feat: add new walk-forward backtest results and strategy sweeps for XRPUSDT

- Introduced multiple JSON files containing results from walk-forward backtests with varying configurations.
- Added strategy sweep results for different parameter combinations, showcasing performance metrics such as total trades, total PnL, win rate, and more.
- Enhanced the overall testing framework for better analysis of trading strategies.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
21in7
2026-03-07 00:22:39 +09:00
parent 072910df39
commit d8d4bf3e20
15 changed files with 16981 additions and 0 deletions

View File

@@ -0,0 +1,113 @@
{
"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": 0,
"total_pnl": 0.0,
"return_pct": 0.0,
"win_rate": 0.0,
"avg_win": 0.0,
"avg_loss": 0.0,
"profit_factor": 0.0,
"max_drawdown_pct": 0.0,
"sharpe_ratio": 0.0,
"total_fees": 0.0,
"close_reasons": {}
},
"folds": [
{
"fold": 1,
"train_period": "2025-03-05 ~ 2025-06-05",
"test_period": "2025-06-05 ~ 2025-07-05",
"summary": {
"total_trades": 0,
"total_pnl": 0.0,
"return_pct": 0.0,
"win_rate": 0.0,
"avg_win": 0.0,
"avg_loss": 0.0,
"profit_factor": 0.0,
"max_drawdown_pct": 0.0,
"sharpe_ratio": 0.0,
"total_fees": 0.0,
"close_reasons": {}
}
},
{
"fold": 2,
"train_period": "2025-06-05 ~ 2025-09-05",
"test_period": "2025-09-05 ~ 2025-10-05",
"summary": {
"total_trades": 0,
"total_pnl": 0.0,
"return_pct": 0.0,
"win_rate": 0.0,
"avg_win": 0.0,
"avg_loss": 0.0,
"profit_factor": 0.0,
"max_drawdown_pct": 0.0,
"sharpe_ratio": 0.0,
"total_fees": 0.0,
"close_reasons": {}
}
},
{
"fold": 3,
"train_period": "2025-09-05 ~ 2025-12-05",
"test_period": "2025-12-05 ~ 2026-01-05",
"summary": {
"total_trades": 0,
"total_pnl": 0.0,
"return_pct": 0.0,
"win_rate": 0.0,
"avg_win": 0.0,
"avg_loss": 0.0,
"profit_factor": 0.0,
"max_drawdown_pct": 0.0,
"sharpe_ratio": 0.0,
"total_fees": 0.0,
"close_reasons": {}
}
}
],
"trades": [],
"validation": {
"overall": "PASS",
"checks": [
{
"name": "trade_count",
"passed": true,
"level": "FAIL",
"message": "트레이드 없음 (검증 스킵)"
}
]
}
}