88 lines
2.2 KiB
JSON
88 lines
2.2 KiB
JSON
|
{
|
||
|
|
"gold": {
|
||
|
|
"roi": 96.55,
|
||
|
|
"dd": 14.32,
|
||
|
|
"trades": 2155
|
||
|
|
},
|
||
|
|
"results": [
|
||
|
|
{
|
||
|
|
"name": "B_liq_6/7x_liqstop13.6%",
|
||
|
|
"roi": 117.60890852798336,
|
||
|
|
"pf": 1.2199931287037944,
|
||
|
|
"dd": 15.800313739426617,
|
||
|
|
"wr": 50.672853828306266,
|
||
|
|
"sharpe": 4.592967533169852,
|
||
|
|
"trades": 2155,
|
||
|
|
"avg_leverage": 3.501351353769574,
|
||
|
|
"liq_stops": 1,
|
||
|
|
"liq_stop_pct": 0.1357142857142857,
|
||
|
|
"liq_stop_rate_pct": 0.04640371229698376
|
||
|
|
},
|
||
|
|
{
|
||
|
|
"name": "C_liq_7/8x_liqstop11.9%",
|
||
|
|
"roi": 139.72300151188082,
|
||
|
|
"pf": 1.2286392091015288,
|
||
|
|
"dd": 16.7760059114392,
|
||
|
|
"wr": 50.672853828306266,
|
||
|
|
"sharpe": 4.844497641085453,
|
||
|
|
"trades": 2155,
|
||
|
|
"avg_leverage": 3.7301880355925894,
|
||
|
|
"liq_stops": 1,
|
||
|
|
"liq_stop_pct": 0.11875,
|
||
|
|
"liq_stop_rate_pct": 0.04640371229698376
|
||
|
|
},
|
||
|
|
{
|
||
|
|
"name": "D_liq_8/9x_liqstop10.6%",
|
||
|
|
"roi": 147.2832528932534,
|
||
|
|
"pf": 1.233340905262188,
|
||
|
|
"dd": 16.776005911439114,
|
||
|
|
"wr": 50.672853828306266,
|
||
|
|
"sharpe": 4.995057984165502,
|
||
|
|
"trades": 2155,
|
||
|
|
"avg_leverage": 3.795150347589037,
|
||
|
|
"liq_stops": 1,
|
||
|
|
"liq_stop_pct": 0.10555555555555554,
|
||
|
|
"liq_stop_rate_pct": 0.04640371229698376
|
||
|
|
},
|
||
|
|
{
|
||
|
|
"name": "E_liq_9/10x_liqstop9.5%",
|
||
|
|
"roi": 112.16063020117491,
|
||
|
|
"pf": 1.1952757754808747,
|
||
|
|
"dd": 30.685728293170744,
|
||
|
|
"wr": 50.69573283858998,
|
||
|
|
"sharpe": 3.9564143841036885,
|
||
|
|
"trades": 2156,
|
||
|
|
"avg_leverage": 3.854065962587942,
|
||
|
|
"liq_stops": 5,
|
||
|
|
"liq_stop_pct": 0.095,
|
||
|
|
"liq_stop_rate_pct": 0.2319109461966605
|
||
|
|
}
|
||
|
|
],
|
||
|
|
"meta": {
|
||
|
|
"exp": "exp9b",
|
||
|
|
"question": "Do liquidation stops fire in 55-day dataset? Are exp9 results accurate?",
|
||
|
|
"exp9_reference": {
|
||
|
|
"B": {
|
||
|
|
"roi": 119.34,
|
||
|
|
"dd": 16.92,
|
||
|
|
"trades": 2155
|
||
|
|
},
|
||
|
|
"C": {
|
||
|
|
"roi": 141.8,
|
||
|
|
"dd": 18.32,
|
||
|
|
"trades": 2155
|
||
|
|
},
|
||
|
|
"D": {
|
||
|
|
"roi": 162.28,
|
||
|
|
"dd": 18.44,
|
||
|
|
"trades": 2155
|
||
|
|
},
|
||
|
|
"E": {
|
||
|
|
"roi": 184.0,
|
||
|
|
"dd": 18.56,
|
||
|
|
"trades": 2155
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"total_elapsed_s": 1877.3
|
||
|
|
}
|
||
|
|
}
|