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eth-twap-robustness-10y-ranked.csv

eth-twap-robustness-10y-ranked.csv 11 KB
Постоянная ссылка История Исходник

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  1. symbol,bar,cost_model,roundtrip_cost_on_margin,candidate_id,name,first_candle,last_candle,actual_bars,trades,gross_total_return,gross_annualized_return,gross_max_drawdown_mark_to_market,trend_sma,rsi_threshold,exit_rsi,stop_loss_pct,max_hold_bars,entry_offsets,entry_valid_bars,fill_buffer,net_total_return,net_annualized_return,net_max_drawdown,net_calmar,net_sharpe_daily,net_annualized_return_1y,net_annualized_return_3m,net_annualized_return_3y,net_annualized_return_6m,net_calmar_1y,net_calmar_3m,net_calmar_3y,net_calmar_6m,net_max_drawdown_1y,net_max_drawdown_3m,net_max_drawdown_3y,net_max_drawdown_6m,worst_rolling_max_drawdown_rolling_1y,worst_rolling_max_drawdown_rolling_30d,worst_rolling_total_return_rolling_1y,worst_rolling_total_return_rolling_30d,min_recent_calmar,min_recent_annualized,max_recent_drawdown,rolling_1y_positive,all_cost_positive_10y
    2. 

  2. ETH-USDT-SWAP,15m,maker_taker,0.0021,r3x50,rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48,2019-12-25 00:00,2026-04-29 17:00,222501,339,-1.0,0.0,1.0,60,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0,4.590249273878716,0.31131736614097116,0.1020774541140694,3.0498151510820457,2.0029245604047996,0.3558282164269906,1.04567043636734,0.3710350246237921,0.38258664068100945,4.508990103945677,151.7223500242786,4.701687997217014,4.848067963959364,0.07891527996826082,0.006892000000000078,0.07891527996826082,0.07891527996826082,0.1020774541140694,0.09737114727596635,0.06016105768910718,-0.09737114727596641,4.508990103945677,0.3558282164269906,0.07891527996826082,True,True
    3. 

  3. ETH-USDT-SWAP,15m,maker_taker,0.0021,r3x50,rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0002-t60-l3.0-x50.0-sl0.012-mh48,2019-12-25 00:00,2026-04-29 17:00,222501,328,-1.0,0.0,1.0,60,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0002,3.831198939658485,0.28152511290806137,0.1020774541140693,2.757955861570208,1.8495447984112667,0.29924244465028815,0.8918112487531358,0.3256200046979856,0.3301481205602912,3.4454208098175703,129.39803377149371,3.7491270384134467,4.18357662410973,0.08685221955983152,0.006892000000000008,0.08685221955983152,0.07891527996826092,0.1020774541140693,0.09737114727596625,0.045911127837112264,-0.0973711472759663,3.4454208098175703,0.29924244465028815,0.08685221955983152,True,True
    4. 

  4. ETH-USDT-SWAP,15m,maker_taker,0.0021,r3x50,rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0005-t60-l3.0-x50.0-sl0.012-mh48,2019-12-25 00:00,2026-04-29 17:00,222501,304,-1.0,0.0,1.0,60,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0005,2.5319591312786973,0.21984101528168587,0.1179401650827836,1.86400464275573,1.5206405006314583,0.16307317905947882,0.6564520716378255,0.2555715586745144,0.19483418846756195,1.3826772155610927,95.24841434094951,2.1669594789453255,2.1963925136410527,0.1179401650827836,0.006892000000000015,0.1179401650827836,0.08870645262971556,0.1179401650827836,0.09737114727596632,0.02249763458834475,-0.0973711472759663,1.3826772155610927,0.16307317905947882,0.1179401650827836,True,True
    5. 

  5. ETH-USDT-SWAP,15m,maker_taker,0.0021,x45-v4,rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v4-t60-l5.0-x45.0-sl0.008-mh48,2019-12-25 00:00,2026-04-29 17:00,222501,1056,-1.0,0.0,1.0,60,5.0,45.0,0.008,48,0.0015-0.0040-0.0070,4,0.0,17.630387091963915,0.5850338360689686,0.15013039913552262,3.8968379451310122,2.316361766984651,0.7828452042910043,1.8339876584358983,0.5836872205821793,0.6876273136977511,8.713370723138263,26.96153993946034,5.055349875425168,8.08015929686067,0.08984412911666517,0.0680223630606393,0.11545931240477984,0.08510071255215357,0.15013039913552262,0.15013039913552262,-0.04659433151829828,-0.11510833848457158,8.08015929686067,0.6876273136977511,0.08984412911666517,False,True
    6. 

  6. ETH-USDT-SWAP,15m,maker_taker,0.0021,x45-v3,rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x45.0-sl0.008-mh48,2019-12-25 00:00,2026-04-29 17:00,222501,1002,-1.0,0.0,1.0,60,5.0,45.0,0.008,48,0.0015-0.0040-0.0070,3,0.0,16.84409080072793,0.574306466243893,0.14267774449422888,4.025200063820205,2.3326980975442013,0.7474797281230754,1.8952065663249233,0.5781013645026336,0.7385989477351764,7.019262220208782,31.708018838990586,5.138373409474727,8.810175119986583,0.10648978548928498,0.059770576520360635,0.11250668615026373,0.083834763517879,0.14267774449422888,0.13484695125205495,-0.050824810469965453,-0.09957642300412584,7.019262220208782,0.7385989477351764,0.10648978548928498,False,True
    7. 

  7. ETH-USDT-SWAP,15m,maker_taker,0.0021,x55-v2,rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v2-t60-l5.0-x55.0-sl0.008-mh48,2019-12-25 00:00,2026-04-29 17:00,222501,935,-1.0,0.0,1.0,60,5.0,55.0,0.008,48,0.0015-0.0040-0.0070,2,0.0,19.67883472290885,0.611288038123698,0.1675770566526501,3.6478026905005376,2.355922032433321,0.7279653990183999,1.388749038073819,0.5939153658756817,0.7285743634237833,6.717931775074919,26.956165664485106,4.915264197476649,11.04543038354051,0.1083615349770773,0.051518790000000016,0.12083081234587152,0.06596160929224432,0.1675770566526501,0.13789347726936596,-0.04240853610563122,-0.12083081234587156,6.717931775074919,0.7279653990183999,0.1083615349770773,False,True
    8. 

  8. ETH-USDT-SWAP,15m,maker_taker,0.0021,x55-v3,rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x55.0-sl0.008-mh48,2019-12-25 00:00,2026-04-29 17:00,222501,1001,-1.0,0.0,1.0,60,5.0,55.0,0.008,48,0.0015-0.0040-0.0070,3,0.0,21.519744225682672,0.6330743136850177,0.16738941503555502,3.782045080631574,2.3423007003690612,0.7853476830097081,2.354656981148552,0.6021817191052796,0.9475399549046959,6.507014934566468,39.394918339903406,4.649660984047616,11.302470659473139,0.12069246665437879,0.05977057652036056,0.1295108871746321,0.08383476351787894,0.16059352258100135,0.13789347726936635,-0.06707757202350084,-0.12861502965351568,6.507014934566468,0.7853476830097081,0.12069246665437879,False,True
    9. 

  9. ETH-USDT-SWAP,15m,maker_taker,0.0021,x55-v3,rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-fb0.0002-t60-l5.0-x55.0-sl0.008-mh48,2019-12-25 00:00,2026-04-29 17:00,222501,960,-1.0,0.0,1.0,60,5.0,55.0,0.008,48,0.0015-0.0040-0.0070,3,0.0002,11.732949882837476,0.4928208761491193,0.16953857843012096,2.906836194525756,1.986184363696261,0.6322463148532882,1.9783130867302008,0.4728214590119366,0.7173904233751531,5.164588071244016,33.0984441158317,3.8623049429839464,7.22107448975129,0.12241950493081558,0.0597705765203607,0.12241950493081558,0.09934676956917275,0.166748076396469,0.1378934772693658,-0.09260379221909809,-0.11834203626442696,5.164588071244016,0.6322463148532882,0.12241950493081558,False,True
    10. 

  10. ETH-USDT-SWAP,15m,maker_taker,0.0021,x45-v3,rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-fb0.0002-t60-l5.0-x45.0-sl0.008-mh48,2019-12-25 00:00,2026-04-29 17:00,222501,961,-1.0,0.0,1.0,60,5.0,45.0,0.008,48,0.0015-0.0040-0.0070,3,0.0002,10.082994024320428,0.46054817542325655,0.17049441579910382,2.7012507903245786,1.9941551562541493,0.5976301128990797,1.5704063496591747,0.4777331256406978,0.5330647868769391,5.024034177435352,26.27390333309267,4.016108792224112,5.52939826077324,0.1189542291697059,0.05977057652036067,0.1189542291697059,0.09640556923863078,0.17049441579910382,0.1348469512520549,-0.07521954787343776,-0.10275113794243329,5.024034177435352,0.5330647868769391,0.1189542291697059,False,True
    11. 

  11. ETH-USDT-SWAP,15m,maker_taker,0.0021,x55-v2,rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v2-fb0.0002-t60-l5.0-x55.0-sl0.008-mh48,2019-12-25 00:00,2026-04-29 17:00,222501,895,-1.0,0.0,1.0,60,5.0,55.0,0.008,48,0.0015-0.0040-0.0070,2,0.0002,10.761043885770842,0.47427052698527516,0.17314706910605357,2.739119578713641,1.9969698075607474,0.5408007970419493,0.985036625880386,0.46209747274135116,0.46265605993076986,4.990708161861584,19.119948777531192,3.9717628909819256,5.420070352245339,0.10836153497707732,0.05151878999999999,0.11634568463051136,0.08535978868597309,0.17314706910605357,0.1301921457756586,-0.0720690701735095,-0.11046604871095378,4.990708161861584,0.46265605993076986,0.10836153497707732,False,True
    12. 

  12. ETH-USDT-SWAP,15m,maker_taker,0.0021,x45-v4,rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v4-fb0.0002-t60-l5.0-x45.0-sl0.008-mh48,2019-12-25 00:00,2026-04-29 17:00,222501,1021,-1.0,0.0,1.0,60,5.0,45.0,0.008,48,0.0015-0.0040-0.0070,4,0.0002,10.420296011122968,0.46746029134221945,0.17626223426992133,2.652072880378723,1.9705682749373397,0.604081339923999,1.342424646363173,0.46368224512660294,0.42561799897766117,6.092441636041081,19.73504868048248,4.0159796162739605,4.358422120312413,0.09915258545119787,0.06802236306063947,0.11545931240477982,0.09765414804455716,0.17626223426992133,0.15013039913552256,-0.08913731100799738,-0.11367784745996301,4.358422120312413,0.42561799897766117,0.09915258545119787,False,True
    13. 

  13. ETH-USDT-SWAP,15m,maker_taker,0.0021,x55-v2,rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v2-fb0.0005-t60-l5.0-x55.0-sl0.008-mh48,2019-12-25 00:00,2026-04-29 17:00,222501,820,-1.0,0.0,1.0,60,5.0,55.0,0.008,48,0.0015-0.0040-0.0070,2,0.0005,3.3633796377192047,0.26113430401956084,0.22049915957683913,1.1842870717543994,1.2823294559225547,0.35310439143469696,0.9552314295760647,0.258771930089968,0.36206214133393133,3.198824541362571,18.541418181134812,2.0346490737966474,3.8205645197605524,0.11038567038262394,0.051518789999999905,0.12718258564711632,0.09476666064956887,0.22049915957683913,0.13019214577565855,-0.10785696402994394,-0.12395083307454657,3.198824541362571,0.35310439143469696,0.11038567038262394,False,True
    14. 

  14. ETH-USDT-SWAP,15m,maker_taker,0.0021,x55-v3,rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-fb0.0005-t60-l5.0-x55.0-sl0.008-mh48,2019-12-25 00:00,2026-04-29 17:00,222501,889,-1.0,0.0,1.0,60,5.0,55.0,0.008,48,0.0015-0.0040-0.0070,3,0.0005,3.7415449359127626,0.2777502886462111,0.19494391358706742,1.424770250763228,1.3039066050286012,0.4035934858754755,1.8298199726738442,0.2525083729861475,0.5733074072487792,2.6114026490468563,30.614059277988098,1.6338247697238315,5.309855992368122,0.15455046199895076,0.05977057652036064,0.15455046199895076,0.10797042482372333,0.19494391358706742,0.13807958155204372,-0.12593945086506897,-0.12787973954177068,2.6114026490468563,0.4035934858754755,0.15455046199895076,False,True
    15. 

  15. ETH-USDT-SWAP,15m,maker_taker,0.0021,x45-v3,rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-fb0.0005-t60-l5.0-x45.0-sl0.008-mh48,2019-12-25 00:00,2026-04-29 17:00,222501,890,-1.0,0.0,1.0,60,5.0,45.0,0.008,48,0.0015-0.0040-0.0070,3,0.0005,3.2417432302385265,0.25553164264949,0.18617404791335027,1.3725416915703545,1.2866093878557676,0.38346820032844864,1.4422533082797573,0.25939689936680765,0.4044467845608801,2.432236042947005,24.12982092934068,1.645285026315755,4.053716192998982,0.157660767111987,0.059770576520360656,0.157660767111987,0.09977185508432601,0.18617404791335027,0.13807958155204347,-0.12261717252685811,-0.1237683343317284,2.432236042947005,0.38346820032844864,0.157660767111987,False,True
    16. 

  16. ETH-USDT-SWAP,15m,maker_taker,0.0021,x45-v4,rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v4-fb0.0005-t60-l5.0-x45.0-sl0.008-mh48,2019-12-25 00:00,2026-04-29 17:00,222501,953,-1.0,0.0,1.0,60,5.0,45.0,0.008,48,0.0015-0.0040-0.0070,4,0.0005,3.27630578236729,0.25713724256761217,0.19183284087132474,1.3404234718084143,1.264036479810468,0.34734552342330205,1.1923288552822147,0.21882454599853918,0.286565303384708,2.303712505193161,17.528483305105116,1.313517225265008,2.6624625255901355,0.15077641964450678,0.06802236306063929,0.1665943482046003,0.10763167580027842,0.19183284087132474,0.15013039913552245,-0.13047262026876405,-0.1354670258363162,2.303712505193161,0.286565303384708,0.15077641964450678,False,True
    17.