9.5 KiB
9.5 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 | 11.855192165034223 | -94.07240391748289 | 19708 | 37.77146336513091 | -0.6235222422995786 | -284.85443596149724 |
| 3 | 15 | 2.0 | 10 | 0.5 | 8.753359275898845 | -95.62332036205058 | 20195 | 35.246348105966824 | -0.7569673183718936 | -263.2971212724792 |
| 4 | 15 | 2.5 | 10 | 0.5 | 9.803525418208569 | -95.09823729089571 | 20708 | 32.639559590496425 | -0.4752350103234552 | -277.4245022765702 |
| 5 | 15 | 3.0 | 10 | 0.5 | 3.412780495824038 | -98.29360975208797 | 21275 | 29.83783783783784 | -0.511480053076418 | -338.8119559579532 |
| 6 | 15 | 3.5 | 10 | 0.5 | 6.198174773117584 | -96.9009126134412 | 21716 | 27.73531037023393 | -0.5128705717437164 | -313.48715997416474 |
| 7 | 15 | 4.0 | 10 | 0.5 | 20.69226809284817 | -89.65386595357592 | 21948 | 26.571897211591033 | -0.32674764882357116 | -403.7400501883454 |
| 8 | 25 | 1.5 | 10 | 0.5 | 5.836491805389524 | -97.08175409730524 | 15020 | 35.22636484687084 | -1.2249549689127937 | -204.09205005290724 |
| 9 | 25 | 2.0 | 10 | 0.5 | 12.081211963616443 | -93.95939401819177 | 15311 | 32.577885180589114 | -0.8898463515682434 | -222.54350054966164 |
| 10 | 25 | 2.5 | 10 | 0.5 | 19.914003433039493 | -90.04299828348026 | 15659 | 30.161568427102626 | -0.7895621638697325 | -209.1994100018314 |
| 11 | 25 | 3.0 | 10 | 0.5 | 9.425303324148096 | -95.28734833792595 | 15976 | 28.067100650976464 | -0.7300825335867858 | -243.96197406916642 |
| 12 | 25 | 3.5 | 10 | 0.5 | 5.855289614688857 | -97.07235519265558 | 16253 | 26.55509752045776 | -0.7085359518779542 | -278.87154684168763 |
| 13 | 25 | 4.0 | 10 | 0.5 | 19.200810578463244 | -90.39959471076838 | 16495 | 25.407699302819037 | -0.5772741076812997 | -259.23352233813335 |
| 14 | 35 | 1.5 | 10 | 0.5 | 28.21206634200495 | -85.89396682899752 | 12085 | 34.73727761688043 | -0.647009511262925 | -223.61914840751774 |
| 15 | 35 | 2.0 | 10 | 0.5 | 55.70970922376068 | -72.14514538811966 | 12306 | 31.569965870307165 | -0.39673167475158405 | -248.8668646132019 |
| 16 | 35 | 2.5 | 10 | 0.5 | 104.49489503334085 | -47.75255248332957 | 12520 | 29.249201277955272 | -0.235045001015176 | -230.00122971261297 |
| 17 | 35 | 3.0 | 10 | 0.5 | 56.342667499287515 | -71.82866625035624 | 12752 | 27.40746549560853 | -0.3682997075298054 | -252.50663799518358 |
| 18 | 35 | 3.5 | 10 | 0.5 | 107.45577769881035 | -46.272111150594824 | 12984 | 26.070548367221196 | -0.11749439894681797 | -338.48701280893147 |
| 19 | 35 | 4.0 | 10 | 0.5 | 247.34481984104798 | 23.67240992052399 | 13141 | 25.34053724982878 | 0.056546089336753404 | -264.63887018550304 |
| 20 | 45 | 1.5 | 10 | 0.5 | 13.15646879250955 | -93.42176560374523 | 10385 | 34.10688493018777 | -0.8149857539481573 | -271.2863404459294 |
| 21 | 45 | 2.0 | 10 | 0.5 | 11.80829464190141 | -94.0958526790493 | 10598 | 31.307793923381773 | -0.8912043997401211 | -297.47872205043245 |
| 22 | 45 | 2.5 | 10 | 0.5 | 19.14157030465441 | -90.4292148476728 | 10763 | 28.96032704636254 | -0.6910660598831703 | -311.4102276700665 |
| 23 | 45 | 3.0 | 10 | 0.5 | 8.655841919185013 | -95.6720790404075 | 10963 | 27.091124692146312 | -0.7225121606690603 | -326.33298667933167 |
| 24 | 45 | 3.5 | 10 | 0.5 | 11.91144901552033 | -94.04427549223983 | 11138 | 26.08188184593284 | -0.4970305469345722 | -405.3189086446707 |
| 25 | 45 | 4.0 | 10 | 0.5 | 9.249110224038603 | -95.3754448879807 | 11280 | 25.407801418439718 | -0.41890741502953877 | -461.95310334212525 |
| 26 | 55 | 1.5 | 10 | 0.5 | 18.500960550013694 | -90.74951972499315 | 9480 | 32.07805907172996 | -0.8630311046085801 | -217.10439532674513 |
| 27 | 55 | 2.0 | 10 | 0.5 | 17.84513535296389 | -91.07743232351805 | 9674 | 29.0262559437668 | -0.8346686137946728 | -233.79233332465478 |
| 28 | 55 | 2.5 | 10 | 0.5 | 11.28795717324628 | -94.35602141337687 | 9829 | 26.899989826025028 | -0.7157999288001704 | -250.0470782402587 |
| 29 | 55 | 3.0 | 10 | 0.5 | 6.758810067617017 | -96.62059496619149 | 9991 | 25.3628265438895 | -0.7901176121561565 | -250.49463359988766 |
| 30 | 55 | 3.5 | 10 | 0.5 | 25.48546333282715 | -87.25726833358642 | 10108 | 24.39651760981401 | -0.4341398096630764 | -238.0657728760076 |
| 31 | 55 | 4.0 | 10 | 0.5 | 29.947033814854976 | -85.0264830925725 | 10226 | 23.714062194406416 | -0.22621028615725514 | -308.2508768025071 |
| 32 | 65 | 1.5 | 10 | 0.5 | 70.01498211022908 | -64.99250894488546 | 8797 | 31.41980220529726 | -0.2472823034078909 | -360.22920891906733 |
| 33 | 65 | 2.0 | 10 | 0.5 | 43.99985728425265 | -78.00007135787368 | 8982 | 28.635047873524826 | -0.31226067485305287 | -344.43297562483747 |
| 34 | 65 | 2.5 | 10 | 0.5 | 11.141230088157057 | -94.42938495592148 | 9139 | 26.326731589889484 | -0.5877699195318181 | -211.49453353955298 |
| 35 | 65 | 3.0 | 10 | 0.5 | 23.243485816159232 | -88.37825709192039 | 9249 | 25.14866472051033 | -0.4199885865099326 | -225.22292758760577 |
| 36 | 65 | 3.5 | 10 | 0.5 | 30.046303723946345 | -84.97684813802682 | 9351 | 24.371724949203294 | -0.19507372955886226 | -583.9077968841493 |
| 37 | 65 | 4.0 | 10 | 0.5 | 72.17368768595833 | -63.913156157020836 | 9438 | 23.924560288196652 | -0.1043229443150086 | -677.8833873149147 |
| 38 | 75 | 1.5 | 10 | 0.5 | 28.878912457463993 | -85.560543771268 | 8286 | 30.762732319575186 | -0.712313061605688 | -183.61532124127612 |
| 39 | 75 | 2.0 | 10 | 0.5 | 14.421291378727464 | -92.78935431063627 | 8483 | 27.77319344571496 | -0.8044560280829893 | -201.50595876109264 |
| 40 | 75 | 2.5 | 10 | 0.5 | 4.806399583771505 | -97.59680020811425 | 8610 | 26.10917537746806 | -0.9313204289980628 | -210.20790025893479 |
| 41 | 75 | 3.0 | 10 | 0.5 | 25.508786019142804 | -87.2456069904286 | 8727 | 24.876819067262517 | -0.49409805140782975 | -215.2630427100224 |
| 42 | 75 | 3.5 | 10 | 0.5 | 16.653002578165868 | -91.67349871091707 | 8830 | 23.997734994337485 | -0.38357581879982244 | -240.9197266621369 |
| 43 | 75 | 4.0 | 10 | 0.5 | 66.21022764054645 | -66.89488617972677 | 8918 | 23.716079838528817 | -0.1250596640250747 | -698.6447378168509 |
| 44 | 85 | 1.5 | 10 | 0.5 | 14.951030134591296 | -92.52448493270435 | 7845 | 29.547482472912684 | -0.8953650772108298 | -197.64150282305923 |
| 45 | 85 | 2.0 | 10 | 0.5 | 3.498277467815169 | -98.25086126609241 | 8019 | 26.66167851353037 | -1.0458276339206454 | -214.15579835858927 |
| 46 | 85 | 2.5 | 10 | 0.5 | 1.7737078631867869 | -99.1131460684066 | 8156 | 25.0 | -1.0282285179369723 | -213.61753481478925 |
| 47 | 85 | 3.0 | 10 | 0.5 | 8.719403599603398 | -95.6402982001983 | 8248 | 24.114936954413192 | -0.8211787209745792 | -211.61074718573 |
| 48 | 85 | 3.5 | 10 | 0.5 | 8.943987615516464 | -95.52800619224176 | 8328 | 23.499039385206533 | -0.7549418677035037 | -215.98611912681693 |
| 49 | 85 | 4.0 | 10 | 0.5 | 23.1770265836258 | -88.4114867081871 | 8401 | 23.021068920366623 | -0.3729888932052693 | -212.96678953288284 |
| 50 | 95 | 1.5 | 10 | 0.5 | 24.927710059813517 | -87.53614497009325 | 7408 | 29.306155507559396 | -0.9520827117838521 | -190.41061079110813 |
| 51 | 95 | 2.0 | 10 | 0.5 | 16.06239432079733 | -91.96880283960134 | 7527 | 26.69058057659094 | -0.9398549359933428 | -198.34239467123092 |
| 52 | 95 | 2.5 | 10 | 0.5 | 21.973918801798945 | -89.01304059910052 | 7633 | 25.153936853137694 | -0.7146688539676412 | -194.44238080585185 |
| 53 | 95 | 3.0 | 10 | 0.5 | 45.828446580797696 | -77.08577670960115 | 7709 | 24.361136334154885 | -0.43326307968690586 | -186.11539161963253 |
| 54 | 95 | 3.5 | 10 | 0.5 | 60.57066438340541 | -69.71466780829729 | 7806 | 23.7253394824494 | -0.27195008259729253 | -247.0975110088031 |
| 55 | 95 | 4.0 | 10 | 0.5 | 143.79458015304226 | -28.10270992347887 | 7872 | 23.310467479674795 | -0.05263662190109353 | -598.1389379467043 |
| 56 | 105 | 1.5 | 10 | 0.5 | 16.454388894063115 | -91.77280555296844 | 6991 | 28.92290087255042 | -0.8170686782691946 | -199.83483128223048 |
| 57 | 105 | 2.0 | 10 | 0.5 | 17.491042243515682 | -91.25447887824215 | 7107 | 26.72013507809202 | -0.6527938090965348 | -198.51731255242447 |
| 58 | 105 | 2.5 | 10 | 0.5 | 13.7537652656679 | -93.12311736716605 | 7193 | 25.079938829417493 | -0.5618187399818152 | -219.0288186814003 |
| 59 | 105 | 3.0 | 10 | 0.5 | 26.65257798217648 | -86.67371100891177 | 7272 | 24.284928492849282 | -0.31235378013631904 | -405.153180534651 |
| 60 | 105 | 3.5 | 10 | 0.5 | 22.934969797555294 | -88.53251510122236 | 7337 | 23.72904456862478 | -0.3120317109901497 | -344.1527116262127 |
| 61 | 105 | 4.0 | 10 | 0.5 | 52.74918908477296 | -73.62540545761352 | 7389 | 23.318446339152796 | -0.13089661662245716 | -768.1307536755826 |
| 62 | 115 | 1.5 | 10 | 0.5 | 6.321018890365941 | -96.83949055481703 | 6643 | 28.631642330272467 | -1.0099053237536952 | -206.58136634538567 |
| 63 | 115 | 2.0 | 10 | 0.5 | 8.586175448038853 | -95.70691227598057 | 6751 | 26.307213746111685 | -0.7835254269427628 | -220.54728033133756 |
| 64 | 115 | 2.5 | 10 | 0.5 | 10.376641254511714 | -94.81167937274414 | 6839 | 24.681971048398886 | -0.6364432358639216 | -218.41178219528035 |
| 65 | 115 | 3.0 | 10 | 0.5 | 9.20546544012515 | -95.39726727993742 | 6921 | 23.81158792082069 | -0.594131818951341 | -207.12155382705376 |
| 66 | 115 | 3.5 | 10 | 0.5 | 7.630256305421915 | -96.18487184728905 | 6966 | 23.16968130921619 | -0.5844894984911244 | -221.95436668671815 |
| 67 | 115 | 4.0 | 10 | 0.5 | 7.8321546288246875 | -96.08392268558765 | 7019 | 22.838011112694115 | -0.44419049676595773 | -229.18136807602502 |
| 68 | 15 | 1.5 | 20 | 1.0 | 11.855192165034223 | -94.07240391748289 | 19708 | 37.77146336513091 | -0.6235222422995786 | -284.85443596149724 |
| 69 | 15 | 2.5 | 20 | 1.0 | 9.803525418208569 | -95.09823729089571 | 20708 | 32.639559590496425 | -0.4752350103234552 | -277.4245022765702 |
| 70 | 15 | 3.5 | 20 | 1.0 | 6.198174773117584 | -96.9009126134412 | 21716 | 27.73531037023393 | -0.5128705717437164 | -313.48715997416474 |
| 71 | 35 | 1.5 | 20 | 1.0 | 28.21206634200495 | -85.89396682899752 | 12085 | 34.73727761688043 | -0.647009511262925 | -223.61914840751774 |
| 72 | 35 | 2.5 | 20 | 1.0 | 104.49489503334085 | -47.75255248332957 | 12520 | 29.249201277955272 | -0.235045001015176 | -230.00122971261297 |
| 73 | 35 | 3.5 | 20 | 1.0 | 107.45577769881035 | -46.272111150594824 | 12984 | 26.070548367221196 | -0.11749439894681797 | -338.48701280893147 |
| 74 | 55 | 1.5 | 20 | 1.0 | 18.500960550013694 | -90.74951972499315 | 9480 | 32.07805907172996 | -0.8630311046085801 | -217.10439532674513 |
| 75 | 55 | 2.5 | 20 | 1.0 | 11.28795717324628 | -94.35602141337687 | 9829 | 26.899989826025028 | -0.7157999288001704 | -250.0470782402587 |
| 76 | 55 | 3.5 | 20 | 1.0 | 25.48546333282715 | -87.25726833358642 | 10108 | 24.39651760981401 | -0.4341398096630764 | -238.0657728760076 |
| 77 | 75 | 1.5 | 20 | 1.0 | 28.878912457463993 | -85.560543771268 | 8286 | 30.762732319575186 | -0.712313061605688 | -183.61532124127612 |
| 78 | 75 | 2.5 | 20 | 1.0 | 4.806399583771505 | -97.59680020811425 | 8610 | 26.10917537746806 | -0.9313204289980628 | -210.20790025893479 |
| 79 | 75 | 3.5 | 20 | 1.0 | 16.653002578165868 | -91.67349871091707 | 8830 | 23.997734994337485 | -0.38357581879982244 | -240.9197266621369 |
| 80 | 95 | 1.5 | 20 | 1.0 | 24.927710059813517 | -87.53614497009325 | 7408 | 29.306155507559396 | -0.9520827117838521 | -190.41061079110813 |
| 81 | 95 | 2.5 | 20 | 1.0 | 21.973918801798945 | -89.01304059910052 | 7633 | 25.153936853137694 | -0.7146688539676412 | -194.44238080585185 |
| 82 | 95 | 3.5 | 20 | 1.0 | 60.57066438340541 | -69.71466780829729 | 7806 | 23.7253394824494 | -0.27195008259729253 | -247.0975110088031 |
| 83 | 115 | 1.5 | 20 | 1.0 | 6.321018890365941 | -96.83949055481703 | 6643 | 28.631642330272467 | -1.0099053237536952 | -206.58136634538567 |
| 84 | 115 | 2.5 | 20 | 1.0 | 10.376641254511714 | -94.81167937274414 | 6839 | 24.681971048398886 | -0.6364432358639216 | -218.41178219528035 |
| 85 | 115 | 3.5 | 20 | 1.0 | 7.630256305421915 | -96.18487184728905 | 6966 | 23.16968130921619 | -0.5844894984911244 | -221.95436668671815 |