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
549
results/xrpusdt/backtest_20260322_224712.json
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549
results/xrpusdt/backtest_20260322_224712.json
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||||
"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,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 33.211506920436555,
|
||||
"macd_hist": -0.007666291215691772,
|
||||
"atr": 0.014597503086660083,
|
||||
"adx": 41.77057022158849
|
||||
},
|
||||
"fold": 1
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-06-17 15:00:00",
|
||||
"exit_time": "2025-06-17 15:30:00",
|
||||
"entry_price": 2.188781,
|
||||
"exit_price": 2.164935,
|
||||
"quantity": 1926.0,
|
||||
"sl": 2.212627,
|
||||
"tp": 2.164935,
|
||||
"gross_pnl": 45.926824,
|
||||
"entry_fee": 1.686237,
|
||||
"exit_fee": 1.667866,
|
||||
"net_pnl": 42.572721,
|
||||
"close_reason": "TAKE_PROFIT",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 35.98442517376965,
|
||||
"macd_hist": -0.000473160901783975,
|
||||
"atr": 0.011922851577807921,
|
||||
"adx": 31.230008994240638
|
||||
},
|
||||
"fold": 1
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2025-06-21 13:30:00",
|
||||
"exit_time": "2025-06-21 15:15:00",
|
||||
"entry_price": 2.119112,
|
||||
"exit_price": 2.109684,
|
||||
"quantity": 2086.2,
|
||||
"sl": 2.109684,
|
||||
"tp": 2.128539,
|
||||
"gross_pnl": -19.667423,
|
||||
"entry_fee": 1.768356,
|
||||
"exit_fee": 1.76049,
|
||||
"net_pnl": -23.196269,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 29.460371663394117,
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|
||||
},
|
||||
"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,
|
||||
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|
||||
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|
||||
"margin_min_ratio": 0.2,
|
||||
"margin_decay_rate": 0.0006,
|
||||
"atr_sl_mult": 1.5,
|
||||
"atr_tp_mult": 3.0,
|
||||
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|
||||
"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,
|
||||
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|
||||
"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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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
}
|
||||
}
|
||||
}
|
||||
],
|
||||
"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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|
||||
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|
||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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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": "2025-09-25 12:30:00",
|
||||
"entry_price": 2.793221,
|
||||
"exit_price": 2.811993,
|
||||
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|
||||
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|
||||
"tp": 2.755676,
|
||||
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|
||||
"entry_fee": 1.929445,
|
||||
"exit_fee": 1.942412,
|
||||
"net_pnl": -36.289617,
|
||||
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|
||||
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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": "2025-09-26 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": {
|
||||
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|
||||
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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,
|
||||
"volume_multiplier": 2.5,
|
||||
"train_months": 6,
|
||||
"test_months": 1,
|
||||
"time_weight_decay": 2.0,
|
||||
"negative_ratio": 3
|
||||
},
|
||||
"summary": {
|
||||
"total_trades": 10,
|
||||
"total_pnl": -71.4118,
|
||||
"return_pct": -7.14,
|
||||
"win_rate": 30.0,
|
||||
"avg_win": 116.5629,
|
||||
"avg_loss": -60.1572,
|
||||
"payoff_ratio": 1.94,
|
||||
"max_consecutive_losses": 4,
|
||||
"profit_factor": 0.83,
|
||||
"max_drawdown_pct": 28.16,
|
||||
"sharpe_ratio": -15.9,
|
||||
"total_fees": 75.9924,
|
||||
"close_reasons": {
|
||||
"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": {
|
||||
"total_trades": 10,
|
||||
"total_pnl": -71.4118,
|
||||
"return_pct": -7.14,
|
||||
"win_rate": 30.0,
|
||||
"avg_win": 116.5629,
|
||||
"avg_loss": -60.1572,
|
||||
"payoff_ratio": 1.94,
|
||||
"max_consecutive_losses": 4,
|
||||
"profit_factor": 0.83,
|
||||
"max_drawdown_pct": 28.16,
|
||||
"sharpe_ratio": -15.9,
|
||||
"total_fees": 75.9924,
|
||||
"close_reasons": {
|
||||
"TAKE_PROFIT": 3,
|
||||
"STOP_LOSS": 7
|
||||
}
|
||||
}
|
||||
}
|
||||
],
|
||||
"trades": [
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-09-05 19:45:00",
|
||||
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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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||||
"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",
|
||||
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|
||||
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|
||||
"exit_time": "2025-09-07 14:30:00",
|
||||
"entry_price": 2.888611,
|
||||
"exit_price": 2.907326,
|
||||
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||||
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||||
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||||
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||||
"entry_fee": 3.807536,
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||||
"exit_fee": 3.832205,
|
||||
"net_pnl": -69.311028,
|
||||
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|
||||
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||||
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||||
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||||
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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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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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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": 3.121788,
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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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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||||
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||||
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||||
"entry_time": "2025-09-20 14:00:00",
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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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||||
"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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||||
"overall": "PASS",
|
||||
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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",
|
||||
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|
||||
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|
||||
"message": "SL/TP 방향 정합"
|
||||
},
|
||||
{
|
||||
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||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
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||||
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|
||||
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||||
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|
||||
},
|
||||
{
|
||||
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||||
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||||
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||||
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||||
},
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||||
{
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||||
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||||
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||||
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||||
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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": "profit_factor_high",
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||||
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|
||||
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|
||||
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|
||||
}
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||||
]
|
||||
}
|
||||
}
|
||||
838
results/xrpusdt/wf_backtest_20260322_224727.json
Normal file
838
results/xrpusdt/wf_backtest_20260322_224727.json
Normal file
@@ -0,0 +1,838 @@
|
||||
{
|
||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
},
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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|
||||
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|
||||
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||||
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|
||||
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||||
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||||
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||||
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|
||||
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|
||||
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||||
}
|
||||
},
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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|
||||
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|
||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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|
||||
}
|
||||
},
|
||||
{
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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|
||||
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||||
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|
||||
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|
||||
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|
||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
}
|
||||
],
|
||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
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||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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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": 2.042658,
|
||||
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|
||||
"entry_fee": 3.99964,
|
||||
"exit_fee": 4.019447,
|
||||
"net_pnl": -57.534506,
|
||||
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|
||||
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||||
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|
||||
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||||
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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,
|
||||
"quantity": 4739.1,
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||||
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|
||||
"tp": 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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||||
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||||
"entry_price": 1.878712,
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||||
"exit_price": 1.889911,
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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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": "2025-12-25 23:30:00",
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||||
"exit_time": "2025-12-26 02:15:00",
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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": "LONG",
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||||
"entry_time": "2026-01-01 15:45:00",
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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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||||
"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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||||
"overall": "FAIL",
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||||
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||||
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||||
"name": "exit_after_entry",
|
||||
"passed": true,
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||||
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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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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
},
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||||
{
|
||||
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||||
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||||
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||||
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||||
}
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||||
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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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||||
"net_pnl": 18.155715,
|
||||
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|
||||
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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
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||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-09-07 14:15:00",
|
||||
"exit_time": "2025-09-07 14:30:00",
|
||||
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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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|
||||
"exit_fee": 1.997682,
|
||||
"net_pnl": -36.131,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
|
||||
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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": "LONG",
|
||||
"entry_time": "2025-09-07 22:45:00",
|
||||
"exit_time": "2025-09-08 02:15:00",
|
||||
"entry_price": 2.875788,
|
||||
"exit_price": 2.862379,
|
||||
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||||
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|
||||
"tp": 2.902605,
|
||||
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|
||||
"entry_fee": 1.990965,
|
||||
"exit_fee": 1.981682,
|
||||
"net_pnl": -27.180371,
|
||||
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|
||||
"ml_proba": null,
|
||||
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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": "LONG",
|
||||
"entry_time": "2025-09-08 07:15:00",
|
||||
"exit_time": "2025-09-08 09:45:00",
|
||||
"entry_price": 2.90089,
|
||||
"exit_price": 2.932746,
|
||||
"quantity": 1669.0,
|
||||
"sl": 2.884962,
|
||||
"tp": 2.932746,
|
||||
"gross_pnl": 53.167202,
|
||||
"entry_fee": 1.936634,
|
||||
"exit_fee": 1.957901,
|
||||
"net_pnl": 49.272667,
|
||||
"close_reason": "TAKE_PROFIT",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
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|
||||
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|
||||
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|
||||
"adx": 8.300763892347662
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||||
},
|
||||
"fold": 1
|
||||
},
|
||||
{
|
||||
"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,
|
||||
"quantity": 1655.0,
|
||||
"sl": 3.026836,
|
||||
"tp": 2.973625,
|
||||
"gross_pnl": -29.354685,
|
||||
"entry_fee": 1.992024,
|
||||
"exit_fee": 2.003765,
|
||||
"net_pnl": -33.350474,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
"rsi": 73.38194905544675,
|
||||
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|
||||
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|
||||
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||||
},
|
||||
"fold": 1
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-09-09 23:00:00",
|
||||
"exit_time": "2025-09-10 02:00:00",
|
||||
"entry_price": 2.943406,
|
||||
"exit_price": 2.956284,
|
||||
"quantity": 1671.6,
|
||||
"sl": 2.956284,
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||||
"tp": 2.917649,
|
||||
"gross_pnl": -21.527774,
|
||||
"entry_fee": 1.968079,
|
||||
"exit_fee": 1.97669,
|
||||
"net_pnl": -25.472542,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
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|
||||
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|
||||
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|
||||
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||||
},
|
||||
"fold": 1
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||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2025-09-11 08:30:00",
|
||||
"exit_time": "2025-09-11 11:15:00",
|
||||
"entry_price": 3.017402,
|
||||
"exit_price": 3.006355,
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||||
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||||
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||||
"tp": 3.039494,
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||||
"gross_pnl": -17.549278,
|
||||
"entry_fee": 1.917498,
|
||||
"exit_fee": 1.910479,
|
||||
"net_pnl": -21.377255,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
|
||||
"indicators": {
|
||||
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|
||||
"macd_hist": 0.0004440826925332865,
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||||
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|
||||
"adx": 14.825623048829055
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||||
},
|
||||
"fold": 1
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||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-09-12 15:00:00",
|
||||
"exit_time": "2025-09-12 16:15:00",
|
||||
"entry_price": 3.019198,
|
||||
"exit_price": 3.037941,
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||||
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||||
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||||
"tp": 2.981711,
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||||
"gross_pnl": -29.089679,
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||||
"entry_fee": 1.874318,
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||||
"exit_fee": 1.885954,
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||||
"net_pnl": -32.849951,
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||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
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||||
"indicators": {
|
||||
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||||
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||||
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||||
"adx": 19.09633552921856
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||||
},
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||||
"fold": 1
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||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-09-12 20:45:00",
|
||||
"exit_time": "2025-09-13 08:45:00",
|
||||
"entry_price": 3.121788,
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||||
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||||
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||||
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||||
"tp": 3.078472,
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||||
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||||
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|
||||
"exit_fee": 1.821187,
|
||||
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||||
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|
||||
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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
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||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-09-13 09:15:00",
|
||||
"exit_time": "2025-09-13 09:45:00",
|
||||
"entry_price": 3.161284,
|
||||
"exit_price": 3.177886,
|
||||
"quantity": 1375.0,
|
||||
"sl": 3.177886,
|
||||
"tp": 3.128079,
|
||||
"gross_pnl": -22.828175,
|
||||
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|
||||
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|
||||
"net_pnl": -26.314718,
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||||
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|
||||
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||||
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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
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||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-09-14 00:45:00",
|
||||
"exit_time": "2025-09-14 01:15:00",
|
||||
"entry_price": 3.109189,
|
||||
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|
||||
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|
||||
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||||
"tp": 3.086009,
|
||||
"gross_pnl": 31.425221,
|
||||
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|
||||
"exit_fee": 1.673481,
|
||||
"net_pnl": 28.065689,
|
||||
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|
||||
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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
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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 (26.7%)"
|
||||
},
|
||||
{
|
||||
"name": "win_rate_low",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "승률 정상 (26.7%)"
|
||||
},
|
||||
{
|
||||
"name": "mdd_nonzero",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "MDD 정상 (20.4%)"
|
||||
},
|
||||
{
|
||||
"name": "trade_frequency",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "월 평균 15.0건"
|
||||
},
|
||||
{
|
||||
"name": "profit_factor_high",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"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 @@
|
||||
{
|
||||
"mode": "walk_forward",
|
||||
"config": {
|
||||
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|
||||
"XRPUSDT"
|
||||
],
|
||||
"start": null,
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
"atr_tp_mult": 4.0,
|
||||
"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": 3
|
||||
},
|
||||
"summary": {
|
||||
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|
||||
"total_pnl": 817.0717,
|
||||
"return_pct": 81.71,
|
||||
"win_rate": 44.44,
|
||||
"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,
|
||||
"sharpe_ratio": 51.77,
|
||||
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|
||||
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|
||||
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|
||||
"TAKE_PROFIT": 11,
|
||||
"REVERSE_SIGNAL": 1
|
||||
}
|
||||
},
|
||||
"folds": [
|
||||
{
|
||||
"fold": 1,
|
||||
"train_period": "2025-03-05 ~ 2025-06-05",
|
||||
"test_period": "2025-06-05 ~ 2025-07-05",
|
||||
"test_start": "2025-06-05T15:00:00",
|
||||
"test_end": "2025-07-05T15:00:00",
|
||||
"summary": {
|
||||
"total_trades": 9,
|
||||
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|
||||
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|
||||
"win_rate": 44.44,
|
||||
"avg_win": 186.0558,
|
||||
"avg_loss": -57.9625,
|
||||
"payoff_ratio": 3.21,
|
||||
"max_consecutive_losses": 2,
|
||||
"profit_factor": 2.57,
|
||||
"max_drawdown_pct": 8.26,
|
||||
"sharpe_ratio": 73.09,
|
||||
"total_fees": 60.8765,
|
||||
"close_reasons": {
|
||||
"STOP_LOSS": 5,
|
||||
"TAKE_PROFIT": 4
|
||||
}
|
||||
},
|
||||
"market_context": {
|
||||
"btc_return_pct": 3.7,
|
||||
"eth_return_pct": -2.5,
|
||||
"btc_avg_adx": 24.9,
|
||||
"market_regime": "횡보",
|
||||
"ls_ratio": null
|
||||
}
|
||||
},
|
||||
{
|
||||
"fold": 2,
|
||||
"train_period": "2025-06-05 ~ 2025-09-05",
|
||||
"test_period": "2025-09-05 ~ 2025-10-05",
|
||||
"test_start": "2025-09-05T15:00:00",
|
||||
"test_end": "2025-10-05T15:00:00",
|
||||
"summary": {
|
||||
"total_trades": 10,
|
||||
"total_pnl": -71.4118,
|
||||
"return_pct": -7.14,
|
||||
"win_rate": 30.0,
|
||||
"avg_win": 116.5629,
|
||||
"avg_loss": -60.1572,
|
||||
"payoff_ratio": 1.94,
|
||||
"max_consecutive_losses": 4,
|
||||
"profit_factor": 0.83,
|
||||
"max_drawdown_pct": 28.16,
|
||||
"sharpe_ratio": -15.9,
|
||||
"total_fees": 75.9924,
|
||||
"close_reasons": {
|
||||
"TAKE_PROFIT": 3,
|
||||
"STOP_LOSS": 7
|
||||
}
|
||||
},
|
||||
"market_context": {
|
||||
"btc_return_pct": 11.2,
|
||||
"eth_return_pct": 5.8,
|
||||
"btc_avg_adx": 24.6,
|
||||
"market_regime": "횡보",
|
||||
"ls_ratio": null
|
||||
}
|
||||
},
|
||||
{
|
||||
"fold": 3,
|
||||
"train_period": "2025-09-05 ~ 2025-12-05",
|
||||
"test_period": "2025-12-05 ~ 2026-01-05",
|
||||
"test_start": "2025-12-05T15:00:00",
|
||||
"test_end": "2026-01-05T15:00:00",
|
||||
"summary": {
|
||||
"total_trades": 8,
|
||||
"total_pnl": 434.073,
|
||||
"return_pct": 43.41,
|
||||
"win_rate": 62.5,
|
||||
"avg_win": 118.7911,
|
||||
"avg_loss": -53.2941,
|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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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": 2
|
||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2025-09-28 22:00:00",
|
||||
"exit_time": "2025-09-29 07:15:00",
|
||||
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|
||||
"exit_price": 2.885643,
|
||||
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||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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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": 2
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||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-12-10 10:30:00",
|
||||
"exit_time": "2025-12-10 18:30:00",
|
||||
"entry_price": 2.069993,
|
||||
"exit_price": 2.080244,
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
"entry_fee": 3.99964,
|
||||
"exit_fee": 4.019447,
|
||||
"net_pnl": -57.534506,
|
||||
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|
||||
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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
|
||||
},
|
||||
{
|
||||
"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,
|
||||
"quantity": 4739.1,
|
||||
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||||
"tp": 2.037103,
|
||||
"gross_pnl": 228.445099,
|
||||
"entry_fee": 3.770236,
|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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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": "2025-12-19 13:15:00",
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||||
"exit_time": "2025-12-19 15:15:00",
|
||||
"entry_price": 1.878712,
|
||||
"exit_price": 1.889911,
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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": 3.763341,
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||||
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|
||||
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|
||||
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||||
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|
||||
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||||
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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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||||
"entry_time": "2025-12-25 23:30:00",
|
||||
"exit_time": "2025-12-26 02:15:00",
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||||
"entry_price": 1.831783,
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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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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||||
"entry_time": "2026-01-01 15:45:00",
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||||
"exit_time": "2026-01-01 16:15:00",
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||||
"entry_price": 1.861986,
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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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": "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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|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
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|
||||
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|
||||
"entry_price": 2.041396,
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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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": "2026-01-04 05:15:00",
|
||||
"entry_price": 2.038904,
|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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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": "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,
|
||||
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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,
|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
"name": "win_rate_high",
|
||||
"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": "mdd_nonzero",
|
||||
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|
||||
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|
||||
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|
||||
},
|
||||
{
|
||||
"name": "trade_frequency",
|
||||
"passed": false,
|
||||
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|
||||
"message": "월 평균 4.0건 < 5건 — 신호 생성 부족"
|
||||
},
|
||||
{
|
||||
"name": "profit_factor_high",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "PF 정상 (1.94)"
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
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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|
||||
"entry_time": "2025-09-07 14:15:00",
|
||||
"exit_time": "2025-09-07 14:30:00",
|
||||
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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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||||
{
|
||||
"symbol": "XRPUSDT",
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||||
"side": "SHORT",
|
||||
"entry_time": "2025-09-19 20:00:00",
|
||||
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|
||||
"entry_price": 2.988001,
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||||
"exit_price": 3.002469,
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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": 1.908969,
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||||
"net_pnl": -26.804627,
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||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
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||||
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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
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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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|
||||
"entry_price": 2.971603,
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||||
"exit_price": 2.980986,
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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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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|
||||
"exit_time": "2025-09-24 15:30:00",
|
||||
"entry_price": 2.894089,
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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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
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||||
},
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||||
{
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||||
"symbol": "XRPUSDT",
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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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||||
"net_pnl": -25.006335,
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||||
"close_reason": "REVERSE_SIGNAL",
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||||
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||||
"indicators": {
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||||
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||||
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||||
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||||
},
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||||
"fold": 1
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||||
},
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||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-09-24 20:00:00",
|
||||
"exit_time": "2025-09-25 01:00:00",
|
||||
"entry_price": 2.963004,
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||||
"exit_price": 2.90759,
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
"ml_proba": null,
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||||
"indicators": {
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||||
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||||
"macd_hist": -7.427449332575442e-05,
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||||
"atr": 0.013853363423541577,
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||||
"adx": 67.76721468449082
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||||
},
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||||
"fold": 1
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||||
},
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||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "SHORT",
|
||||
"entry_time": "2025-09-25 12:15:00",
|
||||
"exit_time": "2025-09-25 12:30:00",
|
||||
"entry_price": 2.793221,
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||||
"exit_price": 2.811993,
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||||
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||||
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||||
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||||
"gross_pnl": -33.495286,
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||||
"entry_fee": 1.993577,
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||||
"exit_fee": 2.006976,
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||||
"net_pnl": -37.495839,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
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||||
"indicators": {
|
||||
"rsi": 27.256149561284357,
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||||
"macd_hist": -0.0005773233003328118,
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||||
"atr": 0.012514818420656685,
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||||
"adx": 36.706433983392714
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||||
},
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||||
"fold": 1
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||||
},
|
||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2025-09-25 17:15:00",
|
||||
"exit_time": "2025-09-25 17:30:00",
|
||||
"entry_price": 2.769777,
|
||||
"exit_price": 2.742807,
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||||
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||||
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||||
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||||
"gross_pnl": -47.559642,
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||||
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||||
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|
||||
"net_pnl": -51.447998,
|
||||
"close_reason": "STOP_LOSS",
|
||||
"ml_proba": null,
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||||
"indicators": {
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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
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||||
},
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||||
{
|
||||
"symbol": "XRPUSDT",
|
||||
"side": "LONG",
|
||||
"entry_time": "2025-09-25 17:45:00",
|
||||
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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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||||
],
|
||||
"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 (25.0%)"
|
||||
},
|
||||
{
|
||||
"name": "win_rate_low",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "승률 정상 (25.0%)"
|
||||
},
|
||||
{
|
||||
"name": "mdd_nonzero",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "MDD 정상 (19.5%)"
|
||||
},
|
||||
{
|
||||
"name": "trade_frequency",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"message": "월 평균 16.0건"
|
||||
},
|
||||
{
|
||||
"name": "profit_factor_high",
|
||||
"passed": true,
|
||||
"level": "WARNING",
|
||||
"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