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

511
results/xrpusdt/wf_backtest_20260322_231113.json Normal file
View File

@@ -0,0 +1,511 @@
{
"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": 1.5,
"atr_tp_mult": 3.0,
"min_notional": 5.0,
"signal_threshold": 3,
"adx_threshold": 0,
"volume_multiplier": 1.5,
"train_months": 6,
"test_months": 1,
"time_weight_decay": 2.0,
"negative_ratio": 3
},
"summary": {
"total_trades": 15,
"total_pnl": -128.8207,
"return_pct": -12.88,
"win_rate": 26.67,
"avg_win": 38.6226,
"avg_loss": -25.7556,
"payoff_ratio": 1.5,
"max_consecutive_losses": 6,
"profit_factor": 0.55,
"max_drawdown_pct": 20.39,
"sharpe_ratio": -52.86,
"total_fees": 57.6972,
"close_reasons": {
"TAKE_PROFIT": 4,
"STOP_LOSS": 11
}
},
"folds": [
{
"fold": 1,
"train_period": "2025-03-05 ~ 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": 15,
"total_pnl": -128.8207,
"return_pct": -12.88,
"win_rate": 26.67,
"avg_win": 38.6226,
"avg_loss": -25.7556,
"payoff_ratio": 1.5,
"max_consecutive_losses": 6,
"profit_factor": 0.55,
"max_drawdown_pct": 20.39,
"sharpe_ratio": -52.86,
"total_fees": 57.6972,
"close_reasons": {
"TAKE_PROFIT": 4,
"STOP_LOSS": 11
}
},
"market_context": {
"btc_return_pct": 11.2,
"eth_return_pct": 5.8,
"btc_avg_adx": 24.6,
"market_regime": "횡보",
"ls_ratio": null
}
}
],
"trades": [
{
"symbol": "XRPUSDT",
"side": "SHORT",
"entry_time": "2025-09-05 19:45:00",
"exit_time": "2025-09-05 21:15:00",
"entry_price": 2.863514,
"exit_price": 2.827446,
"quantity": 1745.9,
"sl": 2.881548,
"tp": 2.827446,
"gross_pnl": 62.97085,
"entry_fee": 1.999763,
"exit_fee": 1.974575,
"net_pnl": 58.996512,
"close_reason": "TAKE_PROFIT",
"ml_proba": null,
"indicators": {
"rsi": 66.8667614741176,
"macd_hist": 0.005566660638547516,
"atr": 0.012022614930199287,
"adx": 25.794325095274626
},
"fold": 1
},
{
"symbol": "XRPUSDT",
"side": "SHORT",
"entry_time": "2025-09-06 09:00:00",
"exit_time": "2025-09-06 13:15:00",
"entry_price": 2.806619,
"exit_price": 2.812828,
"quantity": 1752.9,
"sl": 2.812828,
"tp": 2.794201,
"gross_pnl": -10.883731,
"entry_fee": 1.967889,
"exit_fee": 1.972243,
"net_pnl": -14.823863,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 34.00610631074574,
"macd_hist": -0.0004704685694576242,
"atr": 0.00413932368453192,
"adx": 14.008193990926515
},
"fold": 1
},
{
"symbol": "XRPUSDT",
"side": "SHORT",
"entry_time": "2025-09-06 15:45:00",
"exit_time": "2025-09-06 22:00:00",
"entry_price": 2.80062,
"exit_price": 2.807842,
"quantity": 1765.2,
"sl": 2.807842,
"tp": 2.786175,
"gross_pnl": -12.748682,
"entry_fee": 1.977462,
"exit_fee": 1.982561,
"net_pnl": -16.708704,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 38.58702631504332,
"macd_hist": -0.0004103175941632724,
"atr": 0.004814820425995649,
"adx": 15.495502216732291
},
"fold": 1
},
{
"symbol": "XRPUSDT",
"side": "LONG",
"entry_time": "2025-09-07 07:30:00",
"exit_time": "2025-09-07 10:15:00",
"entry_price": 2.831483,
"exit_price": 2.825709,
"quantity": 1754.7,
"sl": 2.825709,
"tp": 2.843032,
"gross_pnl": -10.132486,
"entry_fee": 1.987361,
"exit_fee": 1.983308,
"net_pnl": -14.103156,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 70.72939012092385,
"macd_hist": 0.00013947818915852105,
"atr": 0.0038496557346203194,
"adx": 25.87514662158794
},
"fold": 1
},
{
"symbol": "XRPUSDT",
"side": "LONG",
"entry_time": "2025-09-07 13:30:00",
"exit_time": "2025-09-07 14:00:00",
"entry_price": 2.840884,
"exit_price": 2.853506,
"quantity": 1755.1,
"sl": 2.834573,
"tp": 2.853506,
"gross_pnl": 22.153405,
"entry_fee": 1.994414,
"exit_fee": 2.003276,
"net_pnl": 18.155715,
"close_reason": "TAKE_PROFIT",
"ml_proba": null,
"indicators": {
"rsi": 70.99242896973038,
"macd_hist": 0.0004291197510571344,
"atr": 0.0042074344637298,
"adx": 18.351295376801428
},
"fold": 1
},
{
"symbol": "XRPUSDT",
"side": "SHORT",
"entry_time": "2025-09-07 14:15:00",
"exit_time": "2025-09-07 14:30:00",
"entry_price": 2.888611,
"exit_price": 2.907326,
"quantity": 1717.8,
"sl": 2.907326,
"tp": 2.851181,
"gross_pnl": -32.148496,
"entry_fee": 1.984822,
"exit_fee": 1.997682,
"net_pnl": -36.131,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 76.27147788789821,
"macd_hist": 0.006331113894477991,
"atr": 0.012476615713124774,
"adx": 29.135371839765913
},
"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,
"quantity": 1730.8,
"sl": 2.862379,
"tp": 2.902605,
"gross_pnl": -23.207724,
"entry_fee": 1.990965,
"exit_fee": 1.981682,
"net_pnl": -27.180371,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 55.067227780514635,
"macd_hist": 0.00013194571339722526,
"atr": 0.008939112576366447,
"adx": 14.580517290441753
},
"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": {
"rsi": 60.12434238530789,
"macd_hist": 0.00041228306459878275,
"atr": 0.010618574376478408,
"adx": 8.300763892347662
},
"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,
"macd_hist": 0.006160466326798137,
"atr": 0.011824646391069867,
"adx": 28.105801823891394
},
"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,
"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": {
"rsi": 39.53536171049937,
"macd_hist": -1.946210228058031e-05,
"atr": 0.008585695753008377,
"adx": 20.785784979630154
},
"fold": 1
},
{
"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,
"quantity": 1588.7,
"sl": 3.006355,
"tp": 3.039494,
"gross_pnl": -17.549278,
"entry_fee": 1.917498,
"exit_fee": 1.910479,
"net_pnl": -21.377255,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 65.07990381213337,
"macd_hist": 0.0004440826925332865,
"atr": 0.007364208872183876,
"adx": 14.825623048829055
},
"fold": 1
},
{
"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,
"quantity": 1552.0,
"sl": 3.037941,
"tp": 2.981711,
"gross_pnl": -29.089679,
"entry_fee": 1.874318,
"exit_fee": 1.885954,
"net_pnl": -32.849951,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 38.155616440178264,
"macd_hist": -0.0008867617207142038,
"atr": 0.012495566579322376,
"adx": 19.09633552921856
},
"fold": 1
},
{
"symbol": "XRPUSDT",
"side": "SHORT",
"entry_time": "2025-09-12 20:45:00",
"exit_time": "2025-09-13 08:45:00",
"entry_price": 3.121788,
"exit_price": 3.143446,
"quantity": 1448.4,
"sl": 3.143446,
"tp": 3.078472,
"gross_pnl": -31.36941,
"entry_fee": 1.808639,
"exit_fee": 1.821187,
"net_pnl": -34.999235,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 78.88995114530964,
"macd_hist": 0.004793783646225545,
"atr": 0.014438649390670705,
"adx": 33.848649235778474
},
"fold": 1
},
{
"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,
"entry_fee": 1.738706,
"exit_fee": 1.747837,
"net_pnl": -26.314718,
"close_reason": "STOP_LOSS",
"ml_proba": null,
"indicators": {
"rsi": 75.37053214953528,
"macd_hist": 0.00511253369858191,
"atr": 0.011068206025146562,
"adx": 36.52494916026817
},
"fold": 1
},
{
"symbol": "XRPUSDT",
"side": "SHORT",
"entry_time": "2025-09-14 00:45:00",
"exit_time": "2025-09-14 01:15:00",
"entry_price": 3.109189,
"exit_price": 3.086009,
"quantity": 1355.7,
"sl": 3.120779,
"tp": 3.086009,
"gross_pnl": 31.425221,
"entry_fee": 1.686051,
"exit_fee": 1.673481,
"net_pnl": 28.065689,
"close_reason": "TAKE_PROFIT",
"ml_proba": null,
"indicators": {
"rsi": 38.7433537799598,
"macd_hist": -0.0002412627790731375,
"atr": 0.007726689972056756,
"adx": 19.663365885823197
},
"fold": 1
}
],
"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)"
}
]
}
}