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

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- 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
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827
results/xrpusdt/wf_backtest_20260307_001513.json Normal file
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{
"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,
"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,
"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,
"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,
"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",
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"tp": 2.21,
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"entry_fee": 1.999801,
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"close_reason": "STOP_LOSS",
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"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,
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"quantity": 2201.5,
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"exit_time": "2025-06-16 23:45:00",
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"exit_time": "2026-01-02 14:45:00",
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{
"symbol": "XRPUSDT",
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"symbol": "XRPUSDT",
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"entry_time": "2026-01-04 03:00:00",
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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",
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"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%)"
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{
"name": "win_rate_low",
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"level": "WARNING",
"message": "승률 정상 (66.7%)"
},
{
"name": "mdd_nonzero",
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"level": "WARNING",
"message": "MDD 정상 (12.0%)"
},
{
"name": "trade_frequency",
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"level": "WARNING",
"message": "월 평균 4.0건 < 5건 — 신호 생성 부족"
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{
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]
}
}