5b3f6af13c
- Add payoff_ratio and max_consecutive_losses to backtester summary - Add compare_symbols.py: per-symbol parameter sweep for candidate evaluation - Add position_sizing_analysis.py: robust Monte Carlo position sizing - Fetch historical data for SOL, LINK, AVAX candidates (365 days) - Update existing symbol data (XRP, TRX, DOGE) Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
86 lines
1.9 KiB
JSON
86 lines
1.9 KiB
JSON
[
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{
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"symbol": "SOLUSDT",
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"best_params": {
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"atr_sl_mult": 1.0,
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"atr_tp_mult": 4.0,
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"signal_threshold": 3,
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"adx_threshold": 20,
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"volume_multiplier": 2.5
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},
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"summary": {
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"total_trades": 31,
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"total_pnl": 909.294,
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"return_pct": 90.93,
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"win_rate": 38.71,
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"avg_win": 117.2904,
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"avg_loss": -26.2206,
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"payoff_ratio": 4.47,
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"max_consecutive_losses": 6,
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"profit_factor": 2.83,
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"max_drawdown_pct": 10.87,
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"sharpe_ratio": 57.43,
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"total_fees": 117.2484,
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"close_reasons": {
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"TAKE_PROFIT": 12,
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"STOP_LOSS": 19
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}
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}
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},
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{
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"symbol": "LINKUSDT",
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"best_params": {
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"atr_sl_mult": 2.0,
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"atr_tp_mult": 3.0,
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"signal_threshold": 3,
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"adx_threshold": 0,
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"volume_multiplier": 2.5
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},
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"summary": {
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"total_trades": 38,
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"total_pnl": 12.3248,
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"return_pct": 1.23,
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"win_rate": 39.47,
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"avg_win": 88.1543,
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"avg_loss": -56.9561,
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"payoff_ratio": 1.55,
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"max_consecutive_losses": 5,
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"profit_factor": 1.01,
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"max_drawdown_pct": 24.28,
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"sharpe_ratio": 0.67,
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"total_fees": 142.4705,
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"close_reasons": {
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"TAKE_PROFIT": 15,
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"STOP_LOSS": 23
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}
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}
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},
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{
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"symbol": "AVAXUSDT",
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"best_params": {
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"atr_sl_mult": 1.5,
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"atr_tp_mult": 3.0,
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"signal_threshold": 3,
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"adx_threshold": 25,
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"volume_multiplier": 2.5
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},
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"summary": {
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"total_trades": 20,
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"total_pnl": 497.5511,
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"return_pct": 49.76,
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"win_rate": 55.0,
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"avg_win": 90.6485,
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"avg_loss": -55.5092,
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"payoff_ratio": 1.63,
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"max_consecutive_losses": 3,
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"profit_factor": 2.0,
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"max_drawdown_pct": 8.89,
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"sharpe_ratio": 47.39,
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"total_fees": 76.184,
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"close_reasons": {
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"STOP_LOSS": 9,
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"TAKE_PROFIT": 11
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}
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}
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}
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] |