3.5 KiB
3.5 KiB
| 1 | period | std | final_eq | ret_pct | n_trades | win_rate | sharpe | dd |
|---|---|---|---|---|---|---|---|---|
| 2 | 10 | 1.5 | 0.05342370290338611 | -99.9732881485483 | 65278 | 36.77808756395723 | -1.5827730890254355 | -200.11090187995964 |
| 3 | 10 | 2.0 | 0.01988664648055615 | -99.99005667675972 | 69456 | 37.21348767565077 | -1.375492398950596 | -200.74729198772366 |
| 4 | 10 | 2.5 | 0.004545923852164151 | -99.99772703807392 | 74138 | 37.50033720898864 | -1.2284719936927497 | -201.33569201183727 |
| 5 | 10 | 3.0 | 0.0009123838658130715 | -99.99954380806709 | 76146 | 37.615895779161086 | -1.6590563717126823 | -202.30746831252432 |
| 6 | 20 | 1.5 | 0.3782564097262717 | -99.81087179513686 | 47456 | 37.41992582602832 | -1.773963308419704 | -204.25419944748978 |
| 7 | 20 | 2.0 | 0.10116775050634881 | -99.94941612474683 | 49854 | 37.58374453403939 | -1.6215139967794863 | -207.24649370462032 |
| 8 | 20 | 2.5 | 0.0420847966759596 | -99.97895760166202 | 51496 | 38.30588783594842 | -1.8732479488082094 | -202.88341805372127 |
| 9 | 20 | 3.0 | 0.03714319731018452 | -99.98142840134491 | 52399 | 39.06563102349281 | -1.7117920644966065 | -201.30652434882285 |
| 10 | 30 | 1.5 | 1.4879534896660909 | -99.25602325516695 | 39618 | 37.46529355343531 | -1.0597237275155744 | -241.7741860257891 |
| 11 | 30 | 2.0 | 0.5206306817787774 | -99.73968465911061 | 41418 | 37.77343184122845 | -1.2705250571479818 | -204.3989052518405 |
| 12 | 30 | 2.5 | 0.08578933249176414 | -99.95710533375411 | 42437 | 38.86938284987158 | -1.4392780573843966 | -208.66548353770028 |
| 13 | 30 | 3.0 | 0.06761980742073989 | -99.96619009628964 | 42819 | 39.68331815315631 | -1.24928580482028 | -216.1250835959552 |
| 14 | 50 | 1.5 | 1.8088706722788732 | -99.09556466386056 | 31443 | 37.334223833603666 | -1.4000644569639418 | -202.32460954374 |
| 15 | 50 | 2.0 | 1.028036476208118 | -99.48598176189594 | 32460 | 38.44423906346272 | -1.2716921237889525 | -200.83851685504973 |
| 16 | 50 | 2.5 | 0.11541810526712795 | -99.94229094736643 | 32939 | 39.5306475606424 | -1.203251914380095 | -200.27701570363715 |
| 17 | 50 | 3.0 | 0.1351670804614327 | -99.93241645976929 | 33085 | 40.54405319631253 | -1.0704484513755306 | -200.26052595255356 |
| 18 | 80 | 1.5 | 4.150889743129027 | -97.92455512843549 | 25302 | 38.02861433878745 | -1.6665676083991399 | -202.37237995021502 |
| 19 | 80 | 2.0 | 5.992075618322869 | -97.00396219083856 | 25933 | 39.2704276404581 | -1.2873048988895401 | -222.45880619181088 |
| 20 | 80 | 2.5 | 2.3099195066108917 | -98.84504024669455 | 26064 | 40.29696132596685 | -1.2180479656844296 | -242.45465429040132 |
| 21 | 80 | 3.0 | 2.334754168161419 | -98.83262291591929 | 26050 | 41.051823416506714 | -1.0505864510447513 | -269.054135429288 |
| 22 | 100 | 1.5 | 6.04121936461079 | -96.97939031769461 | 22786 | 38.181339418941455 | -1.4175370742512177 | -196.92102711681954 |
| 23 | 100 | 2.0 | 5.423127145984888 | -97.28843642700755 | 23191 | 39.51101720495019 | -1.2153007501059072 | -231.1710791247756 |
| 24 | 100 | 2.5 | 2.610862380586256 | -98.69456880970687 | 23301 | 40.483241062615335 | -1.1094891363618633 | -259.30276840213105 |
| 25 | 100 | 3.0 | 5.716308119598341 | -97.14184594020082 | 23299 | 41.37945834585175 | -0.7610979701772258 | -288.02851880803166 |
| 26 | 150 | 1.5 | 6.121437150276749 | -96.93928142486162 | 18407 | 38.88194708534797 | -1.002800854613305 | -241.71726284052002 |
| 27 | 150 | 2.0 | 1.1970630383174046 | -99.4014684808413 | 18595 | 40.112933584296854 | -1.1681812761761492 | -224.23744764512085 |
| 28 | 150 | 2.5 | 0.5963506942019386 | -99.70182465289903 | 18625 | 41.261744966442954 | -0.8184845317905666 | -263.25717616484644 |
| 29 | 150 | 3.0 | 0.6302294940489122 | -99.68488525297555 | 18578 | 42.00129185057595 | -0.8539049301221916 | -284.17449718087295 |
| 30 | 200 | 1.5 | 11.879732518914734 | -94.06013374054264 | 15536 | 39.624098867147275 | -0.966813276208611 | -190.0398595048643 |
| 31 | 200 | 2.0 | 7.102255587565593 | -96.4488722062172 | 15612 | 40.949269792467334 | -1.0272918700545648 | -195.52766791647502 |
| 32 | 200 | 2.5 | 7.996108371386221 | -96.0019458143069 | 15618 | 42.00281726213343 | -0.8066524896070545 | -212.59859294532936 |
| 33 | 200 | 3.0 | 12.272570900469248 | -93.86371454976538 | 15593 | 42.57038414673251 | -0.6873433542160784 | -197.05958687744663 |