results: 백테스트 및 주간 리포트 결과 일괄 추가
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
This commit is contained in:
21in7
44
results/dogeusdt/ml_comparison_20260321_195841.json
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44
results/dogeusdt/ml_comparison_20260321_195841.json
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{
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||||
"timestamp": "2026-03-21T19:58:41.732033",
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"symbols": [
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"DOGEUSDT"
|
||||
],
|
||||
"ml_off": {
|
||||
"total_trades": 322,
|
||||
"total_pnl": -1547.342,
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||||
"return_pct": -154.73,
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||||
"win_rate": 31.37,
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"avg_win": 44.161,
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"avg_loss": -27.1837,
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"payoff_ratio": 1.62,
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"max_consecutive_losses": 9,
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"profit_factor": 0.74,
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||||
"max_drawdown_pct": 155.09,
|
||||
"sharpe_ratio": -23.72,
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"total_fees": 891.5776,
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"close_reasons": {
|
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"STOP_LOSS": 198,
|
||||
"REVERSE_SIGNAL": 58,
|
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"TAKE_PROFIT": 66
|
||||
}
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},
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"ml_on": {
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"total_trades": 20,
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"total_pnl": -173.2651,
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"return_pct": -17.33,
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"win_rate": 35.0,
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"avg_win": 42.0257,
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"avg_loss": -35.9573,
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"payoff_ratio": 1.17,
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"max_consecutive_losses": 3,
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"profit_factor": 0.63,
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"max_drawdown_pct": 18.86,
|
||||
"sharpe_ratio": -40.35,
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"total_fees": 77.1422,
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"close_reasons": {
|
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"STOP_LOSS": 13,
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"REVERSE_SIGNAL": 4,
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"TAKE_PROFIT": 3
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}
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}
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}
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45
results/dogeusdt/ml_comparison_20260321_200334.json
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45
results/dogeusdt/ml_comparison_20260321_200334.json
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{
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"timestamp": "2026-03-21T20:03:34.650022",
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"symbols": [
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"DOGEUSDT"
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],
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"ml_off": {
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"total_trades": 40,
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"total_pnl": 161.0802,
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"return_pct": 16.11,
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"win_rate": 25.0,
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"avg_win": 107.1017,
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"avg_loss": -30.3312,
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"payoff_ratio": 3.53,
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"max_consecutive_losses": 8,
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"profit_factor": 1.18,
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"max_drawdown_pct": 22.19,
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"sharpe_ratio": 7.08,
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"total_fees": 150.4991,
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"close_reasons": {
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"STOP_LOSS": 25,
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"REVERSE_SIGNAL": 8,
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"END_OF_DATA": 1,
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"TAKE_PROFIT": 6
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}
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},
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"ml_on": {
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"total_trades": 47,
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"total_pnl": -285.0131,
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"return_pct": -28.5,
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"win_rate": 34.04,
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"avg_win": 61.4296,
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"avg_loss": -40.8996,
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"payoff_ratio": 1.5,
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"max_consecutive_losses": 7,
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"profit_factor": 0.78,
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"max_drawdown_pct": 40.93,
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"sharpe_ratio": -21.03,
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"total_fees": 176.3033,
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"close_reasons": {
|
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"STOP_LOSS": 30,
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"REVERSE_SIGNAL": 6,
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"TAKE_PROFIT": 11
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}
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}
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}
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1054
results/dogeusdt/wf_backtest_20260318_232112.json
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1054
results/dogeusdt/wf_backtest_20260318_232112.json
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188
results/dogeusdt/wf_backtest_20260321_194418.json
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results/dogeusdt/wf_backtest_20260321_194418.json
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{
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"mode": "walk_forward",
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"config": {
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"symbols": [
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"DOGEUSDT"
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],
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"start": null,
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"end": null,
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"initial_balance": 1000.0,
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"leverage": 10,
|
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"fee_pct": 0.04,
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||||
"slippage_pct": 0.01,
|
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"use_ml": true,
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"ml_threshold": 0.55,
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"max_daily_loss_pct": 0.05,
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"max_positions": 3,
|
||||
"max_same_direction": 2,
|
||||
"margin_max_ratio": 0.5,
|
||||
"margin_min_ratio": 0.2,
|
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"margin_decay_rate": 0.0006,
|
||||
"atr_sl_mult": 1.5,
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"atr_tp_mult": 3.0,
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"min_notional": 5.0,
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"signal_threshold": 3,
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"adx_threshold": 0,
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"volume_multiplier": 1.5,
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"train_months": 6,
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"test_months": 1,
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"time_weight_decay": 2.0,
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"negative_ratio": 3
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},
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"summary": {
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"total_trades": 2,
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"total_pnl": -84.5014,
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"return_pct": -8.45,
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"win_rate": 0.0,
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||||
"avg_win": 0.0,
|
||||
"avg_loss": -42.2507,
|
||||
"payoff_ratio": 0.0,
|
||||
"max_consecutive_losses": 2,
|
||||
"profit_factor": 0.0,
|
||||
"max_drawdown_pct": 4.28,
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"sharpe_ratio": -5831.15,
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"total_fees": 7.8265,
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"close_reasons": {
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"STOP_LOSS": 2
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}
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},
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"folds": [
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{
|
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"fold": 1,
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"train_period": "2025-03-05 ~ 2025-09-05",
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"test_period": "2025-09-05 ~ 2025-10-05",
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"summary": {
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||||
"total_trades": 2,
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||||
"total_pnl": -84.5014,
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||||
"return_pct": -8.45,
|
||||
"win_rate": 0.0,
|
||||
"avg_win": 0.0,
|
||||
"avg_loss": -42.2507,
|
||||
"payoff_ratio": 0.0,
|
||||
"max_consecutive_losses": 2,
|
||||
"profit_factor": 0.0,
|
||||
"max_drawdown_pct": 4.28,
|
||||
"sharpe_ratio": -5831.15,
|
||||
"total_fees": 7.8265,
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||||
"close_reasons": {
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"STOP_LOSS": 2
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}
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}
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}
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],
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"trades": [
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{
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"symbol": "DOGEUSDT",
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"side": "SHORT",
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"entry_time": "2025-10-03 14:00:00",
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"exit_time": "2025-10-03 14:30:00",
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||||
"entry_price": 0.253975,
|
||||
"exit_price": 0.255986,
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||||
"quantity": 19685.0,
|
||||
"sl": 0.255986,
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||||
"tp": 0.249952,
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||||
"gross_pnl": -39.591591,
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||||
"entry_fee": 1.999796,
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||||
"exit_fee": 2.015633,
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||||
"net_pnl": -43.60702,
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||||
"close_reason": "STOP_LOSS",
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||||
"ml_proba": 0.6215,
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||||
"indicators": {
|
||||
"rsi": 39.31265367759862,
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||||
"macd_hist": -9.917203695834255e-06,
|
||||
"atr": 0.001340837894829163,
|
||||
"adx": 22.11118870853989
|
||||
},
|
||||
"fold": 1
|
||||
},
|
||||
{
|
||||
"symbol": "DOGEUSDT",
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"side": "LONG",
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||||
"entry_time": "2025-10-04 02:00:00",
|
||||
"exit_time": "2025-10-04 03:00:00",
|
||||
"entry_price": 0.254255,
|
||||
"exit_price": 0.252284,
|
||||
"quantity": 18809.6,
|
||||
"sl": 0.252284,
|
||||
"tp": 0.258198,
|
||||
"gross_pnl": -37.083263,
|
||||
"entry_fee": 1.912977,
|
||||
"exit_fee": 1.898144,
|
||||
"net_pnl": -40.894384,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": 0.589,
|
||||
"indicators": {
|
||||
"rsi": 29.729826487088012,
|
||||
"macd_hist": -0.0004551413936173264,
|
||||
"atr": 0.0013143381729553857,
|
||||
"adx": 17.29524723775582
|
||||
},
|
||||
"fold": 1
|
||||
}
|
||||
],
|
||||
"validation": {
|
||||
"overall": "FAIL",
|
||||
"checks": [
|
||||
{
|
||||
"name": "exit_after_entry",
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||||
"passed": true,
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||||
"level": "FAIL",
|
||||
"message": "모든 트레이드에서 청산 > 진입"
|
||||
},
|
||||
{
|
||||
"name": "sl_tp_direction",
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||||
"passed": true,
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||||
"level": "FAIL",
|
||||
"message": "SL/TP 방향 정합"
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||||
},
|
||||
{
|
||||
"name": "no_overlap",
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||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "포지션 비중첩 확인"
|
||||
},
|
||||
{
|
||||
"name": "positive_fees",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "수수료 양수 확인"
|
||||
},
|
||||
{
|
||||
"name": "no_negative_balance",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "잔고 양수 유지"
|
||||
},
|
||||
{
|
||||
"name": "win_rate_high",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "승률 정상 (0.0%)"
|
||||
},
|
||||
{
|
||||
"name": "win_rate_low",
|
||||
"passed": false,
|
||||
"level": "WARNING",
|
||||
"message": "승률 0.0% < 20% — 신호 로직 반전 의심"
|
||||
},
|
||||
{
|
||||
"name": "mdd_nonzero",
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||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "MDD 정상 (4.3%)"
|
||||
},
|
||||
{
|
||||
"name": "trade_frequency",
|
||||
"passed": false,
|
||||
"level": "WARNING",
|
||||
"message": "월 평균 2.0건 < 5건 — 신호 생성 부족"
|
||||
},
|
||||
{
|
||||
"name": "profit_factor_high",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "PF 정상 (0.00)"
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
44
results/solusdt/ml_comparison_20260321_195841.json
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results/solusdt/ml_comparison_20260321_195841.json
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{
|
||||
"timestamp": "2026-03-21T19:58:41.166218",
|
||||
"symbols": [
|
||||
"SOLUSDT"
|
||||
],
|
||||
"ml_off": {
|
||||
"total_trades": 346,
|
||||
"total_pnl": -1287.9804,
|
||||
"return_pct": -128.8,
|
||||
"win_rate": 33.82,
|
||||
"avg_win": 35.5174,
|
||||
"avg_loss": -23.7708,
|
||||
"payoff_ratio": 1.49,
|
||||
"max_consecutive_losses": 11,
|
||||
"profit_factor": 0.76,
|
||||
"max_drawdown_pct": 176.42,
|
||||
"sharpe_ratio": -20.59,
|
||||
"total_fees": 940.6664,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 187,
|
||||
"TAKE_PROFIT": 68,
|
||||
"REVERSE_SIGNAL": 91
|
||||
}
|
||||
},
|
||||
"ml_on": {
|
||||
"total_trades": 14,
|
||||
"total_pnl": 80.7573,
|
||||
"return_pct": 8.08,
|
||||
"win_rate": 35.71,
|
||||
"avg_win": 72.906,
|
||||
"avg_loss": -31.5303,
|
||||
"payoff_ratio": 2.31,
|
||||
"max_consecutive_losses": 4,
|
||||
"profit_factor": 1.28,
|
||||
"max_drawdown_pct": 11.46,
|
||||
"sharpe_ratio": 18.5,
|
||||
"total_fees": 51.8491,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 7,
|
||||
"TAKE_PROFIT": 5,
|
||||
"REVERSE_SIGNAL": 2
|
||||
}
|
||||
}
|
||||
}
|
||||
45
results/solusdt/ml_comparison_20260321_200332.json
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results/solusdt/ml_comparison_20260321_200332.json
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||||
{
|
||||
"timestamp": "2026-03-21T20:03:32.481740",
|
||||
"symbols": [
|
||||
"SOLUSDT"
|
||||
],
|
||||
"ml_off": {
|
||||
"total_trades": 31,
|
||||
"total_pnl": -3218.5412,
|
||||
"return_pct": -321.85,
|
||||
"win_rate": 25.81,
|
||||
"avg_win": 40.6328,
|
||||
"avg_loss": -154.0697,
|
||||
"payoff_ratio": 0.26,
|
||||
"max_consecutive_losses": 7,
|
||||
"profit_factor": 0.09,
|
||||
"max_drawdown_pct": 333.12,
|
||||
"sharpe_ratio": -39.57,
|
||||
"total_fees": 112.8457,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 21,
|
||||
"TAKE_PROFIT": 5,
|
||||
"REVERSE_SIGNAL": 4,
|
||||
"END_OF_DATA": 1
|
||||
}
|
||||
},
|
||||
"ml_on": {
|
||||
"total_trades": 17,
|
||||
"total_pnl": -488.3431,
|
||||
"return_pct": -48.83,
|
||||
"win_rate": 11.76,
|
||||
"avg_win": 79.5151,
|
||||
"avg_loss": -43.1582,
|
||||
"payoff_ratio": 1.84,
|
||||
"max_consecutive_losses": 8,
|
||||
"profit_factor": 0.25,
|
||||
"max_drawdown_pct": 45.94,
|
||||
"sharpe_ratio": -123.73,
|
||||
"total_fees": 61.1816,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 14,
|
||||
"REVERSE_SIGNAL": 1,
|
||||
"TAKE_PROFIT": 2
|
||||
}
|
||||
}
|
||||
}
|
||||
81
results/solusdt/wf_backtest_20260321_194417.json
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results/solusdt/wf_backtest_20260321_194417.json
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|
||||
{
|
||||
"mode": "walk_forward",
|
||||
"config": {
|
||||
"symbols": [
|
||||
"SOLUSDT"
|
||||
],
|
||||
"start": null,
|
||||
"end": null,
|
||||
"initial_balance": 1000.0,
|
||||
"leverage": 10,
|
||||
"fee_pct": 0.04,
|
||||
"slippage_pct": 0.01,
|
||||
"use_ml": true,
|
||||
"ml_threshold": 0.55,
|
||||
"max_daily_loss_pct": 0.05,
|
||||
"max_positions": 3,
|
||||
"max_same_direction": 2,
|
||||
"margin_max_ratio": 0.5,
|
||||
"margin_min_ratio": 0.2,
|
||||
"margin_decay_rate": 0.0006,
|
||||
"atr_sl_mult": 1.5,
|
||||
"atr_tp_mult": 3.0,
|
||||
"min_notional": 5.0,
|
||||
"signal_threshold": 3,
|
||||
"adx_threshold": 0,
|
||||
"volume_multiplier": 1.5,
|
||||
"train_months": 6,
|
||||
"test_months": 1,
|
||||
"time_weight_decay": 2.0,
|
||||
"negative_ratio": 3
|
||||
},
|
||||
"summary": {
|
||||
"total_trades": 0,
|
||||
"total_pnl": 0.0,
|
||||
"return_pct": 0.0,
|
||||
"win_rate": 0.0,
|
||||
"avg_win": 0.0,
|
||||
"avg_loss": 0.0,
|
||||
"payoff_ratio": 0.0,
|
||||
"max_consecutive_losses": 0,
|
||||
"profit_factor": 0.0,
|
||||
"max_drawdown_pct": 0.0,
|
||||
"sharpe_ratio": 0.0,
|
||||
"total_fees": 0.0,
|
||||
"close_reasons": {}
|
||||
},
|
||||
"folds": [
|
||||
{
|
||||
"fold": 1,
|
||||
"train_period": "2025-03-18 ~ 2025-09-18",
|
||||
"test_period": "2025-09-18 ~ 2025-10-18",
|
||||
"summary": {
|
||||
"total_trades": 0,
|
||||
"total_pnl": 0.0,
|
||||
"return_pct": 0.0,
|
||||
"win_rate": 0.0,
|
||||
"avg_win": 0.0,
|
||||
"avg_loss": 0.0,
|
||||
"payoff_ratio": 0.0,
|
||||
"max_consecutive_losses": 0,
|
||||
"profit_factor": 0.0,
|
||||
"max_drawdown_pct": 0.0,
|
||||
"sharpe_ratio": 0.0,
|
||||
"total_fees": 0.0,
|
||||
"close_reasons": {}
|
||||
}
|
||||
}
|
||||
],
|
||||
"trades": [],
|
||||
"validation": {
|
||||
"overall": "PASS",
|
||||
"checks": [
|
||||
{
|
||||
"name": "trade_count",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "트레이드 없음 (검증 스킵)"
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
13407
results/weekly/report_2026-03-22.html
Normal file
13407
results/weekly/report_2026-03-22.html
Normal file
File diff suppressed because it is too large
Load Diff
2235
results/weekly/report_2026-03-22.json
Normal file
2235
results/weekly/report_2026-03-22.json
Normal file
File diff suppressed because it is too large
Load Diff
13739
results/weekly/report_2026-03-29.html
Normal file
13739
results/weekly/report_2026-03-29.html
Normal file
File diff suppressed because it is too large
Load Diff
1398
results/weekly/report_2026-03-29.json
Normal file
1398
results/weekly/report_2026-03-29.json
Normal file
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Load Diff
13739
results/weekly/report_2026-04-05.html
Normal file
13739
results/weekly/report_2026-04-05.html
Normal file
File diff suppressed because it is too large
Load Diff
1401
results/weekly/report_2026-04-05.json
Normal file
1401
results/weekly/report_2026-04-05.json
Normal file
File diff suppressed because it is too large
Load Diff
13739
results/weekly/report_2026-04-12.html
Normal file
13739
results/weekly/report_2026-04-12.html
Normal file
File diff suppressed because it is too large
Load Diff
1401
results/weekly/report_2026-04-12.json
Normal file
1401
results/weekly/report_2026-04-12.json
Normal file
File diff suppressed because it is too large
Load Diff
13739
results/weekly/report_2026-04-19.html
Normal file
13739
results/weekly/report_2026-04-19.html
Normal file
File diff suppressed because it is too large
Load Diff
1401
results/weekly/report_2026-04-19.json
Normal file
1401
results/weekly/report_2026-04-19.json
Normal file
File diff suppressed because it is too large
Load Diff
13739
results/weekly/report_2026-04-26.html
Normal file
13739
results/weekly/report_2026-04-26.html
Normal file
File diff suppressed because it is too large
Load Diff
1401
results/weekly/report_2026-04-26.json
Normal file
1401
results/weekly/report_2026-04-26.json
Normal file
File diff suppressed because it is too large
Load Diff
13204
results/weekly/report_2026-05-03.html
Normal file
13204
results/weekly/report_2026-05-03.html
Normal file
File diff suppressed because it is too large
Load Diff
1761
results/weekly/report_2026-05-03.json
Normal file
1761
results/weekly/report_2026-05-03.json
Normal file
File diff suppressed because it is too large
Load Diff
549
results/xrpusdt/backtest_20260322_224712.json
Normal file
549
results/xrpusdt/backtest_20260322_224712.json
Normal file
@@ -0,0 +1,549 @@
|
||||
{
|
||||
"config": {
|
||||
"symbols": [
|
||||
"XRPUSDT"
|
||||
],
|
||||
"start": null,
|
||||
"end": null,
|
||||
"initial_balance": 1000.0,
|
||||
"leverage": 20,
|
||||
"fee_pct": 0.04,
|
||||
"slippage_pct": 0.01,
|
||||
"use_ml": false,
|
||||
"ml_threshold": 0.55,
|
||||
"max_daily_loss_pct": 0.05,
|
||||
"max_positions": 3,
|
||||
"max_same_direction": 2,
|
||||
"margin_max_ratio": 0.5,
|
||||
"margin_min_ratio": 0.2,
|
||||
"margin_decay_rate": 0.0006,
|
||||
"atr_sl_mult": 1.5,
|
||||
"atr_tp_mult": 4.0,
|
||||
"min_notional": 5.0,
|
||||
"signal_threshold": 3,
|
||||
"adx_threshold": 25.0,
|
||||
"volume_multiplier": 2.5
|
||||
},
|
||||
"summary": {
|
||||
"total_trades": 19,
|
||||
"total_pnl": -90.5608,
|
||||
"return_pct": -9.06,
|
||||
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|
||||
"avg_win": 187.773,
|
||||
"avg_loss": -93.6307,
|
||||
"payoff_ratio": 2.01,
|
||||
"max_consecutive_losses": 8,
|
||||
"profit_factor": 0.93,
|
||||
"max_drawdown_pct": 39.26,
|
||||
"sharpe_ratio": -6.38,
|
||||
"total_fees": 130.2737,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 13,
|
||||
"TAKE_PROFIT": 6
|
||||
}
|
||||
},
|
||||
"trades": [
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2025-03-26 13:45:00",
|
||||
"exit_time": "2025-03-26 14:30:00",
|
||||
"entry_price": 2.415342,
|
||||
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|
||||
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|
||||
"sl": 2.399559,
|
||||
"tp": 2.457429,
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
}
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
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|
||||
"exit_time": "2025-03-29 13:00:00",
|
||||
"entry_price": 2.091091,
|
||||
"exit_price": 2.117184,
|
||||
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|
||||
"sl": 2.117184,
|
||||
"tp": 2.02151,
|
||||
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|
||||
"entry_fee": 3.706333,
|
||||
"exit_fee": 3.752581,
|
||||
"net_pnl": -123.07811,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 29.5299317993386,
|
||||
"macd_hist": -0.0016272252554855211,
|
||||
"atr": 0.017395108299016367,
|
||||
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|
||||
}
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2025-04-02 02:00:00",
|
||||
"exit_time": "2025-04-02 05:45:00",
|
||||
"entry_price": 2.090609,
|
||||
"exit_price": 2.070463,
|
||||
"quantity": 3844.2,
|
||||
"sl": 2.070463,
|
||||
"tp": 2.144332,
|
||||
"gross_pnl": -77.446201,
|
||||
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|
||||
"exit_fee": 3.183709,
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
"rsi": 29.415272650543557,
|
||||
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|
||||
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|
||||
"adx": 26.024817307471817
|
||||
}
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-04-03 12:15:00",
|
||||
"exit_time": "2025-04-03 14:45:00",
|
||||
"entry_price": 2.016898,
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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|
||||
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||||
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|
||||
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|
||||
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||||
}
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2025-04-06 18:45:00",
|
||||
"exit_time": "2025-04-06 20:30:00",
|
||||
"entry_price": 1.994699,
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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|
||||
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|
||||
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||||
}
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
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|
||||
"entry_time": "2025-04-08 12:00:00",
|
||||
"exit_time": "2025-04-08 16:15:00",
|
||||
"entry_price": 1.952805,
|
||||
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|
||||
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|
||||
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||||
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||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
{
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
}
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
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|
||||
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|
||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
}
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||||
},
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||||
{
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||||
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||||
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|
||||
"entry_time": "2025-04-22 13:15:00",
|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
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||||
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||||
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||||
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||||
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||||
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|
||||
"tp": 2.103686,
|
||||
"gross_pnl": -51.77209,
|
||||
"entry_fee": 3.255603,
|
||||
"exit_fee": 3.276312,
|
||||
"net_pnl": -58.304005,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 30.413570034116045,
|
||||
"macd_hist": -0.0010637135478183844,
|
||||
"atr": 0.009074941875769175,
|
||||
"adx": 26.27401092812825
|
||||
}
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2025-05-17 01:15:00",
|
||||
"exit_time": "2025-05-17 01:45:00",
|
||||
"entry_price": 2.335133,
|
||||
"exit_price": 2.31116,
|
||||
"quantity": 3709.9,
|
||||
"sl": 2.31116,
|
||||
"tp": 2.399062,
|
||||
"gross_pnl": -88.937959,
|
||||
"entry_fee": 3.465245,
|
||||
"exit_fee": 3.42967,
|
||||
"net_pnl": -95.832873,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 28.536979724863077,
|
||||
"macd_hist": -0.004501483267526404,
|
||||
"atr": 0.01598209455229851,
|
||||
"adx": 51.966384578102044
|
||||
}
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-05-18 14:30:00",
|
||||
"exit_time": "2025-05-18 15:45:00",
|
||||
"entry_price": 2.427557,
|
||||
"exit_price": 2.442135,
|
||||
"quantity": 3848.5,
|
||||
"sl": 2.442135,
|
||||
"tp": 2.388682,
|
||||
"gross_pnl": -56.104255,
|
||||
"entry_fee": 3.736982,
|
||||
"exit_fee": 3.759423,
|
||||
"net_pnl": -63.60066,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 73.26480732687115,
|
||||
"macd_hist": 0.0028537582643641994,
|
||||
"atr": 0.009718809144697027,
|
||||
"adx": 29.42506362068419
|
||||
}
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-05-20 12:30:00",
|
||||
"exit_time": "2025-05-20 17:00:00",
|
||||
"entry_price": 2.330967,
|
||||
"exit_price": 2.345796,
|
||||
"quantity": 4149.8,
|
||||
"sl": 2.345796,
|
||||
"tp": 2.291423,
|
||||
"gross_pnl": -61.53732,
|
||||
"entry_fee": 3.869219,
|
||||
"exit_fee": 3.893833,
|
||||
"net_pnl": -69.300372,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 33.11852309537045,
|
||||
"macd_hist": -0.0003174284393988123,
|
||||
"atr": 0.009885989673296352,
|
||||
"adx": 34.742890662078324
|
||||
}
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2025-05-23 12:15:00",
|
||||
"exit_time": "2025-05-23 22:45:00",
|
||||
"entry_price": 2.340634,
|
||||
"exit_price": 2.313574,
|
||||
"quantity": 4240.1,
|
||||
"sl": 2.313574,
|
||||
"tp": 2.412795,
|
||||
"gross_pnl": -114.738573,
|
||||
"entry_fee": 3.969809,
|
||||
"exit_fee": 3.923914,
|
||||
"net_pnl": -122.632296,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 18.100631569972105,
|
||||
"macd_hist": -0.011460760086984913,
|
||||
"atr": 0.018040230723781962,
|
||||
"adx": 33.73789035029933
|
||||
}
|
||||
}
|
||||
],
|
||||
"validation": {
|
||||
"overall": "PASS",
|
||||
"checks": [
|
||||
{
|
||||
"name": "exit_after_entry",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "모든 트레이드에서 청산 > 진입"
|
||||
},
|
||||
{
|
||||
"name": "sl_tp_direction",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "SL/TP 방향 정합"
|
||||
},
|
||||
{
|
||||
"name": "no_overlap",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "포지션 비중첩 확인"
|
||||
},
|
||||
{
|
||||
"name": "positive_fees",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "수수료 양수 확인"
|
||||
},
|
||||
{
|
||||
"name": "no_negative_balance",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "잔고 양수 유지"
|
||||
},
|
||||
{
|
||||
"name": "win_rate_high",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "승률 정상 (31.6%)"
|
||||
},
|
||||
{
|
||||
"name": "win_rate_low",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "승률 정상 (31.6%)"
|
||||
},
|
||||
{
|
||||
"name": "mdd_nonzero",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "MDD 정상 (39.3%)"
|
||||
},
|
||||
{
|
||||
"name": "trade_frequency",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "월 평균 10.0건"
|
||||
},
|
||||
{
|
||||
"name": "profit_factor_high",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "PF 정상 (0.93)"
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
45
results/xrpusdt/ml_comparison_20260321_195840.json
Normal file
45
results/xrpusdt/ml_comparison_20260321_195840.json
Normal file
@@ -0,0 +1,45 @@
|
||||
{
|
||||
"timestamp": "2026-03-21T19:58:40.087843",
|
||||
"symbols": [
|
||||
"XRPUSDT"
|
||||
],
|
||||
"ml_off": {
|
||||
"total_trades": 362,
|
||||
"total_pnl": -1076.1058,
|
||||
"return_pct": -107.61,
|
||||
"win_rate": 36.74,
|
||||
"avg_win": 30.9612,
|
||||
"avg_loss": -22.681,
|
||||
"payoff_ratio": 1.37,
|
||||
"max_consecutive_losses": 8,
|
||||
"profit_factor": 0.79,
|
||||
"max_drawdown_pct": 117.67,
|
||||
"sharpe_ratio": -18.8,
|
||||
"total_fees": 1094.0448,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 202,
|
||||
"TAKE_PROFIT": 74,
|
||||
"REVERSE_SIGNAL": 84,
|
||||
"END_OF_DATA": 2
|
||||
}
|
||||
},
|
||||
"ml_on": {
|
||||
"total_trades": 14,
|
||||
"total_pnl": 2.0995,
|
||||
"return_pct": 0.21,
|
||||
"win_rate": 35.71,
|
||||
"avg_win": 38.8329,
|
||||
"avg_loss": -21.3406,
|
||||
"payoff_ratio": 1.82,
|
||||
"max_consecutive_losses": 6,
|
||||
"profit_factor": 1.01,
|
||||
"max_drawdown_pct": 11.88,
|
||||
"sharpe_ratio": 0.74,
|
||||
"total_fees": 54.5343,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 7,
|
||||
"REVERSE_SIGNAL": 4,
|
||||
"TAKE_PROFIT": 3
|
||||
}
|
||||
}
|
||||
}
|
||||
44
results/xrpusdt/ml_comparison_20260321_200332.json
Normal file
44
results/xrpusdt/ml_comparison_20260321_200332.json
Normal file
@@ -0,0 +1,44 @@
|
||||
{
|
||||
"timestamp": "2026-03-21T20:03:32.712401",
|
||||
"symbols": [
|
||||
"XRPUSDT"
|
||||
],
|
||||
"ml_off": {
|
||||
"total_trades": 53,
|
||||
"total_pnl": 121.6625,
|
||||
"return_pct": 12.17,
|
||||
"win_rate": 43.4,
|
||||
"avg_win": 39.0003,
|
||||
"avg_loss": -25.8448,
|
||||
"payoff_ratio": 1.51,
|
||||
"max_consecutive_losses": 8,
|
||||
"profit_factor": 1.16,
|
||||
"max_drawdown_pct": 25.63,
|
||||
"sharpe_ratio": 11.94,
|
||||
"total_fees": 181.3167,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 30,
|
||||
"TAKE_PROFIT": 15,
|
||||
"REVERSE_SIGNAL": 8
|
||||
}
|
||||
},
|
||||
"ml_on": {
|
||||
"total_trades": 40,
|
||||
"total_pnl": -256.2189,
|
||||
"return_pct": -25.62,
|
||||
"win_rate": 35.0,
|
||||
"avg_win": 44.2545,
|
||||
"avg_loss": -33.6839,
|
||||
"payoff_ratio": 1.31,
|
||||
"max_consecutive_losses": 11,
|
||||
"profit_factor": 0.71,
|
||||
"max_drawdown_pct": 36.87,
|
||||
"sharpe_ratio": -27.75,
|
||||
"total_fees": 151.8982,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 21,
|
||||
"REVERSE_SIGNAL": 10,
|
||||
"TAKE_PROFIT": 9
|
||||
}
|
||||
}
|
||||
}
|
||||
8243
results/xrpusdt/strategy_sweep_20260329_142440.json
Normal file
8243
results/xrpusdt/strategy_sweep_20260329_142440.json
Normal file
File diff suppressed because it is too large
Load Diff
835
results/xrpusdt/wf_backtest_20260318_232111.json
Normal file
835
results/xrpusdt/wf_backtest_20260318_232111.json
Normal file
@@ -0,0 +1,835 @@
|
||||
{
|
||||
"mode": "walk_forward",
|
||||
"config": {
|
||||
"symbols": [
|
||||
"XRPUSDT"
|
||||
],
|
||||
"start": null,
|
||||
"end": null,
|
||||
"initial_balance": 1000.0,
|
||||
"leverage": 10,
|
||||
"fee_pct": 0.04,
|
||||
"slippage_pct": 0.01,
|
||||
"use_ml": false,
|
||||
"ml_threshold": 0.55,
|
||||
"max_daily_loss_pct": 0.05,
|
||||
"max_positions": 3,
|
||||
"max_same_direction": 2,
|
||||
"margin_max_ratio": 0.5,
|
||||
"margin_min_ratio": 0.2,
|
||||
"margin_decay_rate": 0.0006,
|
||||
"atr_sl_mult": 2.0,
|
||||
"atr_tp_mult": 2.0,
|
||||
"min_notional": 5.0,
|
||||
"signal_threshold": 3,
|
||||
"adx_threshold": 25.0,
|
||||
"volume_multiplier": 2.5,
|
||||
"train_months": 3,
|
||||
"test_months": 1,
|
||||
"time_weight_decay": 2.0,
|
||||
"negative_ratio": 5
|
||||
},
|
||||
"summary": {
|
||||
"total_trades": 27,
|
||||
"total_pnl": 217.0703,
|
||||
"return_pct": 21.71,
|
||||
"win_rate": 66.67,
|
||||
"avg_win": 33.2223,
|
||||
"avg_loss": -42.3256,
|
||||
"payoff_ratio": 0.78,
|
||||
"max_consecutive_losses": 3,
|
||||
"profit_factor": 1.57,
|
||||
"max_drawdown_pct": 11.99,
|
||||
"sharpe_ratio": 33.32,
|
||||
"total_fees": 102.7825,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 9,
|
||||
"TAKE_PROFIT": 18
|
||||
}
|
||||
},
|
||||
"folds": [
|
||||
{
|
||||
"fold": 1,
|
||||
"train_period": "2025-03-05 ~ 2025-06-05",
|
||||
"test_period": "2025-06-05 ~ 2025-07-05",
|
||||
"summary": {
|
||||
"total_trades": 9,
|
||||
"total_pnl": -54.288,
|
||||
"return_pct": -5.43,
|
||||
"win_rate": 44.44,
|
||||
"avg_win": 40.6662,
|
||||
"avg_loss": -43.3906,
|
||||
"payoff_ratio": 0.94,
|
||||
"max_consecutive_losses": 3,
|
||||
"profit_factor": 0.75,
|
||||
"max_drawdown_pct": 11.99,
|
||||
"sharpe_ratio": -21.46,
|
||||
"total_fees": 32.8699,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 5,
|
||||
"TAKE_PROFIT": 4
|
||||
}
|
||||
}
|
||||
},
|
||||
{
|
||||
"fold": 2,
|
||||
"train_period": "2025-06-05 ~ 2025-09-05",
|
||||
"test_period": "2025-09-05 ~ 2025-10-05",
|
||||
"summary": {
|
||||
"total_trades": 10,
|
||||
"total_pnl": 13.0734,
|
||||
"return_pct": 1.31,
|
||||
"win_rate": 60.0,
|
||||
"avg_win": 29.5084,
|
||||
"avg_loss": -40.9943,
|
||||
"payoff_ratio": 0.72,
|
||||
"max_consecutive_losses": 3,
|
||||
"profit_factor": 1.08,
|
||||
"max_drawdown_pct": 10.97,
|
||||
"sharpe_ratio": 5.62,
|
||||
"total_fees": 39.3346,
|
||||
"close_reasons": {
|
||||
"TAKE_PROFIT": 6,
|
||||
"STOP_LOSS": 4
|
||||
}
|
||||
}
|
||||
},
|
||||
{
|
||||
"fold": 3,
|
||||
"train_period": "2025-09-05 ~ 2025-12-05",
|
||||
"test_period": "2025-12-05 ~ 2026-01-05",
|
||||
"summary": {
|
||||
"total_trades": 8,
|
||||
"total_pnl": 258.2849,
|
||||
"return_pct": 25.83,
|
||||
"win_rate": 100.0,
|
||||
"avg_win": 32.2856,
|
||||
"avg_loss": 0.0,
|
||||
"payoff_ratio": "Infinity",
|
||||
"max_consecutive_losses": 0,
|
||||
"profit_factor": "Infinity",
|
||||
"max_drawdown_pct": 0.0,
|
||||
"sharpe_ratio": 502.51,
|
||||
"total_fees": 30.578,
|
||||
"close_reasons": {
|
||||
"TAKE_PROFIT": 8
|
||||
}
|
||||
}
|
||||
}
|
||||
],
|
||||
"trades": [
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-06-12 11:15:00",
|
||||
"exit_time": "2025-06-12 13:00:00",
|
||||
"entry_price": 2.223978,
|
||||
"exit_price": 2.237955,
|
||||
"quantity": 2248.0,
|
||||
"sl": 2.237955,
|
||||
"tp": 2.21,
|
||||
"gross_pnl": -31.420573,
|
||||
"entry_fee": 1.999801,
|
||||
"exit_fee": 2.012369,
|
||||
"net_pnl": -35.432743,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 26.97199737318929,
|
||||
"macd_hist": -0.0007807103280135859,
|
||||
"atr": 0.006988561711463904,
|
||||
"adx": 43.4578914382015
|
||||
},
|
||||
"fold": 1
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2025-06-12 20:30:00",
|
||||
"exit_time": "2025-06-13 00:00:00",
|
||||
"entry_price": 2.186419,
|
||||
"exit_price": 2.163885,
|
||||
"quantity": 2201.5,
|
||||
"sl": 2.163885,
|
||||
"tp": 2.208952,
|
||||
"gross_pnl": -49.607437,
|
||||
"entry_fee": 1.92536,
|
||||
"exit_fee": 1.905517,
|
||||
"net_pnl": -53.438315,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 26.41519543415668,
|
||||
"macd_hist": -0.005495027011351469,
|
||||
"atr": 0.011266735681191995,
|
||||
"adx": 35.41443548413551
|
||||
},
|
||||
"fold": 1
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2025-06-16 22:30:00",
|
||||
"exit_time": "2025-06-16 23:45:00",
|
||||
"entry_price": 2.260826,
|
||||
"exit_price": 2.231631,
|
||||
"quantity": 2006.6,
|
||||
"sl": 2.231631,
|
||||
"tp": 2.290021,
|
||||
"gross_pnl": -58.582699,
|
||||
"entry_fee": 1.814629,
|
||||
"exit_fee": 1.791196,
|
||||
"net_pnl": -62.188525,
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|
||||
"macd_hist": -0.00643391832048344,
|
||||
"atr": 0.01205108033747697,
|
||||
"adx": 30.769786891839054
|
||||
},
|
||||
"fold": 3
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-12-19 13:15:00",
|
||||
"exit_time": "2025-12-19 13:45:00",
|
||||
"entry_price": 1.878712,
|
||||
"exit_price": 1.863781,
|
||||
"quantity": 2596.8,
|
||||
"sl": 1.893643,
|
||||
"tp": 1.863781,
|
||||
"gross_pnl": 38.773597,
|
||||
"entry_fee": 1.951456,
|
||||
"exit_fee": 1.935946,
|
||||
"net_pnl": 34.886195,
|
||||
"close_reason": "TAKE_PROFIT",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 68.16547032772114,
|
||||
"macd_hist": -4.5929936914913816e-05,
|
||||
"atr": 0.007465649526915487,
|
||||
"adx": 40.69667585881617
|
||||
},
|
||||
"fold": 3
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2025-12-25 23:30:00",
|
||||
"exit_time": "2025-12-26 02:00:00",
|
||||
"entry_price": 1.831783,
|
||||
"exit_price": 1.844712,
|
||||
"quantity": 2624.8,
|
||||
"sl": 1.818854,
|
||||
"tp": 1.844712,
|
||||
"gross_pnl": 33.936201,
|
||||
"entry_fee": 1.923226,
|
||||
"exit_fee": 1.9368,
|
||||
"net_pnl": 30.076175,
|
||||
"close_reason": "TAKE_PROFIT",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 18.688435627302994,
|
||||
"macd_hist": -0.0034657628634239823,
|
||||
"atr": 0.006464530874639477,
|
||||
"adx": 30.228290924248867
|
||||
},
|
||||
"fold": 3
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2026-01-01 15:45:00",
|
||||
"exit_time": "2026-01-01 17:15:00",
|
||||
"entry_price": 1.861986,
|
||||
"exit_price": 1.870892,
|
||||
"quantity": 2543.8,
|
||||
"sl": 1.853081,
|
||||
"tp": 1.870892,
|
||||
"gross_pnl": 22.653457,
|
||||
"entry_fee": 1.894608,
|
||||
"exit_fee": 1.90367,
|
||||
"net_pnl": 18.855179,
|
||||
"close_reason": "TAKE_PROFIT",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 64.9515011671277,
|
||||
"macd_hist": 8.017825296896758e-05,
|
||||
"atr": 0.004452680396625609,
|
||||
"adx": 29.061543249865803
|
||||
},
|
||||
"fold": 3
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2026-01-02 14:30:00",
|
||||
"exit_time": "2026-01-02 14:45:00",
|
||||
"entry_price": 1.906991,
|
||||
"exit_price": 1.92129,
|
||||
"quantity": 2458.8,
|
||||
"sl": 1.892691,
|
||||
"tp": 1.92129,
|
||||
"gross_pnl": 35.159553,
|
||||
"entry_fee": 1.875563,
|
||||
"exit_fee": 1.889627,
|
||||
"net_pnl": 31.394362,
|
||||
"close_reason": "TAKE_PROFIT",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 68.243618769103,
|
||||
"macd_hist": 0.00021763021087121363,
|
||||
"atr": 0.007149738287103824,
|
||||
"adx": 34.75978288472445
|
||||
},
|
||||
"fold": 3
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2026-01-04 00:45:00",
|
||||
"exit_time": "2026-01-04 01:30:00",
|
||||
"entry_price": 2.041396,
|
||||
"exit_price": 2.026932,
|
||||
"quantity": 2251.8,
|
||||
"sl": 2.05586,
|
||||
"tp": 2.026932,
|
||||
"gross_pnl": 32.569888,
|
||||
"entry_fee": 1.838726,
|
||||
"exit_fee": 1.825698,
|
||||
"net_pnl": 28.905464,
|
||||
"close_reason": "TAKE_PROFIT",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 78.42031027026397,
|
||||
"macd_hist": 0.002773445174521872,
|
||||
"atr": 0.007231967338050755,
|
||||
"adx": 25.06146716762975
|
||||
},
|
||||
"fold": 3
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2026-01-04 03:00:00",
|
||||
"exit_time": "2026-01-04 03:45:00",
|
||||
"entry_price": 2.038904,
|
||||
"exit_price": 2.053633,
|
||||
"quantity": 2209.5,
|
||||
"sl": 2.024175,
|
||||
"tp": 2.053633,
|
||||
"gross_pnl": 32.54375,
|
||||
"entry_fee": 1.801983,
|
||||
"exit_fee": 1.815001,
|
||||
"net_pnl": 28.926766,
|
||||
"close_reason": "TAKE_PROFIT",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 66.00101725582081,
|
||||
"macd_hist": 4.503977849404806e-05,
|
||||
"atr": 0.007364505506906315,
|
||||
"adx": 30.991168735172053
|
||||
},
|
||||
"fold": 3
|
||||
}
|
||||
],
|
||||
"validation": {
|
||||
"overall": "FAIL",
|
||||
"checks": [
|
||||
{
|
||||
"name": "exit_after_entry",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "모든 트레이드에서 청산 > 진입"
|
||||
},
|
||||
{
|
||||
"name": "sl_tp_direction",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "SL/TP 방향 정합"
|
||||
},
|
||||
{
|
||||
"name": "no_overlap",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "포지션 비중첩 확인"
|
||||
},
|
||||
{
|
||||
"name": "positive_fees",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "수수료 양수 확인"
|
||||
},
|
||||
{
|
||||
"name": "no_negative_balance",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "잔고 양수 유지"
|
||||
},
|
||||
{
|
||||
"name": "win_rate_high",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "승률 정상 (66.7%)"
|
||||
},
|
||||
{
|
||||
"name": "win_rate_low",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "승률 정상 (66.7%)"
|
||||
},
|
||||
{
|
||||
"name": "mdd_nonzero",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "MDD 정상 (12.0%)"
|
||||
},
|
||||
{
|
||||
"name": "trade_frequency",
|
||||
"passed": false,
|
||||
"level": "WARNING",
|
||||
"message": "월 평균 4.0건 < 5건 — 신호 생성 부족"
|
||||
},
|
||||
{
|
||||
"name": "profit_factor_high",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "PF 정상 (1.57)"
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
214
results/xrpusdt/wf_backtest_20260321_194417.json
Normal file
214
results/xrpusdt/wf_backtest_20260321_194417.json
Normal file
@@ -0,0 +1,214 @@
|
||||
{
|
||||
"mode": "walk_forward",
|
||||
"config": {
|
||||
"symbols": [
|
||||
"XRPUSDT"
|
||||
],
|
||||
"start": null,
|
||||
"end": null,
|
||||
"initial_balance": 1000.0,
|
||||
"leverage": 10,
|
||||
"fee_pct": 0.04,
|
||||
"slippage_pct": 0.01,
|
||||
"use_ml": true,
|
||||
"ml_threshold": 0.55,
|
||||
"max_daily_loss_pct": 0.05,
|
||||
"max_positions": 3,
|
||||
"max_same_direction": 2,
|
||||
"margin_max_ratio": 0.5,
|
||||
"margin_min_ratio": 0.2,
|
||||
"margin_decay_rate": 0.0006,
|
||||
"atr_sl_mult": 1.5,
|
||||
"atr_tp_mult": 3.0,
|
||||
"min_notional": 5.0,
|
||||
"signal_threshold": 3,
|
||||
"adx_threshold": 0,
|
||||
"volume_multiplier": 1.5,
|
||||
"train_months": 6,
|
||||
"test_months": 1,
|
||||
"time_weight_decay": 2.0,
|
||||
"negative_ratio": 3
|
||||
},
|
||||
"summary": {
|
||||
"total_trades": 3,
|
||||
"total_pnl": -5.1514,
|
||||
"return_pct": -0.52,
|
||||
"win_rate": 33.33,
|
||||
"avg_win": 66.3376,
|
||||
"avg_loss": -35.7445,
|
||||
"payoff_ratio": 1.86,
|
||||
"max_consecutive_losses": 2,
|
||||
"profit_factor": 0.93,
|
||||
"max_drawdown_pct": 3.76,
|
||||
"sharpe_ratio": -6.68,
|
||||
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|
||||
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|
||||
"STOP_LOSS": 2,
|
||||
"TAKE_PROFIT": 1
|
||||
}
|
||||
},
|
||||
"folds": [
|
||||
{
|
||||
"fold": 1,
|
||||
"train_period": "2025-03-05 ~ 2025-09-05",
|
||||
"test_period": "2025-09-05 ~ 2025-10-05",
|
||||
"summary": {
|
||||
"total_trades": 3,
|
||||
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|
||||
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|
||||
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|
||||
"avg_win": 66.3376,
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
"TAKE_PROFIT": 1
|
||||
}
|
||||
}
|
||||
}
|
||||
],
|
||||
"trades": [
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-09-24 03:15:00",
|
||||
"exit_time": "2025-09-24 04:30:00",
|
||||
"entry_price": 2.811019,
|
||||
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|
||||
"quantity": 1778.5,
|
||||
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||||
"tp": 2.775947,
|
||||
"gross_pnl": -31.18734,
|
||||
"entry_fee": 1.999759,
|
||||
"exit_fee": 2.012234,
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
"fold": 1
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-09-25 12:15:00",
|
||||
"exit_time": "2025-09-25 12:30:00",
|
||||
"entry_price": 2.793221,
|
||||
"exit_price": 2.811993,
|
||||
"quantity": 1726.9,
|
||||
"sl": 2.811993,
|
||||
"tp": 2.755676,
|
||||
"gross_pnl": -32.41776,
|
||||
"entry_fee": 1.929445,
|
||||
"exit_fee": 1.942412,
|
||||
"net_pnl": -36.289617,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": 0.724,
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
"adx": 36.706433983392714
|
||||
},
|
||||
"fold": 1
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-09-26 09:30:00",
|
||||
"exit_time": "2025-09-26 11:00:00",
|
||||
"entry_price": 2.742026,
|
||||
"exit_price": 2.700663,
|
||||
"quantity": 1692.9,
|
||||
"sl": 2.762707,
|
||||
"tp": 2.700663,
|
||||
"gross_pnl": 70.023157,
|
||||
"entry_fee": 1.85679,
|
||||
"exit_fee": 1.828781,
|
||||
"net_pnl": 66.337586,
|
||||
"close_reason": "TAKE_PROFIT",
|
||||
"ml_proba": 0.8238,
|
||||
"indicators": {
|
||||
"rsi": 42.61073221775071,
|
||||
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|
||||
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|
||||
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||||
},
|
||||
"fold": 1
|
||||
}
|
||||
],
|
||||
"validation": {
|
||||
"overall": "FAIL",
|
||||
"checks": [
|
||||
{
|
||||
"name": "exit_after_entry",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "모든 트레이드에서 청산 > 진입"
|
||||
},
|
||||
{
|
||||
"name": "sl_tp_direction",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "SL/TP 방향 정합"
|
||||
},
|
||||
{
|
||||
"name": "no_overlap",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "포지션 비중첩 확인"
|
||||
},
|
||||
{
|
||||
"name": "positive_fees",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "수수료 양수 확인"
|
||||
},
|
||||
{
|
||||
"name": "no_negative_balance",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "잔고 양수 유지"
|
||||
},
|
||||
{
|
||||
"name": "win_rate_high",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "승률 정상 (33.3%)"
|
||||
},
|
||||
{
|
||||
"name": "win_rate_low",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "승률 정상 (33.3%)"
|
||||
},
|
||||
{
|
||||
"name": "mdd_nonzero",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "MDD 정상 (3.8%)"
|
||||
},
|
||||
{
|
||||
"name": "trade_frequency",
|
||||
"passed": false,
|
||||
"level": "WARNING",
|
||||
"message": "월 평균 3.0건 < 5건 — 신호 생성 부족"
|
||||
},
|
||||
{
|
||||
"name": "profit_factor_high",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "PF 정상 (0.93)"
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
382
results/xrpusdt/wf_backtest_20260322_224634.json
Normal file
382
results/xrpusdt/wf_backtest_20260322_224634.json
Normal file
@@ -0,0 +1,382 @@
|
||||
{
|
||||
"mode": "walk_forward",
|
||||
"config": {
|
||||
"symbols": [
|
||||
"XRPUSDT"
|
||||
],
|
||||
"start": null,
|
||||
"end": null,
|
||||
"initial_balance": 1000.0,
|
||||
"leverage": 20,
|
||||
"fee_pct": 0.04,
|
||||
"slippage_pct": 0.01,
|
||||
"use_ml": false,
|
||||
"ml_threshold": 0.55,
|
||||
"max_daily_loss_pct": 0.05,
|
||||
"max_positions": 3,
|
||||
"max_same_direction": 2,
|
||||
"margin_max_ratio": 0.5,
|
||||
"margin_min_ratio": 0.2,
|
||||
"margin_decay_rate": 0.0006,
|
||||
"atr_sl_mult": 1.5,
|
||||
"atr_tp_mult": 4.0,
|
||||
"min_notional": 5.0,
|
||||
"signal_threshold": 3,
|
||||
"adx_threshold": 25.0,
|
||||
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|
||||
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|
||||
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|
||||
"time_weight_decay": 2.0,
|
||||
"negative_ratio": 3
|
||||
},
|
||||
"summary": {
|
||||
"total_trades": 10,
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
"TAKE_PROFIT": 3,
|
||||
"STOP_LOSS": 7
|
||||
}
|
||||
},
|
||||
"folds": [
|
||||
{
|
||||
"fold": 1,
|
||||
"train_period": "2025-03-05 ~ 2025-09-05",
|
||||
"test_period": "2025-09-05 ~ 2025-10-05",
|
||||
"summary": {
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
}
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||||
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||||
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||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
},
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||||
{
|
||||
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|
||||
"side": "LONG",
|
||||
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||||
"exit_time": "2025-09-07 10:15:00",
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
},
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||||
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||||
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|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-09-07 14:15:00",
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||||
"exit_time": "2025-09-07 14:30:00",
|
||||
"entry_price": 2.888611,
|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
"exit_fee": 3.832205,
|
||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
},
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||||
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||||
},
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||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-09-09 07:00:00",
|
||||
"exit_time": "2025-09-09 07:15:00",
|
||||
"entry_price": 3.009099,
|
||||
"exit_price": 3.026836,
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||||
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||||
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||||
"tp": 2.9618,
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
},
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||||
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||||
},
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||||
{
|
||||
"symbol": "XRPUSDT",
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||||
"side": "SHORT",
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
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||||
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|
||||
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|
||||
"entry_time": "2025-09-14 11:15:00",
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
},
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||||
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||||
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||||
{
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||||
"symbol": "XRPUSDT",
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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||||
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|
||||
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||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
},
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||||
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||||
}
|
||||
],
|
||||
"validation": {
|
||||
"overall": "PASS",
|
||||
"checks": [
|
||||
{
|
||||
"name": "exit_after_entry",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "모든 트레이드에서 청산 > 진입"
|
||||
},
|
||||
{
|
||||
"name": "sl_tp_direction",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "SL/TP 방향 정합"
|
||||
},
|
||||
{
|
||||
"name": "no_overlap",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "포지션 비중첩 확인"
|
||||
},
|
||||
{
|
||||
"name": "positive_fees",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "수수료 양수 확인"
|
||||
},
|
||||
{
|
||||
"name": "no_negative_balance",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "잔고 양수 유지"
|
||||
},
|
||||
{
|
||||
"name": "win_rate_high",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "승률 정상 (30.0%)"
|
||||
},
|
||||
{
|
||||
"name": "win_rate_low",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "승률 정상 (30.0%)"
|
||||
},
|
||||
{
|
||||
"name": "mdd_nonzero",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "MDD 정상 (28.2%)"
|
||||
},
|
||||
{
|
||||
"name": "trade_frequency",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "월 평균 10.0건"
|
||||
},
|
||||
{
|
||||
"name": "profit_factor_high",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "PF 정상 (0.83)"
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
838
results/xrpusdt/wf_backtest_20260322_224727.json
Normal file
838
results/xrpusdt/wf_backtest_20260322_224727.json
Normal file
@@ -0,0 +1,838 @@
|
||||
{
|
||||
"mode": "walk_forward",
|
||||
"config": {
|
||||
"symbols": [
|
||||
"XRPUSDT"
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
"max_daily_loss_pct": 0.05,
|
||||
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|
||||
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|
||||
"margin_max_ratio": 0.5,
|
||||
"margin_min_ratio": 0.2,
|
||||
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|
||||
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|
||||
"atr_tp_mult": 4.0,
|
||||
"min_notional": 5.0,
|
||||
"signal_threshold": 3,
|
||||
"adx_threshold": 25.0,
|
||||
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|
||||
"train_months": 3,
|
||||
"test_months": 1,
|
||||
"time_weight_decay": 2.0,
|
||||
"negative_ratio": 3
|
||||
},
|
||||
"summary": {
|
||||
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|
||||
"total_pnl": 817.0717,
|
||||
"return_pct": 81.71,
|
||||
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|
||||
"avg_win": 140.6556,
|
||||
"avg_loss": -58.053,
|
||||
"payoff_ratio": 2.42,
|
||||
"max_consecutive_losses": 4,
|
||||
"profit_factor": 1.94,
|
||||
"max_drawdown_pct": 20.23,
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
"TAKE_PROFIT": 11,
|
||||
"REVERSE_SIGNAL": 1
|
||||
}
|
||||
},
|
||||
"folds": [
|
||||
{
|
||||
"fold": 1,
|
||||
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|
||||
"test_period": "2025-06-05 ~ 2025-07-05",
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
"max_drawdown_pct": 8.26,
|
||||
"sharpe_ratio": 73.09,
|
||||
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|
||||
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|
||||
"STOP_LOSS": 5,
|
||||
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|
||||
}
|
||||
}
|
||||
},
|
||||
{
|
||||
"fold": 2,
|
||||
"train_period": "2025-06-05 ~ 2025-09-05",
|
||||
"test_period": "2025-09-05 ~ 2025-10-05",
|
||||
"summary": {
|
||||
"total_trades": 10,
|
||||
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|
||||
"return_pct": -7.14,
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
"total_fees": 75.9924,
|
||||
"close_reasons": {
|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
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||||
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|
||||
"exit_time": "2025-09-29 07:15:00",
|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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||||
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|
||||
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|
||||
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||||
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|
||||
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||||
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||||
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||||
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||||
},
|
||||
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||||
},
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||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2025-12-12 16:00:00",
|
||||
"exit_time": "2025-12-13 05:00:00",
|
||||
"entry_price": 1.988899,
|
||||
"exit_price": 2.037103,
|
||||
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||||
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||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
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||||
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||||
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||||
"entry_price": 1.878712,
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
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||||
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||||
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||||
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||||
"exit_time": "2026-01-01 16:15:00",
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
"overall": "FAIL",
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||||
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||||
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|
||||
"name": "exit_after_entry",
|
||||
"passed": true,
|
||||
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|
||||
"message": "모든 트레이드에서 청산 > 진입"
|
||||
},
|
||||
{
|
||||
"name": "sl_tp_direction",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "SL/TP 방향 정합"
|
||||
},
|
||||
{
|
||||
"name": "no_overlap",
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||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
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||||
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||||
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||||
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||||
},
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||||
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|
||||
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||||
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||||
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||||
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|
||||
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||||
{
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||||
"name": "mdd_nonzero",
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||||
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||||
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||||
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|
||||
},
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||||
{
|
||||
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||||
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||||
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|
||||
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|
||||
},
|
||||
{
|
||||
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||||
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||||
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|
||||
"message": "PF 정상 (1.94)"
|
||||
}
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||||
]
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||||
}
|
||||
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|
||||
511
results/xrpusdt/wf_backtest_20260322_231113.json
Normal file
511
results/xrpusdt/wf_backtest_20260322_231113.json
Normal file
@@ -0,0 +1,511 @@
|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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||||
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|
||||
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||||
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|
||||
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|
||||
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||||
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|
||||
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||||
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|
||||
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|
||||
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||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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|
||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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||||
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||||
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|
||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
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|
||||
"exit_time": "2025-09-08 09:45:00",
|
||||
"entry_price": 2.90089,
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
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|
||||
"exit_time": "2025-09-09 07:15:00",
|
||||
"entry_price": 3.009099,
|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
|
||||
"symbol": "XRPUSDT",
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||||
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||||
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||||
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||||
"entry_price": 2.943406,
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||||
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||||
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||||
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||||
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||||
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||||
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||||
"exit_fee": 1.97669,
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
|
||||
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||||
"side": "LONG",
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
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|
||||
"overall": "PASS",
|
||||
"checks": [
|
||||
{
|
||||
"name": "exit_after_entry",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "모든 트레이드에서 청산 > 진입"
|
||||
},
|
||||
{
|
||||
"name": "sl_tp_direction",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "SL/TP 방향 정합"
|
||||
},
|
||||
{
|
||||
"name": "no_overlap",
|
||||
"passed": true,
|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
"name": "no_negative_balance",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
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|
||||
},
|
||||
{
|
||||
"name": "win_rate_high",
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
{
|
||||
"name": "win_rate_low",
|
||||
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|
||||
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|
||||
"message": "승률 정상 (26.7%)"
|
||||
},
|
||||
{
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
"name": "trade_frequency",
|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
"name": "profit_factor_high",
|
||||
"passed": true,
|
||||
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|
||||
"message": "PF 정상 (0.55)"
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
865
results/xrpusdt/wf_backtest_20260322_231737.json
Normal file
865
results/xrpusdt/wf_backtest_20260322_231737.json
Normal file
@@ -0,0 +1,865 @@
|
||||
{
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
"summary": {
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
}
|
||||
},
|
||||
"folds": [
|
||||
{
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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||||
}
|
||||
},
|
||||
"market_context": {
|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
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|
||||
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|
||||
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|
||||
"exit_price": 2.080244,
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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||||
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|
||||
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||||
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|
||||
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||||
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||||
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||||
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||||
},
|
||||
"fold": 3
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||||
},
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||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
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||||
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||||
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|
||||
"entry_price": 1.988899,
|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
"overall": "FAIL",
|
||||
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||||
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|
||||
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|
||||
"passed": true,
|
||||
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|
||||
"message": "모든 트레이드에서 청산 > 진입"
|
||||
},
|
||||
{
|
||||
"name": "sl_tp_direction",
|
||||
"passed": true,
|
||||
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|
||||
"message": "SL/TP 방향 정합"
|
||||
},
|
||||
{
|
||||
"name": "no_overlap",
|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
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|
||||
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|
||||
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||||
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||||
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||||
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|
||||
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|
||||
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||||
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||||
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|
||||
},
|
||||
{
|
||||
"name": "mdd_nonzero",
|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
537
results/xrpusdt/wf_backtest_20260322_231837.json
Normal file
537
results/xrpusdt/wf_backtest_20260322_231837.json
Normal file
@@ -0,0 +1,537 @@
|
||||
{
|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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|
||||
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||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
}
|
||||
},
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||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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{
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||||
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||||
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||||
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||||
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||||
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{
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
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||||
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||||
"side": "SHORT",
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
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||||
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||||
"side": "SHORT",
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
},
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||||
{
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||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
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||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
{
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||||
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||||
"side": "LONG",
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||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
"validation": {
|
||||
"overall": "PASS",
|
||||
"checks": [
|
||||
{
|
||||
"name": "exit_after_entry",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "모든 트레이드에서 청산 > 진입"
|
||||
},
|
||||
{
|
||||
"name": "sl_tp_direction",
|
||||
"passed": true,
|
||||
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|
||||
"message": "SL/TP 방향 정합"
|
||||
},
|
||||
{
|
||||
"name": "no_overlap",
|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
"name": "positive_fees",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
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|
||||
},
|
||||
{
|
||||
"name": "no_negative_balance",
|
||||
"passed": true,
|
||||
"level": "FAIL",
|
||||
"message": "잔고 양수 유지"
|
||||
},
|
||||
{
|
||||
"name": "win_rate_high",
|
||||
"passed": true,
|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
"name": "win_rate_low",
|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
"name": "mdd_nonzero",
|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
"name": "trade_frequency",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "월 평균 16.0건"
|
||||
},
|
||||
{
|
||||
"name": "profit_factor_high",
|
||||
"passed": true,
|
||||
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|
||||
"message": "PF 정상 (0.67)"
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
3062
results/xrpusdt/wf_backtest_20260322_232159.json
Normal file
3062
results/xrpusdt/wf_backtest_20260322_232159.json
Normal file
File diff suppressed because it is too large
Load Diff
Reference in New Issue
Block a user