扩展指标

2026-07-09 05:08:16 +08:00
commit 308c46ab9a
537 changed files with 152299 additions and 0 deletions
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+metric,value
+Start Value,100000.0
+End Value,94992.925702201
+Total Return [%],-5.007074297799001
+Total Fees Paid,4299.095017658301
+Max Drawdown [%],9.32832172554047
+Max Drawdown Duration,648.0
+Total Trades,22.0
+Total Closed Trades,22.0
+Total Open Trades,0.0
+Open Trade PnL,-0.0
+Win Rate [%],22.727272727272727
+Best Trade [%],3.796000000000013
+Worst Trade [%],-2.198000000000002
+Avg Winning Trade [%],2.0027355950916155
+Avg Losing Trade [%],-0.8772319382499455
+Avg Winning Trade Duration,27.6
+Avg Losing Trade Duration,10.588235294117647
+Profit Factor,0.6591787877351036
+Expectancy,-227.5942862635913
+SQN,-0.7238525883160277
+Sharpe Ratio,-0.6039451115606126
+Sortino Ratio,-0.8636398465951732
+Calmar Ratio,-0.24337622652512184
+Omega Ratio,0.8626407142511092
+total_trades,22.0
+total_closed_trades,22.0
+total_open_trades,0.0
+winning_trades,5.0
+losing_trades,17.0
+max_consecutive_wins,2.0
+max_consecutive_losses,8.0
+avg_holding_period,14.454545454545455
+avg_winning_duration,27.6
+avg_losing_duration,10.588235294117647
+start_value,100000.0
+end_value,94992.925702201
+total_fees_paid,4299.095017658301
+open_trade_pnl,-0.0
+exposure_pct,38.922888616891065
+payoff_ratio,2.2830171905129446
+recovery_factor,-0.5367604640060695
+omega_ratio,0.8626407142511092