9.6 KiB
9.6 KiB
| 1 | period | std | period_step | std_step | final_eq | ret_pct | n_trades | win_rate | sharpe | dd |
|---|---|---|---|---|---|---|---|---|---|---|
| 2 | 15 | 1.5 | 10 | 0.5 | 48.48092814523593 | -75.75953592738203 | 39080 | 37.35926305015353 | -0.13119006344299677 | -697.4004561224623 |
| 3 | 15 | 2.0 | 10 | 0.5 | 36.80358364077569 | -81.59820817961216 | 40087 | 34.42263077805772 | -0.1511470195866686 | -639.962755073432 |
| 4 | 15 | 2.5 | 10 | 0.5 | 15.801154047365497 | -92.09942297631726 | 41183 | 31.27746885850958 | -0.2043489750410225 | -608.2984283591458 |
| 5 | 15 | 3.0 | 10 | 0.5 | 10.259192622590602 | -94.8704036887047 | 42341 | 28.449965754233485 | -0.2628767129294784 | -456.8505810537002 |
| 6 | 15 | 3.5 | 10 | 0.5 | 10.780007201280425 | -94.60999639935979 | 43317 | 26.490754207355078 | -0.3519748652128244 | -315.69577713194894 |
| 7 | 15 | 4.0 | 10 | 0.5 | 6.762275289834179 | -96.61886235508291 | 43780 | 25.48423937871174 | -0.44416507239126524 | -220.0935343290423 |
| 8 | 25 | 1.5 | 10 | 0.5 | 15.185351901530389 | -92.4073240492348 | 29514 | 35.12909127871519 | -0.4186681901048435 | -273.0478151000914 |
| 9 | 25 | 2.0 | 10 | 0.5 | 11.75114974910751 | -94.12442512544625 | 30273 | 31.972384633171476 | -0.4746326737292537 | -221.26735265117904 |
| 10 | 25 | 2.5 | 10 | 0.5 | 22.991590869749515 | -88.50420456512524 | 30921 | 29.355454222049737 | -0.48801085648391873 | -209.49673224901383 |
| 11 | 25 | 3.0 | 10 | 0.5 | 32.34220252441412 | -83.82889873779294 | 31558 | 27.05177767919387 | -0.3753596284992899 | -198.35054814330795 |
| 12 | 25 | 3.5 | 10 | 0.5 | 21.650159567897365 | -89.17492021605132 | 32117 | 25.503627362456022 | -0.39733883257515135 | -218.6979255650799 |
| 13 | 25 | 4.0 | 10 | 0.5 | 31.860026972198018 | -84.06998651390099 | 32563 | 24.432638270429628 | -0.29302419118789713 | -239.82444497645355 |
| 14 | 35 | 1.5 | 10 | 0.5 | 4.101201077511393 | -97.9493994612443 | 24993 | 33.06525827231625 | -0.8217792504548787 | -245.46414083107442 |
| 15 | 35 | 2.0 | 10 | 0.5 | 5.823800486102119 | -97.08809975694894 | 25587 | 29.866729198421073 | -0.7426470214087769 | -286.4406699983145 |
| 16 | 35 | 2.5 | 10 | 0.5 | 5.192863521634847 | -97.40356823918258 | 26051 | 27.265747955932596 | -0.7730880094730899 | -266.1512752758687 |
| 17 | 35 | 3.0 | 10 | 0.5 | 3.4579745963381434 | -98.27101270183093 | 26599 | 25.33553893003496 | -0.4636391572882053 | -387.52773267113974 |
| 18 | 35 | 3.5 | 10 | 0.5 | 3.5341183807460554 | -98.23294080962697 | 27034 | 24.058592883036177 | -0.5140569048308203 | -362.5140804337234 |
| 19 | 35 | 4.0 | 10 | 0.5 | 5.611416981128725 | -97.19429150943564 | 27353 | 23.255218805981063 | -0.3312688921086745 | -564.2468214116803 |
| 20 | 45 | 1.5 | 10 | 0.5 | 14.632970646405713 | -92.68351467679715 | 21687 | 32.23590169225803 | -0.6509354804642926 | -235.74612368411292 |
| 21 | 45 | 2.0 | 10 | 0.5 | 31.77948296599959 | -84.1102585170002 | 22150 | 29.16027088036117 | -0.4284165792843191 | -269.6776110433831 |
| 22 | 45 | 2.5 | 10 | 0.5 | 172.40643379727345 | -13.796783101363275 | 22525 | 26.81908990011099 | -0.043299240462867164 | -256.7844732672258 |
| 23 | 45 | 3.0 | 10 | 0.5 | 41.377840288991365 | -79.31107985550432 | 22953 | 25.077331939180063 | -0.34899879597984057 | -296.6696402361111 |
| 24 | 45 | 3.5 | 10 | 0.5 | 74.54221936958507 | -62.728890315207465 | 23241 | 24.052321328686375 | -0.2535287445141998 | -305.77109805667635 |
| 25 | 45 | 4.0 | 10 | 0.5 | 197.09642100514674 | -1.4517894974266312 | 23514 | 23.394573445606873 | -0.003849297905947261 | -346.25462265446606 |
| 26 | 55 | 1.5 | 10 | 0.5 | 16.079473075595672 | -91.96026346220216 | 19596 | 31.02163706878955 | -0.6486187784866569 | -231.27610776888795 |
| 27 | 55 | 2.0 | 10 | 0.5 | 66.87668346352854 | -66.56165826823573 | 19950 | 28.25062656641604 | -0.33475319699218586 | -252.4384445697346 |
| 28 | 55 | 2.5 | 10 | 0.5 | 103.71180081815875 | -48.144099590920625 | 20315 | 26.059561900073835 | -0.23234055949460508 | -230.74049378986336 |
| 29 | 55 | 3.0 | 10 | 0.5 | 30.706542292630328 | -84.64672885368483 | 20620 | 24.539282250242483 | -0.5332739163457259 | -280.4316033186037 |
| 30 | 55 | 3.5 | 10 | 0.5 | 19.94144489188811 | -90.02927755405594 | 20900 | 23.535885167464116 | -0.4556365722046084 | -337.09291756128977 |
| 31 | 55 | 4.0 | 10 | 0.5 | 35.10054549461695 | -82.44972725269153 | 21094 | 22.88802503081445 | -0.41982398626910356 | -291.17676700223814 |
| 32 | 65 | 1.5 | 10 | 0.5 | 40.332952988339386 | -79.8335235058303 | 17772 | 30.31172631105109 | -0.37260054288227523 | -282.40115704942934 |
| 33 | 65 | 2.0 | 10 | 0.5 | 50.70752436109092 | -74.64623781945454 | 18112 | 27.49006183745583 | -0.4263815652152113 | -215.11807270889656 |
| 34 | 65 | 2.5 | 10 | 0.5 | 208.09642220895924 | 4.04821110447962 | 18381 | 25.55356074207062 | 0.013052853027704602 | -225.3544321606581 |
| 35 | 65 | 3.0 | 10 | 0.5 | 69.17941178529537 | -65.41029410735231 | 18603 | 24.27565446433371 | -0.3475091632420777 | -267.8026072891796 |
| 36 | 65 | 3.5 | 10 | 0.5 | 205.87085569261697 | 2.9354278463084853 | 18841 | 23.459476673212677 | 0.007794090142701672 | -365.7703099142676 |
| 37 | 65 | 4.0 | 10 | 0.5 | 295.45309206039354 | 47.72654603019677 | 19007 | 22.812647971799862 | 0.07753257373956958 | -359.300057037728 |
| 38 | 75 | 1.5 | 10 | 0.5 | 10.983713106190567 | -94.50814344690471 | 16303 | 29.761393608538306 | -0.7512444028811992 | -213.15198872906865 |
| 39 | 75 | 2.0 | 10 | 0.5 | 13.482406589107267 | -93.25879670544637 | 16620 | 27.081829121540313 | -0.9839660957936669 | -208.4588882425938 |
| 40 | 75 | 2.5 | 10 | 0.5 | 89.942884051582 | -55.028557974209 | 16868 | 25.43277211287645 | -0.36375113759430683 | -211.31503916370698 |
| 41 | 75 | 3.0 | 10 | 0.5 | 52.241254269813616 | -73.87937286509319 | 17087 | 24.28747000643764 | -0.5981765475484465 | -226.7492413952581 |
| 42 | 75 | 3.5 | 10 | 0.5 | 83.14852160988522 | -58.42573919505739 | 17305 | 23.449869979774633 | -0.3267893523857235 | -230.606510358243 |
| 43 | 75 | 4.0 | 10 | 0.5 | 119.23474995074422 | -40.38262502462789 | 17460 | 22.82359679266896 | -0.20534903490050124 | -207.9658889220549 |
| 44 | 85 | 1.5 | 10 | 0.5 | 7.349676583985419 | -96.32516170800729 | 15179 | 28.89518413597734 | -0.8318675275223718 | -239.72913883031944 |
| 45 | 85 | 2.0 | 10 | 0.5 | 18.984025431376047 | -90.50798728431198 | 15430 | 26.629941672067403 | -0.7833690422200502 | -235.6042347672767 |
| 46 | 85 | 2.5 | 10 | 0.5 | 57.167618532561264 | -71.41619073371936 | 15664 | 24.86593462717058 | -0.506936066912954 | -235.03840225356828 |
| 47 | 85 | 3.0 | 10 | 0.5 | 35.58954831791428 | -82.20522584104286 | 15844 | 23.54834637717748 | -0.6040070996108049 | -234.6785523683346 |
| 48 | 85 | 3.5 | 10 | 0.5 | 63.4069876968914 | -68.2965061515543 | 16023 | 22.72982587530425 | -0.3382080473039228 | -295.9762241559409 |
| 49 | 85 | 4.0 | 10 | 0.5 | 88.47696456769705 | -55.761517716151474 | 16178 | 22.147360613178392 | -0.20193042953347687 | -316.4817254821683 |
| 50 | 95 | 1.5 | 10 | 0.5 | 10.405821375357965 | -94.79708931232102 | 14416 | 28.24639289678135 | -0.7837973560897118 | -270.90798093738533 |
| 51 | 95 | 2.0 | 10 | 0.5 | 13.815903557653941 | -93.09204822117303 | 14665 | 25.741561541084213 | -0.8765580107174691 | -263.12113920477657 |
| 52 | 95 | 2.5 | 10 | 0.5 | 25.71688278154052 | -87.14155860922975 | 14858 | 23.832278906986133 | -0.6723450672405393 | -274.7658311337973 |
| 53 | 95 | 3.0 | 10 | 0.5 | 19.356147709815595 | -90.3219261450922 | 15049 | 22.652667951358893 | -0.726365789425801 | -269.1728308007388 |
| 54 | 95 | 3.5 | 10 | 0.5 | 25.893289102448367 | -87.05335544877582 | 15185 | 22.081000987816925 | -0.6885792508968731 | -278.83350717325703 |
| 55 | 95 | 4.0 | 10 | 0.5 | 34.075610133322904 | -82.96219493333855 | 15310 | 21.606792945787067 | -0.541211763961438 | -255.9863145165913 |
| 56 | 105 | 1.5 | 10 | 0.5 | 11.125302869126308 | -94.43734856543685 | 13778 | 27.340688053418493 | -0.6600706399042071 | -269.35929952511646 |
| 57 | 105 | 2.0 | 10 | 0.5 | 10.200827786542048 | -94.89958610672898 | 14010 | 24.753747323340473 | -0.6866326886722063 | -258.9303568592826 |
| 58 | 105 | 2.5 | 10 | 0.5 | 9.579821710127378 | -95.2100891449363 | 14163 | 23.151874602838383 | -0.5987791032180315 | -274.5676511660392 |
| 59 | 105 | 3.0 | 10 | 0.5 | 4.3087765598937855 | -97.84561172005311 | 14346 | 21.971281193364003 | -0.6400093736324544 | -278.89884430849224 |
| 60 | 105 | 3.5 | 10 | 0.5 | 13.027667066344636 | -93.48616646682768 | 14469 | 21.528785679729076 | -0.5524535568435962 | -284.41705640185387 |
| 61 | 105 | 4.0 | 10 | 0.5 | 13.547757879797267 | -93.22612106010136 | 14605 | 21.027045532351934 | -0.3485713143577096 | -412.93208491456176 |
| 62 | 115 | 1.5 | 10 | 0.5 | 29.66121970936215 | -85.16939014531893 | 13296 | 27.030685920577618 | -0.45172471596332026 | -235.02860926589415 |
| 63 | 115 | 2.0 | 10 | 0.5 | 14.293240724692515 | -92.85337963765375 | 13517 | 24.4432936302434 | -0.568103750659441 | -232.03742432596695 |
| 64 | 115 | 2.5 | 10 | 0.5 | 11.574164514147391 | -94.21291774292631 | 13681 | 22.87113515093926 | -0.4778439718297106 | -259.1164560473074 |
| 65 | 115 | 3.0 | 10 | 0.5 | 9.287076704988312 | -95.35646164750584 | 13830 | 21.800433839479393 | -0.44032821158432417 | -275.63595981438704 |
| 66 | 115 | 3.5 | 10 | 0.5 | 21.398944760292235 | -89.30052761985388 | 13960 | 21.181948424068768 | -0.287420801784064 | -317.14370796930467 |
| 67 | 115 | 4.0 | 10 | 0.5 | 60.40509496475816 | -69.79745251762091 | 14063 | 20.75659532105525 | -0.09411868706769629 | -829.2395563032217 |
| 68 | 15 | 1.5 | 20 | 1.0 | 48.48092814523593 | -75.75953592738203 | 39080 | 37.35926305015353 | -0.13119006344299677 | -697.4004561224623 |
| 69 | 15 | 2.5 | 20 | 1.0 | 15.801154047365497 | -92.09942297631726 | 41183 | 31.27746885850958 | -0.2043489750410225 | -608.2984283591458 |
| 70 | 15 | 3.5 | 20 | 1.0 | 10.780007201280425 | -94.60999639935979 | 43317 | 26.490754207355078 | -0.3519748652128244 | -315.69577713194894 |
| 71 | 35 | 1.5 | 20 | 1.0 | 4.101201077511393 | -97.9493994612443 | 24993 | 33.06525827231625 | -0.8217792504548787 | -245.46414083107442 |
| 72 | 35 | 2.5 | 20 | 1.0 | 5.192863521634847 | -97.40356823918258 | 26051 | 27.265747955932596 | -0.7730880094730899 | -266.1512752758687 |
| 73 | 35 | 3.5 | 20 | 1.0 | 3.5341183807460554 | -98.23294080962697 | 27034 | 24.058592883036177 | -0.5140569048308203 | -362.5140804337234 |
| 74 | 55 | 1.5 | 20 | 1.0 | 16.079473075595672 | -91.96026346220216 | 19596 | 31.02163706878955 | -0.6486187784866569 | -231.27610776888795 |
| 75 | 55 | 2.5 | 20 | 1.0 | 103.71180081815875 | -48.144099590920625 | 20315 | 26.059561900073835 | -0.23234055949460508 | -230.74049378986336 |
| 76 | 55 | 3.5 | 20 | 1.0 | 19.94144489188811 | -90.02927755405594 | 20900 | 23.535885167464116 | -0.4556365722046084 | -337.09291756128977 |
| 77 | 75 | 1.5 | 20 | 1.0 | 10.983713106190567 | -94.50814344690471 | 16303 | 29.761393608538306 | -0.7512444028811992 | -213.15198872906865 |
| 78 | 75 | 2.5 | 20 | 1.0 | 89.942884051582 | -55.028557974209 | 16868 | 25.43277211287645 | -0.36375113759430683 | -211.31503916370698 |
| 79 | 75 | 3.5 | 20 | 1.0 | 83.14852160988522 | -58.42573919505739 | 17305 | 23.449869979774633 | -0.3267893523857235 | -230.606510358243 |
| 80 | 95 | 1.5 | 20 | 1.0 | 10.405821375357965 | -94.79708931232102 | 14416 | 28.24639289678135 | -0.7837973560897118 | -270.90798093738533 |
| 81 | 95 | 2.5 | 20 | 1.0 | 25.71688278154052 | -87.14155860922975 | 14858 | 23.832278906986133 | -0.6723450672405393 | -274.7658311337973 |
| 82 | 95 | 3.5 | 20 | 1.0 | 25.893289102448367 | -87.05335544877582 | 15185 | 22.081000987816925 | -0.6885792508968731 | -278.83350717325703 |
| 83 | 115 | 1.5 | 20 | 1.0 | 29.66121970936215 | -85.16939014531893 | 13296 | 27.030685920577618 | -0.45172471596332026 | -235.02860926589415 |
| 84 | 115 | 2.5 | 20 | 1.0 | 11.574164514147391 | -94.21291774292631 | 13681 | 22.87113515093926 | -0.4778439718297106 | -259.1164560473074 |
| 85 | 115 | 3.5 | 20 | 1.0 | 21.398944760292235 | -89.30052761985388 | 13960 | 21.181948424068768 | -0.287420801784064 | -317.14370796930467 |