feat(validation): add validation data for phase1-extended-001 with detailed results
This commit is contained in:
Adriano Dal Pastro
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{
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"run_id": "e263651598894da688d95fda90a34a96",
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"run_name": "phase1-extended-001",
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"n_folds": 4,
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"top_k_requested": 10,
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"top_k_evaluated": 10,
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"symbol": "BTC-PERPETUAL",
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"timeframe": "1h",
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"start": "2018-09-01T00:00:00+00:00",
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"end": "2026-01-01T00:00:00+00:00",
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"ohlcv_bars": 64297,
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"results": [
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{
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"genome_id": "fe6e01eb690d3960",
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"fitness_is": 0.3513762485888574,
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"sharpe_is": 0.9011072752402621,
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"folds": [
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{
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"fold": 0,
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"fitness": 0.18429629882863333,
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"sharpe": 0.18578971215949266,
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"dsr": 0.022696217108110216,
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"dsr_pvalue": 0.9773037828918898,
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"return": 0.03138679502492736,
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"max_dd": 0.19089436189057732,
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"n_trades": 90,
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"test_start": "2022-05-02 12:00:00+00:00",
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"test_end": "2023-04-02 08:00:00+00:00"
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},
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{
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"fold": 1,
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"fitness": 0.5261711065682141,
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"sharpe": 1.875154815895858,
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"dsr": 0.34945842578669783,
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"dsr_pvalue": 0.6505415742133022,
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"return": 0.684094224950746,
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"max_dd": 0.26051011671170043,
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"n_trades": 108,
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"test_start": "2023-04-02 09:00:00+00:00",
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"test_end": "2024-03-02 05:00:00+00:00"
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},
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{
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"fold": 2,
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"fitness": 0.29904777517998976,
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"sharpe": 0.45027968136531676,
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"dsr": 0.040236883094469954,
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"dsr_pvalue": 0.9597631169055301,
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"return": 0.16192920610625539,
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"max_dd": 0.25615601205401484,
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"n_trades": 87,
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"test_start": "2024-03-02 06:00:00+00:00",
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"test_end": "2025-01-31 02:00:00+00:00"
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},
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{
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"fold": 3,
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"fitness": 0.06652893772008044,
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"sharpe": -0.7859068293026578,
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"dsr": 0.0016949251764253048,
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"dsr_pvalue": 0.9983050748235747,
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"return": -0.1801701961968295,
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"max_dd": 0.3050931306970407,
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"n_trades": 89,
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"test_start": "2025-01-31 03:00:00+00:00",
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"test_end": "2025-12-31 23:00:00+00:00"
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}
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],
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"fitness_oos_mean": 0.2690110295742294,
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"fitness_oos_min": 0.06652893772008044,
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"fitness_oos_max": 0.5261711065682141,
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"fitness_oos_std": 0.16971232602043682,
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"sharpe_oos_mean": 0.43132934502950243,
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"sharpe_oos_min": -0.7859068293026578,
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"robust_score": 0.06652893772008044
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},
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{
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"genome_id": "d98739b2ba8d65e8",
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"fitness_is": 0.3581811122056351,
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"sharpe_is": 1.5316294902683918,
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"folds": [
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{
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"fold": 0,
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"fitness": 0.03897301517910094,
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"sharpe": -1.1213338499931884,
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"dsr": 0.0007106609032094727,
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"dsr_pvalue": 0.9992893390967905,
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"return": -0.18358503193809717,
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"max_dd": 0.24053109269341416,
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"n_trades": 65,
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"test_start": "2022-05-02 12:00:00+00:00",
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"test_end": "2023-04-02 08:00:00+00:00"
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},
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{
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"fold": 1,
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"fitness": 0.13868820192362147,
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"sharpe": 0.1139203144076397,
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"dsr": 0.018885390702584475,
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"dsr_pvalue": 0.9811146092974156,
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"return": 0.019694298831973045,
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"max_dd": 0.1528666578131679,
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"n_trades": 21,
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"test_start": "2023-04-02 09:00:00+00:00",
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"test_end": "2024-03-02 05:00:00+00:00"
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},
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{
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"fold": 2,
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"fitness": 0.43784574830368517,
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"sharpe": 1.922993791724599,
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"dsr": 0.36463909799020594,
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"dsr_pvalue": 0.6353609020097941,
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"return": 0.31046814355338936,
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"max_dd": 0.09604869735695161,
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"n_trades": 48,
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"test_start": "2024-03-02 06:00:00+00:00",
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"test_end": "2025-01-31 02:00:00+00:00"
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},
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{
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"fold": 3,
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"fitness": 0.377910610011883,
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"sharpe": 1.3313322991701542,
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"dsr": 0.17322722607861918,
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"dsr_pvalue": 0.8267727739213808,
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"return": 0.12021252899342505,
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"max_dd": 0.04712452925993322,
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"n_trades": 32,
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"test_start": "2025-01-31 03:00:00+00:00",
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"test_end": "2025-12-31 23:00:00+00:00"
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}
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],
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"fitness_oos_mean": 0.24835439385457264,
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"fitness_oos_min": 0.03897301517910094,
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"fitness_oos_max": 0.43784574830368517,
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"fitness_oos_std": 0.1647414807695958,
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"sharpe_oos_mean": 0.5617281388273011,
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"sharpe_oos_min": -1.1213338499931884,
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"robust_score": 0.03897301517910094
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},
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{
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"genome_id": "0dd6619fdcbe37f4",
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"fitness_is": 0.3765498201912705,
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"sharpe_is": 0.9388498977535525,
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"folds": [
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{
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"fold": 0,
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"fitness": 0.03550929012857722,
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"sharpe": -1.1093436310362703,
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"dsr": 0.0005959199839818188,
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"dsr_pvalue": 0.9994040800160182,
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"return": -0.24600377155172415,
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"max_dd": 0.38950670401585935,
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"n_trades": 122,
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"test_start": "2022-05-02 12:00:00+00:00",
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"test_end": "2023-04-02 08:00:00+00:00"
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},
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{
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"fold": 1,
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"fitness": 0.049414033104104804,
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"sharpe": -0.9995738302518242,
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"dsr": 0.0007695523975576842,
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"dsr_pvalue": 0.9992304476024423,
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"return": -0.15162579158457645,
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"max_dd": 0.21485725923368693,
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"n_trades": 79,
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"test_start": "2023-04-02 09:00:00+00:00",
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"test_end": "2024-03-02 05:00:00+00:00"
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},
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{
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"fold": 2,
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"fitness": 0.4634730710112187,
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"sharpe": 1.2076100738049764,
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"dsr": 0.15231462029944348,
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"dsr_pvalue": 0.8476853797005566,
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"return": 0.3072592298707053,
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"max_dd": 0.15464658494822137,
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"n_trades": 153,
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"test_start": "2024-03-02 06:00:00+00:00",
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"test_end": "2025-01-31 02:00:00+00:00"
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},
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{
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"fold": 3,
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"fitness": 0.1215451856323226,
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"sharpe": -0.22288474503734051,
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"dsr": 0.00830898358713792,
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"dsr_pvalue": 0.9916910164128621,
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"return": -0.035113534418310444,
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"max_dd": 0.17145164314561556,
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"n_trades": 74,
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"test_start": "2025-01-31 03:00:00+00:00",
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"test_end": "2025-12-31 23:00:00+00:00"
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}
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],
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"fitness_oos_mean": 0.16748539496905585,
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"fitness_oos_min": 0.03550929012857722,
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"fitness_oos_max": 0.4634730710112187,
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"fitness_oos_std": 0.17398113830545858,
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"sharpe_oos_mean": -0.28104803313011467,
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"sharpe_oos_min": -1.1093436310362703,
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"robust_score": 0.03550929012857722
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},
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{
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"genome_id": "00545b157923dc6b",
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"fitness_is": 0.34960092770407836,
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"sharpe_is": 0.9785144736247469,
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"folds": [
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{
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"fold": 0,
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"fitness": 0.027180640826810924,
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"sharpe": -1.26345444662059,
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"dsr": 0.00030602669379661417,
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"dsr_pvalue": 0.9996939733062034,
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"return": -0.2411006699210636,
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"max_dd": 0.36676673786660746,
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"n_trades": 79,
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"test_start": "2022-05-02 12:00:00+00:00",
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"test_end": "2023-04-02 08:00:00+00:00"
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},
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{
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"fold": 1,
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"fitness": 0.5208756815430423,
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"sharpe": 1.770946043023605,
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"dsr": 0.3128216779179025,
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"dsr_pvalue": 0.6871783220820975,
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"return": 0.60240576625387,
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"max_dd": 0.2331907909757441,
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"n_trades": 45,
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"test_start": "2023-04-02 09:00:00+00:00",
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"test_end": "2024-03-02 05:00:00+00:00"
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},
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{
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"fold": 2,
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"fitness": 0.2959791903863346,
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"sharpe": 0.3683437692731339,
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"dsr": 0.033871432018897314,
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"dsr_pvalue": 0.9661285679811027,
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"return": 0.134452978611995,
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"max_dd": 0.19964940601028408,
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"n_trades": 58,
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"test_start": "2024-03-02 06:00:00+00:00",
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"test_end": "2025-01-31 02:00:00+00:00"
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},
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{
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"fold": 3,
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"fitness": 0.15883382666451054,
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"sharpe": 0.031160944245222175,
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"dsr": 0.015769276637227145,
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"dsr_pvalue": 0.9842307233627728,
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"return": 0.006899603676653765,
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"max_dd": 0.1947452948903118,
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"n_trades": 36,
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"test_start": "2025-01-31 03:00:00+00:00",
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"test_end": "2025-12-31 23:00:00+00:00"
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}
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],
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"fitness_oos_mean": 0.2507173348551746,
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"fitness_oos_min": 0.027180640826810924,
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"fitness_oos_max": 0.5208756815430423,
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"fitness_oos_std": 0.1826508968673572,
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"sharpe_oos_mean": 0.2267490774803428,
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"sharpe_oos_min": -1.26345444662059,
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"robust_score": 0.027180640826810924
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},
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{
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"genome_id": "eea882db55f8dd5e",
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"fitness_is": 0.3181543783162782,
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"sharpe_is": 1.3214317725559044,
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"folds": [
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{
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"fold": 0,
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"fitness": 0.02689139923003529,
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"sharpe": -1.3020990219857191,
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"dsr": 0.00036878360260577075,
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"dsr_pvalue": 0.9996312163973943,
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"return": -0.22280992288117984,
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"max_dd": 0.28735423155244094,
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"n_trades": 69,
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"test_start": "2022-05-02 12:00:00+00:00",
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"test_end": "2023-04-02 08:00:00+00:00"
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},
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{
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"fold": 1,
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"fitness": 0.1064185213723357,
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"sharpe": -0.3110958507357913,
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"dsr": 0.006879713400940769,
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"dsr_pvalue": 0.9931202865990593,
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"return": -0.057958925555868235,
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"max_dd": 0.19529025657454543,
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"n_trades": 33,
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"test_start": "2023-04-02 09:00:00+00:00",
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"test_end": "2024-03-02 05:00:00+00:00"
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},
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{
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"fold": 2,
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"fitness": 0.37938211463073945,
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"sharpe": 1.490827385000592,
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"dsr": 0.2224878866287407,
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"dsr_pvalue": 0.7775121133712593,
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"return": 0.2563445845249124,
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"max_dd": 0.1053935530975972,
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"n_trades": 59,
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"test_start": "2024-03-02 06:00:00+00:00",
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"test_end": "2025-01-31 02:00:00+00:00"
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},
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{
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"fold": 3,
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"fitness": 0.4175480977898098,
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"sharpe": 1.6336803280087653,
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"dsr": 0.260079721684657,
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"dsr_pvalue": 0.739920278315343,
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"return": 0.157201259896103,
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"max_dd": 0.04639072483391873,
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"n_trades": 43,
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"test_start": "2025-01-31 03:00:00+00:00",
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"test_end": "2025-12-31 23:00:00+00:00"
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}
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],
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"fitness_oos_mean": 0.23256003325573005,
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"fitness_oos_min": 0.02689139923003529,
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"fitness_oos_max": 0.4175480977898098,
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"fitness_oos_std": 0.16881097094204098,
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||||||
|
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|
||||||
|
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||||||
|
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||||||
|
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|
||||||
|
{
|
||||||
|
"genome_id": "24a3e592397d4bda",
|
||||||
|
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||||||
|
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||||||
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||||||
|
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|
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|
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||||||
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|
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||||||
|
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||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"test_end": "2023-04-02 08:00:00+00:00"
|
||||||
|
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|
||||||
|
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|
||||||
|
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||||||
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|
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||||||
|
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||||||
|
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|
||||||
|
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|
||||||
|
"test_end": "2024-03-02 05:00:00+00:00"
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"fold": 2,
|
||||||
|
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||||||
|
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|
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|
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||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"test_start": "2024-03-02 06:00:00+00:00",
|
||||||
|
"test_end": "2025-01-31 02:00:00+00:00"
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"fold": 3,
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"n_trades": 43,
|
||||||
|
"test_start": "2025-01-31 03:00:00+00:00",
|
||||||
|
"test_end": "2025-12-31 23:00:00+00:00"
|
||||||
|
}
|
||||||
|
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|
||||||
|
"fitness_oos_mean": 0.23256003325573005,
|
||||||
|
"fitness_oos_min": 0.02689139923003529,
|
||||||
|
"fitness_oos_max": 0.4175480977898098,
|
||||||
|
"fitness_oos_std": 0.16881097094204098,
|
||||||
|
"sharpe_oos_mean": 0.3778282100719617,
|
||||||
|
"sharpe_oos_min": -1.3020990219857191,
|
||||||
|
"robust_score": 0.02689139923003529
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"genome_id": "7d6636945c3fdee5",
|
||||||
|
"fitness_is": 0.4143633094822953,
|
||||||
|
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|
||||||
|
"folds": [
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"dsr_pvalue": 0.9997540180088357,
|
||||||
|
"return": -0.27317643202118824,
|
||||||
|
"max_dd": 0.283710961847723,
|
||||||
|
"n_trades": 76,
|
||||||
|
"test_start": "2022-05-02 12:00:00+00:00",
|
||||||
|
"test_end": "2023-04-02 08:00:00+00:00"
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"fold": 1,
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"return": -0.058925951660568465,
|
||||||
|
"max_dd": 0.19264026914858506,
|
||||||
|
"n_trades": 115,
|
||||||
|
"test_start": "2023-04-02 09:00:00+00:00",
|
||||||
|
"test_end": "2024-03-02 05:00:00+00:00"
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"fold": 2,
|
||||||
|
"fitness": 0.37331175980311637,
|
||||||
|
"sharpe": 0.6268880704230287,
|
||||||
|
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|
||||||
|
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|
||||||
|
"return": 0.13285431586579133,
|
||||||
|
"max_dd": 0.11992643530986899,
|
||||||
|
"n_trades": 66,
|
||||||
|
"test_start": "2024-03-02 06:00:00+00:00",
|
||||||
|
"test_end": "2025-01-31 02:00:00+00:00"
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"fold": 3,
|
||||||
|
"fitness": 0.058003508089270274,
|
||||||
|
"sharpe": -0.9065054278150867,
|
||||||
|
"dsr": 0.0011919907667399207,
|
||||||
|
"dsr_pvalue": 0.9988080092332601,
|
||||||
|
"return": -0.11553575296643481,
|
||||||
|
"max_dd": 0.21946607715577302,
|
||||||
|
"n_trades": 108,
|
||||||
|
"test_start": "2025-01-31 03:00:00+00:00",
|
||||||
|
"test_end": "2025-12-31 23:00:00+00:00"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"fitness_oos_mean": 0.14015334371826926,
|
||||||
|
"fitness_oos_min": 0.024065408548587387,
|
||||||
|
"fitness_oos_max": 0.37331175980311637,
|
||||||
|
"fitness_oos_std": 0.13766562991922562,
|
||||||
|
"sharpe_oos_mean": -0.4906007574696624,
|
||||||
|
"sharpe_oos_min": -1.362275778196952,
|
||||||
|
"robust_score": 0.024065408548587387
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"genome_id": "94413564f2f6c03e",
|
||||||
|
"fitness_is": 0.4504680245893446,
|
||||||
|
"sharpe_is": 1.931509193896414,
|
||||||
|
"folds": [
|
||||||
|
{
|
||||||
|
"fold": 0,
|
||||||
|
"fitness": 0.1454684156938894,
|
||||||
|
"sharpe": -0.1847503153026734,
|
||||||
|
"dsr": 0.010432618759993285,
|
||||||
|
"dsr_pvalue": 0.9895673812400068,
|
||||||
|
"return": -0.006041376713751601,
|
||||||
|
"max_dd": 0.028928093840880797,
|
||||||
|
"n_trades": 10,
|
||||||
|
"test_start": "2022-05-02 12:00:00+00:00",
|
||||||
|
"test_end": "2023-04-02 08:00:00+00:00"
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"fold": 1,
|
||||||
|
"fitness": 0.0,
|
||||||
|
"sharpe": 0.7414755036663777,
|
||||||
|
"dsr": 0.032908166066855475,
|
||||||
|
"dsr_pvalue": 0.9670918339331446,
|
||||||
|
"return": 0.024390796509991652,
|
||||||
|
"max_dd": 0.01848789755136504,
|
||||||
|
"n_trades": 3,
|
||||||
|
"test_start": "2023-04-02 09:00:00+00:00",
|
||||||
|
"test_end": "2024-03-02 05:00:00+00:00"
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"fold": 2,
|
||||||
|
"fitness": 0.6298210284045589,
|
||||||
|
"sharpe": 2.8227093941852077,
|
||||||
|
"dsr": 0.783195485997482,
|
||||||
|
"dsr_pvalue": 0.216804514002518,
|
||||||
|
"return": 0.1153800539734966,
|
||||||
|
"max_dd": 0.009172322853563938,
|
||||||
|
"n_trades": 13,
|
||||||
|
"test_start": "2024-03-02 06:00:00+00:00",
|
||||||
|
"test_end": "2025-01-31 02:00:00+00:00"
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"fold": 3,
|
||||||
|
"fitness": 0.0,
|
||||||
|
"sharpe": -0.3705731110916588,
|
||||||
|
"dsr": 0.005298299731142135,
|
||||||
|
"dsr_pvalue": 0.9947017002688578,
|
||||||
|
"return": -0.01618834464316521,
|
||||||
|
"max_dd": 0.050704690156295765,
|
||||||
|
"n_trades": 8,
|
||||||
|
"test_start": "2025-01-31 03:00:00+00:00",
|
||||||
|
"test_end": "2025-12-31 23:00:00+00:00"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"fitness_oos_mean": 0.1938223610246121,
|
||||||
|
"fitness_oos_min": 0.0,
|
||||||
|
"fitness_oos_max": 0.6298210284045589,
|
||||||
|
"fitness_oos_std": 0.2586344704657744,
|
||||||
|
"sharpe_oos_mean": 0.7522153678643133,
|
||||||
|
"sharpe_oos_min": -0.3705731110916588,
|
||||||
|
"robust_score": 0.0
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"genome_id": "9deb48ad9a1d6a01",
|
||||||
|
"fitness_is": 0.38499883511982724,
|
||||||
|
"sharpe_is": 1.7309660717184492,
|
||||||
|
"folds": [
|
||||||
|
{
|
||||||
|
"fold": 0,
|
||||||
|
"fitness": 0.11865902601061347,
|
||||||
|
"sharpe": -0.33840465028379796,
|
||||||
|
"dsr": 0.006577366557928182,
|
||||||
|
"dsr_pvalue": 0.9934226334420718,
|
||||||
|
"return": -0.012941050841296264,
|
||||||
|
"max_dd": 0.03402877313520886,
|
||||||
|
"n_trades": 17,
|
||||||
|
"test_start": "2022-05-02 12:00:00+00:00",
|
||||||
|
"test_end": "2023-04-02 08:00:00+00:00"
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"fold": 1,
|
||||||
|
"fitness": 0.0,
|
||||||
|
"sharpe": 0.5508017623316874,
|
||||||
|
"dsr": 0.028490827818300125,
|
||||||
|
"dsr_pvalue": 0.9715091721816999,
|
||||||
|
"return": 0.01831303651843519,
|
||||||
|
"max_dd": 0.017308885097101046,
|
||||||
|
"n_trades": 7,
|
||||||
|
"test_start": "2023-04-02 09:00:00+00:00",
|
||||||
|
"test_end": "2024-03-02 05:00:00+00:00"
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"fold": 2,
|
||||||
|
"fitness": 0.0,
|
||||||
|
"sharpe": 2.1433702644761987,
|
||||||
|
"dsr": 0.4071948898247041,
|
||||||
|
"dsr_pvalue": 0.5928051101752959,
|
||||||
|
"return": 0.10827348451282881,
|
||||||
|
"max_dd": 0.008755897100329497,
|
||||||
|
"n_trades": 8,
|
||||||
|
"test_start": "2024-03-02 06:00:00+00:00",
|
||||||
|
"test_end": "2025-01-31 02:00:00+00:00"
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"fold": 3,
|
||||||
|
"fitness": 0.0,
|
||||||
|
"sharpe": 1.0955591683486918,
|
||||||
|
"dsr": 0.07909942404164044,
|
||||||
|
"dsr_pvalue": 0.9209005759583595,
|
||||||
|
"return": 0.01372945300669004,
|
||||||
|
"max_dd": 0.006329669977511941,
|
||||||
|
"n_trades": 5,
|
||||||
|
"test_start": "2025-01-31 03:00:00+00:00",
|
||||||
|
"test_end": "2025-12-31 23:00:00+00:00"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"fitness_oos_mean": 0.029664756502653367,
|
||||||
|
"fitness_oos_min": 0.0,
|
||||||
|
"fitness_oos_max": 0.11865902601061347,
|
||||||
|
"fitness_oos_std": 0.05138086545675487,
|
||||||
|
"sharpe_oos_mean": 0.862831636218195,
|
||||||
|
"sharpe_oos_min": -0.33840465028379796,
|
||||||
|
"robust_score": 0.0
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"genome_id": "1bb0f36ae3f178ae",
|
||||||
|
"fitness_is": 0.3289012666358953,
|
||||||
|
"sharpe_is": 1.2144322416340778,
|
||||||
|
"folds": [
|
||||||
|
{
|
||||||
|
"fold": 0,
|
||||||
|
"fitness": 0.03325222099260249,
|
||||||
|
"sharpe": -1.0706470661093082,
|
||||||
|
"dsr": 0.0007248785745670455,
|
||||||
|
"dsr_pvalue": 0.999275121425433,
|
||||||
|
"return": -0.09901039935604483,
|
||||||
|
"max_dd": 0.13711458096989376,
|
||||||
|
"n_trades": 27,
|
||||||
|
"test_start": "2022-05-02 12:00:00+00:00",
|
||||||
|
"test_end": "2023-04-02 08:00:00+00:00"
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"fold": 1,
|
||||||
|
"fitness": 0.0,
|
||||||
|
"sharpe": 0.12138335573748249,
|
||||||
|
"dsr": 0.018713173174332784,
|
||||||
|
"dsr_pvalue": 0.9812868268256673,
|
||||||
|
"return": 0.00555346714044469,
|
||||||
|
"max_dd": 0.02724874190208475,
|
||||||
|
"n_trades": 7,
|
||||||
|
"test_start": "2023-04-02 09:00:00+00:00",
|
||||||
|
"test_end": "2024-03-02 05:00:00+00:00"
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"fold": 2,
|
||||||
|
"fitness": 0.32995249837249846,
|
||||||
|
"sharpe": 0.9733164430116448,
|
||||||
|
"dsr": 0.07297295015940324,
|
||||||
|
"dsr_pvalue": 0.9270270498405968,
|
||||||
|
"return": 0.05047188141942249,
|
||||||
|
"max_dd": 0.02617799182077058,
|
||||||
|
"n_trades": 13,
|
||||||
|
"test_start": "2024-03-02 06:00:00+00:00",
|
||||||
|
"test_end": "2025-01-31 02:00:00+00:00"
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"fold": 3,
|
||||||
|
"fitness": 0.0,
|
||||||
|
"sharpe": 1.3421850442772436,
|
||||||
|
"dsr": 0.05521595540810741,
|
||||||
|
"dsr_pvalue": 0.9447840445918926,
|
||||||
|
"return": 0.06121506651714692,
|
||||||
|
"max_dd": 0.00995276327591354,
|
||||||
|
"n_trades": 3,
|
||||||
|
"test_start": "2025-01-31 03:00:00+00:00",
|
||||||
|
"test_end": "2025-12-31 23:00:00+00:00"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"fitness_oos_mean": 0.09080117984127524,
|
||||||
|
"fitness_oos_min": 0.0,
|
||||||
|
"fitness_oos_max": 0.32995249837249846,
|
||||||
|
"fitness_oos_std": 0.13873981434768828,
|
||||||
|
"sharpe_oos_mean": 0.34155944422926565,
|
||||||
|
"sharpe_oos_min": -1.0706470661093082,
|
||||||
|
"robust_score": 0.0
|
||||||
|
}
|
||||||
|
]
|
||||||
|
}
|
||||||
Reference in New Issue
Block a user