gihyeon/cointrader
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

results: 백테스트 및 주간 리포트 결과 일괄 추가

Browse Source 
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
This commit is contained in:
21in7
2026-05-04 09:03:03 +09:00
parent cc0838e854
commit 4a7b38ea43
33 changed files with 123930 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files

549
results/xrpusdt/backtest_20260322_224712.json Normal file
View File

@@ -0,0 +1,549 @@
{
"config": {
"symbols": [
"XRPUSDT"
],
"start": null,
"end": null,
"initial_balance": 1000.0,
"leverage": 20,
"fee_pct": 0.04,
"slippage_pct": 0.01,
"use_ml": false,
"ml_threshold": 0.55,
"max_daily_loss_pct": 0.05,
"max_positions": 3,
"max_same_direction": 2,
"margin_max_ratio": 0.5,
"margin_min_ratio": 0.2,
"margin_decay_rate": 0.0006,
"atr_sl_mult": 1.5,
"atr_tp_mult": 4.0,
"min_notional": 5.0,
"signal_threshold": 3,
"adx_threshold": 25.0,
"volume_multiplier": 2.5
},
"summary": {
"total_trades": 19,
"total_pnl": -90.5608,
"return_pct": -9.06,
"win_rate": 31.58,
"avg_win": 187.773,
"avg_loss": -93.6307,
"payoff_ratio": 2.01,
"max_consecutive_losses": 8,
"profit_factor": 0.93,
"max_drawdown_pct": 39.26,
"sharpe_ratio": -6.38,
"total_fees": 130.2737,
"close_reasons": {
"STOP_LOSS": 13,
"TAKE_PROFIT": 6
}
},
"trades": [
{
"symbol": "XRPUSDT",
"side": "LONG",
"entry_time": "2025-03-26 13:45:00",
"exit_time": "2025-03-26 14:30:00",
"entry_price": 2.415342,
"exit_price": 2.399559,
"quantity": 4140.6,
"sl": 2.399559,
"tp": 2.457429,
"gross_pnl": -65.350891,
"entry_fee": 4.000385,
"exit_fee": 3.974245,
"net_pnl": -73.325521,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 26.92729946174303,
"macd_hist": -0.004175927274053651,
"atr": 0.010521967932285681,
"adx": 28.1934914013265
}
},
{
"symbol": "XRPUSDT",
"side": "SHORT",
"entry_time": "2025-03-29 09:30:00",
"exit_time": "2025-03-29 13:00:00",
"entry_price": 2.091091,
"exit_price": 2.117184,
"quantity": 4431.1,
"sl": 2.117184,
"tp": 2.02151,
"gross_pnl": -115.619197,
"entry_fee": 3.706333,
"exit_fee": 3.752581,
"net_pnl": -123.07811,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 29.5299317993386,
"macd_hist": -0.0016272252554855211,
"atr": 0.017395108299016367,
"adx": 35.60495925685308
}
},
{
"symbol": "XRPUSDT",
"side": "LONG",
"entry_time": "2025-04-02 02:00:00",
"exit_time": "2025-04-02 05:45:00",
"entry_price": 2.090609,
"exit_price": 2.070463,
"quantity": 3844.2,
"sl": 2.070463,
"tp": 2.144332,
"gross_pnl": -77.446201,
"entry_fee": 3.214688,
"exit_fee": 3.183709,
"net_pnl": -83.844598,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 29.415272650543557,
"macd_hist": -0.0038881862305720294,
"atr": 0.013430831024751285,
"adx": 26.024817307471817
}
},
{
"symbol": "XRPUSDT",
"side": "SHORT",
"entry_time": "2025-04-03 12:15:00",
"exit_time": "2025-04-03 14:45:00",
"entry_price": 2.016898,
"exit_price": 1.956939,
"quantity": 3568.3,
"sl": 2.039383,
"tp": 1.956939,
"gross_pnl": 213.952202,
"entry_fee": 2.878759,
"exit_fee": 2.793178,
"net_pnl": 208.280264,
"close_reason": "TAKE_PROFIT",
"ml_proba": null,
"indicators": {
"rsi": 39.0031761939588,
"macd_hist": -0.00027555783529762453,
"atr": 0.01498978519243727,
"adx": 29.63100718549373
}
},
{
"symbol": "XRPUSDT",
"side": "LONG",
"entry_time": "2025-04-06 18:45:00",
"exit_time": "2025-04-06 20:30:00",
"entry_price": 1.994699,
"exit_price": 1.968556,
"quantity": 4653.0,
"sl": 1.968556,
"tp": 2.064416,
"gross_pnl": -121.647028,
"entry_fee": 3.712535,
"exit_fee": 3.663876,
"net_pnl": -129.023439,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 21.033027596614833,
"macd_hist": -0.006740564223060543,
"atr": 0.01742918952793266,
"adx": 42.14016267928252
}
},
{
"symbol": "XRPUSDT",
"side": "SHORT",
"entry_time": "2025-04-08 12:00:00",
"exit_time": "2025-04-08 16:15:00",
"entry_price": 1.952805,
"exit_price": 1.879673,
"quantity": 4091.2,
"sl": 1.980229,
"tp": 1.879673,
"gross_pnl": 299.197837,
"entry_fee": 3.195726,
"exit_fee": 3.076047,
"net_pnl": 292.926065,
"close_reason": "TAKE_PROFIT",
"ml_proba": null,
"indicators": {
"rsi": 73.41350187407278,
"macd_hist": 0.010090522420784207,
"atr": 0.01828301215814375,
"adx": 26.85765122231918
}
},
{
"symbol": "XRPUSDT",
"side": "SHORT",
"entry_time": "2025-04-09 01:00:00",
"exit_time": "2025-04-09 01:45:00",
"entry_price": 1.737226,
"exit_price": 1.775195,
"quantity": 5591.5,
"sl": 1.775195,
"tp": 1.635978,
"gross_pnl": -212.299611,
"entry_fee": 3.88548,
"exit_fee": 3.9704,
"net_pnl": -220.155491,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 27.2339289074866,
"macd_hist": -0.002023427338529095,
"atr": 0.025312183439683184,
"adx": 47.62708053828556
}
},
{
"symbol": "XRPUSDT",
"side": "LONG",
"entry_time": "2025-04-12 13:00:00",
"exit_time": "2025-04-12 13:30:00",
"entry_price": 2.085709,
"exit_price": 2.123429,
"quantity": 4180.2,
"sl": 2.071563,
"tp": 2.123429,
"gross_pnl": 157.679154,
"entry_fee": 3.487472,
"exit_fee": 3.550543,
"net_pnl": 150.641139,
"close_reason": "TAKE_PROFIT",
"ml_proba": null,
"indicators": {
"rsi": 71.08975614304354,
"macd_hist": 0.0004691893650785872,
"atr": 0.009430120184239851,
"adx": 41.039203834939215
}
},
{
"symbol": "XRPUSDT",
"side": "LONG",
"entry_time": "2025-04-22 13:15:00",
"exit_time": "2025-04-22 14:00:00",
"entry_price": 2.105411,
"exit_price": 2.137638,
"quantity": 4726.0,
"sl": 2.093325,
"tp": 2.137638,
"gross_pnl": 152.30925,
"entry_fee": 3.980068,
"exit_fee": 4.040992,
"net_pnl": 144.28819,
"close_reason": "TAKE_PROFIT",
"ml_proba": null,
"indicators": {
"rsi": 57.841977820073645,
"macd_hist": 4.316762016507922e-06,
"atr": 0.008056985291244722,
"adx": 27.486954266795543
}
},
{
"symbol": "XRPUSDT",
"side": "LONG",
"entry_time": "2025-04-24 08:30:00",
"exit_time": "2025-04-24 13:30:00",
"entry_price": 2.129213,
"exit_price": 2.178907,
"quantity": 4383.8,
"sl": 2.110578,
"tp": 2.178907,
"gross_pnl": 217.849236,
"entry_fee": 3.733617,
"exit_fee": 3.820757,
"net_pnl": 210.294862,
"close_reason": "TAKE_PROFIT",
"ml_proba": null,
"indicators": {
"rsi": 24.016950832949433,
"macd_hist": -0.003143540248224934,
"atr": 0.012423538716450883,
"adx": 45.63982334493204
}
},
{
"symbol": "XRPUSDT",
"side": "SHORT",
"entry_time": "2025-04-26 07:30:00",
"exit_time": "2025-04-26 09:00:00",
"entry_price": 2.235676,
"exit_price": 2.198258,
"quantity": 3372.4,
"sl": 2.249708,
"tp": 2.198258,
"gross_pnl": 126.188433,
"entry_fee": 3.015838,
"exit_fee": 2.965363,
"net_pnl": 120.207233,
"close_reason": "TAKE_PROFIT",
"ml_proba": null,
"indicators": {
"rsi": 76.71113426509163,
"macd_hist": 0.005320482189513192,
"atr": 0.009354497780232585,
"adx": 30.700551675430855
}
},
{
"symbol": "XRPUSDT",
"side": "SHORT",
"entry_time": "2025-04-28 07:15:00",
"exit_time": "2025-04-28 07:45:00",
"entry_price": 2.314669,
"exit_price": 2.333953,
"quantity": 2608.7,
"sl": 2.333953,
"tp": 2.263244,
"gross_pnl": -50.306622,
"entry_fee": 2.41531,
"exit_fee": 2.435433,
"net_pnl": -55.157366,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 73.98848696551217,
"macd_hist": 0.0034538468677465604,
"atr": 0.012856115408039817,
"adx": 27.89133838050565
}
},
{
"symbol": "XRPUSDT",
"side": "LONG",
"entry_time": "2025-04-30 07:45:00",
"exit_time": "2025-04-30 12:30:00",
"entry_price": 2.219022,
"exit_price": 2.205478,
"quantity": 3051.6,
"sl": 2.205478,
"tp": 2.255138,
"gross_pnl": -41.329913,
"entry_fee": 2.708627,
"exit_fee": 2.692095,
"net_pnl": -46.730634,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 33.11711659050469,
"macd_hist": -0.0028131165153663005,
"atr": 0.00902912407526822,
"adx": 27.47479838290321
}
},
{
"symbol": "XRPUSDT",
"side": "LONG",
"entry_time": "2025-04-30 13:15:00",
"exit_time": "2025-04-30 13:30:00",
"entry_price": 2.173717,
"exit_price": 2.152862,
"quantity": 3374.3,
"sl": 2.152862,
"tp": 2.229333,
"gross_pnl": -70.373501,
"entry_fee": 2.93391,
"exit_fee": 2.90576,
"net_pnl": -76.213172,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 27.513370415814684,
"macd_hist": -0.006240527006868588,
"atr": 0.013903822313270735,
"adx": 31.23141348514888
}
},
{
"symbol": "XRPUSDT",
"side": "SHORT",
"entry_time": "2025-05-05 01:30:00",
"exit_time": "2025-05-05 02:15:00",
"entry_price": 2.139986,
"exit_price": 2.153598,
"quantity": 3803.3,
"sl": 2.153598,
"tp": 2.103686,
"gross_pnl": -51.77209,
"entry_fee": 3.255603,
"exit_fee": 3.276312,
"net_pnl": -58.304005,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 30.413570034116045,
"macd_hist": -0.0010637135478183844,
"atr": 0.009074941875769175,
"adx": 26.27401092812825
}
},
{
"symbol": "XRPUSDT",
"side": "LONG",
"entry_time": "2025-05-17 01:15:00",
"exit_time": "2025-05-17 01:45:00",
"entry_price": 2.335133,
"exit_price": 2.31116,
"quantity": 3709.9,
"sl": 2.31116,
"tp": 2.399062,
"gross_pnl": -88.937959,
"entry_fee": 3.465245,
"exit_fee": 3.42967,
"net_pnl": -95.832873,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 28.536979724863077,
"macd_hist": -0.004501483267526404,
"atr": 0.01598209455229851,
"adx": 51.966384578102044
}
},
{
"symbol": "XRPUSDT",
"side": "SHORT",
"entry_time": "2025-05-18 14:30:00",
"exit_time": "2025-05-18 15:45:00",
"entry_price": 2.427557,
"exit_price": 2.442135,
"quantity": 3848.5,
"sl": 2.442135,
"tp": 2.388682,
"gross_pnl": -56.104255,
"entry_fee": 3.736982,
"exit_fee": 3.759423,
"net_pnl": -63.60066,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 73.26480732687115,
"macd_hist": 0.0028537582643641994,
"atr": 0.009718809144697027,
"adx": 29.42506362068419
}
},
{
"symbol": "XRPUSDT",
"side": "SHORT",
"entry_time": "2025-05-20 12:30:00",
"exit_time": "2025-05-20 17:00:00",
"entry_price": 2.330967,
"exit_price": 2.345796,
"quantity": 4149.8,
"sl": 2.345796,
"tp": 2.291423,
"gross_pnl": -61.53732,
"entry_fee": 3.869219,
"exit_fee": 3.893833,
"net_pnl": -69.300372,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 33.11852309537045,
"macd_hist": -0.0003174284393988123,
"atr": 0.009885989673296352,
"adx": 34.742890662078324
}
},
{
"symbol": "XRPUSDT",
"side": "LONG",
"entry_time": "2025-05-23 12:15:00",
"exit_time": "2025-05-23 22:45:00",
"entry_price": 2.340634,
"exit_price": 2.313574,
"quantity": 4240.1,
"sl": 2.313574,
"tp": 2.412795,
"gross_pnl": -114.738573,
"entry_fee": 3.969809,
"exit_fee": 3.923914,
"net_pnl": -122.632296,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 18.100631569972105,
"macd_hist": -0.011460760086984913,
"atr": 0.018040230723781962,
"adx": 33.73789035029933
}
}
],
"validation": {
"overall": "PASS",
"checks": [
{
"name": "exit_after_entry",
"passed": true,
"level": "FAIL",
"message": "모든 트레이드에서 청산 > 진입"
},
{
"name": "sl_tp_direction",
"passed": true,
"level": "FAIL",
"message": "SL/TP 방향 정합"
},
{
"name": "no_overlap",
"passed": true,
"level": "FAIL",
"message": "포지션 비중첩 확인"
},
{
"name": "positive_fees",
"passed": true,
"level": "FAIL",
"message": "수수료 양수 확인"
},
{
"name": "no_negative_balance",
"passed": true,
"level": "FAIL",
"message": "잔고 양수 유지"
},
{
"name": "win_rate_high",
"passed": true,
"level": "WARNING",
"message": "승률 정상 (31.6%)"
},
{
"name": "win_rate_low",
"passed": true,
"level": "WARNING",
"message": "승률 정상 (31.6%)"
},
{
"name": "mdd_nonzero",
"passed": true,
"level": "WARNING",
"message": "MDD 정상 (39.3%)"
},
{
"name": "trade_frequency",
"passed": true,
"level": "WARNING",
"message": "월 평균 10.0건"
},
{
"name": "profit_factor_high",
"passed": true,
"level": "WARNING",
"message": "PF 정상 (0.93)"
}
]
}
}