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short-bias
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swing-stress-robustness.csv

swing-stress-robustness.csv 4.4 KB
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  1. name,symbol,bar,family,stress_cases,positive_cases,worst_stress_total_return,worst_stress_max_drawdown,worst_stress_calmar,worst_stress_return_3y,worst_stress_return_1y,worst_stress_return_6m,worst_stress_return_3m,trades,fast,slow,stop_atr,take_atr,worst_stress_fee_single_side,worst_stress_slippage,worst_stress_funding_8h
    2. 

  2. vol_expansion_short-eth-4H-fast20-slow80-entry20-exit10-atr14-stop_atr3.0-take_atr6.0-max_hold120-vol_window120-vol_quantile0.8,ETH-USDT-SWAP,4H,vol_expansion_short,27,27,3.129264006004176,0.344563933884564,0.7321081436930492,0.3056519901619139,0.26160412583236003,0.389977244412385,0.3372857210827567,88,20,80,3.0,6.0,0.001,0.001,-5e-05
    3. 

  3. btc_riskoff_eth-eth-1D-fast20-slow80-entry20-exit10-atr14-stop_atr2.0-take_atr4.0-max_hold80-btc_fast20-btc_slow80-btc_lookback3-eth_lookback3-btc_drop0.015-eth_max_return0.01,ETH-USDT-SWAP,1D,btc_riskoff_eth,27,27,2.83313013935078,0.42332053879501097,0.5784941411544702,0.8056326766133921,0.6206755903714478,0.7782533445472086,0.11997408882834915,105,20,80,2.0,4.0,0.001,0.001,-5e-05
    4. 

  4. vol_expansion_short-eth-4H-fast30-slow120-entry20-exit10-atr14-stop_atr3.0-take_atr6.0-max_hold120-vol_window120-vol_quantile0.8,ETH-USDT-SWAP,4H,vol_expansion_short,27,27,2.4216509465357086,0.3483574252154092,0.6185297283380393,0.31147273153199984,0.16420445884753976,0.3611924549558494,0.3372857210827569,84,30,120,3.0,6.0,0.001,0.001,-5e-05
    5. 

  5. btc_riskoff_eth-eth-1D-fast20-slow80-entry20-exit10-atr14-stop_atr2.0-take_atr4.0-max_hold80-btc_fast20-btc_slow80-btc_lookback12-eth_lookback3-btc_drop0.04-eth_max_return0.01,ETH-USDT-SWAP,1D,btc_riskoff_eth,27,27,1.9555965190553413,0.5090080460057924,0.3796209007289579,0.6976899517110668,0.26710890405697585,0.6343046577235505,0.18340188820819003,70,20,80,2.0,4.0,0.001,0.001,-5e-05
    6. 

  6. vol_expansion_short-btc-4H-fast50-slow200-entry20-exit10-atr14-stop_atr3.0-take_atr6.0-max_hold120-vol_window120-vol_quantile0.8,BTC-USDT-SWAP,4H,vol_expansion_short,27,27,1.9517372065558973,0.3437120793290885,0.5460167191616314,0.038651589043848134,0.13831693337385742,0.14629589550108268,0.0775701916776268,61,50,200,3.0,6.0,0.001,0.001,-5e-05
    7. 

  7. vol_expansion_short-btc-4H-fast30-slow120-entry20-exit10-atr14-stop_atr3.0-take_atr6.0-max_hold120-vol_window120-vol_quantile0.8,BTC-USDT-SWAP,4H,vol_expansion_short,27,27,1.8317810012345164,0.30847444763196535,0.5795317064614776,0.09015668500284191,0.1542059659327364,0.1622963012507741,0.0775701916776268,70,30,120,3.0,6.0,0.001,0.001,-5e-05
    8. 

  8. vol_expansion_short-eth-4H-fast50-slow200-entry20-exit10-atr14-stop_atr3.0-take_atr6.0-max_hold120-vol_window120-vol_quantile0.8,ETH-USDT-SWAP,4H,vol_expansion_short,27,27,1.7674327288092724,0.35648654053394985,0.494591084303519,0.26273370625071,0.22935668851357605,0.314295034858058,0.3372857210827569,73,50,200,3.0,6.0,0.001,0.001,-5e-05
    9. 

  9. btc_riskoff_eth-eth-4H-fast20-slow80-entry20-exit10-atr14-stop_atr2.0-take_atr4.0-max_hold120-btc_fast20-btc_slow80-btc_lookback12-eth_lookback3-btc_drop0.04-eth_max_return0.01,ETH-USDT-SWAP,4H,btc_riskoff_eth,27,27,1.7603519338271125,0.5334836410905303,0.3265051202954357,-0.027242627394297503,-0.05005930632688427,0.10804107805364582,0.034041369591854886,263,20,80,2.0,4.0,0.001,0.001,-5e-05
    10. 

  10. vol_expansion_short-eth-4H-fast20-slow80-entry20-exit10-atr14-stop_atr2.0-take_atr4.0-max_hold120-vol_window120-vol_quantile0.8,ETH-USDT-SWAP,4H,vol_expansion_short,27,27,1.6224083350421505,0.4384459986449522,0.3768866629500278,0.06663857826588893,0.1737691459712527,0.1840448960814125,0.12018746292235982,99,20,80,2.0,4.0,0.001,0.001,-5e-05
    11. 

  11. donchian_breakdown-eth-4H-fast20-slow80-entry55-exit20-atr14-stop_atr3.0-take_atr5.0-max_hold120,ETH-USDT-SWAP,4H,donchian_breakdown,27,27,1.6202600754623862,0.3276685650052932,0.5021939148412616,0.03344468149591129,0.011898472183932807,0.03644776804125227,-0.00011842388796035053,123,20,80,3.0,5.0,0.001,0.001,-5e-05
    12. 

  12. vol_expansion_short-btc-4H-fast20-slow80-entry20-exit10-atr14-stop_atr3.0-take_atr6.0-max_hold120-vol_window120-vol_quantile0.8,BTC-USDT-SWAP,4H,vol_expansion_short,27,27,1.6200789305308159,0.2885155720459792,0.569767694743985,0.07218157606223286,0.07512349915621619,0.14989544171447045,0.07757019167762702,75,20,80,3.0,6.0,0.001,0.001,-5e-05
    13. 

  13. vol_expansion_short-eth-4H-fast30-slow120-entry20-exit10-atr14-stop_atr2.0-take_atr4.0-max_hold120-vol_window120-vol_quantile0.8,ETH-USDT-SWAP,4H,vol_expansion_short,27,27,1.4698903356628663,0.38105301189739865,0.40472450641590074,-0.014043497362845714,0.09746304809247008,0.15508001006908545,0.09278469949390855,95,30,120,2.0,4.0,0.001,0.001,-5e-05
    14.