -0.04459979431207967 |
| fb0.0010-ps0.0005-mm00 | 3y | -0.18985383493676244 | -0.06771448620611398 | 0.22434149664331565 | -0.3018366517977474 |
| fb0.0010-ps0.0005-mm10 | 3y | -0.17589518855525876 | -0.062395457616116645 | 0.199106416134452 | -0.31337743317112604 |
| fb0.0010-ps0.0005-mm25 | 3y | -0.12500954318967572 | -0.043499038308114635 | 0.15862948262789006 | -0.27421786661281516 |
| fb0.0000-ps0.0000-mm00 | 1y | 0.08807129207789965 | 0.08807129207789965 | 0.1272385124388937 | 0.692174801400605 |
| fb0.0000-ps0.0000-mm10 | 1y | 0.07415496532376786 | 0.07415496532376786 | 0.11887268864985016 | 0.6238183569835605 |
| fb0.0000-ps0.0000-mm25 | 1y | 0.12714355148738665 | 0.12714355148738665 | 0.08446598369897615 | 1.505263372537125 |
| fb0.0000-ps0.0002-mm00 | 1y | 0.04351544770397986 | 0.04351544770397986 | 0.14098707164075633 | 0.3086484966143554 |
| fb0.0000-ps0.0002-mm10 | 1y | 0.034506388948578604 | 0.034506388948578604 | 0.1311856514933724 | 0.2630347797626472 |
| fb0.0000-ps0.0002-mm25 | 1y | 0.09232807979083923 | 0.09232807979083923 | 0.09522819576209078 | 0.969545616736277 |
| fb0.0000-ps0.0005-mm00 | 1y | -0.01994901571868446 | -0.01994901571868446 | 0.1612135390828533 | -0.12374280616984631 |
| fb0.0000-ps0.0005-mm10 | 1y | -0.022260058095047164 | -0.022260058095047164 | 0.14934034509417948 | -0.14905589029548014 |
| fb0.0000-ps0.0005-mm25 | 1y | 0.04209081481095822 | 0.04209081481095822 | 0.11114236424164406 | 0.3787108102131515 |
| fb0.0002-ps0.0000-mm00 | 1y | 0.06916061732211642 | 0.06916061732211642 | 0.12994698747298108 | 0.5322217826442224 |
| fb0.0002-ps0.0000-mm10 | 1y | 0.037375013978735216 | 0.037375013978735216 | 0.13810724384079687 | 0.2706231254735578 |
| fb0.0002-ps0.0000-mm25 | 1y | 0.059498309425950247 | 0.059498309425950247 | 0.07620201353063795 | 0.7807970769962427 |
| fb0.0002-ps0.0002-mm00 | 1y | 0.027431877516877368 | 0.027431877516877368 | 0.14330955943113569 | 0.19141694124081907 |
| fb0.0002-ps0.0002-mm10 | 1y | 0.0012576068016798558 | 0.0012576068016798558 | 0.14998717623311555 | 0.00838476217276894 |
| fb0.0002-ps0.0002-mm25 | 1y | 0.028172094693990957 | 0.028172094693990957 | 0.08687965303848784 | 0.32426573666806274 |
| fb0.0002-ps0.0005-mm00 | 1y | -0.03215573302464947 | -0.03215573302464947 | 0.16297881676415693 | -0.19730007655646026 |
| fb0.0002-ps0.0005-mm10 | 1y | -0.05059637709458209 | -0.05059637709458209 | 0.16750833547622962 | -0.30205289158139836 |
| fb0.0002-ps0.0005-mm25 | 1y | -0.01710771087709717 | -0.01710771087709717 | 0.10267323569750139 | -0.16662288629434416 |
| fb0.0005-ps0.0000-mm00 | 1y | 0.013479359436639582 | 0.013479359436639582 | 0.14489343543975222 | 0.09302946952516976 |
| fb0.0005-ps0.0000-mm10 | 1y | 0.008480911621070675 | 0.008480911621070675 | 0.12462088883296354 | 0.06805369228619547 |
| fb0.0005-ps0.0000-mm25 | 1y | 0.017834803108164987 | 0.017834803108164987 | 0.11982105405213 | 0.148845319791676 |
| fb0.0005-ps0.0002-mm00 | 1y | -0.02100810775616846 | -0.02100810775616846 | 0.1560063193751237 | -0.13466190241725778 |
| fb0.0005-ps0.0002-mm10 | 1y | -0.022720845530251887 | -0.022720845530251887 | 0.1349431142724588 | -0.16837350799817055 |
| fb0.0005-ps0.0002-mm25 | 1y | -0.007887486999696769 | -0.007887486999696769 | 0.12837357634987762 | -0.061441670661255894 |
| fb0.0005-ps0.0005-mm00 | 1y | -0.07057539180711148 | -0.07057539180711148 | 0.17241199014752262 | -0.40934155302496267 |
| fb0.0005-ps0.0005-mm10 | 1y | -0.06774249264756038 | -0.06774249264756038 | 0.1502057969837753 | -0.4509978576584343 |
| fb0.0005-ps0.0005-mm25 | 1y | -0.0452739943661602 | -0.0452739943661602 | 0.1414905693184338 | -0.3199788832870416 |
| fb0.0010-ps0.0000-mm00 | 1y | -0.04447704570703748 | -0.04447704570703748 | 0.15878824558590232 | -0.28010288509029463 |
| fb0.0010-ps0.0000-mm10 | 1y | -0.05596324281975473 | -0.05596324281975473 | 0.147367346749771 | -0.3797533446454731 |
| fb0.0010-ps0.0000-mm25 | 1y | -0.04117719291328237 | -0.04117719291328237 | 0.13091653933123343 | -0.31453010539103454 |
| fb0.0010-ps0.0002-mm00 | 1y | -0.07333840083506282 | -0.07333840083506282 | 0.16873109873337722 | -0.4346466145576964 |
| fb0.0010-ps0.0002-mm10 | 1y | -0.08136185940333762 | -0.08136185940333762 | 0.15669848124643235 | -0.5192255774029082 |
| fb0.0010-ps0.0002-mm25 | 1y | -0.06263444355858527 | -0.06263444355858527 | 0.14147564164985427 | -0.44272245616388617 |
| fb0.0010-ps0.0005-mm00 | 1y | -0.11502185732199832 | -0.11502185732199832 | 0.18343258715983501 | -0.6270524725346287 |
| fb0.0010-ps0.0005-mm10 | 1y | -0.118195480163784 | -0.118195480163784 | 0.17093338927438317 | -0.6914709915103596 |
| fb0.0010-ps0.0005-mm25 | 1y | -0.09393042567712051 | -0.09393042567712051 | 0.15862948262789006 | -0.5921372504092487 |
| fb0.0000-ps0.0000-mm00 | 6m | 0.0328189885466319 | 0.06690434530658518 | 0.09980040776200563 | 0.6703814824698131 |
| fb0.0000-ps0.0000-mm10 | 6m | 0.018217975748332282 | 0.036870696425457705 | 0.09905108106049937 | 0.3722392126436002 |
| fb0.0000-ps0.0000-mm25 | 6m | 0.05728180640356184 | 0.11818698802836702 | 0.07172738688243781 | 1.6477247138819815 |
| fb0.0000-ps0.0002-mm00 | 6m | 0.008911650876965549 | 0.017952341432841745 | 0.10684739077425337 | 0.16801852906985218 |
| fb0.0000-ps0.0002-mm10 | 6m | -0.002962851255431942 | -0.005933130991187641 | 0.10502989923834755 | -0.05648992367138624 |
| fb0.0000-ps0.0002-mm25 | 6m | 0.03906378280205658 | 0.07988088971100749 | 0.07711399562890929 | 1.0358805695325806 |
| fb0.0000-ps0.0005-mm00 | 6m | -0.025929442097401556 | -0.051323498712580906 | 0.11731902257284152 | -0.43746953892933227 |
| fb0.0000-ps0.0005-mm10 | 6m | -0.0339203703204457 | -0.06686709720134265 | 0.11392731330984338 | -0.5869277108245938 |
| fb0.0000-ps0.0005-mm25 | 6m | 0.012309265602021613 | 0.024838937046813614 | 0.08513783731520692 | 0.2917496829858632 |
| fb0.0002-ps0.0000-mm00 | 6m | 0.0261602347759875 | 0.05315424847892736 | 0.09980040776200559 | 0.5326055240744556 |
| fb0.0002-ps0.0000-mm10 | 6m | 0.0005435967683986576 | 0.0010904782698502036 | 0.10604622812940476 | 0.010283046262800865 |
| fb0.0002-ps0.0000-mm25 | 6m | 0.028399433434151522 | 0.05776813691389382 | 0.06052054004426023 | 0.9545211736651142 |
| fb0.0002-ps0.0002-mm00 | 6m | 0.0028085579860424037 | 0.005640500778252955 | 0.10684739077425356 | 0.05279025287730391 |
| fb0.0002-ps0.0002-mm10 | 6m | -0.019507007716955238 | -0.03873754529380202 | 0.11233602952655994 | -0.34483634019344783 |
| fb0.0002-ps0.0002-mm25 | 6m | 0.010441658126865594 | 0.021050618552972855 | 0.0661598312147547 | 0.3181782384637981 |
| fb0.0002-ps0.0005-mm00 | 6m | -0.03124018341868129 | -0.06166806561305849 | 0.11731902257284131 | -0.5256442157517113 |
| fb0.0002-ps0.0005-mm10 | 6m | -0.04884299271116166 | -0.09554923555226669 | 0.12169211006531587 | -0.78517198445308 |
| fb0.0002-ps0.0005-mm25 | 6m | -0.015915425816797724 | -0.03166291425606582 | 0.07455996129162282 | -0.42466377003904515 |
| fb0.0005-ps0.0000-mm00 | 6m | -0.006087126693428591 | -0.012170340501575283 | 0.10605340395170818 | -0.1147567173526754 |
| fb0.0005-ps0.0000-mm10 | 6m | -0.00968553861224597 | -0.01932971192073707 | 0.09659346561344637 | -0.20011407394876887 |
| fb0.0005-ps0.0000-mm25 | 6m | 0.0036628884548421947 | 0.007359430293074176 | 0.08097385036430776 | 0.09088650545779306 |
| fb0.0005-ps0.0002-mm00 | 6m | -0.025600537727118677 | -0.05068096996140381 | 0.11234354123400354 | -0.4511249102949228 |
| fb0.0005-ps0.0002-mm10 | 6m | -0.02737903684642895 | -0.05415274502961198 | 0.10240350173744872 | -0.5288173168965807 |
| fb0.0005-ps0.0002-mm25 | 6m | -0.010879558898553188 | -0.021699555855115182 | 0.08557887660439881 | -0.25356205545235927 |
| fb0.0005-ps0.0005-mm00 | 6m | -0.054167048445646904 | -0.1056737202456004 | 0.12169968056610282 | -0.8683155103944771 |
| fb0.0005-ps0.0005-mm10 | 6m | -0.05333789698667224 | -0.10410072191600905 | 0.11105308666148034 | -0.9373960242396147 |
| fb0.0005-ps0.0005-mm25 | 6m | -0.03231324891239018 | -0.06375133854442583 | 0.09244547640481177 | -0.6896101466908292 |
| fb0.0010-ps0.0000-mm00 | 6m | -0.043731105226319955 | -0.08577444734712392 | 0.1205793341078822 | -0.711352803378244 |
| fb0.0010-ps0.0000-mm10 | 6m | -0.04662066736563497 | -0.09130624878652915 | 0.10738890240115033 | -0.8502391471090321 |
| fb0.0010-ps0.0000-mm25 | 6m | -0.05926572370126826 | -0.11531604586336353 | 0.10615785386726374 | -1.086269566145816 |
| fb0.0010-ps0.0002-mm00 | 6m | -0.06028269212495796 | -0.1172330101835235 | 0.12572661843354282 | -0.9324438344414002 |
| fb0.0010-ps0.0002-mm10 | 6m | -0.06142854932043651 | -0.11939042925887189 | 0.1120684796391487 | -1.065334602943658 |
| fb0.0010-ps0.0002-mm25 | 6m | -0.07107854309145223 | -0.13745442858995993 | 0.11311824644571876 | -1.2151393157948147 |
| fb0.0010-ps0.0005-mm00 | 6m | -0.08458457519122631 | -0.16242141820543798 | 0.13339558935288148 | -1.2175921182504188 |
| fb0.0010-ps0.0005-mm10 | 6m | -0.08321922225896927 | -0.15991415875417625 | 0.11904574975519326 | -1.3433000261078212 |
| fb0.0010-ps0.0005-mm25 | 6m | -0.08852394403062125 | -0.1696344002273119 | 0.12507325560340227 | -1.3562803607288325 |
| fb0.0000-ps0.0000-mm00 | 3m | 0.10968801187241373 | 0.525157652093615 | 0.006892000000000071 | 76.19815033279303 |
| fb0.0000-ps0.0000-mm10 | 3m | 0.09749018228823303 | 0.45830060456381716 | 0.006891999999999949 | 66.49747599591127 |
| fb0.0000-ps0.0000-mm25 | 3m | 0.10826361454446998 | 0.5172336681573884 | 0.001577000007000029 | 327.9858375786163 |
| fb0.0000-ps0.0002-mm00 | 3m | 0.09868437783462469 | 0.4647466612819018 | 0.008090000000000075 | 57.44705331049413 |
| fb0.0000-ps0.0002-mm10 | 3m | 0.08747683797544736 | 0.4050875872854365 | 0.008090000000000059 | 50.07263130845903 |
| fb0.0000-ps0.0002-mm25 | 3m | 0.1003534502803074 | 0.47379196090323217 | 0.0023760000069999376 | 199.40739036506434 |
| fb0.0000-ps0.0005-mm00 | 3m | 0.08237753414064586 | 0.3785578939101426 | 0.009885000000000062 | 38.29619564088419 |
| fb0.0000-ps0.0005-mm10 | 3m | 0.0726250545931697 | 0.3288724579961162 | 0.009884999999999998 | 33.269849063845854 |
| fb0.0000-ps0.0005-mm25 | 3m | 0.08858522794341783 | 0.4109046337623594 | 0.0035750000070001275 | 114.93835886930805 |
| fb0.0002-ps0.0000-mm00 | 3m | 0.10253367087439202 | 0.48567066922986313 | 0.006892000000000004 | 70.4687564175657 |
| fb0.0002-ps0.0000-mm10 | 3m | 0.08578266595140516 | 0.39623118274947955 | 0.006891999999999971 | 57.491465866146434 |
| fb0.0002-ps0.0000-mm25 | 3m | 0.06824700996604816 | 0.30701212056222293 | 0.0045940000070000325 | 66.82893341193257 |
| fb0.0002-ps0.0002-mm00 | 3m | 0.09203823314008952 | 0.42914304189510366 | 0.008090000000000078 | 53.04611148270698 |
| fb0.0002-ps0.0002-mm10 | 3m | 0.07671498425170431 | 0.3495419949415055 | 0.008090000000000095 | 43.206674282015 |
| fb0.0002-ps0.0002-mm25 | 3m | 0.06058881534809912 | 0.269426182599219 | 0.005393000007000045 | 49.95849847014784 |
| fb0.0002-ps0.0005-mm00 | 3m | 0.07647629110527165 | 0.34832908415568387 | 0.009885000000000036 | 35.23814710730223 |
| fb0.0002-ps0.0005-mm10 | 3m | 0.06325040427049955 | 0.28239548172754314 | 0.00988500000000007 | 28.56808110546698 |
| fb0.0002-ps0.0005-mm25 | 3m | 0.049204036064786516 | 0.2150627206965645 | 0.006590000007000092 | 32.63470720305289 |
| fb0.0005-ps0.0000-mm00 | 3m | 0.0789755745972287 | 0.3610699078211952 | 0.006892000000000017 | 52.38971384521101 |
| fb0.0005-ps0.0000-mm10 | 3m | 0.06664881862550853 | 0.29909997482306183 | 0.00689200000000006 | 43.39813912116355 |
| fb0.0005-ps0.0000-mm25 | 3m | 0.06704132144805608 | 0.3010397812991219 | 0.005355485603962706 | 56.21148175178966 |
| fb0.0005-ps0.0002-mm00 | 3m | 0.07083702653888069 | 0.31991151195978773 | 0.008090000000000078 | 39.54406822741466 |
| fb0.0005-ps0.0002-mm10 | 3m | 0.059441636218859006 | 0.2638668294404982 | 0.008089999999999951 | 32.61641896668724 |
| fb0.0005-ps0.0002-mm25 | 3m | 0.06110798743120327 | 0.27194819302401285 | 0.006949559968951297 | 39.13171398462663 |
| fb0.0005-ps0.0005-mm00 | 3m | 0.058738111793789294 | 0.26046656112358213 | 0.009885000000000064 | 26.34967740248664 |
| fb0.0005-ps0.0005-mm10 | 3m | 0.048718472425956394 | 0.2127838054189506 | 0.009885000000000074 | 21.525928722200202 |
| fb0.0005-ps0.0005-mm25 | 3m | 0.05226441912603241 | 0.22950047997131362 | 0.009335785253934564 | 24.582879075393333 |
| fb0.0010-ps0.0000-mm00 | 3m | 0.058071278367233914 | 0.25724999430846207 | 0.007651727626951826 | 33.61985774328212 |
| fb0.0010-ps0.0000-mm10 | 3m | 0.040251346250947506 | 0.17355993142136383 | 0.007651727626951962 | 22.682450275677258 |
| fb0.0010-ps0.0000-mm25 | 3m | 0.04061604850932077 | 0.17522943904485322 | 0.006892000000000023 | 25.425049193971653 |
| fb0.0010-ps0.0002-mm00 | 3m | 0.05090759453519467 | 0.22308362467966436 | 0.009642339156943293 | 23.1358409042297 |
| fb0.0010-ps0.0002-mm10 | 3m | 0.03402651249030786 | 0.14533890244673908 | 0.009642339156943335 | 15.072992152747734 |
| fb0.0010-ps0.0002-mm25 | 3m | 0.03563370504114638 | 0.15257578904405888 | 0.008089999999999986 | 18.859800870711883 |
| fb0.0010-ps0.0005-mm00 | 3m | 0.040248464526315475 | 0.17354674679028448 | 0.012621677866930905 | 13.749895110616082 |
| fb0.0010-ps0.0005-mm10 | 3m | 0.024756367929046785 | 0.10426304326334179 | 0.012621677866930945 | 8.26063256902738 |
| fb0.0010-ps0.0005-mm25 | 3m | 0.02820375085134863 | 0.11940643992975786 | 0.009884999999999974 | 12.079558920562285 |
Maker_taker rolling 365D and worst month
| scenario_id | worst_365_start | worst_365_end | worst_365_total_return | worst_365_max_drawdown | worst_month | worst_month_return |
|---|---|---|---|---|---|---|
| fb0.0000-ps0.0000-mm00 | 2021-05-20 | 2022-05-20 | -0.10098988574010825 | 0.1126805907559975 | 2025-12 | -0.07553547207367417 |
| fb0.0000-ps0.0000-mm10 | 2021-05-20 | 2022-05-20 | -0.10069909061911597 | 0.11239357712747759 | 2025-12 | -0.07918429658856696 |
| fb0.0000-ps0.0000-mm25 | 2021-05-20 | 2022-05-20 | -0.10801686172588731 | 0.11720657762273039 | 2022-04 | -0.05702686768594101 |
| fb0.0000-ps0.0002-mm00 | 2021-05-20 | 2022-05-20 | -0.14335996019876807 | 0.15281159182245274 | 2025-12 | -0.08000647558322693 |
| fb0.0000-ps0.0002-mm10 | 2021-05-20 | 2022-05-20 | -0.1385983074265048 | 0.14810247615542887 | 2025-12 | -0.0829060888636921 |
| fb0.0000-ps0.0002-mm25 | 2021-05-20 | 2022-05-20 | -0.13909245795293879 | 0.1466031349198979 | 2022-04 | -0.05893172338192221 |
| fb0.0000-ps0.0005-mm00 | 2021-05-20 | 2022-05-20 | -0.20323548979677775 | 0.2096667976289237 | 2025-12 | -0.08667536940281106 |
| fb0.0000-ps0.0005-mm10 | 2021-05-25 | 2022-05-25 | -0.19269920326000034 | 0.1990185162396104 | 2025-12 | -0.08846330398426117 |
| fb0.0000-ps0.0005-mm25 | 2021-05-20 | 2022-05-20 | -0.1837064298453548 | 0.18889134412218622 | 2022-04 | -0.06178157461718914 |
| fb0.0002-ps0.0000-mm00 | 2021-05-20 | 2022-05-20 | -0.11007278668642273 | 0.12164537788582916 | 2025-12 | -0.07553547207367406 |
| fb0.0002-ps0.0000-mm10 | 2020-03-27 | 2021-03-27 | -0.09188131845575409 | 0.1244281792455983 | 2025-12 | -0.0779267522705166 |
| fb0.0002-ps0.0000-mm25 | 2021-05-20 | 2022-05-20 | -0.10097346442539168 | 0.11023574539366116 | 2022-04 | -0.057026867685940785 |
| fb0.0002-ps0.0002-mm00 | 2021-05-20 | 2022-05-20 | -0.150662448717916 | 0.1600335092403068 | 2025-12 | -0.08000647558322693 |
| fb0.0002-ps0.0002-mm10 | 2020-03-27 | 2021-03-27 | -0.1512303844684556 | 0.1699041337690665 | 2025-12 | -0.0820209852750784 |
| fb0.0002-ps0.0002-mm25 | 2021-05-20 | 2022-05-20 | -0.1317795923387226 | 0.13935406776097312 | 2022-04 | -0.05893172338192243 |
| fb0.0002-ps0.0005-mm00 | 2021-05-20 | 2022-05-20 | -0.20813217152782004 | 0.2145239544223401 | 2025-12 | -0.08667536940281095 |
| fb0.0002-ps0.0005-mm10 | 2020-03-27 | 2021-03-27 | -0.17767407950102942 | 0.18775561689423934 | 2025-12 | -0.08813125880354122 |
| fb0.0002-ps0.0005-mm25 | 2021-05-20 | 2022-05-20 | -0.17603461570849477 | 0.18126825963370483 | 2022-04 | -0.06178157461718936 |
| fb0.0005-ps0.0000-mm00 | 2021-05-20 | 2022-05-20 | -0.12029527870129375 | 0.13173493687049562 | 2025-12 | -0.08195701816243317 |
| fb0.0005-ps0.0000-mm10 | 2021-05-20 | 2022-05-20 | -0.153629579880453 | 0.15895786329050812 | 2025-12 | -0.0843316879696594 |
| fb0.0005-ps0.0000-mm25 | 2020-03-08 | 2021-03-08 | -0.08807779044852548 | 0.12038887520433542 | 2022-09 | -0.0593383074231385 |
| fb0.0005-ps0.0002-mm00 | 2021-05-20 | 2022-05-20 | -0.15941091646652417 | 0.16868545185514838 | 2025-12 | -0.08566779569802097 |
| fb0.0005-ps0.0002-mm10 | 2021-05-20 | 2022-05-20 | -0.1870652396565855 | 0.19088938905656613 | 2025-12 | -0.08766990879800829 |
| fb0.0005-ps0.0002-mm25 | 2021-05-20 | 2022-05-20 | -0.11793760353506977 | 0.12208693820340392 | 2022-09 | -0.061050305304441665 |
| fb0.0005-ps0.0005-mm00 | 2021-05-20 | 2022-05-20 | -0.21487491698740224 | 0.2212122739240275 | 2025-12 | -0.09120810880219199 |
| fb0.0005-ps0.0005-mm10 | 2021-05-20 | 2022-05-20 | -0.23477629871674055 | 0.2365459253957138 | 2025-12 | -0.09265677276847462 |
| fb0.0005-ps0.0005-mm25 | 2021-05-25 | 2022-05-25 | -0.16182129218137575 | 0.163553866038338 | 2022-09 | -0.0636136006880661 |
| fb0.0010-ps0.0000-mm00 | 2021-05-20 | 2022-05-20 | -0.15251303005995342 | 0.16353372939717417 | 2025-12 | -0.08981206392145291 |
| fb0.0010-ps0.0000-mm10 | 2021-05-20 | 2022-05-20 | -0.13758605090259401 | 0.15054457639514518 | 2022-01 | -0.08492575729218654 |
| fb0.0010-ps0.0000-mm25 | 2021-05-20 | 2022-05-20 | -0.14004649026672789 | 0.14546028535030753 | 2025-12 | -0.08221424203645455 |
| fb0.0010-ps0.0002-mm00 | 2021-05-20 | 2022-05-20 | -0.1876145073389076 | 0.19657786190594342 | 2025-12 | -0.09276687577476128 |
| fb0.0010-ps0.0002-mm10 | 2021-05-20 | 2022-05-20 | -0.1694717954919711 | 0.1786353254197941 | 2022-01 | -0.08715488741628585 |
| fb0.0010-ps0.0002-mm25 | 2021-05-20 | 2022-05-20 | -0.1673553895547799 | 0.17127225661811712 | 2025-12 | -0.08425659590244328 |
| fb0.0010-ps0.0005-mm00 | 2021-05-20 | 2022-05-20 | -0.23758864910041855 | 0.24374266578862022 | 2025-12 | -0.09718452330918448 |
| fb0.0010-ps0.0005-mm10 | 2021-05-20 | 2022-05-20 | -0.21512951721068074 | 0.22146481907031773 | 2022-01 | -0.09049006194232967 |
| fb0.0010-ps0.0005-mm25 | 2021-05-25 | 2022-05-25 | -0.20691053288041616 | 0.20854990413161345 | 2025-12 | -0.0873138326490358 |