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mean-reversion-regime-horizons.csv

mean-reversion-regime-horizons.csv 14 KB
Постоянная ссылка История Исходник

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  1. name,horizon,horizon_start,horizon_end,net_total_return,net_annualized_return,net_max_drawdown,net_calmar,risk_reward_ratio,trades,win_rate,payoff_ratio
    2. 

  2. adx_gt25,full,2020-02-07,2026-05-03,1.5788472880168283,0.16399460549449985,0.14814143161399987,1.1070137753346903,0.9397415849908051,54,0.7962962962962963,0.6299516982547197
    3. 

  3. adx_gt25,3y,2023-05-03,2026-05-03,0.22014807009326365,0.06850829479115284,0.1374,0.498604765583354,0.5151168847367678,22,0.7727272727272727,0.48817023370558676
    4. 

  4. adx_gt25,1y,2025-05-03,2026-05-03,0.14798190630829855,0.14798190630829855,0.022879000000000056,6.468023353656112,1.5612633638352154,7,0.7142857142857143,1.849900484817556
    5. 

  5. adx_gt25,6m,2025-11-03,2026-05-03,-0.016310999999999964,-0.03261967300410218,0.016310999999999912,-1.9998573357919414,-1.4200614724846803,1,0.0,0.0
    6. 

  6. adx_gt25,3m,2026-02-03,2026-05-03,-0.016310999999999964,-0.06522085125491894,0.016310999999999912,-3.998580789339666,-2.0251231062593744,1,0.0,0.0
    7. 

  7. adx_lt20,full,2020-02-07,2026-05-03,0.03830354070687281,0.006043521373542582,0.13739999999999997,0.043984871714283724,0.11601436420252603,10,0.7,0.5296675746909987
    8. 

  8. adx_lt20,3y,2023-05-03,2026-05-03,0.00916512924642321,0.003042973828859097,0.07272799999999995,0.041840471742095195,0.0782074742906092,5,0.6,0.763320574412988
    9. 

  9. adx_lt20,1y,2025-05-03,2026-05-03,-0.060976681943999966,-0.060976681943999966,0.07272799999999995,-0.838420992520075,-0.8131123470976463,2,0.5,0.1742520074799252
    10. 

  10. adx_lt20,6m,2025-11-03,2026-05-03,-0.0727279999999999,-0.14124206304684384,0.07272799999999995,-1.9420589463046412,-1.4200614724846807,1,0.0,0.0
    11. 

  11. adx_lt20,3m,2026-02-03,2026-05-03,-0.0727279999999999,-0.2663102486437474,0.07272799999999995,-3.661729301558514,-2.0251231062593744,1,0.0,0.0
    12. 

  12. adx_lt25,full,2020-02-07,2026-05-03,0.3479245083036906,0.049023492845920336,0.1374,0.35679397995575207,0.5397312945772845,18,0.7777777777777778,0.6272613463406526
    13. 

  13. adx_lt25,3y,2023-05-03,2026-05-03,0.03306054307613593,0.010890919140844169,0.0939801469679998,0.11588531718887948,0.1894733385348409,9,0.6666666666666666,0.6452656056972602
    14. 

  14. adx_lt25,1y,2025-05-03,2026-05-03,-0.08249815737052524,-0.08249815737052524,0.0939801469679998,-0.8778253709117503,-1.0736306324792504,3,0.3333333333333333,0.26499524292450366
    15. 

  15. adx_lt25,6m,2025-11-03,2026-05-03,-0.0727279999999999,-0.14124206304684384,0.07272799999999986,-1.9420589463046434,-1.4200614724846807,1,0.0,0.0
    16. 

  16. adx_lt25,3m,2026-02-03,2026-05-03,-0.0727279999999999,-0.2663102486437474,0.07272799999999986,-3.6617293015585184,-2.0251231062593744,1,0.0,0.0
    17. 

  17. baseline,full,2020-02-07,2026-05-03,2.188492617118884,0.2042705238524556,0.25592123999999994,0.7981772980330027,1.0291811792055638,71,0.7887323943661971,0.6153904637693438
    18. 

  18. baseline,3y,2023-05-03,2026-05-03,0.2604868279238457,0.08014533223104459,0.13739999999999997,0.5832993612157541,0.5471280082447478,31,0.7419354838709677,0.5415258594580888
    19. 

  19. baseline,1y,2025-05-03,2026-05-03,0.05327551434316069,0.05327551434316069,0.08785273359199988,0.6064184023069729,0.4937744509621177,10,0.6,0.9587724437654355
    20. 

  20. baseline,6m,2025-11-03,2026-05-03,-0.08785273359199985,-0.1692544661399331,0.08785273359199988,-1.9265702866569185,-1.6984202039483762,2,0.0,0.0
    21. 

  21. baseline,3m,2026-02-03,2026-05-03,-0.08785273359199985,-0.31416211878421196,0.08785273359199988,-3.5760084625621764,-2.425101976071468,2,0.0,0.0
    22. 

  22. btc_4h_mom24,full,2020-02-07,2026-05-03,1.8064766813296118,0.179884968604336,0.25592124,0.7028919076991657,0.9416176814291759,61,0.7868852459016393,0.6033569057334532
    23. 

  23. btc_4h_mom24,3y,2023-05-03,2026-05-03,0.16883309715376993,0.05332783506079464,0.1495513487273632,0.35658545051314083,0.40362912483951424,29,0.7241379310344828,0.5331751945877978
    24. 

  24. btc_4h_mom24,1y,2025-05-03,2026-05-03,0.05799438829055692,0.05799438829055692,0.08785273359199983,0.6601318583880478,0.5227267009134285,10,0.6,0.9822575900284541
    25. 

  25. btc_4h_mom24,6m,2025-11-03,2026-05-03,-0.08785273359199985,-0.1692544661399331,0.08785273359199983,-1.9265702866569199,-1.6984202039483762,2,0.0,0.0
    26. 

  26. btc_4h_mom24,3m,2026-02-03,2026-05-03,-0.08785273359199985,-0.31416211878421196,0.08785273359199983,-3.5760084625621786,-2.425101976071468,2,0.0,0.0
    27. 

  27. btc_4h_sma400,full,2020-02-07,2026-05-03,1.5325362271661986,0.1606183265239478,0.25592124,0.6276084256388716,0.9317959281168435,59,0.7966101694915254,0.5889267706734913
    28. 

  28. btc_4h_sma400,3y,2023-05-03,2026-05-03,0.41506779120948023,0.12256946592555673,0.1374,0.8920630707828001,0.8814217707319054,26,0.7692307692307693,0.6609583530751058
    29. 

  29. btc_4h_sma400,1y,2025-05-03,2026-05-03,-0.006436086656684048,-0.006436086656684048,0.1087582367908048,-0.05917792386671168,-0.0013209208458104436,8,0.5,0.9989023784272865
    30. 

  30. btc_4h_sma400,6m,2025-11-03,2026-05-03,-0.08785273359199985,-0.1692544661399331,0.08785273359199988,-1.9265702866569185,-1.6984202039483762,2,0.0,0.0
    31. 

  31. btc_4h_sma400,3m,2026-02-03,2026-05-03,-0.08785273359199985,-0.31416211878421196,0.08785273359199988,-3.5760084625621764,-2.425101976071468,2,0.0,0.0
    32. 

  32. btc_daily_sma100,full,2020-02-07,2026-05-03,1.2070617461656648,0.13530615825922498,0.25592123999999994,0.5287023392791665,0.8311945887697291,54,0.7777777777777778,0.6067049833118744
    33. 

  33. btc_daily_sma100,3y,2023-05-03,2026-05-03,0.36454827510940646,0.10906052227540641,0.14645380264609426,0.744675251204991,0.8293156029150329,26,0.7692307692307693,0.6237661259805964
    34. 

  34. btc_daily_sma100,1y,2025-05-03,2026-05-03,0.05327551434316069,0.05327551434316069,0.08785273359199994,0.6064184023069724,0.4937744509621167,10,0.6,0.9587724437654355
    35. 

  35. btc_daily_sma100,6m,2025-11-03,2026-05-03,-0.08785273359199997,-0.16925446613993334,0.08785273359199994,-1.9265702866569199,-1.6984202039483776,2,0.0,0.0
    36. 

  36. btc_daily_sma100,3m,2026-02-03,2026-05-03,-0.08785273359199997,-0.3141621187842123,0.08785273359199994,-3.5760084625621777,-2.4251019760714705,2,0.0,0.0
    37. 

  37. btc_daily_sma200,full,2020-02-07,2026-05-03,0.7938011414097652,0.09819553630083289,0.29840782936315635,0.3290648791300006,0.7022083029621996,47,0.8085106382978723,0.4628057096474567
    38. 

  38. btc_daily_sma200,3y,2023-05-03,2026-05-03,0.4689551573991311,0.13662896590308926,0.1464538026460942,0.9329151133975901,1.0600533444997997,23,0.8260869565217391,0.5934403250561131
    39. 

  39. btc_daily_sma200,1y,2025-05-03,2026-05-03,0.15472090213120726,0.15472090213120726,0.02291899999999992,6.750770196396344,1.5884852477987235,8,0.75,1.4113935106336524
    40. 

  40. btc_daily_sma200,6m,2025-11-03,2026-05-03,0.0,0.0,0.0,0.0,0.0,0,0.0,0.0
    41. 

  41. btc_daily_sma200,3m,2026-02-03,2026-05-03,0.0,0.0,0.0,0.0,0.0,0,0.0,0.0
    42. 

  42. eq_days30,full,2020-02-07,2026-05-03,1.1395692956373327,0.12966810032522358,0.13739999999999997,0.9437270766027919,1.0122311632211423,36,0.8333333333333334,0.654157740830012
    43. 

  43. eq_days30,3y,2023-05-03,2026-05-03,0.196180596492598,0.06147211651307205,0.13739999999999997,0.4473953166890252,0.6119065867338199,13,0.8461538461538461,0.40539288430056203
    44. 

  44. eq_days30,1y,2025-05-03,2026-05-03,0.07742572046922191,0.07742572046922191,0.02291899999999994,3.378232927667966,1.084759579773349,4,0.75,1.453568363948398
    45. 

  45. eq_days30,6m,2025-11-03,2026-05-03,0.0,0.0,0.0,0.0,0.0,0,0.0,0.0
    46. 

  46. eq_days30,3m,2026-02-03,2026-05-03,0.0,0.0,0.0,0.0,0.0,0,0.0,0.0
    47. 

  47. eq_days60,full,2020-02-07,2026-05-03,0.836124389111665,0.1023084769733742,0.25592123999999994,0.3997654785252456,0.7611894728451367,39,0.7948717948717948,0.5924741513900127
    48. 

  48. eq_days60,3y,2023-05-03,2026-05-03,0.3080595838573601,0.09355434807035978,0.14645380264609426,0.638797671211269,0.8310646931929317,17,0.8235294117647058,0.5527824695528492
    49. 

  49. eq_days60,1y,2025-05-03,2026-05-03,0.10887022711041894,0.10887022711041894,0.022918999999999863,4.750217160889201,1.275305171546971,7,0.7142857142857143,1.3325298047949692
    50. 

  50. eq_days60,6m,2025-11-03,2026-05-03,0.0,0.0,0.0,0.0,0.0,0,0.0,0.0
    51. 

  51. eq_days60,3m,2026-02-03,2026-05-03,0.0,0.0,0.0,0.0,0.0,0,0.0,0.0
    52. 

  52. eq_trades3,full,2020-02-07,2026-05-03,0.4245783004057331,0.05836558310007067,0.35815766162399987,0.16296058790260887,0.4248142368253598,50,0.76,0.47041723618736847
    53. 

  53. eq_trades3,3y,2023-05-03,2026-05-03,0.08591177379491377,0.027828433169395872,0.1429136168657512,0.1947220550406829,0.2612165107277378,21,0.7619047619047619,0.4020786353386193
    54. 

  54. eq_trades3,1y,2025-05-03,2026-05-03,0.08209800208909601,0.08209800208909601,0.07272799999999996,1.128836240362667,0.7407507786314588,7,0.7142857142857143,0.7579704538563679
    55. 

  55. eq_trades3,6m,2025-11-03,2026-05-03,-0.0727279999999999,-0.14124206304684384,0.07272799999999996,-1.9420589463046407,-1.4200614724846807,1,0.0,0.0
    56. 

  56. eq_trades3,3m,2026-02-03,2026-05-03,-0.0727279999999999,-0.2663102486437474,0.07272799999999996,-3.6617293015585135,-2.0251231062593744,1,0.0,0.0
    57. 

  57. eq_trades5,full,2020-02-07,2026-05-03,0.5842045261682518,0.07653826524123475,0.21654960358389172,0.35344449481563556,0.5335648924038059,49,0.7551020408163265,0.5416815820248286
    58. 

  58. eq_trades5,3y,2023-05-03,2026-05-03,-0.06642515218743739,-0.022630475957536977,0.21654960358389172,-0.1045048135993003,-0.07701597218515273,20,0.7,0.3963482113399631
    59. 

  59. eq_trades5,1y,2025-05-03,2026-05-03,-0.007473067233142894,-0.007473067233142894,0.07272799999999995,-0.10275364691924567,-0.03650290449701828,6,0.6666666666666666,0.48273861177036403
    60. 

  60. eq_trades5,6m,2025-11-03,2026-05-03,-0.0727279999999999,-0.14124206304684384,0.07272799999999995,-1.9420589463046412,-1.4200614724846807,1,0.0,0.0
    61. 

  61. eq_trades5,3m,2026-02-03,2026-05-03,-0.0727279999999999,-0.2663102486437474,0.07272799999999995,-3.661729301558514,-2.0251231062593744,1,0.0,0.0
    62. 

  62. eth_daily_mom20,full,2020-02-07,2026-05-03,1.6822401270755662,0.17135245142917777,0.26518679891023633,0.6461575468060129,1.0043589966858602,55,0.7818181818181819,0.7254808758775846
    63. 

  63. eth_daily_mom20,3y,2023-05-03,2026-05-03,0.3587898921834556,0.10749967150052742,0.10875823679080482,0.98842786231724,1.0706681802294178,21,0.7619047619047619,0.8797620526663542
    64. 

  64. eth_daily_mom20,1y,2025-05-03,2026-05-03,-0.02634155980797015,-0.02634155980797015,0.10875823679080482,-0.24220289501969242,-0.1869423611434073,7,0.42857142857142855,1.1297096988709827
    65. 

  65. eth_daily_mom20,6m,2025-11-03,2026-05-03,-0.08785273359199985,-0.1692544661399331,0.0878527335919999,-1.9265702866569183,-1.6984202039483762,2,0.0,0.0
    66. 

  66. eth_daily_mom20,3m,2026-02-03,2026-05-03,-0.08785273359199985,-0.31416211878421196,0.0878527335919999,-3.576008462562176,-2.425101976071468,2,0.0,0.0
    67. 

  67. eth_daily_sma100,full,2020-02-07,2026-05-03,1.2191311959203484,0.13629909338950252,0.25592124,0.5325821857908415,0.831880014781021,55,0.7818181818181819,0.5949302449100045
    68. 

  68. eth_daily_sma100,3y,2023-05-03,2026-05-03,0.12945076760046925,0.04137310240733849,0.1464538026460942,0.28249933876634564,0.39376344264216084,21,0.7142857142857143,0.5847359266337444
    69. 

  69. eth_daily_sma100,1y,2025-05-03,2026-05-03,0.05327551434316091,0.05327551434316091,0.08785273359199984,0.6064184023069756,0.49377445096211664,10,0.6,0.9587724437654355
    70. 

  70. eth_daily_sma100,6m,2025-11-03,2026-05-03,-0.08785273359199985,-0.1692544661399331,0.08785273359199984,-1.9265702866569194,-1.6984202039483762,2,0.0,0.0
    71. 

  71. eth_daily_sma100,3m,2026-02-03,2026-05-03,-0.08785273359199985,-0.31416211878421196,0.08785273359199984,-3.576008462562178,-2.425101976071468,2,0.0,0.0
    72. 

  72. eth_daily_sma200,full,2020-02-07,2026-05-03,0.821716512460203,0.10091735181031858,0.25592123999999994,0.3943297235130566,0.6901087712031871,44,0.7954545454545454,0.5107255668935062
    73. 

  73. eth_daily_sma200,3y,2023-05-03,2026-05-03,0.30306610665383404,0.09216230735986208,0.15713542539999997,0.5865151484794472,0.7917548099865835,19,0.7894736842105263,0.6065088109960758
    74. 

  74. eth_daily_sma200,1y,2025-05-03,2026-05-03,0.14027025716219121,0.14027025716219121,0.02291900000000001,6.120260795069207,1.465370049383715,7,0.7142857142857143,1.5829861566007255
    75. 

  75. eth_daily_sma200,6m,2025-11-03,2026-05-03,0.0,0.0,0.0,0.0,0.0,0,0.0,0.0
    76. 

  76. eth_daily_sma200,3m,2026-02-03,2026-05-03,0.0,0.0,0.0,0.0,0.0,0,0.0,0.0
    77. 

  77. eth_daily_sma50,full,2020-02-07,2026-05-03,1.306683713474528,0.14336920281440246,0.25592124,0.5602083000785807,0.8618492209124052,57,0.7894736842105263,0.5821295440963011
    78. 

  78. eth_daily_sma50,3y,2023-05-03,2026-05-03,0.2247730278828346,0.06985541785621185,0.14645380264609406,0.47697920159176493,0.5876548454936676,23,0.7391304347826086,0.6096519917569956
    79. 

  79. eth_daily_sma50,1y,2025-05-03,2026-05-03,0.025537793638617412,0.025537793638617412,0.10875823679080475,0.2348125014911659,0.27478894937305387,9,0.5555555555555556,0.9900546585877765
    80. 

  80. eth_daily_sma50,6m,2025-11-03,2026-05-03,-0.08785273359199985,-0.1692544661399331,0.08785273359199985,-1.9265702866569192,-1.698420203948375,2,0.0,0.0
    81. 

  81. eth_daily_sma50,3m,2026-02-03,2026-05-03,-0.08785273359199985,-0.31416211878421196,0.08785273359199985,-3.5760084625621773,-2.4251019760714665,2,0.0,0.0
    82. 

  82. vol_q50,full,2020-02-07,2026-05-03,1.027937161403298,0.12000617549329418,0.29840782936315646,0.4021549158056742,0.7065650668466805,57,0.7719298245614035,0.5468250850735289
    83. 

  83. vol_q50,3y,2023-05-03,2026-05-03,0.1530667927492142,0.04857462268385304,0.13739999999999994,0.35352709376894514,0.3753269015121807,26,0.7307692307692307,0.5122360673735527
    84. 

  84. vol_q50,1y,2025-05-03,2026-05-03,0.06444790157702074,0.06444790157702074,0.08785273359199995,0.7335901677951828,0.5935437832226579,8,0.625,0.9713142428410655
    85. 

  85. vol_q50,6m,2025-11-03,2026-05-03,-0.08785273359199997,-0.16925446613993334,0.08785273359199995,-1.9265702866569197,-1.6984202039483762,2,0.0,0.0
    86. 

  86. vol_q50,3m,2026-02-03,2026-05-03,-0.08785273359199997,-0.3141621187842123,0.08785273359199995,-3.5760084625621773,-2.425101976071468,2,0.0,0.0
    87. 

  87. vol_q60,full,2020-02-07,2026-05-03,1.3395335066501306,0.14596385407190082,0.2984078293631564,0.4891421729229018,0.819443561522725,63,0.7777777777777778,0.5657531723311865
    88. 

  88. vol_q60,3y,2023-05-03,2026-05-03,0.213595909184765,0.0665939877700521,0.1374,0.4846724000731594,0.4744394546373241,30,0.7333333333333333,0.53768979279266
    89. 

  89. vol_q60,1y,2025-05-03,2026-05-03,0.05327551434316069,0.05327551434316069,0.08785273359199992,0.6064184023069725,0.49377445096211664,10,0.6,0.9587724437654355
    90. 

  90. vol_q60,6m,2025-11-03,2026-05-03,-0.08785273359199997,-0.16925446613993334,0.08785273359199992,-1.92657028665692,-1.6984202039483762,2,0.0,0.0
    91. 

  91. vol_q60,3m,2026-02-03,2026-05-03,-0.08785273359199997,-0.3141621187842123,0.08785273359199992,-3.5760084625621786,-2.425101976071468,2,0.0,0.0
    92.