d8d4bf3e20
- 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>
113 lines
2.5 KiB
JSON
113 lines
2.5 KiB
JSON
{
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"mode": "walk_forward",
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"config": {
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"symbols": [
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"XRPUSDT"
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],
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"start": null,
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"end": null,
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"initial_balance": 1000.0,
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"leverage": 10,
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"fee_pct": 0.04,
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"slippage_pct": 0.01,
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"use_ml": true,
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"ml_threshold": 0.4,
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"max_daily_loss_pct": 0.05,
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"max_positions": 3,
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"max_same_direction": 2,
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"margin_max_ratio": 0.5,
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"margin_min_ratio": 0.2,
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"margin_decay_rate": 0.0006,
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"atr_sl_mult": 2.0,
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"atr_tp_mult": 2.0,
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"min_notional": 5.0,
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"signal_threshold": 3,
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"adx_threshold": 25.0,
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"volume_multiplier": 2.5,
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"train_months": 3,
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"test_months": 1,
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"time_weight_decay": 2.0,
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"negative_ratio": 5
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},
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"summary": {
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"total_trades": 0,
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"total_pnl": 0.0,
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"return_pct": 0.0,
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"win_rate": 0.0,
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"avg_win": 0.0,
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"avg_loss": 0.0,
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"profit_factor": 0.0,
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"max_drawdown_pct": 0.0,
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"sharpe_ratio": 0.0,
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"total_fees": 0.0,
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"close_reasons": {}
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},
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"folds": [
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{
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"fold": 1,
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"train_period": "2025-03-05 ~ 2025-06-05",
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"test_period": "2025-06-05 ~ 2025-07-05",
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"summary": {
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"total_trades": 0,
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"total_pnl": 0.0,
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"return_pct": 0.0,
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"win_rate": 0.0,
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"avg_win": 0.0,
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"avg_loss": 0.0,
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"profit_factor": 0.0,
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"max_drawdown_pct": 0.0,
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"sharpe_ratio": 0.0,
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"total_fees": 0.0,
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"close_reasons": {}
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}
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},
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{
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"fold": 2,
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"train_period": "2025-06-05 ~ 2025-09-05",
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"test_period": "2025-09-05 ~ 2025-10-05",
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"summary": {
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"total_trades": 0,
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"total_pnl": 0.0,
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"return_pct": 0.0,
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"win_rate": 0.0,
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"avg_win": 0.0,
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"avg_loss": 0.0,
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"profit_factor": 0.0,
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"max_drawdown_pct": 0.0,
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"sharpe_ratio": 0.0,
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"total_fees": 0.0,
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"close_reasons": {}
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}
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},
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{
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"fold": 3,
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"train_period": "2025-09-05 ~ 2025-12-05",
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"test_period": "2025-12-05 ~ 2026-01-05",
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"summary": {
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"total_trades": 0,
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"total_pnl": 0.0,
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"return_pct": 0.0,
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"win_rate": 0.0,
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"avg_win": 0.0,
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"avg_loss": 0.0,
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"profit_factor": 0.0,
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"max_drawdown_pct": 0.0,
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"sharpe_ratio": 0.0,
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"total_fees": 0.0,
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"close_reasons": {}
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}
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}
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],
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"trades": [],
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"validation": {
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"overall": "PASS",
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"checks": [
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{
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"name": "trade_count",
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"passed": true,
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"level": "FAIL",
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"message": "트레이드 없음 (검증 스킵)"
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}
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]
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}
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} |