garch_params dict | prior_informations dict | strategy_params dict | strategy_exit_rules dict | final_pnl_ratio float64 0 1.46 | max_drawdown_pct float64 -0.34 0 | reward_score float64 0.52 295 | __index_level_0__ int64 4 93.6k |
|---|---|---|---|---|---|---|---|
{
"alpha": [
0
],
"asset_source_name": "IHSG_INDF",
"beta": [
0
],
"dist": "t",
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 6350,
"nu": 2.252940016977262,
"omega": 7530910.519051699
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 107928.12463732198,
"INITIAL_SYNTHETIC_PRICE_SOURCE": "historical_start",
"LEVERAGE_BORROWING_FEE_ANNUAL_RATE": 0.1095,
"LEVERAGE_BORROWING_FEE_INTERVAL_HOURS": 8,
"MAINTENANCE_MARGIN_PERCENT": 0.005,
"MAX_TRADING_CAPITAL_FOR_UNITS": 107928.12463732198,
"OVERTRADING_TRADE_COUNT_THRESHOLD": 2000,
"OVERTRADING_WIN_RATE_THRESHOLD": 0.5,
"P99_AUTOMATION_SUCCESS_RATE": 0.99,
"PORTFOLIO_HARD_STOP_LOSS_PERCENT": 0.3,
"POSITION_SIZE_PER_UNIT": 907.14545592383,
"SYNTHETIC_DATA_FREQUENCY_MIN": 1,
"SYNTHETIC_SERIES_LENGTH_DAYS": 20,
"SYNTHETIC_SERIES_N_POINTS": 28800,
"TRANSACTION_FEE_PERCENT": 0.0006
} | {
"ADX_PERIOD": 23,
"ADX_THRESHOLD_FOR_ENTRY": 29,
"BASE_PENALTY_DURATION_HOURS": 145,
"HOURLY_MA_LONG_PERIOD": 62,
"HOURLY_MA_SHORT_PERIOD": 36,
"INITIAL_MARGIN_PER_UNIT": 8.80723743615369,
"LEVERAGE": 103,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 6,
"MARGIN_CALL_DEPOSIT_AMOUNT": 8.80723743615369,
"MAX_AUTO_MARGIN_CALLS_PER_UNIT": 135,
"MAX_CONCURRENT_UNITS": 89,
"MAX_PENALTY_DURATION_HOURS": 743,
"MAX_UNITS_PER_SIGNAL_EVENT": 15,
"MFI_EXTREME_OVERSOLD_THRESHOLD": 21,
"MFI_PERIOD": 18,
"MIN_UNITS_PER_SIGNAL_EVENT": 12,
"NON_TRADEABLE_WINDOW": 3720,
"PENALTY_DURATION_MULTIPLIER": 2.8436688994992223,
"PORTFOLIO_PROFIT_TARGET_PERCENT": 0.2691669912127649,
"RSI_OVERSOLD_THRESHOLD": 25,
"RSI_PERIOD": 21,
"TRAILING_STOP_AMOUNT_AS_PNL_PERCENT_OF_POSITION": 0.0022654774707704124,
"UNIT_BUDGET": 1201.3520937928738
} | {
"moderate_calls": {
"max_calls_multiplier": 0.9778,
"pnl_premium": 0.065078,
"pnl_range": 0.169415
},
"small_calls": {
"max_calls_multiplier": 0.5037,
"pnl_premium": 0.035594,
"pnl_range": 0.081057
}
} | 0.294698 | 0 | 294.698437 | 67,724 |
{
"alpha": [
0
],
"asset_source_name": "IHSG_INDF",
"beta": [
0
],
"dist": "t",
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 6350,
"nu": 2.137308627970178,
"omega": 7528820.495743455
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 51362.73131756559,
"INITIAL_SYNTHETIC_PRICE_SOURCE": "historical_start",
"LEVERAGE_BORROWING_FEE_ANNUAL_RATE": 0.1095,
"LEVERAGE_BORROWING_FEE_INTERVAL_HOURS": 8,
"MAINTENANCE_MARGIN_PERCENT": 0.005,
"MAX_TRADING_CAPITAL_FOR_UNITS": 51362.73131756559,
"OVERTRADING_TRADE_COUNT_THRESHOLD": 2000,
"OVERTRADING_WIN_RATE_THRESHOLD": 0.5,
"P99_AUTOMATION_SUCCESS_RATE": 0.99,
"PORTFOLIO_HARD_STOP_LOSS_PERCENT": 0.3,
"POSITION_SIZE_PER_UNIT": 885.6601577280278,
"SYNTHETIC_DATA_FREQUENCY_MIN": 1,
"SYNTHETIC_SERIES_LENGTH_DAYS": 20,
"SYNTHETIC_SERIES_N_POINTS": 28800,
"TRANSACTION_FEE_PERCENT": 0.0006
} | {
"ADX_PERIOD": 13,
"ADX_THRESHOLD_FOR_ENTRY": 19,
"BASE_PENALTY_DURATION_HOURS": 117,
"HOURLY_MA_LONG_PERIOD": 148,
"HOURLY_MA_SHORT_PERIOD": 31,
"INITIAL_MARGIN_PER_UNIT": 7.142420626838934,
"LEVERAGE": 124,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 7,
"MARGIN_CALL_DEPOSIT_AMOUNT": 7.142420626838934,
"MAX_AUTO_MARGIN_CALLS_PER_UNIT": 60,
"MAX_CONCURRENT_UNITS": 116,
"MAX_PENALTY_DURATION_HOURS": 515,
"MAX_UNITS_PER_SIGNAL_EVENT": 14,
"MFI_EXTREME_OVERSOLD_THRESHOLD": 20,
"MFI_PERIOD": 20,
"MIN_UNITS_PER_SIGNAL_EVENT": 8,
"NON_TRADEABLE_WINDOW": 8880,
"PENALTY_DURATION_MULTIPLIER": 2.6663952286318287,
"PORTFOLIO_PROFIT_TARGET_PERCENT": 0.013218450592287049,
"RSI_OVERSOLD_THRESHOLD": 32,
"RSI_PERIOD": 22,
"TRAILING_STOP_AMOUNT_AS_PNL_PERCENT_OF_POSITION": 0.002680946719862681,
"UNIT_BUDGET": 441.1498447982483
} | {
"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 |
{
"alpha": [
0.07721666286710087
],
"asset_source_name": "XRPUSD",
"beta": [
0.8815482081165414
],
"dist": "normal",
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 0.7343,
"nu": null,
"omega": 2.0280790741522594
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 97160.71187939505,
"INITIAL_SYNTHETIC_PRICE_SOURCE": "historical_start",
"LEVERAGE_BORROWING_FEE_ANNUAL_RATE": 0.1095,
"LEVERAGE_BORROWING_FEE_INTERVAL_HOURS": 8,
"MAINTENANCE_MARGIN_PERCENT": 0.005,
"MAX_TRADING_CAPITAL_FOR_UNITS": 97160.71187939505,
"OVERTRADING_TRADE_COUNT_THRESHOLD": 2000,
"OVERTRADING_WIN_RATE_THRESHOLD": 0.5,
"P99_AUTOMATION_SUCCESS_RATE": 0.99,
"PORTFOLIO_HARD_STOP_LOSS_PERCENT": 0.3,
"POSITION_SIZE_PER_UNIT": 186.86863639375872,
"SYNTHETIC_DATA_FREQUENCY_MIN": 1,
"SYNTHETIC_SERIES_LENGTH_DAYS": 20,
"SYNTHETIC_SERIES_N_POINTS": 28800,
"TRANSACTION_FEE_PERCENT": 0.0006
} | {
"ADX_PERIOD": 13,
"ADX_THRESHOLD_FOR_ENTRY": 23,
"BASE_PENALTY_DURATION_HOURS": 115,
"HOURLY_MA_LONG_PERIOD": 150,
"HOURLY_MA_SHORT_PERIOD": 48,
"INITIAL_MARGIN_PER_UNIT": 10.381590910764373,
"LEVERAGE": 18,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 4,
"MARGIN_CALL_DEPOSIT_AMOUNT": 10.381590910764373,
"MAX_AUTO_MARGIN_CALLS_PER_UNIT": 26,
"MAX_CONCURRENT_UNITS": 344,
"MAX_PENALTY_DURATION_HOURS": 1021,
"MAX_UNITS_PER_SIGNAL_EVENT": 15,
"MFI_EXTREME_OVERSOLD_THRESHOLD": 12,
"MFI_PERIOD": 20,
"MIN_UNITS_PER_SIGNAL_EVENT": 13,
"NON_TRADEABLE_WINDOW": 9000,
"PENALTY_DURATION_MULTIPLIER": 2.3515524064564772,
"PORTFOLIO_PROFIT_TARGET_PERCENT": 0.18100766941891588,
"RSI_OVERSOLD_THRESHOLD": 22,
"RSI_PERIOD": 7,
"TRAILING_STOP_AMOUNT_AS_PNL_PERCENT_OF_POSITION": 0.004347488526008971,
"UNIT_BUDGET": 282.08852782534495
} | {
"moderate_calls": {
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"pnl_premium": 0.091482,
"pnl_range": 0.180339
},
"small_calls": {
"max_calls_multiplier": 0.4231,
"pnl_premium": 0.04415,
"pnl_range": 0.135004
}
} | 0.15298 | -0.000599 | 152.979721 | 41,852 |
{
"alpha": [
0.08913928800036605
],
"asset_source_name": "ETHUSD",
"beta": [
0.8632261888627017
],
"dist": "normal",
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 3580.2,
"nu": null,
"omega": 1.2556868276353732
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 63565.66524352461,
"INITIAL_SYNTHETIC_PRICE_SOURCE": "historical_start",
"LEVERAGE_BORROWING_FEE_ANNUAL_RATE": 0.1095,
"LEVERAGE_BORROWING_FEE_INTERVAL_HOURS": 8,
"MAINTENANCE_MARGIN_PERCENT": 0.005,
"MAX_TRADING_CAPITAL_FOR_UNITS": 63565.66524352461,
"OVERTRADING_TRADE_COUNT_THRESHOLD": 2000,
"OVERTRADING_WIN_RATE_THRESHOLD": 0.4,
"P99_AUTOMATION_SUCCESS_RATE": 0.99,
"PORTFOLIO_HARD_STOP_LOSS_PERCENT": 0.3,
"POSITION_SIZE_PER_UNIT": 1202.27001859087,
"SYNTHETIC_DATA_FREQUENCY_MIN": 1,
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"SYNTHETIC_SERIES_N_POINTS": 28800,
"TRANSACTION_FEE_PERCENT": 0.0006
} | {
"ADX_PERIOD": 23,
"ADX_THRESHOLD_FOR_ENTRY": 20,
"BASE_PENALTY_DURATION_HOURS": 66,
"HOURLY_MA_LONG_PERIOD": 83,
"HOURLY_MA_SHORT_PERIOD": 18,
"INITIAL_MARGIN_PER_UNIT": 14.485180946877952,
"LEVERAGE": 83,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 6,
"MARGIN_CALL_DEPOSIT_AMOUNT": 14.485180946877952,
"MAX_AUTO_MARGIN_CALLS_PER_UNIT": 23,
"MAX_CONCURRENT_UNITS": 178,
"MAX_PENALTY_DURATION_HOURS": 777,
"MAX_UNITS_PER_SIGNAL_EVENT": 12,
"MFI_EXTREME_OVERSOLD_THRESHOLD": 25,
"MFI_PERIOD": 25,
"MIN_UNITS_PER_SIGNAL_EVENT": 12,
"NON_TRADEABLE_WINDOW": null,
"PENALTY_DURATION_MULTIPLIER": 2.4584638662515608,
"PORTFOLIO_PROFIT_TARGET_PERCENT": 0.13636432643212407,
"RSI_OVERSOLD_THRESHOLD": 34,
"RSI_PERIOD": 21,
"TRAILING_STOP_AMOUNT_AS_PNL_PERCENT_OF_POSITION": 0.0010336505474286346,
"UNIT_BUDGET": 355.9842541747498
} | {
"moderate_calls": {
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"pnl_premium": 0.061426,
"pnl_range": 0.193342
},
"small_calls": {
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"pnl_premium": 0.024471,
"pnl_range": 0.120381
}
} | 0.144921 | -0.000593 | 144.921346 | 606 |
{
"alpha": [
0.057875702103060624
],
"asset_source_name": "ADAUSD",
"beta": [
0.9401242978969394
],
"dist": "t",
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 2.148,
"nu": 7.885210722029807,
"omega": 1.3392774254211313
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 131290.02380000643,
"INITIAL_SYNTHETIC_PRICE_SOURCE": "historical_start",
"LEVERAGE_BORROWING_FEE_ANNUAL_RATE": 0.1095,
"LEVERAGE_BORROWING_FEE_INTERVAL_HOURS": 8,
"MAINTENANCE_MARGIN_PERCENT": 0.005,
"MAX_TRADING_CAPITAL_FOR_UNITS": 131290.02380000643,
"OVERTRADING_TRADE_COUNT_THRESHOLD": 2000,
"OVERTRADING_WIN_RATE_THRESHOLD": 0.5,
"P99_AUTOMATION_SUCCESS_RATE": 0.99,
"PORTFOLIO_HARD_STOP_LOSS_PERCENT": 0.3,
"POSITION_SIZE_PER_UNIT": 207.9110326806528,
"SYNTHETIC_DATA_FREQUENCY_MIN": 1,
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"SYNTHETIC_SERIES_N_POINTS": 28800,
"TRANSACTION_FEE_PERCENT": 0.0006
} | {
"ADX_PERIOD": 10,
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"BASE_PENALTY_DURATION_HOURS": 145,
"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,
"MAX_AUTO_MARGIN_CALLS_PER_UNIT": 26,
"MAX_CONCURRENT_UNITS": 432,
"MAX_PENALTY_DURATION_HOURS": 251,
"MAX_UNITS_PER_SIGNAL_EVENT": 20,
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"MIN_UNITS_PER_SIGNAL_EVENT": 9,
"NON_TRADEABLE_WINDOW": 3720,
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} | {
"moderate_calls": {
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"pnl_premium": 0.085937,
"pnl_range": 0.183254
},
"small_calls": {
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"pnl_premium": 0.043984,
"pnl_range": 0.113152
}
} | 0.125677 | -0.000135 | 125.677149 | 88,859 |
{
"alpha": [
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],
"asset_source_name": "NIFTYENERGY",
"beta": [
0.8630343805000344
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"dist": "t",
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 8505.8,
"nu": 4.130687320295709,
"omega": 0.8107235324484192
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
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"OVERTRADING_TRADE_COUNT_THRESHOLD": 2000,
"OVERTRADING_WIN_RATE_THRESHOLD": 0.5,
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} | {
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"HOURLY_MA_LONG_PERIOD": 46,
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"LEVERAGE": 25,
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"NON_TRADEABLE_WINDOW": 2760,
"PENALTY_DURATION_MULTIPLIER": 2.628205598812401,
"PORTFOLIO_PROFIT_TARGET_PERCENT": 0.16729504257959382,
"RSI_OVERSOLD_THRESHOLD": 21,
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"UNIT_BUDGET": 375.689557527087
} | {
"moderate_calls": {
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"pnl_premium": 0.023641,
"pnl_range": 0.192214
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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 |
{
"alpha": [
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"asset_source_name": "IHSG_INDF",
"beta": [
0
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"dist": "t",
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 6350,
"nu": 2.109864165135457,
"omega": 7536680.6119177155
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
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} | {
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} | {
"moderate_calls": {
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"pnl_premium": 0.082784,
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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 |
{
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"asset_source_name": "NIFTYIT",
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"dist": "t",
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"nu": 3.978892617850958,
"omega": 0.44171684556999796
} | {
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"OVERTRADING_TRADE_COUNT_THRESHOLD": 2000,
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} | {
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"nu": null,
"omega": 3.168623615247756
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 81029.87067915902,
"INITIAL_SYNTHETIC_PRICE_SOURCE": "historical_start",
"LEVERAGE_BORROWING_FEE_ANNUAL_RATE": 0.1095,
"LEVERAGE_BORROWING_FEE_INTERVAL_HOURS": 8,
"MAINTENANCE_MARGIN_PERCENT": 0.005,
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"OVERTRADING_WIN_RATE_THRESHOLD": 0.5,
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"PORTFOLIO_HARD_STOP_LOSS_PERCENT": 0.3,
"POSITION_SIZE_PER_UNIT": 862.5990470732452,
"SYNTHETIC_DATA_FREQUENCY_MIN": 1,
"SYNTHETIC_SERIES_LENGTH_DAYS": 20,
"SYNTHETIC_SERIES_N_POINTS": 28800,
"TRANSACTION_FEE_PERCENT": 0.0006
} | {
"ADX_PERIOD": 10,
"ADX_THRESHOLD_FOR_ENTRY": 21,
"BASE_PENALTY_DURATION_HOURS": 127,
"HOURLY_MA_LONG_PERIOD": 102,
"HOURLY_MA_SHORT_PERIOD": 27,
"INITIAL_MARGIN_PER_UNIT": 13.478110110519456,
"LEVERAGE": 64,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 3,
"MARGIN_CALL_DEPOSIT_AMOUNT": 13.478110110519456,
"MAX_AUTO_MARGIN_CALLS_PER_UNIT": 54,
"MAX_CONCURRENT_UNITS": 107,
"MAX_PENALTY_DURATION_HOURS": 456,
"MAX_UNITS_PER_SIGNAL_EVENT": 12,
"MFI_EXTREME_OVERSOLD_THRESHOLD": 17,
"MFI_PERIOD": 13,
"MIN_UNITS_PER_SIGNAL_EVENT": 12,
"NON_TRADEABLE_WINDOW": 6120,
"PENALTY_DURATION_MULTIPLIER": 2.400127935693738,
"PORTFOLIO_PROFIT_TARGET_PERCENT": 0.03690981221620007,
"RSI_OVERSOLD_THRESHOLD": 28,
"RSI_PERIOD": 22,
"TRAILING_STOP_AMOUNT_AS_PNL_PERCENT_OF_POSITION": 0.004898437974054963,
"UNIT_BUDGET": 752.1432620256364
} | {
"moderate_calls": {
"max_calls_multiplier": 0.9074,
"pnl_premium": 0.029952,
"pnl_range": 0.224927
},
"small_calls": {
"max_calls_multiplier": 0.4815,
"pnl_premium": 0.046017,
"pnl_range": 0.145802
}
} | 0.046488 | -0.000511 | 46.48785 | 58,775 |
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