garch_params dict | prior_informations dict | strategy_params dict | strategy_exit_rules dict | final_pnl_ratio float64 -1.52 1.72 | max_drawdown_pct float64 -1.52 0 | reward_score float64 -38.83 827 | __index_level_0__ int64 0 102k |
|---|---|---|---|---|---|---|---|
{
"alpha": [
0.05789681217249282
],
"beta": [
0.9164223312089094
],
"dist": "skewt",
"eta": 0.999,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 306.2,
"nu": null,
"omega": 1.0207165466827375
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 185216.67850073104,
"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": 1... | {
"ADX_PERIOD": 53,
"ADX_THRESHOLD_FOR_ENTRY": 20,
"BASE_PENALTY_DURATION_HOURS": 79,
"DEFAULT_INITIAL_SYNTHETIC_PRICE": 3000,
"HOURLY_MA_LONG_PERIOD": 173,
"HOURLY_MA_SHORT_PERIOD": 72,
"INITIAL_MARGIN_PER_UNIT": 8.479531647830001,
"LEVERAGE": 56,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 8,
"MARGIN_CAL... | {
"moderate_calls": {
"max_calls_multiplier": 1,
"pnl_premium": 0.141056,
"pnl_range": 0.153752
},
"small_calls": {
"max_calls_multiplier": 0.5,
"pnl_premium": 0.06581,
"pnl_range": 0.105843
}
} | 0.826685 | -0.000513 | 826.684895 | 67,828 |
{
"alpha": [
0.06686825689110835
],
"beta": [
0.9311317431088916
],
"dist": "skewt",
"eta": 0.999,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 3085.4,
"nu": null,
"omega": 0.7706353521414899
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 298268.1370629981,
"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": 29... | {
"ADX_PERIOD": 67,
"ADX_THRESHOLD_FOR_ENTRY": 18,
"BASE_PENALTY_DURATION_HOURS": 14,
"DEFAULT_INITIAL_SYNTHETIC_PRICE": 30000,
"HOURLY_MA_LONG_PERIOD": 221,
"HOURLY_MA_SHORT_PERIOD": 64,
"INITIAL_MARGIN_PER_UNIT": 14.52804105544549,
"LEVERAGE": 37,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 4,
"MARGIN_CA... | {
"moderate_calls": {
"max_calls_multiplier": 1,
"pnl_premium": 0.169516,
"pnl_range": 0.114936
},
"small_calls": {
"max_calls_multiplier": 0.4286,
"pnl_premium": 0.103815,
"pnl_range": 0.074827
}
} | 0.467793 | -0.0008 | 467.792772 | 31,178 |
{
"alpha": [
0.09073042565548042
],
"beta": [
0.9072695743445196
],
"dist": "normal",
"eta": null,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 16.3986,
"nu": null,
"omega": 1.0614702283228845
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 53714.81898454702,
"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": 53... | {
"ADX_PERIOD": 18,
"ADX_THRESHOLD_FOR_ENTRY": 21,
"BASE_PENALTY_DURATION_HOURS": 27,
"DEFAULT_INITIAL_SYNTHETIC_PRICE": 3000,
"HOURLY_MA_LONG_PERIOD": 306,
"HOURLY_MA_SHORT_PERIOD": 28,
"INITIAL_MARGIN_PER_UNIT": 17.978752516257558,
"LEVERAGE": 18,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 7,
"MARGIN_CA... | {
"moderate_calls": {
"max_calls_multiplier": 1,
"pnl_premium": 0.235076,
"pnl_range": 0.044934
},
"small_calls": {
"max_calls_multiplier": 0.5,
"pnl_premium": 0.147588,
"pnl_range": 0.085608
}
} | 0.268498 | -0.000184 | 268.497797 | 85,064 |
{
"alpha": [
0.12554861441278917
],
"beta": [
0.8464601104430298
],
"dist": "skewt",
"eta": 0.999,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 8416.99,
"nu": null,
"omega": 4.509340263199434
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 40554.35081380322,
"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": 40... | {
"ADX_PERIOD": 64,
"ADX_THRESHOLD_FOR_ENTRY": 17,
"BASE_PENALTY_DURATION_HOURS": 33,
"DEFAULT_INITIAL_SYNTHETIC_PRICE": 30000,
"HOURLY_MA_LONG_PERIOD": 324,
"HOURLY_MA_SHORT_PERIOD": 34,
"INITIAL_MARGIN_PER_UNIT": 7.014758796203393,
"LEVERAGE": 13,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 8,
"MARGIN_CA... | {
"moderate_calls": {
"max_calls_multiplier": 1,
"pnl_premium": 0.208337,
"pnl_range": 0.028936
},
"small_calls": {
"max_calls_multiplier": 0.5,
"pnl_premium": 0.13679,
"pnl_range": 0.108091
}
} | 0.220804 | -0.00038 | 220.804102 | 18,001 |
{
"alpha": [
0.07184979425088872
],
"beta": [
0.9261502057491111
],
"dist": "skewt",
"eta": 0.999,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 29694.91,
"nu": null,
"omega": 0.6889576195655719
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 860757.9459700317,
"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": 86... | {
"ADX_PERIOD": 16,
"ADX_THRESHOLD_FOR_ENTRY": 26,
"BASE_PENALTY_DURATION_HOURS": 147,
"DEFAULT_INITIAL_SYNTHETIC_PRICE": 30000,
"HOURLY_MA_LONG_PERIOD": 270,
"HOURLY_MA_SHORT_PERIOD": 59,
"INITIAL_MARGIN_PER_UNIT": 9.253647729637368,
"LEVERAGE": 46,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 7,
"MARGIN_C... | {
"moderate_calls": {
"max_calls_multiplier": 1,
"pnl_premium": 0.223818,
"pnl_range": 0.054757
},
"small_calls": {
"max_calls_multiplier": 0.5,
"pnl_premium": 0.121147,
"pnl_range": 0.047184
}
} | 0.844827 | -0.004234 | 199.531186 | 19,166 |
{
"alpha": [
0.07204043570170733
],
"beta": [
0.9259595642982926
],
"dist": "t",
"eta": null,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 267.9,
"nu": 5.777887500884449,
"omega": 0.2839856861585893
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 413474.46520549373,
"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": 4... | {
"ADX_PERIOD": 18,
"ADX_THRESHOLD_FOR_ENTRY": 22,
"BASE_PENALTY_DURATION_HOURS": 43,
"DEFAULT_INITIAL_SYNTHETIC_PRICE": 3000,
"HOURLY_MA_LONG_PERIOD": 166,
"HOURLY_MA_SHORT_PERIOD": 13,
"INITIAL_MARGIN_PER_UNIT": 10.180525406878983,
"LEVERAGE": 27,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 2,
"MARGIN_CA... | {
"moderate_calls": {
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"pnl_premium": 0.222783,
"pnl_range": 0.010477
},
"small_calls": {
"max_calls_multiplier": 0.5,
"pnl_premium": 0.12716,
"pnl_range": 0.02288
}
} | 0.191869 | -0.000514 | 191.869101 | 66,118 |
{
"alpha": [
0.07076710089306817
],
"beta": [
0.9272328991069319
],
"dist": "skewt",
"eta": 0.999,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 0.3925,
"nu": null,
"omega": 1.1021106453433356
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 34049.501200592546,
"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": 3... | {
"ADX_PERIOD": 17,
"ADX_THRESHOLD_FOR_ENTRY": 25,
"BASE_PENALTY_DURATION_HOURS": 113,
"DEFAULT_INITIAL_SYNTHETIC_PRICE": 3000,
"HOURLY_MA_LONG_PERIOD": 159,
"HOURLY_MA_SHORT_PERIOD": 62,
"INITIAL_MARGIN_PER_UNIT": 16.163591295688825,
"LEVERAGE": 8,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 5,
"MARGIN_CA... | {
"moderate_calls": {
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"pnl_premium": 0.205407,
"pnl_range": 0.055015
},
"small_calls": {
"max_calls_multiplier": 0.5,
"pnl_premium": 0.083986,
"pnl_range": 0.029154
}
} | 0.188065 | -0.000425 | 188.064822 | 53,376 |
{
"alpha": [
0.05482895189650215
],
"beta": [
0.9224550978058811
],
"dist": "normal",
"eta": null,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 13656.94,
"nu": null,
"omega": 2.7142971238263742
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 32221.29494490236,
"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": 32... | {
"ADX_PERIOD": 47,
"ADX_THRESHOLD_FOR_ENTRY": 21,
"BASE_PENALTY_DURATION_HOURS": 52,
"DEFAULT_INITIAL_SYNTHETIC_PRICE": 30000,
"HOURLY_MA_LONG_PERIOD": 320,
"HOURLY_MA_SHORT_PERIOD": 46,
"INITIAL_MARGIN_PER_UNIT": 10.53211797274577,
"LEVERAGE": 90,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 7,
"MARGIN_CA... | {
"moderate_calls": {
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"pnl_premium": 0.174371,
"pnl_range": 0.090056
},
"small_calls": {
"max_calls_multiplier": 0.4737,
"pnl_premium": 0.116832,
"pnl_range": 0.102868
}
} | 0.497243 | -0.002696 | 184.442159 | 17,399 |
{
"alpha": [
0.13239915879631922
],
"beta": [
0.8656008412036809
],
"dist": "skewt",
"eta": 0.999,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 29.0455,
"nu": null,
"omega": 2.1347455113017144
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 114919.56444940514,
"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": 1... | {
"ADX_PERIOD": 71,
"ADX_THRESHOLD_FOR_ENTRY": 15,
"BASE_PENALTY_DURATION_HOURS": 108,
"DEFAULT_INITIAL_SYNTHETIC_PRICE": 3000,
"HOURLY_MA_LONG_PERIOD": 333,
"HOURLY_MA_SHORT_PERIOD": 51,
"INITIAL_MARGIN_PER_UNIT": 15.693943914928983,
"LEVERAGE": 45,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 3,
"MARGIN_C... | {
"moderate_calls": {
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"pnl_premium": 0.162613,
"pnl_range": 0.120853
},
"small_calls": {
"max_calls_multiplier": 0.4848,
"pnl_premium": 0.140854,
"pnl_range": 0.086306
}
} | 0.178248 | 0 | 178.247887 | 66,128 |
{
"alpha": [
0.07070796785369328
],
"beta": [
0.9272920321463067
],
"dist": "skewt",
"eta": 0.999,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 432,
"nu": null,
"omega": 0.453939134418163
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 18754.925159700953,
"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": 1... | {
"ADX_PERIOD": 41,
"ADX_THRESHOLD_FOR_ENTRY": 29,
"BASE_PENALTY_DURATION_HOURS": 131,
"DEFAULT_INITIAL_SYNTHETIC_PRICE": 3000,
"HOURLY_MA_LONG_PERIOD": 244,
"HOURLY_MA_SHORT_PERIOD": 19,
"INITIAL_MARGIN_PER_UNIT": 10.220692009005665,
"LEVERAGE": 15,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 9,
"MARGIN_C... | {
"moderate_calls": {
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"pnl_premium": 0.184988,
"pnl_range": 0.061804
},
"small_calls": {
"max_calls_multiplier": 0.4545,
"pnl_premium": 0.148867,
"pnl_range": 0.076047
}
} | 0.166557 | -0.000472 | 166.556889 | 67,799 |
{
"alpha": [
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],
"beta": [
0.8412023320371816
],
"dist": "skewt",
"eta": 0.999,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 12.5794,
"nu": null,
"omega": 10.693155696113775
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 428667.06104545767,
"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": 4... | {
"ADX_PERIOD": 31,
"ADX_THRESHOLD_FOR_ENTRY": 22,
"BASE_PENALTY_DURATION_HOURS": 159,
"DEFAULT_INITIAL_SYNTHETIC_PRICE": 3000,
"HOURLY_MA_LONG_PERIOD": 280,
"HOURLY_MA_SHORT_PERIOD": 19,
"INITIAL_MARGIN_PER_UNIT": 19.855302364547082,
"LEVERAGE": 24,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 4,
"MARGIN_C... | {
"moderate_calls": {
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"pnl_premium": 0.179074,
"pnl_range": 0.057798
},
"small_calls": {
"max_calls_multiplier": 0.4762,
"pnl_premium": 0.147297,
"pnl_range": 0.055635
}
} | 0.159694 | -0.000006 | 159.693637 | 67,848 |
{
"alpha": [
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],
"beta": [
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],
"dist": "normal",
"eta": null,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 3444,
"nu": null,
"omega": 2.561546045055403
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 118881.92019694642,
"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": 1... | {
"ADX_PERIOD": 27,
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"BASE_PENALTY_DURATION_HOURS": 68,
"DEFAULT_INITIAL_SYNTHETIC_PRICE": 30000,
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"INITIAL_MARGIN_PER_UNIT": 18.277135652956634,
"LEVERAGE": 110,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 2,
"MARGIN_... | {
"moderate_calls": {
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"pnl_premium": 0.137791,
"pnl_range": 0.142628
},
"small_calls": {
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"pnl_premium": 0.115876,
"pnl_range": 0.084595
}
} | 0.154118 | -0.000264 | 154.118128 | 23,889 |
{
"alpha": [
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"beta": [
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"dist": "skewt",
"eta": 0.999,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 210.4,
"nu": null,
"omega": 0.4526756319027561
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
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"MAINTENANCE_MARGIN_PERCENT": 0.005,
"MAX_TRADING_CAPITAL_FOR_UNITS": 57... | {
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"DEFAULT_INITIAL_SYNTHETIC_PRICE": 3000,
"HOURLY_MA_LONG_PERIOD": 222,
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"INITIAL_MARGIN_PER_UNIT": 11.997126894251133,
"LEVERAGE": 13,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 9,
"MARGIN_CA... | {
"moderate_calls": {
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"pnl_premium": 0.164513,
"pnl_range": 0.03675
},
"small_calls": {
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"pnl_premium": 0.126979,
"pnl_range": 0.102436
}
} | 0.150739 | -0.000505 | 150.739181 | 70,833 |
{
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],
"dist": "skewt",
"eta": 0.999,
"fitting_scaling_factor": 10000,
"historical_segment_start_price": 10360.09,
"nu": null,
"omega": 1.4508689841726798
} | {
"EXIT_SLIPPAGE_PERCENT_OF_PRICE": 0.0005,
"INITIAL_PORTFOLIO_FUNDS": 313528.9807248949,
"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": 31... | {
"ADX_PERIOD": 72,
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"BASE_PENALTY_DURATION_HOURS": 166,
"DEFAULT_INITIAL_SYNTHETIC_PRICE": 30000,
"HOURLY_MA_LONG_PERIOD": 146,
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"LEVERAGE": 20,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 3,
"MARGIN_... | {
"moderate_calls": {
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"pnl_premium": 0.175382,
"pnl_range": 0.036687
},
"small_calls": {
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"pnl_premium": 0.098015,
"pnl_range": 0.069594
}
} | 0.142088 | -0.000384 | 142.088062 | 1,381 |
{
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],
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"MAX_TRADING_CAPITAL_FOR_UNITS": 61... | {
"ADX_PERIOD": 28,
"ADX_THRESHOLD_FOR_ENTRY": 19,
"BASE_PENALTY_DURATION_HOURS": 112,
"DEFAULT_INITIAL_SYNTHETIC_PRICE": 3000,
"HOURLY_MA_LONG_PERIOD": 198,
"HOURLY_MA_SHORT_PERIOD": 30,
"INITIAL_MARGIN_PER_UNIT": 19.698104531728855,
"LEVERAGE": 63,
"LOSS_STREAK_THRESHOLD_FOR_PENALTY": 4,
"MARGIN_C... | {
"moderate_calls": {
"max_calls_multiplier": 1,
"pnl_premium": 0.138688,
"pnl_range": 0.067783
},
"small_calls": {
"max_calls_multiplier": 0.4894,
"pnl_premium": 0.129796,
"pnl_range": 0.07721
}
} | 0.134996 | -0.002346 | 57.544786 | 82,109 |
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