Conclusion V7 avec le nouveau parametre
MIX_H36
Le backtest utilise le sizing par paliers: $10.00 de mise par tranche de $1,000.00 de capital. Exemple: $5,000 de capital donne $50 par trade. Les gains sont reinvestis apres resolution et le cash est immobilise pendant les events.
Parametres
Ce sont les parametres effectivement utilises dans le JSON de backtest V7.
Capital$1,000.00initial
Palier$10.00par $1,000.00
Slippage1.0%par entree
Resultat principal
Le filtre strict garde les events avec une somme de YES coherente. La ligne tous marches prices retire ce filtre.
V7 strict
MIX_H36
1075 trades
P&L strict
+$836.88
83.7% return
Drawdown
-18.1%
cash bloque jusqu'a resolution
V7 tous marches
MIX_H36
1773 trades
P&L no filter
+$582.75
58.3% return
Drawdown
-26.4%
cash bloque jusqu'a resolution
Comparaison directe
Lecture partner: plus de trades n'ameliore pas forcement le rendement risque.
| Univers | Events | Snapshots | Best | Trades | P&L | Return | Max DD |
|---|---|---|---|---|---|---|---|
| Strict 0.90-1.05 | 4585 | 29108 | MIX_H36 | 1075 | +$836.88 | 83.7% | -18.1% |
| Tous marches prices | 4685 | 41979 | MIX_H36 | 1773 | +$582.75 | 58.3% | -26.4% |
Top strategies strict
Backtest V7 avec capital $1,000, min order $5 et cash bloque.
| Strategie | Trades | Win rate | P&L | Return | ROI stake | Max DD | Skips cash |
|---|---|---|---|---|---|---|---|
| MIX_H36 | 1075 | 53.2% | +$836.88 | 83.7% | 7.3% | -18.1% | 0 |
| V2_H36 | 779 | 42.2% | +$518.55 | 51.9% | 6.8% | -11.9% | 0 |
| V3_H36 | 301 | 81.1% | +$373.60 | 37.4% | 12.4% | -3.8% | 0 |
| V3_H8 | 1018 | 67.8% | +$309.28 | 30.9% | 3.0% | -8.8% | 0 |
| V3_H24 | 406 | 73.9% | +$302.32 | 30.2% | 7.5% | -6.4% | 0 |
| V2_H4 | 916 | 41.9% | +$242.81 | 24.3% | 2.8% | -21.5% | 0 |
| V3_H18 | 524 | 70.2% | +$197.71 | 19.8% | 3.8% | -10.0% | 0 |
| V3_H48 | 206 | 82.0% | +$191.52 | 19.1% | 9.3% | -3.4% | 0 |
| V2_H1 | 720 | 41.7% | +$101.52 | 10.2% | 2.1% | -18.1% | 0 |
| V3_H12 | 665 | 68.7% | +$9.61 | 1.0% | 0.2% | -9.5% | 0 |
Top strategies tous marches prices
Sans filtre de somme YES.
| Strategie | Trades | Win rate | P&L | Return | ROI stake | Max DD | Skips cash |
|---|---|---|---|---|---|---|---|
| MIX_H36 | 1773 | 48.0% | +$582.75 | 58.3% | 3.4% | -26.4% | 0 |
| V3_H36 | 373 | 77.5% | +$338.01 | 33.8% | 9.1% | -4.8% | 0 |
| V3_H18 | 707 | 68.0% | +$215.70 | 21.6% | 3.1% | -15.8% | 0 |
| V2_H36 | 1409 | 40.0% | +$163.99 | 16.4% | 1.3% | -22.5% | 0 |
| V3_H24 | 527 | 69.6% | +$151.92 | 15.2% | 3.0% | -16.3% | 0 |
| V3_H12 | 882 | 66.5% | +$130.01 | 13.0% | 1.5% | -15.5% | 0 |
| V3_H48 | 351 | 75.5% | +$128.99 | 12.9% | 5.1% | -5.2% | 0 |
| MIX_H24 | 2519 | 46.7% | +$69.27 | 6.9% | 0.4% | -29.6% | 0 |
| V3_H6 | 1520 | 69.3% | +$6.32 | 0.6% | 0.1% | -17.6% | 0 |
| V2_H4 | 1344 | 40.9% | -$31.32 | -3.1% | -0.2% | -32.7% | 0 |
Timing strict
Lecture par heure d'entree. Le signal V7 reste centre sur H-36.
| Timing | Events | MIX P&L / return | MIX DD | V3 seul | V2 seul |
|---|---|---|---|---|---|
| H-48 | 1801 | -$21.24 / -2.1% | -15.5% | +$191.52 / 19.1% | -$136.10 / -13.6% |
| H-36 | 2590 | +$836.88 / 83.7% | -18.1% | +$373.60 / 37.4% | +$518.55 / 51.9% |
| H-24 | 3048 | -$106.16 / -10.6% | -40.1% | +$302.32 / 30.2% | -$164.74 / -16.5% |
| H-18 | 3045 | -$294.73 / -29.5% | -39.1% | +$197.71 / 19.8% | -$435.43 / -43.5% |
| H-12 | 3007 | -$63.55 / -6.3% | -33.9% | +$9.61 / 1.0% | -$224.36 / -22.4% |
| H-8 | 3181 | -$126.20 / -12.6% | -22.0% | +$309.28 / 30.9% | -$195.00 / -19.5% |
| H-6 | 3179 | +$9.08 / 0.9% | -30.8% | -$15.11 / -1.5% | -$179.43 / -17.9% |
| H-4 | 3146 | -$110.20 / -11.0% | -32.0% | -$101.03 / -10.1% | +$242.81 / 24.3% |
| H-2 | 3083 | -$262.39 / -26.2% | -40.0% | -$137.67 / -13.8% | -$131.82 / -13.2% |
| H-1 | 3028 | -$132.84 / -13.3% | -21.2% | -$124.37 / -12.4% | +$101.52 / 10.2% |