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rotation-risk-top.csv

rotation-risk-top.csv 14 KB
Постоянная ссылка История Исходник

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  1. strategy,family,bar,universe,lookback,trend,btc_trend,rebalance,top_n,min_momentum,btc_min_momentum,vol_lookback,max_vol,leverage,exposure,vol_target,first_candle,last_candle,years,turnover_per_year,h3y_return,h1y_return,h6m_return,h3m_return,total_return,annualized_return,max_drawdown,calmar,trades,win_rate,profit_factor,next_validation
    2. 

  2. trend_basket-1h-lb720-tr1440-bt2880-rb168-top2-mm0.000-bm0.000-vw336-vc0.0300-lev0.75-exp0.50-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,2,0.0,0.0,336,0.03,0.75,0.5,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,6.024310117968542,0.5497670470456248,0.15910534029112577,-0.0027691408435170928,-0.0027691408435170928,1.520238100611786,0.1564147619507854,0.07718283753429936,2.0265484782323027,45,0.5777777777777777,7.384619055503101,yes
    3. 

  3. trend_basket-1h-lb720-tr1440-bt2880-rb168-top2-mm0.000-bm0.050-vw336-vc0.0300-lev0.75-exp0.50-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,2,0.0,0.05,336,0.03,0.75,0.5,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,5.378164570669926,0.45567451024013805,0.12707186657090008,-0.0027691408435167597,-0.0027691408435167597,1.5091582248221633,0.15561398099078683,0.07892559210972674,1.9716542737423322,45,0.6,6.856944502314176,yes
    4. 

  4. trend_basket-1h-lb720-tr1440-bt2880-rb168-top1-mm0.000-bm0.000-vw336-vc0.0300-lev0.75-exp0.50-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,1,0.0,0.0,336,0.03,0.75,0.5,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,7.627662548419994,0.45170032553946626,0.14318689942962348,0.0012181619768547591,0.0012181619768547591,1.2584161699495224,0.13664321656343947,0.07940494575055677,1.7208401223859706,46,0.5217391304347826,3.8495258366997547,yes
    5. 

  5. trend_basket-1h-lb720-tr1440-bt2880-rb168-top1-mm0.000-bm0.050-vw336-vc0.0300-lev0.75-exp0.50-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,1,0.0,0.05,336,0.03,0.75,0.5,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,6.5180823744308025,0.34183609829321737,0.09227557132469077,0.0012181619768556473,0.0012181619768556473,1.205685162835639,0.13242915512474185,0.07940494575055775,1.667769606451896,40,0.525,4.259457803175275,yes
    6. 

  6. trend_basket-1h-lb720-tr1440-bt2880-rb168-top1-mm0.000-bm0.000-vw336-vc0.0300-lev0.75-exp0.65-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,1,0.0,0.0,336,0.03,0.75,0.65,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,9.152829772628134,0.5096174343947044,0.15401016428147773,0.0015234400876480425,0.0015234400876480425,1.4676235055382891,0.15258534818150493,0.08052585963372617,1.8948614628337168,46,0.5217391304347826,3.9334164199797197,yes
    7. 

  7. trend_basket-1h-lb720-tr720-bt2880-rb168-top2-mm0.030-bm0.050-vw336-vc0.0300-lev0.75-exp0.50-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,720,2880,168,2,0.03,0.05,336,0.03,0.75,0.5,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,6.184892632347796,0.48545940929417997,0.15047252124146793,-0.0027691408435168707,-0.0027691408435168707,1.6571422199152765,0.16607214067974407,0.08693920547145131,1.9102100114576968,48,0.6041666666666666,6.16629186598752,yes
    8. 

  8. trend_basket-1h-lb720-tr1440-bt2880-rb168-top2-mm0.000-bm0.000-vw336-vc0.0300-lev0.75-exp0.65-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,2,0.0,0.0,336,0.03,0.75,0.65,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,7.593358500911333,0.6114191931303261,0.1777793915912842,-0.0036750590568442876,-0.0036750590568442876,1.7223748844991622,0.17052693421630583,0.08711115498498014,1.9575786160303854,45,0.5777777777777777,6.984191726120831,yes
    9. 

  9. trend_basket-1h-lb720-tr720-bt2880-rb168-top2-mm0.000-bm0.050-vw336-vc0.0300-lev0.75-exp0.50-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,720,2880,168,2,0.0,0.05,336,0.03,0.75,0.5,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,5.954722304570834,0.47812868298043365,0.1512679302876967,-0.002769140843517315,-0.002769140843517315,1.5905029415195484,0.16142507770758874,0.08741710419767315,1.8466074710340898,48,0.5833333333333334,5.759388802111076,yes
    10. 

  10. trend_basket-1h-lb720-tr1440-bt2880-rb168-top1-mm0.000-bm0.000-vw336-vc0.0300-lev0.75-exp0.80-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,1,0.0,0.0,336,0.03,0.75,0.8,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,10.162752823004706,0.5613769585815909,0.1644261184465614,0.0018008803203446444,0.0018008803203446444,1.650210567853831,0.16559337161535392,0.08799038689364129,1.8819484430215716,46,0.5217391304347826,4.102594060110379,yes
    11. 

  11. trend_basket-1h-lb720-tr1440-bt2880-rb168-top1-mm0.000-bm0.050-vw336-vc0.0300-lev0.75-exp0.65-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,1,0.0,0.05,336,0.03,0.75,0.65,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,7.816765546925994,0.3821702794087938,0.10372350496382254,0.0015234400876495968,0.0015234400876495968,1.4054755165124395,0.14797239825112207,0.0895646569609714,1.6521293473563166,40,0.525,4.268962030094234,yes
    12. 

  12. trend_basket-1h-lb720-tr720-bt2880-rb168-top1-mm0.000-bm0.050-vw336-vc0.0300-lev0.75-exp0.50-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,720,2880,168,1,0.0,0.05,336,0.03,0.75,0.5,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,6.871153448518255,0.3297039923538556,0.09227557132469477,0.0012181619768552032,0.0012181619768552032,1.18574263326855,0.13081327448007696,0.09141088940922094,1.431046949936813,42,0.5238095238095238,4.058578298020154,yes
    13. 

  13. trend_basket-1h-lb720-tr720-bt2880-rb168-top1-mm0.030-bm0.050-vw336-vc0.0300-lev0.75-exp0.50-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,720,2880,168,1,0.03,0.05,336,0.03,0.75,0.5,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,6.871153448518255,0.3297039923538556,0.09227557132469477,0.0012181619768552032,0.0012181619768552032,1.18574263326855,0.13081327448007696,0.09141088940922094,1.431046949936813,42,0.5238095238095238,4.058578298020154,yes
    14. 

  14. trend_basket-1h-lb720-tr1440-bt2880-rb168-top2-mm0.000-bm0.050-vw336-vc0.0300-lev0.75-exp0.65-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,2,0.0,0.05,336,0.03,0.75,0.65,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,6.7924403844901,0.49967000579657306,0.1379314719494502,-0.003675059056846397,-0.003675059056846397,1.6945653595287813,0.1686389208894521,0.09265801977631066,1.8200142987792085,45,0.6,6.401080374850478,yes
    15. 

  15. trend_basket-1h-lb720-tr1440-bt2880-rb168-top2-mm0.000-bm0.050-vw336-vc0.0300-lev0.75-exp0.50-vt0.3000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,2,0.0,0.05,336,0.03,0.75,0.5,0.3,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,4.7845952515076355,0.5166903959620845,0.13406227753922928,-0.0027691408435170928,-0.0027691408435170928,2.0650045151967467,0.19254690042416778,0.09400832509461794,2.0481898835062986,45,0.6,7.880508101204281,yes
    16. 

  16. trend_basket-1h-lb720-tr1440-bt2880-rb168-top2-mm0.000-bm0.000-vw336-vc0.0300-lev0.75-exp0.80-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,2,0.0,0.0,336,0.03,0.75,0.8,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,8.640739544393828,0.6654189503636134,0.18856247862032816,-0.005000383061392721,-0.005000383061392721,1.9248606901120495,0.18380419948688798,0.09721443768994217,1.890708868502815,45,0.6,7.327701778357764,yes
    17. 

  17. trend_basket-1h-lb720-tr1440-bt2880-rb168-top1-mm0.000-bm0.050-vw336-vc0.0300-lev0.75-exp0.80-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,1,0.0,0.05,336,0.03,0.75,0.8,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,8.799816682545487,0.4087094451387001,0.10913075137968797,0.0018008803203446444,0.0018008803203446444,1.582654791815881,0.1608711790687749,0.09732533268358527,1.6529219539560553,40,0.525,4.403373387915102,yes
    18. 

  18. trend_basket-1h-lb720-tr1440-bt2880-rb168-top2-mm0.000-bm0.000-vw336-vc0.0300-lev0.75-exp0.50-vt0.3000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,2,0.0,0.0,336,0.03,0.75,0.5,0.3,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,5.25049844764153,0.612787836338974,0.16615416699762497,-0.0027691408435152054,-0.0027691408435152054,2.020739028035404,0.1898225123644406,0.10037961750524481,1.8910463805515338,45,0.5777777777777777,8.12082910821538,yes
    19. 

  19. trend_basket-1h-lb720-tr1440-bt2880-rb168-top1-mm0.000-bm0.050-vw336-vc0.0300-lev0.75-exp0.50-vt0.3000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,1,0.0,0.05,336,0.03,0.75,0.5,0.3,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,6.70393115141238,0.40608289756130156,0.1278035541727125,0.0012181619768554253,0.0012181619768554253,1.5920445757386599,0.16153371535696048,0.10115231636097137,1.596935405616541,40,0.525,4.551351845483426,yes
    20. 

  20. trend_basket-1h-lb720-tr1440-bt2880-rb168-top2-mm0.000-bm0.050-vw336-vc0.0300-lev0.75-exp0.80-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,2,0.0,0.05,336,0.03,0.75,0.8,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,7.747884821341346,0.524896166275775,0.14286503827008223,-0.0050003830613933875,-0.0050003830613933875,1.8849410901134283,0.18124930308911158,0.10170984115244801,1.7820232637807947,45,0.6,6.498725949651876,yes
    21. 

  21. trend_basket-1h-lb720-tr1440-bt2880-rb168-top2-mm0.000-bm0.000-vw336-vc0.0300-lev1.00-exp0.50-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,2,0.0,0.0,336,0.03,1.0,0.5,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,6.024310117968542,0.7816934919992251,0.21539367821092958,-0.003777853432911926,-0.003777853432911926,2.3782041395317415,0.21092893298723547,0.10177444161683719,2.0725137827957405,45,0.5777777777777777,7.409935016232765,yes
    22. 

  22. trend_basket-1h-lb720-tr720-bt2880-rb168-top2-mm0.030-bm0.050-vw336-vc0.0300-lev0.75-exp0.50-vt0.3000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,720,2880,168,2,0.03,0.05,336,0.03,0.75,0.5,0.3,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,5.717960195356757,0.5647311377935713,0.17078915757034263,-0.002769140843517315,-0.002769140843517315,2.3239655528954115,0.20785142338313478,0.10178565603362763,2.0420502405021144,48,0.6041666666666666,7.113914600088461,yes
    23. 

  23. dual_momentum-1h-lb336-tr1440-bt2880-rb168-top1-mm0.000-bm0.000-vw336-vc0.0300-lev0.75-exp0.50-vt0.2000,dual_momentum,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",336,1440,2880,168,1,0.0,0.0,336,0.03,0.75,0.5,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,9.947948379633273,0.3520421757171843,0.019218281075212174,0.0012181619768534269,0.0012181619768534269,1.3743849409282278,0.14562688519544187,0.10181439309603205,1.430317274082119,63,0.5714285714285714,2.920588554945814,yes
    24. 

  24. trend_basket-1h-lb336-tr1440-bt2880-rb168-top1-mm0.000-bm0.000-vw336-vc0.0300-lev0.75-exp0.50-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",336,1440,2880,168,1,0.0,0.0,336,0.03,0.75,0.5,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,9.947948379633273,0.3520421757171843,0.019218281075212174,0.0012181619768534269,0.0012181619768534269,1.3743849409282278,0.14562688519544187,0.10181439309603205,1.430317274082119,63,0.5714285714285714,2.920588554945814,yes
    25. 

  25. trend_basket-1h-lb720-tr720-bt2880-rb168-top2-mm0.000-bm0.050-vw336-vc0.0300-lev0.75-exp0.50-vt0.3000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,720,2880,168,2,0.0,0.05,336,0.03,0.75,0.5,0.3,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,5.460624655967606,0.5613314145046986,0.17193226825645813,-0.002769140843517537,-0.002769140843517537,2.2335289313066595,0.2026246115814483,0.10225578408361613,1.9815467007299952,48,0.5833333333333334,6.530164781585903,yes
    26. 

  26. trend_basket-1h-lb720-tr720-bt2880-rb168-top2-mm0.000-bm0.050-vw336-vc0.0300-lev0.75-exp0.65-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,720,2880,168,2,0.0,0.05,336,0.03,0.75,0.65,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,7.411448745216,0.52079713039738,0.16217780314855124,-0.0036750590568449537,-0.0036750590568449537,1.7782211900208815,0.1742698085171921,0.10251609541454591,1.6999263170577712,48,0.5833333333333334,5.469181279233484,yes
    27. 

  27. trend_basket-1h-lb720-tr720-bt2880-rb168-top2-mm0.030-bm0.050-vw336-vc0.0300-lev0.75-exp0.65-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,720,2880,168,2,0.03,0.05,336,0.03,0.75,0.65,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,7.662627766173588,0.5248399482261994,0.1575441564823279,-0.0036750590568448427,-0.0036750590568448427,1.856025596621063,0.17938000848774927,0.10251609541454931,1.749774099007396,48,0.6041666666666666,5.757753391736378,yes
    28. 

  28. trend_basket-1h-lb720-tr1440-bt2880-rb168-top2-mm0.000-bm0.050-vw336-vc0.0300-lev1.00-exp0.50-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,2,0.0,0.05,336,0.03,1.0,0.5,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,5.378164570669926,0.6401960671468732,0.17113598738919533,-0.003777853432911038,-0.003777853432911038,2.3646862479195168,0.2101658425506916,0.10455571291287359,2.0100847356454166,45,0.6,6.895902967405262,yes
    29. 

  29. trend_basket-1h-lb720-tr1440-bt2880-rb168-top1-mm0.000-bm0.000-vw336-vc0.0300-lev1.00-exp0.50-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,1,0.0,0.0,336,0.03,1.0,0.5,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,7.627662548419994,0.6326329982394903,0.19311151697332196,0.001555642134228874,0.001555642134228874,1.9168035407828432,0.18329091091901661,0.10499175952864996,1.7457647318406977,46,0.5217391304347826,3.8443780524367384,yes
    30. 

  30. trend_basket-1h-lb720-tr1440-bt2880-rb168-top1-mm0.000-bm0.050-vw336-vc0.0300-lev1.00-exp0.50-vt0.2000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,1440,2880,168,1,0.0,0.05,336,0.03,1.0,0.5,0.2,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,6.5180823744308025,0.4711446636992147,0.12306281745974035,0.00155564213422843,0.00155564213422843,1.8318192622554377,0.17780284066425844,0.10499175952864999,1.693493293783117,40,0.525,4.252531803052383,yes
    31. 

  31. trend_basket-1h-lb720-tr720-bt2880-rb168-top1-mm0.000-bm0.050-vw336-vc0.0300-lev0.75-exp0.50-vt0.3000,trend_basket,1h,"BTC-USDT-SWAP,ETH-USDT-SWAP",720,720,2880,168,1,0.0,0.05,336,0.03,0.75,0.5,0.3,2019-12-25 00:00,2026-05-03 15:00,6.360616438356164,7.049828047008417,0.3960429952566977,0.12780355417271005,0.0012181619768547591,0.0012181619768547591,1.5735365102791268,0.16022585404488465,0.10624956214939929,1.5080142525160565,42,0.5238095238095238,4.403569230381258,yes
    32.