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,105089,2.54,1.81,4.31,0.0,0.0,3.21,-206.28,да
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clv_flow,257017,-2.88,-5.24,-1.24,0.0,0.0,-0.83,-7515.49,нет
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pairs_btc_eth,1944,-6.22,-2.81,-2.67,0.0,0.0,-2.25,-125.6,нет
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intraday_momentum,125771,-6.8,-2.2,-3.64,0.0,0.0,-2.37,-9612.33,нет
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xs_reversal_15m,873500,-7.29,-7.31,-14.85,-9.69,-9.26,-10.43,-63587.41,нет
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xs_reversal_costaware,873400,-7.29,-7.31,-14.85,0.0,0.0,-10.43,-63587.26,нет
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hour_xs_reversal,291200,-7.7,-7.77,-18.56,0.0,0.0,-13.7,-22437.45,нет
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ou_ema_costaware,1047089,-7.74,-6.66,-10.64,0.0,0.0,-7.1,-81067.29,нет
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ou_ema_revert,1123903,-7.84,-6.81,-11.5,0.0,0.0,-7.71,-88139.97,нет
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lead_lag_btc,2311277,-8.64,-8.67,-19.41,0.0,0.0,-13.19,-199385.49,нет
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liquidity_sweep,1166054,-8.85,-9.0,-21.45,0.0,0.0,-14.93,-102923.7,нет
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vwap_revert,2655400,-9.42,-9.35,-18.64,0.0,0.0,-13.83,-250067.88,нет
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vol_breakout,738494,-11.51,-12.43,-16.09,0.0,0.0,-12.11,-84977.02,нет
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xs_momentum_15m,873500,-11.87,-12.04,-24.21,0.0,0.0,-16.99,-103609.55,нет
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