Archived
anatoly
c6671410dc
ЧТО: code/ (стенд и методы), results/ (сводки), charts/ (3 графика), reports/ (издержки, плацебо, по годам), docs/REJECTED.md. ПОЧЕМУ: цель — найти кандидатов на 5м или доказать с цифрами их отсутствие. КАК ПРОВЕРЕНО: движок сверен с прод-движком TON-бота 1:1; плацебо и рандом-контроль в отчёте; бутстрап по дням.
16 lines
1.1 KiB
CSV
16 lines
1.1 KiB
CSV
method,n_trades,ev_bp,ev_bp_oos,t_boot,placebo_ev_bp,rand_ev_bp,sharpe,max_dd_pct,by_year_ok
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prod_mr_5m,105089,-4.46,-5.19,-7.65,0.0,0.0,-5.64,-4701.58,нет
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clv_flow,257017,-9.88,-12.24,-4.15,0.0,0.0,-2.86,-25403.75,нет
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pairs_btc_eth,1944,-13.22,-9.81,-5.85,0.0,0.0,-4.85,-256.08,нет
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intraday_momentum,125771,-13.8,-9.2,-7.35,0.0,0.0,-4.8,-17786.84,нет
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xs_reversal_15m,873500,-14.29,-14.31,-29.1,-16.69,-16.26,-20.44,-124648.41,нет
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xs_reversal_costaware,873400,-14.29,-14.31,-29.1,0.0,0.0,-20.43,-124641.26,нет
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hour_xs_reversal,291200,-14.7,-14.77,-35.34,0.0,0.0,-26.15,-42757.57,нет
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ou_ema_costaware,1047089,-14.74,-13.66,-19.88,0.0,0.0,-13.43,-154108.02,нет
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ou_ema_revert,1123903,-14.84,-13.81,-21.05,0.0,0.0,-14.46,-166544.66,нет
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lead_lag_btc,2311277,-15.64,-15.67,-31.17,0.0,0.0,-23.18,-361023.26,нет
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liquidity_sweep,1166054,-15.85,-16.0,-34.55,0.0,0.0,-25.57,-184485.18,нет
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vwap_revert,2655400,-16.42,-16.35,-28.62,0.0,0.0,-23.3,-435944.62,нет
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vol_breakout,738494,-18.51,-19.43,-24.03,0.0,0.0,-19.13,-136612.38,нет
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xs_momentum_15m,873500,-18.87,-19.04,-38.48,0.0,0.0,-27.0,-164670.55,нет
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