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mean-reversion-regime-totals.csv

mean-reversion-regime-totals.csv 7.0 KB
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  1. name,category,rule,first_candle,last_candle,years,gross_total_return,gross_max_drawdown_mark_to_market,worst_month_return,return_3y,return_1y,return_6m,return_3m,trades,win_rate,payoff_ratio,net_total_return,net_annualized_return,net_max_drawdown,net_calmar,risk_reward_ratio
    2. 

  2. eq_days30,equity_momentum,baseline only after previous 30 closed-trade net equity days are positive,2020-02-07,2026-05-03,6.238356164383561,1.3284553890265833,0.162901649508621,-0.13739999999999997,0.196180596492598,0.07742572046922191,0.0,0.0,36,0.8333333333333334,0.654157740830012,1.1395692956373327,0.12966810032522358,0.13739999999999997,0.9437270766027919,1.0122311632211423
    3. 

  3. eq_days60,equity_momentum,baseline only after previous 60 closed-trade net equity days are positive,2020-02-07,2026-05-03,6.238356164383561,1.0134403247070891,0.3112487164059131,-0.13740000000000008,0.3080595838573601,0.10887022711041894,0.0,0.0,39,0.7948717948717948,0.5924741513900127,0.836124389111665,0.1023084769733742,0.25592123999999994,0.3997654785252456,0.7611894728451367
    4. 

  4. eth_daily_sma200,eth_daily_trend,baseline plus ETH daily close>SMA200,2020-02-07,2026-05-03,6.238356164383561,1.0218482712190224,0.251781552112158,-0.25592123999999994,0.30306610665383404,0.14027025716219121,0.0,0.0,44,0.7954545454545454,0.5107255668935062,0.821716512460203,0.10091735181031858,0.25592123999999994,0.3943297235130566,0.6901087712031871
    5. 

  5. btc_daily_sma200,btc_trend,baseline plus BTC daily close>SMA200,2020-02-07,2026-05-03,6.238356164383561,1.0052783624746942,0.3055035409994984,-0.25592123999999994,0.4689551573991311,0.15472090213120726,0.0,0.0,47,0.8085106382978723,0.4628057096474567,0.7938011414097652,0.09819553630083289,0.29840782936315635,0.3290648791300006,0.7022083029621996
    6. 

  6. adx_gt25,trend_strength,baseline plus ETH 4H ADX14>25,2020-02-07,2026-05-03,6.238356164383561,1.9292868055883963,0.19050796410983192,-0.13739999999999997,0.22014807009326365,0.14798190630829855,-0.016310999999999964,-0.016310999999999964,54,0.7962962962962963,0.6299516982547197,1.5788472880168283,0.16399460549449985,0.14814143161399987,1.1070137753346903,0.9397415849908051
    7. 

  7. adx_lt25,trend_strength,baseline plus ETH 4H ADX14<25,2020-02-07,2026-05-03,6.238356164383561,0.4064535931847644,0.13500000000000004,-0.13739999999999997,0.03306054307613593,-0.08249815737052524,-0.0727279999999999,-0.0727279999999999,18,0.7777777777777778,0.6272613463406526,0.3479245083036906,0.049023492845920336,0.1374,0.35679397995575207,0.5397312945772845
    8. 

  8. eq_trades5,equity_momentum,baseline only after last 5 closed net trades have positive summed return,2020-02-07,2026-05-03,6.238356164383561,0.7800629414809871,0.20659473412899082,-0.13740000000000008,-0.06642515218743739,-0.007473067233142894,-0.0727279999999999,-0.0727279999999999,49,0.7551020408163265,0.5416815820248286,0.5842045261682518,0.07653826524123475,0.21654960358389172,0.35344449481563556,0.5335648924038059
    9. 

  9. eq_trades3,equity_momentum,baseline only after last 3 closed net trades have positive summed return,2020-02-07,2026-05-03,6.238356164383561,0.6049804936988917,0.36755562292658694,-0.25592123999999994,0.08591177379491377,0.08209800208909601,-0.0727279999999999,-0.0727279999999999,50,0.76,0.47041723618736847,0.4245783004057331,0.05836558310007067,0.35815766162399987,0.16296058790260887,0.4248142368253598
    10. 

  10. adx_lt20,trend_strength,baseline plus ETH 4H ADX14<20,2020-02-07,2026-05-03,6.238356164383561,0.06345525938202463,0.13565426502748726,-0.13739999999999997,0.00916512924642321,-0.060976681943999966,-0.0727279999999999,-0.0727279999999999,10,0.7,0.5296675746909987,0.03830354070687281,0.006043521373542582,0.13739999999999997,0.043984871714283724,0.11601436420252603
    11. 

  11. baseline,baseline,existing ETH 4H RSI2 entry<=8; BTC 4H close>SMA200 and 12-bar momentum>=0,2020-02-07,2026-05-03,6.238356164383561,2.7707398470130693,0.2517815521121581,-0.25592123999999994,0.2604868279238457,0.05327551434316069,-0.08785273359199985,-0.08785273359199985,71,0.7887323943661971,0.6153904637693438,2.188492617118884,0.2042705238524556,0.25592123999999994,0.7981772980330027,1.0291811792055638
    12. 

  12. btc_4h_mom24,btc_trend,baseline plus BTC 4H 24-bar return>0,2020-02-07,2026-05-03,6.238356164383561,2.2413092455121286,0.25178155211215797,-0.25592124000000005,0.16883309715376993,0.05799438829055692,-0.08785273359199985,-0.08785273359199985,61,0.7868852459016393,0.6033569057334532,1.8064766813296118,0.179884968604336,0.25592124,0.7028919076991657,0.9416176814291759
    13. 

  13. eth_daily_mom20,eth_daily_trend,baseline plus ETH daily 20-day return>0,2020-02-07,2026-05-03,6.238356164383561,2.053689620395596,0.2744280009654762,-0.25592123999999994,0.3587898921834556,-0.02634155980797015,-0.08785273359199985,-0.08785273359199985,55,0.7818181818181819,0.7254808758775846,1.6822401270755662,0.17135245142917777,0.26518679891023633,0.6461575468060129,1.0043589966858602
    14. 

  14. btc_4h_sma400,btc_trend,baseline plus BTC 4H close>SMA400,2020-02-07,2026-05-03,6.238356164383561,1.9114874059196445,0.25178155211215797,-0.25592123999999994,0.41506779120948023,-0.006436086656684048,-0.08785273359199985,-0.08785273359199985,59,0.7966101694915254,0.5889267706734913,1.5325362271661986,0.1606183265239478,0.25592124,0.6276084256388716,0.9317959281168435
    15. 

  15. eth_daily_sma50,eth_daily_trend,baseline plus ETH daily close>SMA50,2020-02-07,2026-05-03,6.238356164383561,1.639724481109979,0.25178155211215797,-0.25592123999999994,0.2247730278828346,0.025537793638617412,-0.08785273359199985,-0.08785273359199985,57,0.7894736842105263,0.5821295440963011,1.306683713474528,0.14336920281440246,0.25592124,0.5602083000785807,0.8618492209124052
    16. 

  16. eth_daily_sma100,eth_daily_trend,baseline plus ETH daily close>SMA100,2020-02-07,2026-05-03,6.238356164383561,1.5276131688032664,0.2517815521121581,-0.25592123999999994,0.12945076760046925,0.05327551434316091,-0.08785273359199985,-0.08785273359199985,55,0.7818181818181819,0.5949302449100045,1.2191311959203484,0.13629909338950252,0.25592124,0.5325821857908415,0.831880014781021
    17. 

  17. btc_daily_sma100,btc_trend,baseline plus BTC daily close>SMA100,2020-02-07,2026-05-03,6.238356164383561,1.5078720874035925,0.251781552112158,-0.25592123999999994,0.36454827510940646,0.05327551434316069,-0.08785273359199997,-0.08785273359199997,54,0.7777777777777778,0.6067049833118744,1.2070617461656648,0.13530615825922498,0.25592123999999994,0.5287023392791665,0.8311945887697291
    18. 

  18. vol_q60,volatility,baseline with ETH 4H realized vol <= rolling 60th percentile,2020-02-07,2026-05-03,6.238356164383561,1.716131323983088,0.3055035409994985,-0.25592123999999994,0.213595909184765,0.05327551434316069,-0.08785273359199997,-0.08785273359199997,63,0.7777777777777778,0.5657531723311865,1.3395335066501306,0.14596385407190082,0.2984078293631564,0.4891421729229018,0.819443561522725
    19. 

  19. vol_q50,volatility,baseline with ETH 4H realized vol <= rolling 50th percentile,2020-02-07,2026-05-03,6.238356164383561,1.3215329986841287,0.3055035409994986,-0.25592123999999994,0.1530667927492142,0.06444790157702074,-0.08785273359199997,-0.08785273359199997,57,0.7719298245614035,0.5468250850735289,1.027937161403298,0.12000617549329418,0.29840782936315646,0.4021549158056742,0.7065650668466805
    20.