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This commit is contained in:
Immanuel Edunsin
2025-07-23 14:44:57 +01:00
committed by GitHub
parent a030b61f4f
commit 7d02222da7
14 changed files with 1036 additions and 0 deletions
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optimization_results_real.csv
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threshold_bps,stop_loss_bps,spread_bps,total_pnl,num_trades,win_rate,avg_pnl,max_drawdown
0.5,2.0,0.1,5153890.000000001,335,57.611940298507456,15384.74626865672,18295.0
0.5,2.0,0.5,5146160.000000002,335,57.611940298507456,15361.67164179105,18335.0
0.5,2.0,1.0,5136510.000000002,335,57.611940298507456,15332.865671641797,18385.0
0.5,5.0,0.1,5111590.000000001,335,57.611940298507456,15258.477611940301,46495.0
0.5,5.0,0.5,5103830.000000001,335,57.611940298507456,15235.313432835823,46535.0
0.5,5.0,1.0,5094130.000000001,335,57.611940298507456,15206.358208955227,46585.0
0.5,10.0,0.1,5042665.0,335,57.611940298507456,15052.731343283582,92680.00000000047
0.5,10.0,0.5,5034665.0,335,57.611940298507456,15028.850746268658,92840.00000000047
0.5,10.0,1.0,5024730.000000001,335,57.611940298507456,14999.194029850749,93025.00000000023
1.0,2.0,0.1,5153890.000000001,335,57.611940298507456,15384.74626865672,18295.0
1.0,2.0,0.5,5146160.000000002,335,57.611940298507456,15361.67164179105,18335.0
1.0,2.0,1.0,5136510.000000002,335,57.611940298507456,15332.865671641797,18385.0
1.0,5.0,0.1,5111590.000000001,335,57.611940298507456,15258.477611940301,46495.0
1.0,5.0,0.5,5103830.000000001,335,57.611940298507456,15235.313432835823,46535.0
1.0,5.0,1.0,5094130.000000001,335,57.611940298507456,15206.358208955227,46585.0
1.0,10.0,0.1,5042665.0,335,57.611940298507456,15052.731343283582,92680.00000000047
1.0,10.0,0.5,5034665.0,335,57.611940298507456,15028.850746268658,92840.00000000047
1.0,10.0,1.0,5024730.000000001,335,57.611940298507456,14999.194029850749,93025.00000000023
2.0,2.0,0.1,5153890.000000001,335,57.611940298507456,15384.74626865672,18295.0
2.0,2.0,0.5,5146160.000000002,335,57.611940298507456,15361.67164179105,18335.0
2.0,2.0,1.0,5136510.000000002,335,57.611940298507456,15332.865671641797,18385.0
2.0,5.0,0.1,5111590.000000001,335,57.611940298507456,15258.477611940301,46495.0
2.0,5.0,0.5,5103830.000000001,335,57.611940298507456,15235.313432835823,46535.0
2.0,5.0,1.0,5094130.000000001,335,57.611940298507456,15206.358208955227,46585.0
2.0,10.0,0.1,5042665.0,335,57.611940298507456,15052.731343283582,92680.00000000047
2.0,10.0,0.5,5034665.0,335,57.611940298507456,15028.850746268658,92840.00000000047
2.0,10.0,1.0,5024730.000000001,335,57.611940298507456,14999.194029850749,93025.00000000023
3.0,2.0,0.1,5153890.000000001,335,57.611940298507456,15384.74626865672,18295.0
3.0,2.0,0.5,5146160.000000002,335,57.611940298507456,15361.67164179105,18335.0
3.0,2.0,1.0,5136510.000000002,335,57.611940298507456,15332.865671641797,18385.0
3.0,5.0,0.1,5111590.000000001,335,57.611940298507456,15258.477611940301,46495.0
3.0,5.0,0.5,5103830.000000001,335,57.611940298507456,15235.313432835823,46535.0
3.0,5.0,1.0,5094130.000000001,335,57.611940298507456,15206.358208955227,46585.0
3.0,10.0,0.1,5042665.0,335,57.611940298507456,15052.731343283582,92680.00000000047
3.0,10.0,0.5,5034665.0,335,57.611940298507456,15028.850746268658,92840.00000000047
3.0,10.0,1.0,5024730.000000001,335,57.611940298507456,14999.194029850749,93025.00000000023
1 threshold_bps stop_loss_bps spread_bps total_pnl num_trades win_rate avg_pnl max_drawdown
2 0.5 2.0 0.1 5153890.000000001 335 57.611940298507456 15384.74626865672 18295.0
3 0.5 2.0 0.5 5146160.000000002 335 57.611940298507456 15361.67164179105 18335.0
4 0.5 2.0 1.0 5136510.000000002 335 57.611940298507456 15332.865671641797 18385.0
5 0.5 5.0 0.1 5111590.000000001 335 57.611940298507456 15258.477611940301 46495.0
6 0.5 5.0 0.5 5103830.000000001 335 57.611940298507456 15235.313432835823 46535.0
7 0.5 5.0 1.0 5094130.000000001 335 57.611940298507456 15206.358208955227 46585.0
8 0.5 10.0 0.1 5042665.0 335 57.611940298507456 15052.731343283582 92680.00000000047
9 0.5 10.0 0.5 5034665.0 335 57.611940298507456 15028.850746268658 92840.00000000047
10 0.5 10.0 1.0 5024730.000000001 335 57.611940298507456 14999.194029850749 93025.00000000023
11 1.0 2.0 0.1 5153890.000000001 335 57.611940298507456 15384.74626865672 18295.0
12 1.0 2.0 0.5 5146160.000000002 335 57.611940298507456 15361.67164179105 18335.0
13 1.0 2.0 1.0 5136510.000000002 335 57.611940298507456 15332.865671641797 18385.0
14 1.0 5.0 0.1 5111590.000000001 335 57.611940298507456 15258.477611940301 46495.0
15 1.0 5.0 0.5 5103830.000000001 335 57.611940298507456 15235.313432835823 46535.0
16 1.0 5.0 1.0 5094130.000000001 335 57.611940298507456 15206.358208955227 46585.0
17 1.0 10.0 0.1 5042665.0 335 57.611940298507456 15052.731343283582 92680.00000000047
18 1.0 10.0 0.5 5034665.0 335 57.611940298507456 15028.850746268658 92840.00000000047
19 1.0 10.0 1.0 5024730.000000001 335 57.611940298507456 14999.194029850749 93025.00000000023
20 2.0 2.0 0.1 5153890.000000001 335 57.611940298507456 15384.74626865672 18295.0
21 2.0 2.0 0.5 5146160.000000002 335 57.611940298507456 15361.67164179105 18335.0
22 2.0 2.0 1.0 5136510.000000002 335 57.611940298507456 15332.865671641797 18385.0
23 2.0 5.0 0.1 5111590.000000001 335 57.611940298507456 15258.477611940301 46495.0
24 2.0 5.0 0.5 5103830.000000001 335 57.611940298507456 15235.313432835823 46535.0
25 2.0 5.0 1.0 5094130.000000001 335 57.611940298507456 15206.358208955227 46585.0
26 2.0 10.0 0.1 5042665.0 335 57.611940298507456 15052.731343283582 92680.00000000047
27 2.0 10.0 0.5 5034665.0 335 57.611940298507456 15028.850746268658 92840.00000000047
28 2.0 10.0 1.0 5024730.000000001 335 57.611940298507456 14999.194029850749 93025.00000000023
29 3.0 2.0 0.1 5153890.000000001 335 57.611940298507456 15384.74626865672 18295.0
30 3.0 2.0 0.5 5146160.000000002 335 57.611940298507456 15361.67164179105 18335.0
31 3.0 2.0 1.0 5136510.000000002 335 57.611940298507456 15332.865671641797 18385.0
32 3.0 5.0 0.1 5111590.000000001 335 57.611940298507456 15258.477611940301 46495.0
33 3.0 5.0 0.5 5103830.000000001 335 57.611940298507456 15235.313432835823 46535.0
34 3.0 5.0 1.0 5094130.000000001 335 57.611940298507456 15206.358208955227 46585.0
35 3.0 10.0 0.1 5042665.0 335 57.611940298507456 15052.731343283582 92680.00000000047
36 3.0 10.0 0.5 5034665.0 335 57.611940298507456 15028.850746268658 92840.00000000047
37 3.0 10.0 1.0 5024730.000000001 335 57.611940298507456 14999.194029850749 93025.00000000023