garch_params dict | prior_informations dict | strategy_params dict | strategy_exit_rules dict | final_pnl_ratio float64 -0.45 1.46 | max_drawdown_pct float64 -0.37 0 | reward_score float64 -27.57 295 | __index_level_0__ int64 0 93.6k |
|---|---|---|---|---|---|---|---|
{
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],
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0
],
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"historical_segment_start_price": 6350,
"nu": 2.252940016977262,
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} | {
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"MAINTENANCE_MARGIN_PERCENT": 0.005,
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"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 6,
"MARGIN_CALL_DEPOSIT_AMOUNT": 8.80723743615369,
"MAX... | {
"moderate_calls": {
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},
"small_calls": {
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"pnl_premium": 0.035594,
"pnl_range": 0.081057
}
} | 0.294698 | 0 | 294.698437 | 67,724 |
{
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"nu": 2.137308627970178,
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} | {
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"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 7,
"MARGIN_CALL_DEPOSIT_AMOUNT": 7.142420626838934,
"... | {
"moderate_calls": {
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"pnl_premium": 0.068556,
"pnl_range": 0.109303
},
"small_calls": {
"max_calls_multiplier": 0.4667,
"pnl_premium": 0.030563,
"pnl_range": 0.14189
}
} | 0.154974 | 0 | 154.973578 | 57,876 |
{
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"dist": "normal",
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"fitting_scaling_factor": 10000,
"historical_segment_start_price": 0.7343,
"nu": null,
"omega": 2.0280790741522594
} | {
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"INITIAL_PORTFOLIO_FUNDS": 97160.71187939505,
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"MAINTENANCE_MARGIN_PERCENT": 0.005,
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"BASE_PENALTY_DURATION_HOURS": 115,
"HOURLY_MA_LONG_PERIOD": 150,
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"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 4,
"MARGIN_CALL_DEPOSIT_AMOUNT": 10.381590910764373,
... | {
"moderate_calls": {
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},
"small_calls": {
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"pnl_premium": 0.04415,
"pnl_range": 0.135004
}
} | 0.15298 | -0.000599 | 152.979721 | 41,852 |
{
"alpha": [
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"asset_source_name": "ETHUSD",
"beta": [
0.8632261888627017
],
"dist": "normal",
"eta": null,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 3580.2,
"nu": null,
"omega": 1.2556868276353732
} | {
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"MAINTENANCE_MARGIN_PERCENT": 0.005,
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"HOURLY_MA_LONG_PERIOD": 83,
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"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 6,
"MARGIN_CALL_DEPOSIT_AMOUNT": 14.485180946877952,
"M... | {
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},
"small_calls": {
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"pnl_premium": 0.024471,
"pnl_range": 0.120381
}
} | 0.144921 | -0.000593 | 144.921346 | 606 |
{
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"asset_source_name": "ADAUSD",
"beta": [
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"dist": "t",
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"historical_segment_start_price": 2.148,
"nu": 7.885210722029807,
"omega": 1.3392774254211313
} | {
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"LEVERAGE_BORROWING_FEE_INTERVAL_HOURS": 8,
"MAINTENANCE_MARGIN_PERCENT": 0.005,
"MAX_TRADING_CAPITAL_FOR_UNITS": 1... | {
"ADX_PERIOD": 10,
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"HOURLY_MA_LONG_PERIOD": 62,
"HOURLY_MA_SHORT_PERIOD": 20,
"INITIAL_MARGIN_PER_UNIT": 10.942685930560673,
"LEVERAGE": 19,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 6,
"MARGIN_CALL_DEPOSIT_AMOUNT": 10.942685930560673,
"... | {
"moderate_calls": {
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"pnl_premium": 0.085937,
"pnl_range": 0.183254
},
"small_calls": {
"max_calls_multiplier": 0.2692,
"pnl_premium": 0.043984,
"pnl_range": 0.113152
}
} | 0.125677 | -0.000135 | 125.677149 | 88,859 |
{
"alpha": [
0.13496561949996555
],
"asset_source_name": "NIFTYENERGY",
"beta": [
0.8630343805000344
],
"dist": "t",
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"fitting_scaling_factor": 10000,
"historical_segment_start_price": 8505.8,
"nu": 4.130687320295709,
"omega": 0.8107235324484192
} | {
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"MAX_TRADING_CAPITAL_FOR_UNITS": 6... | {
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"HOURLY_MA_LONG_PERIOD": 46,
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"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 8,
"MARGIN_CALL_DEPOSIT_AMOUNT": 13.23510729181768,
"MAX... | {
"moderate_calls": {
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},
"small_calls": {
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"pnl_premium": 0.040768,
"pnl_range": 0.127308
}
} | 0.132539 | -0.001158 | 114.443216 | 65,592 |
{
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],
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"historical_segment_start_price": 6350,
"nu": 2.109864165135457,
"omega": 7536680.6119177155
} | {
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"MAINTENANCE_MARGIN_PERCENT": 0.005,
"MAX_TRADING_CAPITAL_FOR_UNITS": 1... | {
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"HOURLY_MA_LONG_PERIOD": 133,
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"MARGIN_CALL_DEPOSIT_AMOUNT": 10.764927464011746,
... | {
"moderate_calls": {
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},
"small_calls": {
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"pnl_premium": 0.024189,
"pnl_range": 0.09057
}
} | 0.110002 | 0 | 110.001986 | 51,913 |
{
"alpha": [
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"asset_source_name": "NIFTYIT",
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0.904420342589478
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"dist": "t",
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"historical_segment_start_price": 25911.2,
"nu": 3.978892617850958,
"omega": 0.44171684556999796
} | {
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"MAINTENANCE_MARGIN_PERCENT": 0.005,
"MAX_TRADING_CAPITAL_FOR_UNITS": 82... | {
"ADX_PERIOD": 26,
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"BASE_PENALTY_DURATION_HOURS": 55,
"HOURLY_MA_LONG_PERIOD": 105,
"HOURLY_MA_SHORT_PERIOD": 35,
"INITIAL_MARGIN_PER_UNIT": 12.638974509062987,
"LEVERAGE": 105,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 5,
"MARGIN_CALL_DEPOSIT_AMOUNT": 12.638974509062987,
... | {
"moderate_calls": {
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},
"small_calls": {
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"pnl_premium": 0.038906,
"pnl_range": 0.05355
}
} | 0.107112 | 0 | 107.112072 | 87,114 |
{
"alpha": [
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"asset_source_name": "BTCUSD",
"beta": [
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"dist": "normal",
"eta": null,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 479.61,
"nu": null,
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} | {
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"MAINTENANCE_MARGIN_PERCENT": 0.005,
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"HOURLY_MA_LONG_PERIOD": 142,
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"LEVERAGE": 102,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 6,
"MARGIN_CALL_DEPOSIT_AMOUNT": 14.375163481151967,
... | {
"moderate_calls": {
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},
"small_calls": {
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"pnl_premium": 0.028365,
"pnl_range": 0.13584
}
} | 0.110662 | -0.00105 | 105.347162 | 21,653 |
{
"alpha": [
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"asset_source_name": "NIFTYENERGY",
"beta": [
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"nu": 4.209624792884517,
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} | {
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"MARGIN_CALL_DEPOSIT_AMOUNT": 11.5154052433646,
"MAX_A... | {
"moderate_calls": {
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"pnl_premium": 0.051671,
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"small_calls": {
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"pnl_premium": 0.038956,
"pnl_range": 0.128312
}
} | 0.092932 | -0.00045 | 92.932452 | 53,517 |
{
"alpha": [
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"dist": "normal",
"eta": null,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 261.64,
"nu": null,
"omega": 7.886648303674143
} | {
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"MAINTENANCE_MARGIN_PERCENT": 0.005,
"MAX_TRADING_CAPITAL_FOR_UNITS": 5... | {
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"HOURLY_MA_LONG_PERIOD": 150,
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"LEVERAGE": 74,
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... | {
"moderate_calls": {
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"small_calls": {
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"pnl_premium": 0.034931,
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}
} | 0.091836 | -0.000261 | 91.836478 | 3,396 |
{
"alpha": [
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"asset_source_name": "NIFTYFIN",
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} | {
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"MA... | {
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}
} | 0.091448 | -0.000242 | 91.44771 | 20 |
{
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} | {
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... | {
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"small_calls": {
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"pnl_range": 0.068235
}
} | 0.090594 | -0.000119 | 90.594269 | 40,332 |
{
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} | {
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} | 0.059817 | -0.001218 | 49.114039 | 1,513 |
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} | 0.081637 | -0.001668 | 48.938358 | 58,987 |
{
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} | 0.198651 | -0.00406 | 48.925377 | 88,180 |
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} | 0.048899 | -0.000205 | 48.898669 | 16,700 |
{
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} | 0.135076 | -0.002787 | 48.465876 | 63,713 |
{
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} | 0.0481 | -0.00089 | 48.09977 | 72,068 |
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} | 0.0787 | -0.001641 | 47.968336 | 57,030 |
{
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} | 0.047136 | -0.000257 | 47.135619 | 68,708 |
{
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} | 0.08134 | -0.001729 | 47.032241 | 25,502 |
{
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} | 0.046495 | -0.000305 | 46.494969 | 85,920 |
{
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} | 0.046488 | -0.000511 | 46.48785 | 58,775 |
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