151 lines
4.2 KiB
JSON
151 lines
4.2 KiB
JSON
|
{
|
||
|
|
"gold": {
|
||
|
|
"roi": 88.55,
|
||
|
|
"pf": 1.215,
|
||
|
|
"dd": 15.05,
|
||
|
|
"sharpe": 4.38,
|
||
|
|
"wr": 50.5,
|
||
|
|
"trades": 2155
|
||
|
|
},
|
||
|
|
"results": [
|
||
|
|
{
|
||
|
|
"name": "0_baseline",
|
||
|
|
"roi": 88.54671933603525,
|
||
|
|
"pf": 1.21470506157439,
|
||
|
|
"dd": 15.046245386522427,
|
||
|
|
"wr": 50.48723897911833,
|
||
|
|
"sharpe": 4.378300370204196,
|
||
|
|
"trades": 2155,
|
||
|
|
"sizing_scale_mean": 1.0,
|
||
|
|
"alpha_eff_mean": 1.0,
|
||
|
|
"thr_eff_mean": 0.35,
|
||
|
|
"h1_roi": 37.632584444436795,
|
||
|
|
"h1_dd": 15.046245386522427,
|
||
|
|
"h1_sharpe": 3.9603631793850136,
|
||
|
|
"h2_roi": 36.992791421534946,
|
||
|
|
"h2_dd": 9.830290816036223,
|
||
|
|
"h2_sharpe": 4.769183844351268,
|
||
|
|
"split_days": [
|
||
|
|
28,
|
||
|
|
28
|
||
|
|
]
|
||
|
|
},
|
||
|
|
{
|
||
|
|
"name": "1_fixed_thr035_a1.0",
|
||
|
|
"roi": 93.60513448956341,
|
||
|
|
"pf": 1.2178720236994938,
|
||
|
|
"dd": 14.512635180033598,
|
||
|
|
"wr": 50.48723897911833,
|
||
|
|
"sharpe": 4.55213195481462,
|
||
|
|
"trades": 2155,
|
||
|
|
"sizing_scale_mean": 1.0618311688311688,
|
||
|
|
"alpha_eff_mean": 1.0,
|
||
|
|
"thr_eff_mean": 0.3500000000000001,
|
||
|
|
"h1_roi": 37.87397445144304,
|
||
|
|
"h1_dd": 14.512635180033598,
|
||
|
|
"h1_sharpe": 3.8950967482396135,
|
||
|
|
"h2_roi": 40.42181293449837,
|
||
|
|
"h2_dd": 9.52090561815603,
|
||
|
|
"h2_sharpe": 5.164864302890685,
|
||
|
|
"split_days": [
|
||
|
|
28,
|
||
|
|
28
|
||
|
|
]
|
||
|
|
},
|
||
|
|
{
|
||
|
|
"name": "2_adaptive_alpha__thr035_a1.0xboost",
|
||
|
|
"roi": 93.40183251473115,
|
||
|
|
"pf": 1.21653391966412,
|
||
|
|
"dd": 14.512635180033612,
|
||
|
|
"wr": 50.48723897911833,
|
||
|
|
"sharpe": 4.538463370694225,
|
||
|
|
"trades": 2155,
|
||
|
|
"sizing_scale_mean": 1.069598136684172,
|
||
|
|
"alpha_eff_mean": 1.1152435704345516,
|
||
|
|
"thr_eff_mean": 0.3500000000000001,
|
||
|
|
"h1_roi": 37.863444837785416,
|
||
|
|
"h1_dd": 14.512635180033612,
|
||
|
|
"h1_sharpe": 3.863961184840122,
|
||
|
|
"h2_roi": 40.285071755093604,
|
||
|
|
"h2_dd": 9.653060108073454,
|
||
|
|
"h2_sharpe": 5.171823779134293,
|
||
|
|
"split_days": [
|
||
|
|
28,
|
||
|
|
28
|
||
|
|
]
|
||
|
|
},
|
||
|
|
{
|
||
|
|
"name": "3_adaptive_thr__thr035/boost_a1.0",
|
||
|
|
"roi": 94.13033277329988,
|
||
|
|
"pf": 1.2198467641016866,
|
||
|
|
"dd": 14.512635180033612,
|
||
|
|
"wr": 50.48723897911833,
|
||
|
|
"sharpe": 4.577159191163701,
|
||
|
|
"trades": 2155,
|
||
|
|
"sizing_scale_mean": 1.0548980466896074,
|
||
|
|
"alpha_eff_mean": 1.0,
|
||
|
|
"thr_eff_mean": 0.32186136027605455,
|
||
|
|
"h1_roi": 38.028871469969275,
|
||
|
|
"h1_dd": 14.512635180033612,
|
||
|
|
"h1_sharpe": 3.934631717815155,
|
||
|
|
"h2_roi": 40.6447294003534,
|
||
|
|
"h2_dd": 9.419616583596177,
|
||
|
|
"h2_sharpe": 5.173301424346994,
|
||
|
|
"split_days": [
|
||
|
|
28,
|
||
|
|
28
|
||
|
|
]
|
||
|
|
},
|
||
|
|
{
|
||
|
|
"name": "4_adaptive_both__thr/boost_axboost",
|
||
|
|
"roi": 94.11394527938835,
|
||
|
|
"pf": 1.2192367820323635,
|
||
|
|
"dd": 14.51263518003362,
|
||
|
|
"wr": 50.48723897911833,
|
||
|
|
"sharpe": 4.5739830546529925,
|
||
|
|
"trades": 2155,
|
||
|
|
"sizing_scale_mean": 1.0596575120382845,
|
||
|
|
"alpha_eff_mean": 1.1152435704345516,
|
||
|
|
"thr_eff_mean": 0.32186136027605455,
|
||
|
|
"h1_roi": 38.07558919307389,
|
||
|
|
"h1_dd": 14.51263518003362,
|
||
|
|
"h1_sharpe": 3.9200708724235827,
|
||
|
|
"h2_roi": 40.58527391685063,
|
||
|
|
"h2_dd": 9.471525859621199,
|
||
|
|
"h2_sharpe": 5.182956035866156,
|
||
|
|
"split_days": [
|
||
|
|
28,
|
||
|
|
28
|
||
|
|
]
|
||
|
|
},
|
||
|
|
{
|
||
|
|
"name": "5_adaptive_beta__thr035_ax(1+beta)",
|
||
|
|
"roi": 96.55083977704362,
|
||
|
|
"pf": 1.2201203038704769,
|
||
|
|
"dd": 14.321954772270876,
|
||
|
|
"wr": 50.48723897911833,
|
||
|
|
"sharpe": 4.631491961453057,
|
||
|
|
"trades": 2155,
|
||
|
|
"sizing_scale_mean": 1.0883296846011132,
|
||
|
|
"alpha_eff_mean": 1.428756957328386,
|
||
|
|
"thr_eff_mean": 0.3500000000000001,
|
||
|
|
"h1_roi": 38.80519726574197,
|
||
|
|
"h1_dd": 14.321954772270876,
|
||
|
|
"h1_sharpe": 3.9158586921478613,
|
||
|
|
"h2_roi": 41.60193108673579,
|
||
|
|
"h2_dd": 9.569030250306442,
|
||
|
|
"h2_sharpe": 5.302551495714016,
|
||
|
|
"split_days": [
|
||
|
|
28,
|
||
|
|
28
|
||
|
|
]
|
||
|
|
}
|
||
|
|
],
|
||
|
|
"meta": {
|
||
|
|
"exp": "exp8",
|
||
|
|
"question": "Is scale_boost overfitting? Are threshold/alpha regime-dependent?",
|
||
|
|
"total_elapsed_s": 1401.0,
|
||
|
|
"gold_match": true,
|
||
|
|
"fixed_match": true
|
||
|
|
}
|
||
|
|
}
|