120 lines
2.0 KiB
JSON
120 lines
2.0 KiB
JSON
{
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"sharpe_ratio": -0.546,
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"total_return_pct": -18.32,
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"max_drawdown_pct": -20.98,
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"win_rate": 0.34,
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"trade_count": 53,
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"profit_factor": 0.542,
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"avg_trade_duration_candles": 2.3,
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"feature_importances": {
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"EMA_20": 0.0295,
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"EMA_5": 0.0274,
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"OBV": 0.0252,
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"price_vs_SMA_50": 0.0219,
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"EMA_10": 0.0214,
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"SMA_200": 0.0207,
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"return_lag_5": 0.0191,
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"SMA_5": 0.0189,
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"vwap_approx": 0.0187,
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"price_vs_SMA_200": 0.0186,
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"BB_lower": 0.0181,
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"SMA_20": 0.0175,
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"ATR_pct": 0.0174,
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"keltner_upper": 0.0172,
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"volume_sma_20": 0.017,
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"ATR_14": 0.0169,
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"return_5": 0.0167,
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"BB_upper": 0.0166,
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"SMA_50": 0.0164,
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"RSI_21": 0.0163,
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"high_low_range_10": 0.0163,
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"hist_volatility": 0.0163,
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"high_low_range_20": 0.0163,
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"EMA_50": 0.0162,
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"keltner_lower": 0.016,
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"MACD_hist": 0.0159,
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"RSI_14_lag_1": 0.0152,
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"CCI_20": 0.015,
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"high_low_range_5": 0.015,
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"volatility_20": 0.0149
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},
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"monthly_returns": [
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-2.62,
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-1.95,
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-4.71,
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1.32,
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-2.8,
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1.53,
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-1.85,
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-4.51,
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-2.54,
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-3.73,
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0.01,
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-1.05,
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2.97,
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0.31
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],
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"equity_curve": [
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1.0,
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0.9952,
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0.9921,
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0.9767,
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0.974,
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0.9579,
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0.9754,
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0.954,
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0.9546,
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0.9336,
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0.9323,
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0.9308,
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0.9103,
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0.9023,
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0.8926,
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0.9265,
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0.9217,
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0.9567,
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0.9357,
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0.9151,
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0.8949,
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0.8857,
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0.8992,
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0.9025,
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0.9085,
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0.9106,
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0.9157,
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0.8956,
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0.8916,
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0.8842,
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0.8766,
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0.8663,
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0.852,
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0.8467,
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0.828,
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0.8386,
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0.8304,
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0.8167,
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0.808,
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0.7902,
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0.7995,
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0.7912,
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0.7984,
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0.8069,
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0.7995,
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0.8115,
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0.8109,
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0.8086,
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0.7908,
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0.7941,
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0.8167,
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0.8076,
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0.8143,
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0.8168
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],
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"per_window_sharpe": [
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-2.302,
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-0.762,
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-6.981,
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-0.909,
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4.91
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]
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} |