high-frequency-portfolio-summary.json 1.9 KB

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  1. {
  2. "portfolio_count": 8580,
  3. "qualified_count": 23,
  4. "robust_survivor_count": 27,
  5. "selected_leg_count": 16,
  6. "best_portfolio": {
  7. "portfolio": "risk-3-hf00486",
  8. "mode": "risk",
  9. "leg_count": 3,
  10. "legs": "BTC-USDT-SWAP:rsi:15m:rsi2-both-t30-l8.0-s92.0-x50.0;ETH-USDT-SWAP:nextgen_btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0;ETH-USDT-SWAP:nextgen_btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.01-sw96-sv0.01-sd0.05",
  11. "weights_json": "{\"BTC-USDT-SWAP:rsi:15m:rsi2-both-t30-l8.0-s92.0-x50.0\":0.05370345233958788,\"ETH-USDT-SWAP:nextgen_btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0\":0.4518105660545476,\"ETH-USDT-SWAP:nextgen_btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.01-sw96-sv0.01-sd0.05\":0.49448598160586454}",
  12. "symbols": "BTC-USDT-SWAP,ETH-USDT-SWAP",
  13. "families": "nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi",
  14. "start": "2019-12-30",
  15. "end": "2026-04-29",
  16. "worst_month": "2022-01",
  17. "worst_month_return": -0.059346377504802206,
  18. "recent_positive": true,
  19. "qualified": true,
  20. "total_return": 1.1416618180241973,
  21. "annualized_return": 0.1277589853319887,
  22. "max_drawdown": 0.10531119188100672,
  23. "calmar": 1.2131567694756147,
  24. "risk_reward_ratio": 1.4050679470112568,
  25. "trades": 3527,
  26. "trades_per_month": 46.432985510380625,
  27. "win_rate": 0.6053303090445138,
  28. "payoff_ratio": 0.9870346121747589,
  29. "profit_factor": 1.5138785179548204,
  30. "months": 77,
  31. "positive_month_rate": 0.7272727272727273,
  32. "negative_months": 21,
  33. "cost_model": "maker_taker",
  34. "roundtrip_cost_on_margin": 0.0021,
  35. "net_total_return": 1.1416618180241973,
  36. "net_annualized_return": 0.1277589853319887,
  37. "net_max_drawdown": 0.10531119188100672,
  38. "net_calmar": 1.2131567694756147
  39. }
  40. }