188 lines
4.5 KiB
JSON
188 lines
4.5 KiB
JSON
{
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"mode": "walk_forward",
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"config": {
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"symbols": [
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"DOGEUSDT"
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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": 0.55,
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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": 1.5,
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"atr_tp_mult": 3.0,
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"min_notional": 5.0,
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"signal_threshold": 3,
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"adx_threshold": 0,
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"volume_multiplier": 1.5,
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"train_months": 6,
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"test_months": 1,
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"time_weight_decay": 2.0,
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"negative_ratio": 3
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},
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"summary": {
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"total_trades": 2,
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"total_pnl": -84.5014,
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"return_pct": -8.45,
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"win_rate": 0.0,
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"avg_win": 0.0,
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"avg_loss": -42.2507,
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"payoff_ratio": 0.0,
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"max_consecutive_losses": 2,
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"profit_factor": 0.0,
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"max_drawdown_pct": 4.28,
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"sharpe_ratio": -5831.15,
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"total_fees": 7.8265,
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"close_reasons": {
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"STOP_LOSS": 2
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}
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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 ~ 2025-09-05",
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"test_period": "2025-09-05 ~ 2025-10-05",
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"summary": {
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"total_trades": 2,
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"total_pnl": -84.5014,
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"return_pct": -8.45,
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"win_rate": 0.0,
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"avg_win": 0.0,
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"avg_loss": -42.2507,
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"payoff_ratio": 0.0,
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"max_consecutive_losses": 2,
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"profit_factor": 0.0,
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"max_drawdown_pct": 4.28,
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"sharpe_ratio": -5831.15,
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"total_fees": 7.8265,
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"close_reasons": {
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"STOP_LOSS": 2
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}
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}
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}
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],
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"trades": [
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{
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"symbol": "DOGEUSDT",
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"side": "SHORT",
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"entry_time": "2025-10-03 14:00:00",
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"exit_time": "2025-10-03 14:30:00",
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"entry_price": 0.253975,
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"exit_price": 0.255986,
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"quantity": 19685.0,
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"sl": 0.255986,
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"tp": 0.249952,
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"gross_pnl": -39.591591,
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"entry_fee": 1.999796,
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"exit_fee": 2.015633,
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"net_pnl": -43.60702,
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"close_reason": "STOP_LOSS",
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"ml_proba": 0.6215,
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"indicators": {
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"rsi": 39.31265367759862,
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"macd_hist": -9.917203695834255e-06,
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"atr": 0.001340837894829163,
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"adx": 22.11118870853989
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},
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"fold": 1
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},
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{
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"symbol": "DOGEUSDT",
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"side": "LONG",
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"entry_time": "2025-10-04 02:00:00",
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"exit_time": "2025-10-04 03:00:00",
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"entry_price": 0.254255,
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"exit_price": 0.252284,
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"quantity": 18809.6,
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"sl": 0.252284,
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"tp": 0.258198,
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"gross_pnl": -37.083263,
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"entry_fee": 1.912977,
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"exit_fee": 1.898144,
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"net_pnl": -40.894384,
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"close_reason": "STOP_LOSS",
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"ml_proba": 0.589,
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"indicators": {
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"rsi": 29.729826487088012,
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"macd_hist": -0.0004551413936173264,
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"atr": 0.0013143381729553857,
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"adx": 17.29524723775582
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},
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"fold": 1
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}
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],
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"validation": {
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"overall": "FAIL",
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"checks": [
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{
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"name": "exit_after_entry",
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"passed": true,
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"level": "FAIL",
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"message": "모든 트레이드에서 청산 > 진입"
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},
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{
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"name": "sl_tp_direction",
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"passed": true,
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"level": "FAIL",
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"message": "SL/TP 방향 정합"
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},
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{
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"name": "no_overlap",
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"passed": true,
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"level": "FAIL",
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"message": "포지션 비중첩 확인"
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},
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{
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"name": "positive_fees",
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"passed": true,
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"level": "FAIL",
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"message": "수수료 양수 확인"
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},
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{
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"name": "no_negative_balance",
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"passed": true,
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"level": "FAIL",
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"message": "잔고 양수 유지"
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},
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{
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"name": "win_rate_high",
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"passed": true,
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"level": "WARNING",
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"message": "승률 정상 (0.0%)"
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},
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{
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"name": "win_rate_low",
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"passed": false,
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"level": "WARNING",
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"message": "승률 0.0% < 20% — 신호 로직 반전 의심"
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},
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{
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"name": "mdd_nonzero",
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"passed": true,
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"level": "WARNING",
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"message": "MDD 정상 (4.3%)"
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},
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{
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"name": "trade_frequency",
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"passed": false,
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"level": "WARNING",
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"message": "월 평균 2.0건 < 5건 — 신호 생성 부족"
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},
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{
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"name": "profit_factor_high",
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"passed": true,
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"level": "WARNING",
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"message": "PF 정상 (0.00)"
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}
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]
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}
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} |