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
Normal file
44
results/dogeusdt/ml_comparison_20260321_195841.json
Normal file
@@ -0,0 +1,44 @@
|
||||
{
|
||||
"timestamp": "2026-03-21T19:58:41.732033",
|
||||
"symbols": [
|
||||
"DOGEUSDT"
|
||||
],
|
||||
"ml_off": {
|
||||
"total_trades": 322,
|
||||
"total_pnl": -1547.342,
|
||||
"return_pct": -154.73,
|
||||
"win_rate": 31.37,
|
||||
"avg_win": 44.161,
|
||||
"avg_loss": -27.1837,
|
||||
"payoff_ratio": 1.62,
|
||||
"max_consecutive_losses": 9,
|
||||
"profit_factor": 0.74,
|
||||
"max_drawdown_pct": 155.09,
|
||||
"sharpe_ratio": -23.72,
|
||||
"total_fees": 891.5776,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 198,
|
||||
"REVERSE_SIGNAL": 58,
|
||||
"TAKE_PROFIT": 66
|
||||
}
|
||||
},
|
||||
"ml_on": {
|
||||
"total_trades": 20,
|
||||
"total_pnl": -173.2651,
|
||||
"return_pct": -17.33,
|
||||
"win_rate": 35.0,
|
||||
"avg_win": 42.0257,
|
||||
"avg_loss": -35.9573,
|
||||
"payoff_ratio": 1.17,
|
||||
"max_consecutive_losses": 3,
|
||||
"profit_factor": 0.63,
|
||||
"max_drawdown_pct": 18.86,
|
||||
"sharpe_ratio": -40.35,
|
||||
"total_fees": 77.1422,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 13,
|
||||
"REVERSE_SIGNAL": 4,
|
||||
"TAKE_PROFIT": 3
|
||||
}
|
||||
}
|
||||
}
|
||||
45
results/dogeusdt/ml_comparison_20260321_200334.json
Normal file
45
results/dogeusdt/ml_comparison_20260321_200334.json
Normal file
@@ -0,0 +1,45 @@
|
||||
{
|
||||
"timestamp": "2026-03-21T20:03:34.650022",
|
||||
"symbols": [
|
||||
"DOGEUSDT"
|
||||
],
|
||||
"ml_off": {
|
||||
"total_trades": 40,
|
||||
"total_pnl": 161.0802,
|
||||
"return_pct": 16.11,
|
||||
"win_rate": 25.0,
|
||||
"avg_win": 107.1017,
|
||||
"avg_loss": -30.3312,
|
||||
"payoff_ratio": 3.53,
|
||||
"max_consecutive_losses": 8,
|
||||
"profit_factor": 1.18,
|
||||
"max_drawdown_pct": 22.19,
|
||||
"sharpe_ratio": 7.08,
|
||||
"total_fees": 150.4991,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 25,
|
||||
"REVERSE_SIGNAL": 8,
|
||||
"END_OF_DATA": 1,
|
||||
"TAKE_PROFIT": 6
|
||||
}
|
||||
},
|
||||
"ml_on": {
|
||||
"total_trades": 47,
|
||||
"total_pnl": -285.0131,
|
||||
"return_pct": -28.5,
|
||||
"win_rate": 34.04,
|
||||
"avg_win": 61.4296,
|
||||
"avg_loss": -40.8996,
|
||||
"payoff_ratio": 1.5,
|
||||
"max_consecutive_losses": 7,
|
||||
"profit_factor": 0.78,
|
||||
"max_drawdown_pct": 40.93,
|
||||
"sharpe_ratio": -21.03,
|
||||
"total_fees": 176.3033,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 30,
|
||||
"REVERSE_SIGNAL": 6,
|
||||
"TAKE_PROFIT": 11
|
||||
}
|
||||
}
|
||||
}
|
||||
1054
results/dogeusdt/wf_backtest_20260318_232112.json
Normal file
1054
results/dogeusdt/wf_backtest_20260318_232112.json
Normal file
File diff suppressed because it is too large
Load Diff
188
results/dogeusdt/wf_backtest_20260321_194418.json
Normal file
188
results/dogeusdt/wf_backtest_20260321_194418.json
Normal file
@@ -0,0 +1,188 @@
|
||||
{
|
||||
"mode": "walk_forward",
|
||||
"config": {
|
||||
"symbols": [
|
||||
"DOGEUSDT"
|
||||
],
|
||||
"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": 2,
|
||||
"total_pnl": -84.5014,
|
||||
"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,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 2
|
||||
}
|
||||
},
|
||||
"folds": [
|
||||
{
|
||||
"fold": 1,
|
||||
"train_period": "2025-03-05 ~ 2025-09-05",
|
||||
"test_period": "2025-09-05 ~ 2025-10-05",
|
||||
"summary": {
|
||||
"total_trades": 2,
|
||||
"total_pnl": -84.5014,
|
||||
"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,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 2
|
||||
}
|
||||
}
|
||||
}
|
||||
],
|
||||
"trades": [
|
||||
{
|
||||
"symbol": "DOGEUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-10-03 14:00:00",
|
||||
"exit_time": "2025-10-03 14:30:00",
|
||||
"entry_price": 0.253975,
|
||||
"exit_price": 0.255986,
|
||||
"quantity": 19685.0,
|
||||
"sl": 0.255986,
|
||||
"tp": 0.249952,
|
||||
"gross_pnl": -39.591591,
|
||||
"entry_fee": 1.999796,
|
||||
"exit_fee": 2.015633,
|
||||
"net_pnl": -43.60702,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": 0.6215,
|
||||
"indicators": {
|
||||
"rsi": 39.31265367759862,
|
||||
"macd_hist": -9.917203695834255e-06,
|
||||
"atr": 0.001340837894829163,
|
||||
"adx": 22.11118870853989
|
||||
},
|
||||
"fold": 1
|
||||
},
|
||||
{
|
||||
"symbol": "DOGEUSDT",
|
||||
"side": "LONG",
|
||||
"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",
|
||||
"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 (0.0%)"
|
||||
},
|
||||
{
|
||||
"name": "win_rate_low",
|
||||
"passed": false,
|
||||
"level": "WARNING",
|
||||
"message": "승률 0.0% < 20% — 신호 로직 반전 의심"
|
||||
},
|
||||
{
|
||||
"name": "mdd_nonzero",
|
||||
"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)"
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user