hyowons
a3c6496ffa
state/* 일괄 제외에 sim 화이트리스트 추가 — 108변이 파라미터(variants.json)· 메인 튜닝(params.json)·마킹(favorites.json)·등록근거(backtest_results.json)· 일별성과(equity_history)·관찰목록·지수이력 + 변이별 계좌/거래기록. last_scan·variants_compare(5분 스냅샷)·flow_history.sqlite(백필 재구축 가능)는 계속 제외. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
96833 lines
2.1 MiB
Plaintext
96833 lines
2.1 MiB
Plaintext
{
|
|
"generated_at": "2026-06-10T11:56:34.980848+09:00",
|
|
"universe_size": 55,
|
|
"swept_params": [
|
|
"SMA_LONG",
|
|
"RR_RATIO",
|
|
"STOP_ATR_MULT",
|
|
"PULLBACK_ATR_MULT",
|
|
"VOLUME_BREAKOUT_MULT",
|
|
"RSI_OVERBOUGHT",
|
|
"RSI_OVERSOLD",
|
|
"MAX_HOLD_DAYS",
|
|
"RISK_PER_TRADE_PCT"
|
|
],
|
|
"grid": {
|
|
"SMA_LONG": [
|
|
10,
|
|
20,
|
|
40
|
|
],
|
|
"RR_RATIO": [
|
|
1.5,
|
|
2.0,
|
|
3.0
|
|
],
|
|
"STOP_ATR_MULT": [
|
|
1.5,
|
|
2.0
|
|
],
|
|
"PULLBACK_ATR_MULT": [
|
|
1.0,
|
|
1.5
|
|
],
|
|
"VOLUME_BREAKOUT_MULT": [
|
|
1.3,
|
|
2.0
|
|
],
|
|
"RSI_OVERBOUGHT": [
|
|
75,
|
|
88
|
|
],
|
|
"RSI_OVERSOLD": [
|
|
20,
|
|
35
|
|
],
|
|
"MAX_HOLD_DAYS": [
|
|
0,
|
|
20
|
|
],
|
|
"RISK_PER_TRADE_PCT": [
|
|
0.01,
|
|
0.02
|
|
]
|
|
},
|
|
"split": {
|
|
"train": "20250513~20260206",
|
|
"test": "20260209~20260609",
|
|
"train_frac": 0.7
|
|
},
|
|
"min_trades": 10,
|
|
"flow_used": true,
|
|
"count": 1152,
|
|
"results": [
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 156200451,
|
|
"total_return_pct": 56.2,
|
|
"cagr_pct": 84.8,
|
|
"mdd_pct": 10.07,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 3.86,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.9
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 8.53
|
|
}
|
|
},
|
|
"alpha_pct": -38.9
|
|
},
|
|
"test": {
|
|
"final_equity": 142657915,
|
|
"total_return_pct": 42.66,
|
|
"cagr_pct": 210.59,
|
|
"mdd_pct": 8.53,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 45.0,
|
|
"profit_factor": 6.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -10.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 56.83
|
|
}
|
|
},
|
|
"alpha_pct": -10.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 19.65,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.13,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 47.0,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 19.65
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 156200451,
|
|
"total_return_pct": 56.2,
|
|
"cagr_pct": 84.8,
|
|
"mdd_pct": 10.07,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 3.86,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.9
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 8.53
|
|
}
|
|
},
|
|
"alpha_pct": -38.9
|
|
},
|
|
"test": {
|
|
"final_equity": 142657915,
|
|
"total_return_pct": 42.66,
|
|
"cagr_pct": 210.59,
|
|
"mdd_pct": 8.53,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 45.0,
|
|
"profit_factor": 6.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -10.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 56.83
|
|
}
|
|
},
|
|
"alpha_pct": -10.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 19.65,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.13,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 47.0,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 19.65
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 164975378,
|
|
"total_return_pct": 64.98,
|
|
"cagr_pct": 99.25,
|
|
"mdd_pct": 9.17,
|
|
"trades": 54,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.0,
|
|
"profit_factor": 3.62,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 17.31
|
|
}
|
|
},
|
|
"alpha_pct": -30.12
|
|
},
|
|
"test": {
|
|
"final_equity": 138014797,
|
|
"total_return_pct": 38.01,
|
|
"cagr_pct": 179.48,
|
|
"mdd_pct": 7.71,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 36.4,
|
|
"profit_factor": 4.25,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.18
|
|
}
|
|
},
|
|
"alpha_pct": -14.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 19.37,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.44,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.43,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 19.37
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 164975378,
|
|
"total_return_pct": 64.98,
|
|
"cagr_pct": 99.25,
|
|
"mdd_pct": 9.17,
|
|
"trades": 54,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.0,
|
|
"profit_factor": 3.62,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 17.31
|
|
}
|
|
},
|
|
"alpha_pct": -30.12
|
|
},
|
|
"test": {
|
|
"final_equity": 138014797,
|
|
"total_return_pct": 38.01,
|
|
"cagr_pct": 179.48,
|
|
"mdd_pct": 7.71,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 36.4,
|
|
"profit_factor": 4.25,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.18
|
|
}
|
|
},
|
|
"alpha_pct": -14.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 19.37,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.44,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.43,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 19.37
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 161997837,
|
|
"total_return_pct": 62.0,
|
|
"cagr_pct": 94.31,
|
|
"mdd_pct": 12.03,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 48.4,
|
|
"profit_factor": 3.78,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -33.1
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 14.33
|
|
}
|
|
},
|
|
"alpha_pct": -33.1
|
|
},
|
|
"test": {
|
|
"final_equity": 143810577,
|
|
"total_return_pct": 43.81,
|
|
"cagr_pct": 218.66,
|
|
"mdd_pct": 7.57,
|
|
"trades": 25,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 44.0,
|
|
"profit_factor": 5.51,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -9.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 57.98
|
|
}
|
|
},
|
|
"alpha_pct": -9.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 19.03,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.13,
|
|
"trades": 30
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.33,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 19.03
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 161997837,
|
|
"total_return_pct": 62.0,
|
|
"cagr_pct": 94.31,
|
|
"mdd_pct": 12.03,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 48.4,
|
|
"profit_factor": 3.78,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -33.1
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 14.33
|
|
}
|
|
},
|
|
"alpha_pct": -33.1
|
|
},
|
|
"test": {
|
|
"final_equity": 143810577,
|
|
"total_return_pct": 43.81,
|
|
"cagr_pct": 218.66,
|
|
"mdd_pct": 7.57,
|
|
"trades": 25,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 44.0,
|
|
"profit_factor": 5.51,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -9.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 57.98
|
|
}
|
|
},
|
|
"alpha_pct": -9.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 19.03,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.13,
|
|
"trades": 30
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.33,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 19.03
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 165916472,
|
|
"total_return_pct": 65.92,
|
|
"cagr_pct": 100.82,
|
|
"mdd_pct": 9.13,
|
|
"trades": 57,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 47.4,
|
|
"profit_factor": 3.92,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -29.18
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 18.25
|
|
}
|
|
},
|
|
"alpha_pct": -29.18
|
|
},
|
|
"test": {
|
|
"final_equity": 134293014,
|
|
"total_return_pct": 34.29,
|
|
"cagr_pct": 156.14,
|
|
"mdd_pct": 8.89,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 3.18,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.46
|
|
}
|
|
},
|
|
"alpha_pct": -18.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 19.03,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.03,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.35,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 19.03
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 165916472,
|
|
"total_return_pct": 65.92,
|
|
"cagr_pct": 100.82,
|
|
"mdd_pct": 9.13,
|
|
"trades": 57,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 47.4,
|
|
"profit_factor": 3.92,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -29.18
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 18.25
|
|
}
|
|
},
|
|
"alpha_pct": -29.18
|
|
},
|
|
"test": {
|
|
"final_equity": 134293014,
|
|
"total_return_pct": 34.29,
|
|
"cagr_pct": 156.14,
|
|
"mdd_pct": 8.89,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 3.18,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.46
|
|
}
|
|
},
|
|
"alpha_pct": -18.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 19.03,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.03,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.35,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 19.03
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 174200944,
|
|
"total_return_pct": 74.2,
|
|
"cagr_pct": 114.75,
|
|
"mdd_pct": 10.91,
|
|
"trades": 45,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 55.6,
|
|
"profit_factor": 5.46,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -20.9
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 26.53
|
|
}
|
|
},
|
|
"alpha_pct": -20.9
|
|
},
|
|
"test": {
|
|
"final_equity": 124193158,
|
|
"total_return_pct": 24.19,
|
|
"cagr_pct": 99.6,
|
|
"mdd_pct": 8.84,
|
|
"trades": 18,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 27.8,
|
|
"profit_factor": 3.16,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.36
|
|
}
|
|
},
|
|
"alpha_pct": -28.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.6,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.19,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.86,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 18.6
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 174200944,
|
|
"total_return_pct": 74.2,
|
|
"cagr_pct": 114.75,
|
|
"mdd_pct": 10.91,
|
|
"trades": 45,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 55.6,
|
|
"profit_factor": 5.46,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -20.9
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 26.53
|
|
}
|
|
},
|
|
"alpha_pct": -20.9
|
|
},
|
|
"test": {
|
|
"final_equity": 124193158,
|
|
"total_return_pct": 24.19,
|
|
"cagr_pct": 99.6,
|
|
"mdd_pct": 8.84,
|
|
"trades": 18,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 27.8,
|
|
"profit_factor": 3.16,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.36
|
|
}
|
|
},
|
|
"alpha_pct": -28.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.6,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.19,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.86,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 18.6
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 155067446,
|
|
"total_return_pct": 55.07,
|
|
"cagr_pct": 82.96,
|
|
"mdd_pct": 10.13,
|
|
"trades": 58,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 51.7,
|
|
"profit_factor": 3.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.03
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.4
|
|
}
|
|
},
|
|
"alpha_pct": -40.03
|
|
},
|
|
"test": {
|
|
"final_equity": 140355657,
|
|
"total_return_pct": 40.36,
|
|
"cagr_pct": 194.88,
|
|
"mdd_pct": 7.65,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -12.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 54.53
|
|
}
|
|
},
|
|
"alpha_pct": -12.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.44,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.29,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.58,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 18.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 155067446,
|
|
"total_return_pct": 55.07,
|
|
"cagr_pct": 82.96,
|
|
"mdd_pct": 10.13,
|
|
"trades": 58,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 51.7,
|
|
"profit_factor": 3.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.03
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.4
|
|
}
|
|
},
|
|
"alpha_pct": -40.03
|
|
},
|
|
"test": {
|
|
"final_equity": 140355657,
|
|
"total_return_pct": 40.36,
|
|
"cagr_pct": 194.88,
|
|
"mdd_pct": 7.65,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -12.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 54.53
|
|
}
|
|
},
|
|
"alpha_pct": -12.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.44,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.29,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.58,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 18.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 151733268,
|
|
"total_return_pct": 51.73,
|
|
"cagr_pct": 77.56,
|
|
"mdd_pct": 12.6,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.6,
|
|
"profit_factor": 2.89,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -43.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.06
|
|
}
|
|
},
|
|
"alpha_pct": -43.37
|
|
},
|
|
"test": {
|
|
"final_equity": 136554615,
|
|
"total_return_pct": 36.55,
|
|
"cagr_pct": 170.15,
|
|
"mdd_pct": 7.46,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -16.28
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 50.72
|
|
}
|
|
},
|
|
"alpha_pct": -16.28
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.12,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.8,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.29,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 18.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 151733268,
|
|
"total_return_pct": 51.73,
|
|
"cagr_pct": 77.56,
|
|
"mdd_pct": 12.6,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.6,
|
|
"profit_factor": 2.89,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -43.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.06
|
|
}
|
|
},
|
|
"alpha_pct": -43.37
|
|
},
|
|
"test": {
|
|
"final_equity": 136554615,
|
|
"total_return_pct": 36.55,
|
|
"cagr_pct": 170.15,
|
|
"mdd_pct": 7.46,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -16.28
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 50.72
|
|
}
|
|
},
|
|
"alpha_pct": -16.28
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.12,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.8,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.29,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 18.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 151685179,
|
|
"total_return_pct": 51.69,
|
|
"cagr_pct": 77.49,
|
|
"mdd_pct": 11.92,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.6,
|
|
"profit_factor": 3.03,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -43.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.02
|
|
}
|
|
},
|
|
"alpha_pct": -43.41
|
|
},
|
|
"test": {
|
|
"final_equity": 127733977,
|
|
"total_return_pct": 27.73,
|
|
"cagr_pct": 118.33,
|
|
"mdd_pct": 6.35,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.99,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.1
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.9
|
|
}
|
|
},
|
|
"alpha_pct": -25.1
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.12,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.45,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.17,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 18.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 151685179,
|
|
"total_return_pct": 51.69,
|
|
"cagr_pct": 77.49,
|
|
"mdd_pct": 11.92,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.6,
|
|
"profit_factor": 3.03,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -43.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.02
|
|
}
|
|
},
|
|
"alpha_pct": -43.41
|
|
},
|
|
"test": {
|
|
"final_equity": 127733977,
|
|
"total_return_pct": 27.73,
|
|
"cagr_pct": 118.33,
|
|
"mdd_pct": 6.35,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.99,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.1
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.9
|
|
}
|
|
},
|
|
"alpha_pct": -25.1
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.12,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.45,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.17,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 18.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 171224654,
|
|
"total_return_pct": 71.22,
|
|
"cagr_pct": 109.72,
|
|
"mdd_pct": 9.6,
|
|
"trades": 55,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 58.2,
|
|
"profit_factor": 6.05,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -23.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 23.55
|
|
}
|
|
},
|
|
"alpha_pct": -23.88
|
|
},
|
|
"test": {
|
|
"final_equity": 126024696,
|
|
"total_return_pct": 26.02,
|
|
"cagr_pct": 109.14,
|
|
"mdd_pct": 7.28,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 4.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.19
|
|
}
|
|
},
|
|
"alpha_pct": -26.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 20.65,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.1,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.97,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 18.1
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 171224654,
|
|
"total_return_pct": 71.22,
|
|
"cagr_pct": 109.72,
|
|
"mdd_pct": 9.6,
|
|
"trades": 55,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 58.2,
|
|
"profit_factor": 6.05,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -23.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 23.55
|
|
}
|
|
},
|
|
"alpha_pct": -23.88
|
|
},
|
|
"test": {
|
|
"final_equity": 126024696,
|
|
"total_return_pct": 26.02,
|
|
"cagr_pct": 109.14,
|
|
"mdd_pct": 7.28,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 4.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.19
|
|
}
|
|
},
|
|
"alpha_pct": -26.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 20.65,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.1,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.97,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 18.1
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 161910742,
|
|
"total_return_pct": 61.91,
|
|
"cagr_pct": 94.17,
|
|
"mdd_pct": 12.19,
|
|
"trades": 52,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 51.9,
|
|
"profit_factor": 4.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -33.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 14.24
|
|
}
|
|
},
|
|
"alpha_pct": -33.19
|
|
},
|
|
"test": {
|
|
"final_equity": 132304912,
|
|
"total_return_pct": 32.3,
|
|
"cagr_pct": 144.24,
|
|
"mdd_pct": 7.38,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 47.6,
|
|
"profit_factor": 4.98,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.47
|
|
}
|
|
},
|
|
"alpha_pct": -20.53
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.02,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.29,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.52,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 18.02
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 161910742,
|
|
"total_return_pct": 61.91,
|
|
"cagr_pct": 94.17,
|
|
"mdd_pct": 12.19,
|
|
"trades": 52,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 51.9,
|
|
"profit_factor": 4.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -33.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 14.24
|
|
}
|
|
},
|
|
"alpha_pct": -33.19
|
|
},
|
|
"test": {
|
|
"final_equity": 132304912,
|
|
"total_return_pct": 32.3,
|
|
"cagr_pct": 144.24,
|
|
"mdd_pct": 7.38,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 47.6,
|
|
"profit_factor": 4.98,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.47
|
|
}
|
|
},
|
|
"alpha_pct": -20.53
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.02,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.29,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.52,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 18.02
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 158273539,
|
|
"total_return_pct": 58.27,
|
|
"cagr_pct": 88.19,
|
|
"mdd_pct": 10.15,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.1,
|
|
"profit_factor": 4.22,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 10.6
|
|
}
|
|
},
|
|
"alpha_pct": -36.83
|
|
},
|
|
"test": {
|
|
"final_equity": 127858542,
|
|
"total_return_pct": 27.86,
|
|
"cagr_pct": 119.01,
|
|
"mdd_pct": 9.19,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 3.46,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.03
|
|
}
|
|
},
|
|
"alpha_pct": -24.97
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.02,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.08,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.61,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 18.02
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 158273539,
|
|
"total_return_pct": 58.27,
|
|
"cagr_pct": 88.19,
|
|
"mdd_pct": 10.15,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.1,
|
|
"profit_factor": 4.22,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 10.6
|
|
}
|
|
},
|
|
"alpha_pct": -36.83
|
|
},
|
|
"test": {
|
|
"final_equity": 127858542,
|
|
"total_return_pct": 27.86,
|
|
"cagr_pct": 119.01,
|
|
"mdd_pct": 9.19,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 3.46,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.03
|
|
}
|
|
},
|
|
"alpha_pct": -24.97
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.02,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.08,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.61,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 18.02
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 171023912,
|
|
"total_return_pct": 71.02,
|
|
"cagr_pct": 109.38,
|
|
"mdd_pct": 9.52,
|
|
"trades": 55,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 58.2,
|
|
"profit_factor": 5.81,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -24.08
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 23.35
|
|
}
|
|
},
|
|
"alpha_pct": -24.08
|
|
},
|
|
"test": {
|
|
"final_equity": 130958031,
|
|
"total_return_pct": 30.96,
|
|
"cagr_pct": 136.39,
|
|
"mdd_pct": 7.85,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 4.09,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.13
|
|
}
|
|
},
|
|
"alpha_pct": -21.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 20.52,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.0,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.48,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 18.0
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 171023912,
|
|
"total_return_pct": 71.02,
|
|
"cagr_pct": 109.38,
|
|
"mdd_pct": 9.52,
|
|
"trades": 55,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 58.2,
|
|
"profit_factor": 5.81,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -24.08
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 23.35
|
|
}
|
|
},
|
|
"alpha_pct": -24.08
|
|
},
|
|
"test": {
|
|
"final_equity": 130958031,
|
|
"total_return_pct": 30.96,
|
|
"cagr_pct": 136.39,
|
|
"mdd_pct": 7.85,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 4.09,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.13
|
|
}
|
|
},
|
|
"alpha_pct": -21.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 20.52,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.0,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.48,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 18.0
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 167701876,
|
|
"total_return_pct": 67.7,
|
|
"cagr_pct": 103.8,
|
|
"mdd_pct": 12.31,
|
|
"trades": 55,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 52.7,
|
|
"profit_factor": 5.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -27.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 20.03
|
|
}
|
|
},
|
|
"alpha_pct": -27.4
|
|
},
|
|
"test": {
|
|
"final_equity": 126430268,
|
|
"total_return_pct": 26.43,
|
|
"cagr_pct": 111.3,
|
|
"mdd_pct": 7.26,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 4.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.6
|
|
}
|
|
},
|
|
"alpha_pct": -26.4
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.74,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.46,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.32,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 17.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 167701876,
|
|
"total_return_pct": 67.7,
|
|
"cagr_pct": 103.8,
|
|
"mdd_pct": 12.31,
|
|
"trades": 55,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 52.7,
|
|
"profit_factor": 5.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -27.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 20.03
|
|
}
|
|
},
|
|
"alpha_pct": -27.4
|
|
},
|
|
"test": {
|
|
"final_equity": 126430268,
|
|
"total_return_pct": 26.43,
|
|
"cagr_pct": 111.3,
|
|
"mdd_pct": 7.26,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 4.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.6
|
|
}
|
|
},
|
|
"alpha_pct": -26.4
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.74,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.46,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.32,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 17.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 158583648,
|
|
"total_return_pct": 58.58,
|
|
"cagr_pct": 88.7,
|
|
"mdd_pct": 9.77,
|
|
"trades": 61,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.8,
|
|
"profit_factor": 4.41,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 10.91
|
|
}
|
|
},
|
|
"alpha_pct": -36.52
|
|
},
|
|
"test": {
|
|
"final_equity": 135733266,
|
|
"total_return_pct": 35.73,
|
|
"cagr_pct": 165.0,
|
|
"mdd_pct": 7.53,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 4.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.1
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.9
|
|
}
|
|
},
|
|
"alpha_pct": -17.1
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.41,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.72,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 49.24,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 17.72
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 158583648,
|
|
"total_return_pct": 58.58,
|
|
"cagr_pct": 88.7,
|
|
"mdd_pct": 9.77,
|
|
"trades": 61,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.8,
|
|
"profit_factor": 4.41,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 10.91
|
|
}
|
|
},
|
|
"alpha_pct": -36.52
|
|
},
|
|
"test": {
|
|
"final_equity": 135733266,
|
|
"total_return_pct": 35.73,
|
|
"cagr_pct": 165.0,
|
|
"mdd_pct": 7.53,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 4.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.1
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.9
|
|
}
|
|
},
|
|
"alpha_pct": -17.1
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.41,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.72,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 49.24,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 17.72
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 165667298,
|
|
"total_return_pct": 65.67,
|
|
"cagr_pct": 100.4,
|
|
"mdd_pct": 9.9,
|
|
"trades": 59,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 42.4,
|
|
"profit_factor": 3.63,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -29.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 18.0
|
|
}
|
|
},
|
|
"alpha_pct": -29.43
|
|
},
|
|
"test": {
|
|
"final_equity": 138643359,
|
|
"total_return_pct": 38.64,
|
|
"cagr_pct": 183.56,
|
|
"mdd_pct": 8.73,
|
|
"trades": 21,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.88,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.81
|
|
}
|
|
},
|
|
"alpha_pct": -14.19
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.69,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.54,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.78,
|
|
"trades": 30
|
|
}
|
|
],
|
|
"worst_ret": 17.69
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 165667298,
|
|
"total_return_pct": 65.67,
|
|
"cagr_pct": 100.4,
|
|
"mdd_pct": 9.9,
|
|
"trades": 59,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 42.4,
|
|
"profit_factor": 3.63,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -29.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 18.0
|
|
}
|
|
},
|
|
"alpha_pct": -29.43
|
|
},
|
|
"test": {
|
|
"final_equity": 138643359,
|
|
"total_return_pct": 38.64,
|
|
"cagr_pct": 183.56,
|
|
"mdd_pct": 8.73,
|
|
"trades": 21,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.88,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.81
|
|
}
|
|
},
|
|
"alpha_pct": -14.19
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.69,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.54,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.78,
|
|
"trades": 30
|
|
}
|
|
],
|
|
"worst_ret": 17.69
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 165958757,
|
|
"total_return_pct": 65.96,
|
|
"cagr_pct": 100.89,
|
|
"mdd_pct": 10.05,
|
|
"trades": 52,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 5.47,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -29.14
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 18.29
|
|
}
|
|
},
|
|
"alpha_pct": -29.14
|
|
},
|
|
"test": {
|
|
"final_equity": 118514299,
|
|
"total_return_pct": 18.51,
|
|
"cagr_pct": 71.92,
|
|
"mdd_pct": 8.68,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 2.78,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -34.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 32.68
|
|
}
|
|
},
|
|
"alpha_pct": -34.32
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.66,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.58,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.72,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 17.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 165958757,
|
|
"total_return_pct": 65.96,
|
|
"cagr_pct": 100.89,
|
|
"mdd_pct": 10.05,
|
|
"trades": 52,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 5.47,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -29.14
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 18.29
|
|
}
|
|
},
|
|
"alpha_pct": -29.14
|
|
},
|
|
"test": {
|
|
"final_equity": 118514299,
|
|
"total_return_pct": 18.51,
|
|
"cagr_pct": 71.92,
|
|
"mdd_pct": 8.68,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 2.78,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -34.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 32.68
|
|
}
|
|
},
|
|
"alpha_pct": -34.32
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.66,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.58,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.72,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 17.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 167527946,
|
|
"total_return_pct": 67.53,
|
|
"cagr_pct": 103.51,
|
|
"mdd_pct": 12.12,
|
|
"trades": 55,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 52.7,
|
|
"profit_factor": 5.29,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -27.57
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 19.86
|
|
}
|
|
},
|
|
"alpha_pct": -27.57
|
|
},
|
|
"test": {
|
|
"final_equity": 131498343,
|
|
"total_return_pct": 31.5,
|
|
"cagr_pct": 139.52,
|
|
"mdd_pct": 7.83,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 4.13,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.67
|
|
}
|
|
},
|
|
"alpha_pct": -21.33
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.6,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.18,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.68,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 17.6
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 167527946,
|
|
"total_return_pct": 67.53,
|
|
"cagr_pct": 103.51,
|
|
"mdd_pct": 12.12,
|
|
"trades": 55,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 52.7,
|
|
"profit_factor": 5.29,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -27.57
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 19.86
|
|
}
|
|
},
|
|
"alpha_pct": -27.57
|
|
},
|
|
"test": {
|
|
"final_equity": 131498343,
|
|
"total_return_pct": 31.5,
|
|
"cagr_pct": 139.52,
|
|
"mdd_pct": 7.83,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 4.13,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.67
|
|
}
|
|
},
|
|
"alpha_pct": -21.33
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.6,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.18,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.68,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 17.6
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 164793236,
|
|
"total_return_pct": 64.79,
|
|
"cagr_pct": 98.95,
|
|
"mdd_pct": 10.07,
|
|
"trades": 52,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 5.07,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 17.12
|
|
}
|
|
},
|
|
"alpha_pct": -30.31
|
|
},
|
|
"test": {
|
|
"final_equity": 123782605,
|
|
"total_return_pct": 23.78,
|
|
"cagr_pct": 97.5,
|
|
"mdd_pct": 9.45,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 2.82,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -29.05
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 37.95
|
|
}
|
|
},
|
|
"alpha_pct": -29.05
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.53,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.41,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 43.25,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 17.53
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 164793236,
|
|
"total_return_pct": 64.79,
|
|
"cagr_pct": 98.95,
|
|
"mdd_pct": 10.07,
|
|
"trades": 52,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 5.07,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 17.12
|
|
}
|
|
},
|
|
"alpha_pct": -30.31
|
|
},
|
|
"test": {
|
|
"final_equity": 123782605,
|
|
"total_return_pct": 23.78,
|
|
"cagr_pct": 97.5,
|
|
"mdd_pct": 9.45,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 2.82,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -29.05
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 37.95
|
|
}
|
|
},
|
|
"alpha_pct": -29.05
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.53,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.41,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 43.25,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 17.53
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 153020480,
|
|
"total_return_pct": 53.02,
|
|
"cagr_pct": 79.64,
|
|
"mdd_pct": 9.89,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 4.48,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.08
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 5.35
|
|
}
|
|
},
|
|
"alpha_pct": -42.08
|
|
},
|
|
"test": {
|
|
"final_equity": 127637477,
|
|
"total_return_pct": 27.64,
|
|
"cagr_pct": 117.8,
|
|
"mdd_pct": 7.1,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 45.0,
|
|
"profit_factor": 5.75,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.81
|
|
}
|
|
},
|
|
"alpha_pct": -25.19
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.49,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.4,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.77,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 17.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 153020480,
|
|
"total_return_pct": 53.02,
|
|
"cagr_pct": 79.64,
|
|
"mdd_pct": 9.89,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 4.48,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.08
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 5.35
|
|
}
|
|
},
|
|
"alpha_pct": -42.08
|
|
},
|
|
"test": {
|
|
"final_equity": 127637477,
|
|
"total_return_pct": 27.64,
|
|
"cagr_pct": 117.8,
|
|
"mdd_pct": 7.1,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 45.0,
|
|
"profit_factor": 5.75,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.81
|
|
}
|
|
},
|
|
"alpha_pct": -25.19
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.49,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.4,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.77,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 17.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 155470939,
|
|
"total_return_pct": 55.47,
|
|
"cagr_pct": 83.62,
|
|
"mdd_pct": 9.78,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 43.4,
|
|
"profit_factor": 3.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.63
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.8
|
|
}
|
|
},
|
|
"alpha_pct": -39.63
|
|
},
|
|
"test": {
|
|
"final_equity": 126542295,
|
|
"total_return_pct": 26.54,
|
|
"cagr_pct": 111.89,
|
|
"mdd_pct": 6.11,
|
|
"trades": 25,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 3.95,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.71
|
|
}
|
|
},
|
|
"alpha_pct": -26.29
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.49,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.03,
|
|
"trades": 34
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 26.36,
|
|
"trades": 41
|
|
}
|
|
],
|
|
"worst_ret": 17.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 155470939,
|
|
"total_return_pct": 55.47,
|
|
"cagr_pct": 83.62,
|
|
"mdd_pct": 9.78,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 43.4,
|
|
"profit_factor": 3.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.63
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.8
|
|
}
|
|
},
|
|
"alpha_pct": -39.63
|
|
},
|
|
"test": {
|
|
"final_equity": 126542295,
|
|
"total_return_pct": 26.54,
|
|
"cagr_pct": 111.89,
|
|
"mdd_pct": 6.11,
|
|
"trades": 25,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 3.95,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.71
|
|
}
|
|
},
|
|
"alpha_pct": -26.29
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.49,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.03,
|
|
"trades": 34
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 26.36,
|
|
"trades": 41
|
|
}
|
|
],
|
|
"worst_ret": 17.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 151976668,
|
|
"total_return_pct": 51.98,
|
|
"cagr_pct": 77.96,
|
|
"mdd_pct": 12.07,
|
|
"trades": 60,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 53.3,
|
|
"profit_factor": 4.14,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -43.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.31
|
|
}
|
|
},
|
|
"alpha_pct": -43.12
|
|
},
|
|
"test": {
|
|
"final_equity": 140947253,
|
|
"total_return_pct": 40.95,
|
|
"cagr_pct": 198.86,
|
|
"mdd_pct": 7.48,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 47.6,
|
|
"profit_factor": 5.63,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -11.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.12
|
|
}
|
|
},
|
|
"alpha_pct": -11.88
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.44,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.48,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.8,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 17.48
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 151976668,
|
|
"total_return_pct": 51.98,
|
|
"cagr_pct": 77.96,
|
|
"mdd_pct": 12.07,
|
|
"trades": 60,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 53.3,
|
|
"profit_factor": 4.14,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -43.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.31
|
|
}
|
|
},
|
|
"alpha_pct": -43.12
|
|
},
|
|
"test": {
|
|
"final_equity": 140947253,
|
|
"total_return_pct": 40.95,
|
|
"cagr_pct": 198.86,
|
|
"mdd_pct": 7.48,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 47.6,
|
|
"profit_factor": 5.63,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -11.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.12
|
|
}
|
|
},
|
|
"alpha_pct": -11.88
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.44,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.48,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.8,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 17.48
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 154729020,
|
|
"total_return_pct": 54.73,
|
|
"cagr_pct": 82.41,
|
|
"mdd_pct": 10.38,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 43.4,
|
|
"profit_factor": 3.14,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.06
|
|
}
|
|
},
|
|
"alpha_pct": -40.37
|
|
},
|
|
"test": {
|
|
"final_equity": 130546625,
|
|
"total_return_pct": 30.55,
|
|
"cagr_pct": 134.03,
|
|
"mdd_pct": 7.12,
|
|
"trades": 25,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 3.36,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -22.28
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 44.72
|
|
}
|
|
},
|
|
"alpha_pct": -22.28
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.31,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.19,
|
|
"trades": 34
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.11,
|
|
"trades": 41
|
|
}
|
|
],
|
|
"worst_ret": 17.31
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 154729020,
|
|
"total_return_pct": 54.73,
|
|
"cagr_pct": 82.41,
|
|
"mdd_pct": 10.38,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 43.4,
|
|
"profit_factor": 3.14,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.06
|
|
}
|
|
},
|
|
"alpha_pct": -40.37
|
|
},
|
|
"test": {
|
|
"final_equity": 130546625,
|
|
"total_return_pct": 30.55,
|
|
"cagr_pct": 134.03,
|
|
"mdd_pct": 7.12,
|
|
"trades": 25,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 3.36,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -22.28
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 44.72
|
|
}
|
|
},
|
|
"alpha_pct": -22.28
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.31,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.19,
|
|
"trades": 34
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.11,
|
|
"trades": 41
|
|
}
|
|
],
|
|
"worst_ret": 17.31
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 157168546,
|
|
"total_return_pct": 57.17,
|
|
"cagr_pct": 86.38,
|
|
"mdd_pct": 10.11,
|
|
"trades": 67,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.7,
|
|
"profit_factor": 3.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -37.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.5
|
|
}
|
|
},
|
|
"alpha_pct": -37.93
|
|
},
|
|
"test": {
|
|
"final_equity": 139992681,
|
|
"total_return_pct": 39.99,
|
|
"cagr_pct": 192.45,
|
|
"mdd_pct": 8.63,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 34.8,
|
|
"profit_factor": 4.07,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -12.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 54.16
|
|
}
|
|
},
|
|
"alpha_pct": -12.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.2,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.72,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 48.42,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 17.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 157168546,
|
|
"total_return_pct": 57.17,
|
|
"cagr_pct": 86.38,
|
|
"mdd_pct": 10.11,
|
|
"trades": 67,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.7,
|
|
"profit_factor": 3.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -37.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.5
|
|
}
|
|
},
|
|
"alpha_pct": -37.93
|
|
},
|
|
"test": {
|
|
"final_equity": 139992681,
|
|
"total_return_pct": 39.99,
|
|
"cagr_pct": 192.45,
|
|
"mdd_pct": 8.63,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 34.8,
|
|
"profit_factor": 4.07,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -12.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 54.16
|
|
}
|
|
},
|
|
"alpha_pct": -12.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.2,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.72,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 48.42,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 17.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 156296595,
|
|
"total_return_pct": 56.3,
|
|
"cagr_pct": 84.96,
|
|
"mdd_pct": 11.27,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.8,
|
|
"profit_factor": 3.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 8.63
|
|
}
|
|
},
|
|
"alpha_pct": -38.8
|
|
},
|
|
"test": {
|
|
"final_equity": 139189770,
|
|
"total_return_pct": 39.19,
|
|
"cagr_pct": 187.14,
|
|
"mdd_pct": 9.2,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 36.4,
|
|
"profit_factor": 4.69,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.36
|
|
}
|
|
},
|
|
"alpha_pct": -13.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.92,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.5,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.93,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 16.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 156296595,
|
|
"total_return_pct": 56.3,
|
|
"cagr_pct": 84.96,
|
|
"mdd_pct": 11.27,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.8,
|
|
"profit_factor": 3.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 8.63
|
|
}
|
|
},
|
|
"alpha_pct": -38.8
|
|
},
|
|
"test": {
|
|
"final_equity": 139189770,
|
|
"total_return_pct": 39.19,
|
|
"cagr_pct": 187.14,
|
|
"mdd_pct": 9.2,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 36.4,
|
|
"profit_factor": 4.69,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.36
|
|
}
|
|
},
|
|
"alpha_pct": -13.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.92,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.5,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.93,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 16.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 150968363,
|
|
"total_return_pct": 50.97,
|
|
"cagr_pct": 76.33,
|
|
"mdd_pct": 11.96,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 2.84,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.3
|
|
}
|
|
},
|
|
"alpha_pct": -44.13
|
|
},
|
|
"test": {
|
|
"final_equity": 138054898,
|
|
"total_return_pct": 38.05,
|
|
"cagr_pct": 179.74,
|
|
"mdd_pct": 7.33,
|
|
"trades": 23,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 5.22,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.22
|
|
}
|
|
},
|
|
"alpha_pct": -14.78
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.92,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.56,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.53,
|
|
"trades": 33
|
|
}
|
|
],
|
|
"worst_ret": 16.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 150968363,
|
|
"total_return_pct": 50.97,
|
|
"cagr_pct": 76.33,
|
|
"mdd_pct": 11.96,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 2.84,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.3
|
|
}
|
|
},
|
|
"alpha_pct": -44.13
|
|
},
|
|
"test": {
|
|
"final_equity": 138054898,
|
|
"total_return_pct": 38.05,
|
|
"cagr_pct": 179.74,
|
|
"mdd_pct": 7.33,
|
|
"trades": 23,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 5.22,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.22
|
|
}
|
|
},
|
|
"alpha_pct": -14.78
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.92,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.56,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.53,
|
|
"trades": 33
|
|
}
|
|
],
|
|
"worst_ret": 16.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 155224484,
|
|
"total_return_pct": 55.22,
|
|
"cagr_pct": 83.22,
|
|
"mdd_pct": 9.5,
|
|
"trades": 59,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.3,
|
|
"profit_factor": 2.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.55
|
|
}
|
|
},
|
|
"alpha_pct": -39.88
|
|
},
|
|
"test": {
|
|
"final_equity": 134597101,
|
|
"total_return_pct": 34.6,
|
|
"cagr_pct": 157.99,
|
|
"mdd_pct": 7.84,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 3.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.77
|
|
}
|
|
},
|
|
"alpha_pct": -18.23
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.92,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.63,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.0,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 16.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 155224484,
|
|
"total_return_pct": 55.22,
|
|
"cagr_pct": 83.22,
|
|
"mdd_pct": 9.5,
|
|
"trades": 59,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.3,
|
|
"profit_factor": 2.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.55
|
|
}
|
|
},
|
|
"alpha_pct": -39.88
|
|
},
|
|
"test": {
|
|
"final_equity": 134597101,
|
|
"total_return_pct": 34.6,
|
|
"cagr_pct": 157.99,
|
|
"mdd_pct": 7.84,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 3.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.77
|
|
}
|
|
},
|
|
"alpha_pct": -18.23
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.92,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.63,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.0,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 16.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 151962196,
|
|
"total_return_pct": 51.96,
|
|
"cagr_pct": 77.93,
|
|
"mdd_pct": 9.95,
|
|
"trades": 58,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 51.7,
|
|
"profit_factor": 4.37,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -43.14
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.29
|
|
}
|
|
},
|
|
"alpha_pct": -43.14
|
|
},
|
|
"test": {
|
|
"final_equity": 126043029,
|
|
"total_return_pct": 26.04,
|
|
"cagr_pct": 109.24,
|
|
"mdd_pct": 5.92,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 4.91,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.21
|
|
}
|
|
},
|
|
"alpha_pct": -26.79
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.46,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.57,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.88,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 16.46
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 151962196,
|
|
"total_return_pct": 51.96,
|
|
"cagr_pct": 77.93,
|
|
"mdd_pct": 9.95,
|
|
"trades": 58,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 51.7,
|
|
"profit_factor": 4.37,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -43.14
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.29
|
|
}
|
|
},
|
|
"alpha_pct": -43.14
|
|
},
|
|
"test": {
|
|
"final_equity": 126043029,
|
|
"total_return_pct": 26.04,
|
|
"cagr_pct": 109.24,
|
|
"mdd_pct": 5.92,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 4.91,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.21
|
|
}
|
|
},
|
|
"alpha_pct": -26.79
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.46,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.57,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.88,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 16.46
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 149886955,
|
|
"total_return_pct": 49.89,
|
|
"cagr_pct": 74.6,
|
|
"mdd_pct": 11.22,
|
|
"trades": 60,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 53.3,
|
|
"profit_factor": 4.62,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.22
|
|
}
|
|
},
|
|
"alpha_pct": -45.21
|
|
},
|
|
"test": {
|
|
"final_equity": 126001406,
|
|
"total_return_pct": 26.0,
|
|
"cagr_pct": 109.02,
|
|
"mdd_pct": 5.32,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 47.6,
|
|
"profit_factor": 5.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.17
|
|
}
|
|
},
|
|
"alpha_pct": -26.83
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.46,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.2,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 25.32,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 16.46
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 149886955,
|
|
"total_return_pct": 49.89,
|
|
"cagr_pct": 74.6,
|
|
"mdd_pct": 11.22,
|
|
"trades": 60,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 53.3,
|
|
"profit_factor": 4.62,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.22
|
|
}
|
|
},
|
|
"alpha_pct": -45.21
|
|
},
|
|
"test": {
|
|
"final_equity": 126001406,
|
|
"total_return_pct": 26.0,
|
|
"cagr_pct": 109.02,
|
|
"mdd_pct": 5.32,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 47.6,
|
|
"profit_factor": 5.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.17
|
|
}
|
|
},
|
|
"alpha_pct": -26.83
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.46,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.2,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 25.32,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 16.46
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 163081259,
|
|
"total_return_pct": 63.08,
|
|
"cagr_pct": 96.11,
|
|
"mdd_pct": 9.14,
|
|
"trades": 54,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.0,
|
|
"profit_factor": 4.15,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -32.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 15.41
|
|
}
|
|
},
|
|
"alpha_pct": -32.02
|
|
},
|
|
"test": {
|
|
"final_equity": 122527264,
|
|
"total_return_pct": 22.53,
|
|
"cagr_pct": 91.18,
|
|
"mdd_pct": 5.5,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 36.4,
|
|
"profit_factor": 3.91,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.3
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.7
|
|
}
|
|
},
|
|
"alpha_pct": -30.3
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.27,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.02,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.62,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 16.27
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 163081259,
|
|
"total_return_pct": 63.08,
|
|
"cagr_pct": 96.11,
|
|
"mdd_pct": 9.14,
|
|
"trades": 54,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.0,
|
|
"profit_factor": 4.15,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -32.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 15.41
|
|
}
|
|
},
|
|
"alpha_pct": -32.02
|
|
},
|
|
"test": {
|
|
"final_equity": 122527264,
|
|
"total_return_pct": 22.53,
|
|
"cagr_pct": 91.18,
|
|
"mdd_pct": 5.5,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 36.4,
|
|
"profit_factor": 3.91,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.3
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.7
|
|
}
|
|
},
|
|
"alpha_pct": -30.3
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.27,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.02,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.62,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 16.27
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 155309519,
|
|
"total_return_pct": 55.31,
|
|
"cagr_pct": 83.35,
|
|
"mdd_pct": 10.07,
|
|
"trades": 70,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 47.1,
|
|
"profit_factor": 3.75,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.64
|
|
}
|
|
},
|
|
"alpha_pct": -39.79
|
|
},
|
|
"test": {
|
|
"final_equity": 131666462,
|
|
"total_return_pct": 31.67,
|
|
"cagr_pct": 140.5,
|
|
"mdd_pct": 6.78,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 30.4,
|
|
"profit_factor": 4.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.84
|
|
}
|
|
},
|
|
"alpha_pct": -21.16
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.17,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.28,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.97,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 16.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 155309519,
|
|
"total_return_pct": 55.31,
|
|
"cagr_pct": 83.35,
|
|
"mdd_pct": 10.07,
|
|
"trades": 70,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 47.1,
|
|
"profit_factor": 3.75,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.64
|
|
}
|
|
},
|
|
"alpha_pct": -39.79
|
|
},
|
|
"test": {
|
|
"final_equity": 131666462,
|
|
"total_return_pct": 31.67,
|
|
"cagr_pct": 140.5,
|
|
"mdd_pct": 6.78,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 30.4,
|
|
"profit_factor": 4.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.84
|
|
}
|
|
},
|
|
"alpha_pct": -21.16
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.17,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.28,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.97,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 16.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 155770824,
|
|
"total_return_pct": 55.77,
|
|
"cagr_pct": 84.1,
|
|
"mdd_pct": 10.06,
|
|
"trades": 70,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 47.1,
|
|
"profit_factor": 3.52,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 8.1
|
|
}
|
|
},
|
|
"alpha_pct": -39.33
|
|
},
|
|
"test": {
|
|
"final_equity": 133330148,
|
|
"total_return_pct": 33.33,
|
|
"cagr_pct": 150.33,
|
|
"mdd_pct": 7.64,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 30.4,
|
|
"profit_factor": 3.93,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.5
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.5
|
|
}
|
|
},
|
|
"alpha_pct": -19.5
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.16,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.97,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 41.35,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 16.16
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 155770824,
|
|
"total_return_pct": 55.77,
|
|
"cagr_pct": 84.1,
|
|
"mdd_pct": 10.06,
|
|
"trades": 70,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 47.1,
|
|
"profit_factor": 3.52,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 8.1
|
|
}
|
|
},
|
|
"alpha_pct": -39.33
|
|
},
|
|
"test": {
|
|
"final_equity": 133330148,
|
|
"total_return_pct": 33.33,
|
|
"cagr_pct": 150.33,
|
|
"mdd_pct": 7.64,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 30.4,
|
|
"profit_factor": 3.93,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.5
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.5
|
|
}
|
|
},
|
|
"alpha_pct": -19.5
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.16,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.97,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 41.35,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 16.16
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 159584978,
|
|
"total_return_pct": 59.58,
|
|
"cagr_pct": 90.34,
|
|
"mdd_pct": 12.08,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.3,
|
|
"profit_factor": 3.69,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -35.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 11.91
|
|
}
|
|
},
|
|
"alpha_pct": -35.52
|
|
},
|
|
"test": {
|
|
"final_equity": 127682130,
|
|
"total_return_pct": 27.68,
|
|
"cagr_pct": 118.04,
|
|
"mdd_pct": 6.08,
|
|
"trades": 25,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 4.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.15
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.85
|
|
}
|
|
},
|
|
"alpha_pct": -25.15
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.12,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.47,
|
|
"trades": 34
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.57,
|
|
"trades": 41
|
|
}
|
|
],
|
|
"worst_ret": 16.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 159584978,
|
|
"total_return_pct": 59.58,
|
|
"cagr_pct": 90.34,
|
|
"mdd_pct": 12.08,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.3,
|
|
"profit_factor": 3.69,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -35.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 11.91
|
|
}
|
|
},
|
|
"alpha_pct": -35.52
|
|
},
|
|
"test": {
|
|
"final_equity": 127682130,
|
|
"total_return_pct": 27.68,
|
|
"cagr_pct": 118.04,
|
|
"mdd_pct": 6.08,
|
|
"trades": 25,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 4.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.15
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.85
|
|
}
|
|
},
|
|
"alpha_pct": -25.15
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.12,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.47,
|
|
"trades": 34
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.57,
|
|
"trades": 41
|
|
}
|
|
],
|
|
"worst_ret": 16.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 153927473,
|
|
"total_return_pct": 53.93,
|
|
"cagr_pct": 81.11,
|
|
"mdd_pct": 9.99,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 43.1,
|
|
"profit_factor": 3.7,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -41.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 6.26
|
|
}
|
|
},
|
|
"alpha_pct": -41.17
|
|
},
|
|
"test": {
|
|
"final_equity": 122175136,
|
|
"total_return_pct": 22.18,
|
|
"cagr_pct": 89.44,
|
|
"mdd_pct": 8.29,
|
|
"trades": 27,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 25.9,
|
|
"profit_factor": 2.54,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.35
|
|
}
|
|
},
|
|
"alpha_pct": -30.65
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.03,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.01,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 24.62,
|
|
"trades": 39
|
|
}
|
|
],
|
|
"worst_ret": 16.03
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 153927473,
|
|
"total_return_pct": 53.93,
|
|
"cagr_pct": 81.11,
|
|
"mdd_pct": 9.99,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 43.1,
|
|
"profit_factor": 3.7,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -41.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 6.26
|
|
}
|
|
},
|
|
"alpha_pct": -41.17
|
|
},
|
|
"test": {
|
|
"final_equity": 122175136,
|
|
"total_return_pct": 22.18,
|
|
"cagr_pct": 89.44,
|
|
"mdd_pct": 8.29,
|
|
"trades": 27,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 25.9,
|
|
"profit_factor": 2.54,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.35
|
|
}
|
|
},
|
|
"alpha_pct": -30.65
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.03,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.01,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 24.62,
|
|
"trades": 39
|
|
}
|
|
],
|
|
"worst_ret": 16.03
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 158972800,
|
|
"total_return_pct": 58.97,
|
|
"cagr_pct": 89.34,
|
|
"mdd_pct": 12.0,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.3,
|
|
"profit_factor": 3.48,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 11.3
|
|
}
|
|
},
|
|
"alpha_pct": -36.13
|
|
},
|
|
"test": {
|
|
"final_equity": 132475928,
|
|
"total_return_pct": 32.48,
|
|
"cagr_pct": 145.25,
|
|
"mdd_pct": 7.05,
|
|
"trades": 25,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 3.48,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.65
|
|
}
|
|
},
|
|
"alpha_pct": -20.35
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.99,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.6,
|
|
"trades": 34
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 23.33,
|
|
"trades": 41
|
|
}
|
|
],
|
|
"worst_ret": 15.99
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 158972800,
|
|
"total_return_pct": 58.97,
|
|
"cagr_pct": 89.34,
|
|
"mdd_pct": 12.0,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.3,
|
|
"profit_factor": 3.48,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 11.3
|
|
}
|
|
},
|
|
"alpha_pct": -36.13
|
|
},
|
|
"test": {
|
|
"final_equity": 132475928,
|
|
"total_return_pct": 32.48,
|
|
"cagr_pct": 145.25,
|
|
"mdd_pct": 7.05,
|
|
"trades": 25,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 3.48,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.65
|
|
}
|
|
},
|
|
"alpha_pct": -20.35
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.99,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.6,
|
|
"trades": 34
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 23.33,
|
|
"trades": 41
|
|
}
|
|
],
|
|
"worst_ret": 15.99
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 152463890,
|
|
"total_return_pct": 52.46,
|
|
"cagr_pct": 78.74,
|
|
"mdd_pct": 9.75,
|
|
"trades": 61,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.8,
|
|
"profit_factor": 4.73,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.79
|
|
}
|
|
},
|
|
"alpha_pct": -42.64
|
|
},
|
|
"test": {
|
|
"final_equity": 124067343,
|
|
"total_return_pct": 24.07,
|
|
"cagr_pct": 98.96,
|
|
"mdd_pct": 5.68,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 4.2,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.24
|
|
}
|
|
},
|
|
"alpha_pct": -28.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.98,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.76,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.19,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 15.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 152463890,
|
|
"total_return_pct": 52.46,
|
|
"cagr_pct": 78.74,
|
|
"mdd_pct": 9.75,
|
|
"trades": 61,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.8,
|
|
"profit_factor": 4.73,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.79
|
|
}
|
|
},
|
|
"alpha_pct": -42.64
|
|
},
|
|
"test": {
|
|
"final_equity": 124067343,
|
|
"total_return_pct": 24.07,
|
|
"cagr_pct": 98.96,
|
|
"mdd_pct": 5.68,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 4.2,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.24
|
|
}
|
|
},
|
|
"alpha_pct": -28.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.98,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.76,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.19,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 15.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 147676507,
|
|
"total_return_pct": 47.68,
|
|
"cagr_pct": 71.06,
|
|
"mdd_pct": 11.26,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.4,
|
|
"profit_factor": 2.85,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.01
|
|
}
|
|
},
|
|
"alpha_pct": -47.42
|
|
},
|
|
"test": {
|
|
"final_equity": 133916134,
|
|
"total_return_pct": 33.92,
|
|
"cagr_pct": 153.85,
|
|
"mdd_pct": 9.26,
|
|
"trades": 27,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.31,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.09
|
|
}
|
|
},
|
|
"alpha_pct": -18.91
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.96,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.35,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.64,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 15.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 147676507,
|
|
"total_return_pct": 47.68,
|
|
"cagr_pct": 71.06,
|
|
"mdd_pct": 11.26,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.4,
|
|
"profit_factor": 2.85,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.01
|
|
}
|
|
},
|
|
"alpha_pct": -47.42
|
|
},
|
|
"test": {
|
|
"final_equity": 133916134,
|
|
"total_return_pct": 33.92,
|
|
"cagr_pct": 153.85,
|
|
"mdd_pct": 9.26,
|
|
"trades": 27,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.31,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.09
|
|
}
|
|
},
|
|
"alpha_pct": -18.91
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.96,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.35,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.64,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 15.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146640458,
|
|
"total_return_pct": 46.64,
|
|
"cagr_pct": 69.41,
|
|
"mdd_pct": 12.77,
|
|
"trades": 75,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 2.63,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.03
|
|
}
|
|
},
|
|
"alpha_pct": -48.46
|
|
},
|
|
"test": {
|
|
"final_equity": 129022875,
|
|
"total_return_pct": 29.02,
|
|
"cagr_pct": 125.43,
|
|
"mdd_pct": 8.13,
|
|
"trades": 27,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.31,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.19
|
|
}
|
|
},
|
|
"alpha_pct": -23.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.96,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.96,
|
|
"trades": 32
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.76,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 15.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146640458,
|
|
"total_return_pct": 46.64,
|
|
"cagr_pct": 69.41,
|
|
"mdd_pct": 12.77,
|
|
"trades": 75,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 2.63,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.03
|
|
}
|
|
},
|
|
"alpha_pct": -48.46
|
|
},
|
|
"test": {
|
|
"final_equity": 129022875,
|
|
"total_return_pct": 29.02,
|
|
"cagr_pct": 125.43,
|
|
"mdd_pct": 8.13,
|
|
"trades": 27,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.31,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.19
|
|
}
|
|
},
|
|
"alpha_pct": -23.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.96,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.96,
|
|
"trades": 32
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.76,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 15.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 149355769,
|
|
"total_return_pct": 49.36,
|
|
"cagr_pct": 73.74,
|
|
"mdd_pct": 11.24,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.4,
|
|
"profit_factor": 3.01,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.69
|
|
}
|
|
},
|
|
"alpha_pct": -45.74
|
|
},
|
|
"test": {
|
|
"final_equity": 125290365,
|
|
"total_return_pct": 25.29,
|
|
"cagr_pct": 105.28,
|
|
"mdd_pct": 7.47,
|
|
"trades": 27,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.24,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.46
|
|
}
|
|
},
|
|
"alpha_pct": -27.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.96,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.25,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.4,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 15.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 149355769,
|
|
"total_return_pct": 49.36,
|
|
"cagr_pct": 73.74,
|
|
"mdd_pct": 11.24,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.4,
|
|
"profit_factor": 3.01,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.69
|
|
}
|
|
},
|
|
"alpha_pct": -45.74
|
|
},
|
|
"test": {
|
|
"final_equity": 125290365,
|
|
"total_return_pct": 25.29,
|
|
"cagr_pct": 105.28,
|
|
"mdd_pct": 7.47,
|
|
"trades": 27,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.24,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.46
|
|
}
|
|
},
|
|
"alpha_pct": -27.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.96,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.25,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.4,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 15.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146715148,
|
|
"total_return_pct": 46.72,
|
|
"cagr_pct": 69.53,
|
|
"mdd_pct": 12.02,
|
|
"trades": 75,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 2.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.38
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.95
|
|
}
|
|
},
|
|
"alpha_pct": -48.38
|
|
},
|
|
"test": {
|
|
"final_equity": 123339465,
|
|
"total_return_pct": 23.34,
|
|
"cagr_pct": 95.26,
|
|
"mdd_pct": 5.88,
|
|
"trades": 27,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.44,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -29.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 37.51
|
|
}
|
|
},
|
|
"alpha_pct": -29.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.96,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.6,
|
|
"trades": 32
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.54,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 15.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146715148,
|
|
"total_return_pct": 46.72,
|
|
"cagr_pct": 69.53,
|
|
"mdd_pct": 12.02,
|
|
"trades": 75,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 2.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.38
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.95
|
|
}
|
|
},
|
|
"alpha_pct": -48.38
|
|
},
|
|
"test": {
|
|
"final_equity": 123339465,
|
|
"total_return_pct": 23.34,
|
|
"cagr_pct": 95.26,
|
|
"mdd_pct": 5.88,
|
|
"trades": 27,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.44,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -29.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 37.51
|
|
}
|
|
},
|
|
"alpha_pct": -29.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.96,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.6,
|
|
"trades": 32
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.54,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 15.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 156489258,
|
|
"total_return_pct": 56.49,
|
|
"cagr_pct": 85.27,
|
|
"mdd_pct": 11.52,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 48.4,
|
|
"profit_factor": 4.16,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.61
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 8.82
|
|
}
|
|
},
|
|
"alpha_pct": -38.61
|
|
},
|
|
"test": {
|
|
"final_equity": 127329876,
|
|
"total_return_pct": 27.33,
|
|
"cagr_pct": 116.13,
|
|
"mdd_pct": 5.68,
|
|
"trades": 25,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 44.0,
|
|
"profit_factor": 5.3,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.5
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.5
|
|
}
|
|
},
|
|
"alpha_pct": -25.5
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.94,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.28,
|
|
"trades": 30
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.83,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 15.94
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 156489258,
|
|
"total_return_pct": 56.49,
|
|
"cagr_pct": 85.27,
|
|
"mdd_pct": 11.52,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 48.4,
|
|
"profit_factor": 4.16,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.61
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 8.82
|
|
}
|
|
},
|
|
"alpha_pct": -38.61
|
|
},
|
|
"test": {
|
|
"final_equity": 127329876,
|
|
"total_return_pct": 27.33,
|
|
"cagr_pct": 116.13,
|
|
"mdd_pct": 5.68,
|
|
"trades": 25,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 44.0,
|
|
"profit_factor": 5.3,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.5
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.5
|
|
}
|
|
},
|
|
"alpha_pct": -25.5
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.94,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.28,
|
|
"trades": 30
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.83,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 15.94
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 163661867,
|
|
"total_return_pct": 63.66,
|
|
"cagr_pct": 97.07,
|
|
"mdd_pct": 9.56,
|
|
"trades": 57,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 47.4,
|
|
"profit_factor": 4.64,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -31.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 15.99
|
|
}
|
|
},
|
|
"alpha_pct": -31.44
|
|
},
|
|
"test": {
|
|
"final_equity": 119383472,
|
|
"total_return_pct": 19.38,
|
|
"cagr_pct": 75.97,
|
|
"mdd_pct": 6.31,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 2.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -33.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 33.55
|
|
}
|
|
},
|
|
"alpha_pct": -33.45
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.94,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.46,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.98,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 15.94
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 163661867,
|
|
"total_return_pct": 63.66,
|
|
"cagr_pct": 97.07,
|
|
"mdd_pct": 9.56,
|
|
"trades": 57,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 47.4,
|
|
"profit_factor": 4.64,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -31.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 15.99
|
|
}
|
|
},
|
|
"alpha_pct": -31.44
|
|
},
|
|
"test": {
|
|
"final_equity": 119383472,
|
|
"total_return_pct": 19.38,
|
|
"cagr_pct": 75.97,
|
|
"mdd_pct": 6.31,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 2.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -33.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 33.55
|
|
}
|
|
},
|
|
"alpha_pct": -33.45
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.94,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.46,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.98,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 15.94
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152848241,
|
|
"total_return_pct": 52.85,
|
|
"cagr_pct": 79.36,
|
|
"mdd_pct": 10.86,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 43.1,
|
|
"profit_factor": 3.41,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 5.18
|
|
}
|
|
},
|
|
"alpha_pct": -42.25
|
|
},
|
|
"test": {
|
|
"final_equity": 127937411,
|
|
"total_return_pct": 27.94,
|
|
"cagr_pct": 119.44,
|
|
"mdd_pct": 10.54,
|
|
"trades": 27,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 25.9,
|
|
"profit_factor": 2.5,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.89
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.11
|
|
}
|
|
},
|
|
"alpha_pct": -24.89
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.9,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.38,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.52,
|
|
"trades": 39
|
|
}
|
|
],
|
|
"worst_ret": 15.9
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152848241,
|
|
"total_return_pct": 52.85,
|
|
"cagr_pct": 79.36,
|
|
"mdd_pct": 10.86,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 43.1,
|
|
"profit_factor": 3.41,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 5.18
|
|
}
|
|
},
|
|
"alpha_pct": -42.25
|
|
},
|
|
"test": {
|
|
"final_equity": 127937411,
|
|
"total_return_pct": 27.94,
|
|
"cagr_pct": 119.44,
|
|
"mdd_pct": 10.54,
|
|
"trades": 27,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 25.9,
|
|
"profit_factor": 2.5,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.89
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.11
|
|
}
|
|
},
|
|
"alpha_pct": -24.89
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.9,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.38,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.52,
|
|
"trades": 39
|
|
}
|
|
],
|
|
"worst_ret": 15.9
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 170825477,
|
|
"total_return_pct": 70.83,
|
|
"cagr_pct": 109.04,
|
|
"mdd_pct": 10.59,
|
|
"trades": 47,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 53.2,
|
|
"profit_factor": 6.57,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -24.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 23.16
|
|
}
|
|
},
|
|
"alpha_pct": -24.27
|
|
},
|
|
"test": {
|
|
"final_equity": 134553704,
|
|
"total_return_pct": 34.55,
|
|
"cagr_pct": 157.73,
|
|
"mdd_pct": 7.01,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 4.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.28
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.72
|
|
}
|
|
},
|
|
"alpha_pct": -18.28
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.89,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.08,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.78,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 15.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 170825477,
|
|
"total_return_pct": 70.83,
|
|
"cagr_pct": 109.04,
|
|
"mdd_pct": 10.59,
|
|
"trades": 47,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 53.2,
|
|
"profit_factor": 6.57,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -24.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 23.16
|
|
}
|
|
},
|
|
"alpha_pct": -24.27
|
|
},
|
|
"test": {
|
|
"final_equity": 134553704,
|
|
"total_return_pct": 34.55,
|
|
"cagr_pct": 157.73,
|
|
"mdd_pct": 7.01,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 4.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.28
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.72
|
|
}
|
|
},
|
|
"alpha_pct": -18.28
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.89,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.08,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.78,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 15.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 163373975,
|
|
"total_return_pct": 63.37,
|
|
"cagr_pct": 96.59,
|
|
"mdd_pct": 11.12,
|
|
"trades": 52,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 48.1,
|
|
"profit_factor": 5.2,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -31.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 15.7
|
|
}
|
|
},
|
|
"alpha_pct": -31.73
|
|
},
|
|
"test": {
|
|
"final_equity": 133278140,
|
|
"total_return_pct": 33.28,
|
|
"cagr_pct": 150.01,
|
|
"mdd_pct": 7.08,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 4.56,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.45
|
|
}
|
|
},
|
|
"alpha_pct": -19.55
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.89,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.75,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.13,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 15.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 163373975,
|
|
"total_return_pct": 63.37,
|
|
"cagr_pct": 96.59,
|
|
"mdd_pct": 11.12,
|
|
"trades": 52,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 48.1,
|
|
"profit_factor": 5.2,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -31.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 15.7
|
|
}
|
|
},
|
|
"alpha_pct": -31.73
|
|
},
|
|
"test": {
|
|
"final_equity": 133278140,
|
|
"total_return_pct": 33.28,
|
|
"cagr_pct": 150.01,
|
|
"mdd_pct": 7.08,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 4.56,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.45
|
|
}
|
|
},
|
|
"alpha_pct": -19.55
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.89,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.75,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.13,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 15.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 170873916,
|
|
"total_return_pct": 70.87,
|
|
"cagr_pct": 109.13,
|
|
"mdd_pct": 10.69,
|
|
"trades": 47,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 53.2,
|
|
"profit_factor": 6.82,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -24.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 23.2
|
|
}
|
|
},
|
|
"alpha_pct": -24.23
|
|
},
|
|
"test": {
|
|
"final_equity": 128974090,
|
|
"total_return_pct": 28.97,
|
|
"cagr_pct": 125.16,
|
|
"mdd_pct": 5.99,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.24,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.14
|
|
}
|
|
},
|
|
"alpha_pct": -23.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.89,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.81,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.1,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 15.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 170873916,
|
|
"total_return_pct": 70.87,
|
|
"cagr_pct": 109.13,
|
|
"mdd_pct": 10.69,
|
|
"trades": 47,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 53.2,
|
|
"profit_factor": 6.82,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -24.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 23.2
|
|
}
|
|
},
|
|
"alpha_pct": -24.23
|
|
},
|
|
"test": {
|
|
"final_equity": 128974090,
|
|
"total_return_pct": 28.97,
|
|
"cagr_pct": 125.16,
|
|
"mdd_pct": 5.99,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.24,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.14
|
|
}
|
|
},
|
|
"alpha_pct": -23.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.89,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.81,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.1,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 15.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 162844157,
|
|
"total_return_pct": 62.84,
|
|
"cagr_pct": 95.71,
|
|
"mdd_pct": 11.5,
|
|
"trades": 52,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 48.1,
|
|
"profit_factor": 5.37,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -32.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 15.17
|
|
}
|
|
},
|
|
"alpha_pct": -32.26
|
|
},
|
|
"test": {
|
|
"final_equity": 128537840,
|
|
"total_return_pct": 28.54,
|
|
"cagr_pct": 122.74,
|
|
"mdd_pct": 6.04,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 5.22,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.71
|
|
}
|
|
},
|
|
"alpha_pct": -24.29
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.89,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.8,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.9,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 15.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 162844157,
|
|
"total_return_pct": 62.84,
|
|
"cagr_pct": 95.71,
|
|
"mdd_pct": 11.5,
|
|
"trades": 52,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 48.1,
|
|
"profit_factor": 5.37,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -32.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 15.17
|
|
}
|
|
},
|
|
"alpha_pct": -32.26
|
|
},
|
|
"test": {
|
|
"final_equity": 128537840,
|
|
"total_return_pct": 28.54,
|
|
"cagr_pct": 122.74,
|
|
"mdd_pct": 6.04,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 5.22,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.71
|
|
}
|
|
},
|
|
"alpha_pct": -24.29
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.89,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.8,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.9,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 15.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 157450258,
|
|
"total_return_pct": 57.45,
|
|
"cagr_pct": 86.84,
|
|
"mdd_pct": 9.93,
|
|
"trades": 60,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 4.35,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -37.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.78
|
|
}
|
|
},
|
|
"alpha_pct": -37.65
|
|
},
|
|
"test": {
|
|
"final_equity": 137072719,
|
|
"total_return_pct": 37.07,
|
|
"cagr_pct": 173.44,
|
|
"mdd_pct": 7.96,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 45.0,
|
|
"profit_factor": 6.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -15.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 51.24
|
|
}
|
|
},
|
|
"alpha_pct": -15.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.51,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.81,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.58,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 15.81
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 157450258,
|
|
"total_return_pct": 57.45,
|
|
"cagr_pct": 86.84,
|
|
"mdd_pct": 9.93,
|
|
"trades": 60,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 4.35,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -37.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.78
|
|
}
|
|
},
|
|
"alpha_pct": -37.65
|
|
},
|
|
"test": {
|
|
"final_equity": 137072719,
|
|
"total_return_pct": 37.07,
|
|
"cagr_pct": 173.44,
|
|
"mdd_pct": 7.96,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 45.0,
|
|
"profit_factor": 6.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -15.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 51.24
|
|
}
|
|
},
|
|
"alpha_pct": -15.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.51,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.81,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.58,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 15.81
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149510976,
|
|
"total_return_pct": 49.51,
|
|
"cagr_pct": 73.99,
|
|
"mdd_pct": 12.67,
|
|
"trades": 67,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.3,
|
|
"profit_factor": 3.01,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.84
|
|
}
|
|
},
|
|
"alpha_pct": -45.59
|
|
},
|
|
"test": {
|
|
"final_equity": 110608640,
|
|
"total_return_pct": 10.61,
|
|
"cagr_pct": 37.94,
|
|
"mdd_pct": 12.68,
|
|
"trades": 30,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.3,
|
|
"profit_factor": 1.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -42.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 24.78
|
|
}
|
|
},
|
|
"alpha_pct": -42.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 19.34,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.36,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 15.8,
|
|
"trades": 40
|
|
}
|
|
],
|
|
"worst_ret": 15.8
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149510976,
|
|
"total_return_pct": 49.51,
|
|
"cagr_pct": 73.99,
|
|
"mdd_pct": 12.67,
|
|
"trades": 67,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.3,
|
|
"profit_factor": 3.01,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.84
|
|
}
|
|
},
|
|
"alpha_pct": -45.59
|
|
},
|
|
"test": {
|
|
"final_equity": 110608640,
|
|
"total_return_pct": 10.61,
|
|
"cagr_pct": 37.94,
|
|
"mdd_pct": 12.68,
|
|
"trades": 30,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.3,
|
|
"profit_factor": 1.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -42.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 24.78
|
|
}
|
|
},
|
|
"alpha_pct": -42.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 19.34,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.36,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 15.8,
|
|
"trades": 40
|
|
}
|
|
],
|
|
"worst_ret": 15.8
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 156990914,
|
|
"total_return_pct": 56.99,
|
|
"cagr_pct": 86.09,
|
|
"mdd_pct": 9.92,
|
|
"trades": 60,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 3.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.32
|
|
}
|
|
},
|
|
"alpha_pct": -38.11
|
|
},
|
|
"test": {
|
|
"final_equity": 143084478,
|
|
"total_return_pct": 43.08,
|
|
"cagr_pct": 213.56,
|
|
"mdd_pct": 8.69,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 45.0,
|
|
"profit_factor": 6.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -9.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 57.25
|
|
}
|
|
},
|
|
"alpha_pct": -9.75
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.38,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.67,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 47.8,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 15.67
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 156990914,
|
|
"total_return_pct": 56.99,
|
|
"cagr_pct": 86.09,
|
|
"mdd_pct": 9.92,
|
|
"trades": 60,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 3.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.32
|
|
}
|
|
},
|
|
"alpha_pct": -38.11
|
|
},
|
|
"test": {
|
|
"final_equity": 143084478,
|
|
"total_return_pct": 43.08,
|
|
"cagr_pct": 213.56,
|
|
"mdd_pct": 8.69,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 45.0,
|
|
"profit_factor": 6.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -9.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 57.25
|
|
}
|
|
},
|
|
"alpha_pct": -9.75
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.38,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.67,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 47.8,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 15.67
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 167931641,
|
|
"total_return_pct": 67.93,
|
|
"cagr_pct": 104.18,
|
|
"mdd_pct": 10.4,
|
|
"trades": 45,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 55.6,
|
|
"profit_factor": 5.92,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -27.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 20.26
|
|
}
|
|
},
|
|
"alpha_pct": -27.17
|
|
},
|
|
"test": {
|
|
"final_equity": 112529273,
|
|
"total_return_pct": 12.53,
|
|
"cagr_pct": 45.72,
|
|
"mdd_pct": 7.36,
|
|
"trades": 18,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 27.8,
|
|
"profit_factor": 2.46,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -40.3
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 26.7
|
|
}
|
|
},
|
|
"alpha_pct": -40.3
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.55,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.38,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.45,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 15.55
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 167931641,
|
|
"total_return_pct": 67.93,
|
|
"cagr_pct": 104.18,
|
|
"mdd_pct": 10.4,
|
|
"trades": 45,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 55.6,
|
|
"profit_factor": 5.92,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -27.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 20.26
|
|
}
|
|
},
|
|
"alpha_pct": -27.17
|
|
},
|
|
"test": {
|
|
"final_equity": 112529273,
|
|
"total_return_pct": 12.53,
|
|
"cagr_pct": 45.72,
|
|
"mdd_pct": 7.36,
|
|
"trades": 18,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 27.8,
|
|
"profit_factor": 2.46,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -40.3
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 26.7
|
|
}
|
|
},
|
|
"alpha_pct": -40.3
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.55,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.38,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.45,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 15.55
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 164143165,
|
|
"total_return_pct": 64.14,
|
|
"cagr_pct": 97.87,
|
|
"mdd_pct": 9.56,
|
|
"trades": 59,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 42.4,
|
|
"profit_factor": 4.22,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.96
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 16.47
|
|
}
|
|
},
|
|
"alpha_pct": -30.96
|
|
},
|
|
"test": {
|
|
"final_equity": 122485623,
|
|
"total_return_pct": 22.49,
|
|
"cagr_pct": 90.98,
|
|
"mdd_pct": 6.08,
|
|
"trades": 21,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.66
|
|
}
|
|
},
|
|
"alpha_pct": -30.34
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.49,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.01,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.06,
|
|
"trades": 30
|
|
}
|
|
],
|
|
"worst_ret": 15.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 164143165,
|
|
"total_return_pct": 64.14,
|
|
"cagr_pct": 97.87,
|
|
"mdd_pct": 9.56,
|
|
"trades": 59,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 42.4,
|
|
"profit_factor": 4.22,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.96
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 16.47
|
|
}
|
|
},
|
|
"alpha_pct": -30.96
|
|
},
|
|
"test": {
|
|
"final_equity": 122485623,
|
|
"total_return_pct": 22.49,
|
|
"cagr_pct": 90.98,
|
|
"mdd_pct": 6.08,
|
|
"trades": 21,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.66
|
|
}
|
|
},
|
|
"alpha_pct": -30.34
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.49,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.01,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.06,
|
|
"trades": 30
|
|
}
|
|
],
|
|
"worst_ret": 15.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 165362497,
|
|
"total_return_pct": 65.36,
|
|
"cagr_pct": 99.89,
|
|
"mdd_pct": 11.27,
|
|
"trades": 63,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.3,
|
|
"profit_factor": 4.47,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -29.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 17.69
|
|
}
|
|
},
|
|
"alpha_pct": -29.74
|
|
},
|
|
"test": {
|
|
"final_equity": 124637223,
|
|
"total_return_pct": 24.64,
|
|
"cagr_pct": 101.89,
|
|
"mdd_pct": 8.17,
|
|
"trades": 28,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 2.97,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.81
|
|
}
|
|
},
|
|
"alpha_pct": -28.19
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.12,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.42,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.03,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 15.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 165362497,
|
|
"total_return_pct": 65.36,
|
|
"cagr_pct": 99.89,
|
|
"mdd_pct": 11.27,
|
|
"trades": 63,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.3,
|
|
"profit_factor": 4.47,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -29.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 17.69
|
|
}
|
|
},
|
|
"alpha_pct": -29.74
|
|
},
|
|
"test": {
|
|
"final_equity": 124637223,
|
|
"total_return_pct": 24.64,
|
|
"cagr_pct": 101.89,
|
|
"mdd_pct": 8.17,
|
|
"trades": 28,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 2.97,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.81
|
|
}
|
|
},
|
|
"alpha_pct": -28.19
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.12,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.42,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.03,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 15.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149901721,
|
|
"total_return_pct": 49.9,
|
|
"cagr_pct": 74.62,
|
|
"mdd_pct": 10.03,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 47.5,
|
|
"profit_factor": 3.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.23
|
|
}
|
|
},
|
|
"alpha_pct": -45.2
|
|
},
|
|
"test": {
|
|
"final_equity": 142829085,
|
|
"total_return_pct": 42.83,
|
|
"cagr_pct": 211.78,
|
|
"mdd_pct": 13.09,
|
|
"trades": 16,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 4.98,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -10.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 57.0
|
|
}
|
|
},
|
|
"alpha_pct": -10.0
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.29,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.1,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 42.37,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 15.1
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149901721,
|
|
"total_return_pct": 49.9,
|
|
"cagr_pct": 74.62,
|
|
"mdd_pct": 10.03,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 47.5,
|
|
"profit_factor": 3.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.23
|
|
}
|
|
},
|
|
"alpha_pct": -45.2
|
|
},
|
|
"test": {
|
|
"final_equity": 142829085,
|
|
"total_return_pct": 42.83,
|
|
"cagr_pct": 211.78,
|
|
"mdd_pct": 13.09,
|
|
"trades": 16,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 4.98,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -10.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 57.0
|
|
}
|
|
},
|
|
"alpha_pct": -10.0
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.29,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.1,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 42.37,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 15.1
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 159482805,
|
|
"total_return_pct": 59.48,
|
|
"cagr_pct": 90.17,
|
|
"mdd_pct": 12.08,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.5,
|
|
"profit_factor": 3.47,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -35.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 11.81
|
|
}
|
|
},
|
|
"alpha_pct": -35.62
|
|
},
|
|
"test": {
|
|
"final_equity": 126031499,
|
|
"total_return_pct": 26.03,
|
|
"cagr_pct": 109.18,
|
|
"mdd_pct": 6.08,
|
|
"trades": 28,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 3.52,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.2
|
|
}
|
|
},
|
|
"alpha_pct": -26.8
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.98,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.84,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 16.52,
|
|
"trades": 42
|
|
}
|
|
],
|
|
"worst_ret": 14.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 159482805,
|
|
"total_return_pct": 59.48,
|
|
"cagr_pct": 90.17,
|
|
"mdd_pct": 12.08,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.5,
|
|
"profit_factor": 3.47,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -35.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 11.81
|
|
}
|
|
},
|
|
"alpha_pct": -35.62
|
|
},
|
|
"test": {
|
|
"final_equity": 126031499,
|
|
"total_return_pct": 26.03,
|
|
"cagr_pct": 109.18,
|
|
"mdd_pct": 6.08,
|
|
"trades": 28,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 3.52,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.2
|
|
}
|
|
},
|
|
"alpha_pct": -26.8
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.98,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.84,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 16.52,
|
|
"trades": 42
|
|
}
|
|
],
|
|
"worst_ret": 14.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 155545314,
|
|
"total_return_pct": 55.55,
|
|
"cagr_pct": 83.74,
|
|
"mdd_pct": 10.06,
|
|
"trades": 73,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.7,
|
|
"profit_factor": 3.38,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.88
|
|
}
|
|
},
|
|
"alpha_pct": -39.55
|
|
},
|
|
"test": {
|
|
"final_equity": 122601814,
|
|
"total_return_pct": 22.6,
|
|
"cagr_pct": 91.56,
|
|
"mdd_pct": 7.88,
|
|
"trades": 26,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 23.1,
|
|
"profit_factor": 2.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.77
|
|
}
|
|
},
|
|
"alpha_pct": -30.23
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.98,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.9,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 25.82,
|
|
"trades": 39
|
|
}
|
|
],
|
|
"worst_ret": 14.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 155545314,
|
|
"total_return_pct": 55.55,
|
|
"cagr_pct": 83.74,
|
|
"mdd_pct": 10.06,
|
|
"trades": 73,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.7,
|
|
"profit_factor": 3.38,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.88
|
|
}
|
|
},
|
|
"alpha_pct": -39.55
|
|
},
|
|
"test": {
|
|
"final_equity": 122601814,
|
|
"total_return_pct": 22.6,
|
|
"cagr_pct": 91.56,
|
|
"mdd_pct": 7.88,
|
|
"trades": 26,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 23.1,
|
|
"profit_factor": 2.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.77
|
|
}
|
|
},
|
|
"alpha_pct": -30.23
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.98,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.9,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 25.82,
|
|
"trades": 39
|
|
}
|
|
],
|
|
"worst_ret": 14.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 151479611,
|
|
"total_return_pct": 51.48,
|
|
"cagr_pct": 77.16,
|
|
"mdd_pct": 10.74,
|
|
"trades": 69,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 53.6,
|
|
"profit_factor": 4.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -43.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.81
|
|
}
|
|
},
|
|
"alpha_pct": -43.62
|
|
},
|
|
"test": {
|
|
"final_equity": 127361384,
|
|
"total_return_pct": 27.36,
|
|
"cagr_pct": 116.3,
|
|
"mdd_pct": 6.6,
|
|
"trades": 23,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 43.5,
|
|
"profit_factor": 4.27,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.53
|
|
}
|
|
},
|
|
"alpha_pct": -25.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.96,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.05,
|
|
"trades": 30
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 24.51,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 14.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 151479611,
|
|
"total_return_pct": 51.48,
|
|
"cagr_pct": 77.16,
|
|
"mdd_pct": 10.74,
|
|
"trades": 69,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 53.6,
|
|
"profit_factor": 4.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -43.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.81
|
|
}
|
|
},
|
|
"alpha_pct": -43.62
|
|
},
|
|
"test": {
|
|
"final_equity": 127361384,
|
|
"total_return_pct": 27.36,
|
|
"cagr_pct": 116.3,
|
|
"mdd_pct": 6.6,
|
|
"trades": 23,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 43.5,
|
|
"profit_factor": 4.27,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.53
|
|
}
|
|
},
|
|
"alpha_pct": -25.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.96,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.05,
|
|
"trades": 30
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 24.51,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 14.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 153812693,
|
|
"total_return_pct": 53.81,
|
|
"cagr_pct": 80.92,
|
|
"mdd_pct": 10.03,
|
|
"trades": 67,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.7,
|
|
"profit_factor": 4.18,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -41.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 6.14
|
|
}
|
|
},
|
|
"alpha_pct": -41.29
|
|
},
|
|
"test": {
|
|
"final_equity": 126183972,
|
|
"total_return_pct": 26.18,
|
|
"cagr_pct": 109.99,
|
|
"mdd_pct": 6.29,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 34.8,
|
|
"profit_factor": 3.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.35
|
|
}
|
|
},
|
|
"alpha_pct": -26.65
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.96,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.76,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 30.55,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 14.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 153812693,
|
|
"total_return_pct": 53.81,
|
|
"cagr_pct": 80.92,
|
|
"mdd_pct": 10.03,
|
|
"trades": 67,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.7,
|
|
"profit_factor": 4.18,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -41.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 6.14
|
|
}
|
|
},
|
|
"alpha_pct": -41.29
|
|
},
|
|
"test": {
|
|
"final_equity": 126183972,
|
|
"total_return_pct": 26.18,
|
|
"cagr_pct": 109.99,
|
|
"mdd_pct": 6.29,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 34.8,
|
|
"profit_factor": 3.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.35
|
|
}
|
|
},
|
|
"alpha_pct": -26.65
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.96,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.76,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 30.55,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 14.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 155044066,
|
|
"total_return_pct": 55.04,
|
|
"cagr_pct": 82.92,
|
|
"mdd_pct": 11.53,
|
|
"trades": 52,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 51.9,
|
|
"profit_factor": 4.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.37
|
|
}
|
|
},
|
|
"alpha_pct": -40.06
|
|
},
|
|
"test": {
|
|
"final_equity": 118913871,
|
|
"total_return_pct": 18.91,
|
|
"cagr_pct": 73.77,
|
|
"mdd_pct": 5.49,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 47.6,
|
|
"profit_factor": 4.36,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -33.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 33.08
|
|
}
|
|
},
|
|
"alpha_pct": -33.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.96,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.21,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 19.4,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 14.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 155044066,
|
|
"total_return_pct": 55.04,
|
|
"cagr_pct": 82.92,
|
|
"mdd_pct": 11.53,
|
|
"trades": 52,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 51.9,
|
|
"profit_factor": 4.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.37
|
|
}
|
|
},
|
|
"alpha_pct": -40.06
|
|
},
|
|
"test": {
|
|
"final_equity": 118913871,
|
|
"total_return_pct": 18.91,
|
|
"cagr_pct": 73.77,
|
|
"mdd_pct": 5.49,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 47.6,
|
|
"profit_factor": 4.36,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -33.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 33.08
|
|
}
|
|
},
|
|
"alpha_pct": -33.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.96,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.21,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 19.4,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 14.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 158372953,
|
|
"total_return_pct": 58.37,
|
|
"cagr_pct": 88.35,
|
|
"mdd_pct": 10.5,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.1,
|
|
"profit_factor": 4.81,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 10.7
|
|
}
|
|
},
|
|
"alpha_pct": -36.73
|
|
},
|
|
"test": {
|
|
"final_equity": 115290560,
|
|
"total_return_pct": 15.29,
|
|
"cagr_pct": 57.44,
|
|
"mdd_pct": 7.6,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 2.76,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -37.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 29.46
|
|
}
|
|
},
|
|
"alpha_pct": -37.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.96,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.16,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 23.46,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 14.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 158372953,
|
|
"total_return_pct": 58.37,
|
|
"cagr_pct": 88.35,
|
|
"mdd_pct": 10.5,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.1,
|
|
"profit_factor": 4.81,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 10.7
|
|
}
|
|
},
|
|
"alpha_pct": -36.73
|
|
},
|
|
"test": {
|
|
"final_equity": 115290560,
|
|
"total_return_pct": 15.29,
|
|
"cagr_pct": 57.44,
|
|
"mdd_pct": 7.6,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 2.76,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -37.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 29.46
|
|
}
|
|
},
|
|
"alpha_pct": -37.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.96,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.16,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 23.46,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 14.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 155901902,
|
|
"total_return_pct": 55.9,
|
|
"cagr_pct": 84.32,
|
|
"mdd_pct": 10.02,
|
|
"trades": 49,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 49.0,
|
|
"profit_factor": 4.51,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 8.23
|
|
}
|
|
},
|
|
"alpha_pct": -39.2
|
|
},
|
|
"test": {
|
|
"final_equity": 141236371,
|
|
"total_return_pct": 41.24,
|
|
"cagr_pct": 200.82,
|
|
"mdd_pct": 6.87,
|
|
"trades": 13,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 7.75,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -11.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.41
|
|
}
|
|
},
|
|
"alpha_pct": -11.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.97,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.87,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 54.33,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 14.87
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 155901902,
|
|
"total_return_pct": 55.9,
|
|
"cagr_pct": 84.32,
|
|
"mdd_pct": 10.02,
|
|
"trades": 49,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 49.0,
|
|
"profit_factor": 4.51,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 8.23
|
|
}
|
|
},
|
|
"alpha_pct": -39.2
|
|
},
|
|
"test": {
|
|
"final_equity": 141236371,
|
|
"total_return_pct": 41.24,
|
|
"cagr_pct": 200.82,
|
|
"mdd_pct": 6.87,
|
|
"trades": 13,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 7.75,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -11.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.41
|
|
}
|
|
},
|
|
"alpha_pct": -11.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.97,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.87,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 54.33,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 14.87
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 158829229,
|
|
"total_return_pct": 58.83,
|
|
"cagr_pct": 89.1,
|
|
"mdd_pct": 12.0,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.5,
|
|
"profit_factor": 3.28,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 11.16
|
|
}
|
|
},
|
|
"alpha_pct": -36.27
|
|
},
|
|
"test": {
|
|
"final_equity": 131312275,
|
|
"total_return_pct": 31.31,
|
|
"cagr_pct": 138.44,
|
|
"mdd_pct": 7.06,
|
|
"trades": 28,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 3.25,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.48
|
|
}
|
|
},
|
|
"alpha_pct": -21.52
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.79,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.72,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 19.12,
|
|
"trades": 42
|
|
}
|
|
],
|
|
"worst_ret": 14.79
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 158829229,
|
|
"total_return_pct": 58.83,
|
|
"cagr_pct": 89.1,
|
|
"mdd_pct": 12.0,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.5,
|
|
"profit_factor": 3.28,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 11.16
|
|
}
|
|
},
|
|
"alpha_pct": -36.27
|
|
},
|
|
"test": {
|
|
"final_equity": 131312275,
|
|
"total_return_pct": 31.31,
|
|
"cagr_pct": 138.44,
|
|
"mdd_pct": 7.06,
|
|
"trades": 28,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 3.25,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.48
|
|
}
|
|
},
|
|
"alpha_pct": -21.52
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.79,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.72,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 19.12,
|
|
"trades": 42
|
|
}
|
|
],
|
|
"worst_ret": 14.79
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 154746971,
|
|
"total_return_pct": 54.75,
|
|
"cagr_pct": 82.44,
|
|
"mdd_pct": 10.37,
|
|
"trades": 73,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.7,
|
|
"profit_factor": 3.18,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.08
|
|
}
|
|
},
|
|
"alpha_pct": -40.35
|
|
},
|
|
"test": {
|
|
"final_equity": 127828208,
|
|
"total_return_pct": 27.83,
|
|
"cagr_pct": 118.84,
|
|
"mdd_pct": 9.71,
|
|
"trades": 26,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 23.1,
|
|
"profit_factor": 2.49,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.0
|
|
}
|
|
},
|
|
"alpha_pct": -25.0
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.79,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.92,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.31,
|
|
"trades": 39
|
|
}
|
|
],
|
|
"worst_ret": 14.79
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 154746971,
|
|
"total_return_pct": 54.75,
|
|
"cagr_pct": 82.44,
|
|
"mdd_pct": 10.37,
|
|
"trades": 73,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.7,
|
|
"profit_factor": 3.18,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.08
|
|
}
|
|
},
|
|
"alpha_pct": -40.35
|
|
},
|
|
"test": {
|
|
"final_equity": 127828208,
|
|
"total_return_pct": 27.83,
|
|
"cagr_pct": 118.84,
|
|
"mdd_pct": 9.71,
|
|
"trades": 26,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 23.1,
|
|
"profit_factor": 2.49,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.0
|
|
}
|
|
},
|
|
"alpha_pct": -25.0
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.79,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.92,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.31,
|
|
"trades": 39
|
|
}
|
|
],
|
|
"worst_ret": 14.79
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 160686541,
|
|
"total_return_pct": 60.69,
|
|
"cagr_pct": 92.15,
|
|
"mdd_pct": 10.21,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.6,
|
|
"profit_factor": 3.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -34.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.02
|
|
}
|
|
},
|
|
"alpha_pct": -34.41
|
|
},
|
|
"test": {
|
|
"final_equity": 137936632,
|
|
"total_return_pct": 37.94,
|
|
"cagr_pct": 178.97,
|
|
"mdd_pct": 10.4,
|
|
"trades": 23,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.4,
|
|
"profit_factor": 3.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.89
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.11
|
|
}
|
|
},
|
|
"alpha_pct": -14.89
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.73,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.15,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 36.99,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 14.73
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 160686541,
|
|
"total_return_pct": 60.69,
|
|
"cagr_pct": 92.15,
|
|
"mdd_pct": 10.21,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.6,
|
|
"profit_factor": 3.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -34.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.02
|
|
}
|
|
},
|
|
"alpha_pct": -34.41
|
|
},
|
|
"test": {
|
|
"final_equity": 137936632,
|
|
"total_return_pct": 37.94,
|
|
"cagr_pct": 178.97,
|
|
"mdd_pct": 10.4,
|
|
"trades": 23,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.4,
|
|
"profit_factor": 3.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.89
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.11
|
|
}
|
|
},
|
|
"alpha_pct": -14.89
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.73,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.15,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 36.99,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 14.73
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146172179,
|
|
"total_return_pct": 46.17,
|
|
"cagr_pct": 68.67,
|
|
"mdd_pct": 11.83,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.3,
|
|
"profit_factor": 2.62,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.5
|
|
}
|
|
},
|
|
"alpha_pct": -48.93
|
|
},
|
|
"test": {
|
|
"final_equity": 137194224,
|
|
"total_return_pct": 37.19,
|
|
"cagr_pct": 174.21,
|
|
"mdd_pct": 7.3,
|
|
"trades": 26,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 4.09,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -15.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 51.36
|
|
}
|
|
},
|
|
"alpha_pct": -15.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.61,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.38,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.71,
|
|
"trades": 36
|
|
}
|
|
],
|
|
"worst_ret": 14.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146172179,
|
|
"total_return_pct": 46.17,
|
|
"cagr_pct": 68.67,
|
|
"mdd_pct": 11.83,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.3,
|
|
"profit_factor": 2.62,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.5
|
|
}
|
|
},
|
|
"alpha_pct": -48.93
|
|
},
|
|
"test": {
|
|
"final_equity": 137194224,
|
|
"total_return_pct": 37.19,
|
|
"cagr_pct": 174.21,
|
|
"mdd_pct": 7.3,
|
|
"trades": 26,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 4.09,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -15.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 51.36
|
|
}
|
|
},
|
|
"alpha_pct": -15.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.61,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.38,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.71,
|
|
"trades": 36
|
|
}
|
|
],
|
|
"worst_ret": 14.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 147731890,
|
|
"total_return_pct": 47.73,
|
|
"cagr_pct": 71.15,
|
|
"mdd_pct": 11.28,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.3,
|
|
"profit_factor": 2.88,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.06
|
|
}
|
|
},
|
|
"alpha_pct": -47.37
|
|
},
|
|
"test": {
|
|
"final_equity": 134967716,
|
|
"total_return_pct": 34.97,
|
|
"cagr_pct": 160.27,
|
|
"mdd_pct": 8.88,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 3.65,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.14
|
|
}
|
|
},
|
|
"alpha_pct": -17.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.61,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.75,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.76,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 14.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 147731890,
|
|
"total_return_pct": 47.73,
|
|
"cagr_pct": 71.15,
|
|
"mdd_pct": 11.28,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.3,
|
|
"profit_factor": 2.88,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.06
|
|
}
|
|
},
|
|
"alpha_pct": -47.37
|
|
},
|
|
"test": {
|
|
"final_equity": 134967716,
|
|
"total_return_pct": 34.97,
|
|
"cagr_pct": 160.27,
|
|
"mdd_pct": 8.88,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 3.65,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.14
|
|
}
|
|
},
|
|
"alpha_pct": -17.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.61,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.75,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.76,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 14.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 159268617,
|
|
"total_return_pct": 59.27,
|
|
"cagr_pct": 89.82,
|
|
"mdd_pct": 12.04,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.3,
|
|
"profit_factor": 3.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -35.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 11.6
|
|
}
|
|
},
|
|
"alpha_pct": -35.83
|
|
},
|
|
"test": {
|
|
"final_equity": 140456909,
|
|
"total_return_pct": 40.46,
|
|
"cagr_pct": 195.56,
|
|
"mdd_pct": 8.52,
|
|
"trades": 28,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 4.44,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -12.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 54.63
|
|
}
|
|
},
|
|
"alpha_pct": -12.37
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.48,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.39,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.64,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 14.48
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 159268617,
|
|
"total_return_pct": 59.27,
|
|
"cagr_pct": 89.82,
|
|
"mdd_pct": 12.04,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.3,
|
|
"profit_factor": 3.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -35.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 11.6
|
|
}
|
|
},
|
|
"alpha_pct": -35.83
|
|
},
|
|
"test": {
|
|
"final_equity": 140456909,
|
|
"total_return_pct": 40.46,
|
|
"cagr_pct": 195.56,
|
|
"mdd_pct": 8.52,
|
|
"trades": 28,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 4.44,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -12.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 54.63
|
|
}
|
|
},
|
|
"alpha_pct": -12.37
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.48,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.39,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.64,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 14.48
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 157419569,
|
|
"total_return_pct": 57.42,
|
|
"cagr_pct": 86.79,
|
|
"mdd_pct": 10.03,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.4,
|
|
"profit_factor": 3.3,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -37.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.75
|
|
}
|
|
},
|
|
"alpha_pct": -37.68
|
|
},
|
|
"test": {
|
|
"final_equity": 135205927,
|
|
"total_return_pct": 35.21,
|
|
"cagr_pct": 161.73,
|
|
"mdd_pct": 9.66,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 3.37,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.38
|
|
}
|
|
},
|
|
"alpha_pct": -17.62
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.48,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.7,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.3,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 14.48
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 157419569,
|
|
"total_return_pct": 57.42,
|
|
"cagr_pct": 86.79,
|
|
"mdd_pct": 10.03,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.4,
|
|
"profit_factor": 3.3,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -37.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.75
|
|
}
|
|
},
|
|
"alpha_pct": -37.68
|
|
},
|
|
"test": {
|
|
"final_equity": 135205927,
|
|
"total_return_pct": 35.21,
|
|
"cagr_pct": 161.73,
|
|
"mdd_pct": 9.66,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 3.37,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.38
|
|
}
|
|
},
|
|
"alpha_pct": -17.62
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.48,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.7,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.3,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 14.48
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145193468,
|
|
"total_return_pct": 45.19,
|
|
"cagr_pct": 67.11,
|
|
"mdd_pct": 9.97,
|
|
"trades": 63,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 3.74,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.48
|
|
}
|
|
},
|
|
"alpha_pct": -49.91
|
|
},
|
|
"test": {
|
|
"final_equity": 126601932,
|
|
"total_return_pct": 26.6,
|
|
"cagr_pct": 112.21,
|
|
"mdd_pct": 9.14,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 27.8,
|
|
"profit_factor": 4.78,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.77
|
|
}
|
|
},
|
|
"alpha_pct": -26.23
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.48,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.49,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.43,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 14.48
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145193468,
|
|
"total_return_pct": 45.19,
|
|
"cagr_pct": 67.11,
|
|
"mdd_pct": 9.97,
|
|
"trades": 63,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 3.74,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.48
|
|
}
|
|
},
|
|
"alpha_pct": -49.91
|
|
},
|
|
"test": {
|
|
"final_equity": 126601932,
|
|
"total_return_pct": 26.6,
|
|
"cagr_pct": 112.21,
|
|
"mdd_pct": 9.14,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 27.8,
|
|
"profit_factor": 4.78,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.77
|
|
}
|
|
},
|
|
"alpha_pct": -26.23
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.48,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.49,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.43,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 14.48
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 148199473,
|
|
"total_return_pct": 48.2,
|
|
"cagr_pct": 71.9,
|
|
"mdd_pct": 12.72,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.7,
|
|
"profit_factor": 2.75,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.9
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.53
|
|
}
|
|
},
|
|
"alpha_pct": -46.9
|
|
},
|
|
"test": {
|
|
"final_equity": 117193974,
|
|
"total_return_pct": 17.19,
|
|
"cagr_pct": 65.88,
|
|
"mdd_pct": 15.36,
|
|
"trades": 24,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 1.65,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -35.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 31.36
|
|
}
|
|
},
|
|
"alpha_pct": -35.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.45,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.49,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.32,
|
|
"trades": 33
|
|
}
|
|
],
|
|
"worst_ret": 14.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 148199473,
|
|
"total_return_pct": 48.2,
|
|
"cagr_pct": 71.9,
|
|
"mdd_pct": 12.72,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.7,
|
|
"profit_factor": 2.75,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.9
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.53
|
|
}
|
|
},
|
|
"alpha_pct": -46.9
|
|
},
|
|
"test": {
|
|
"final_equity": 117193974,
|
|
"total_return_pct": 17.19,
|
|
"cagr_pct": 65.88,
|
|
"mdd_pct": 15.36,
|
|
"trades": 24,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 1.65,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -35.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 31.36
|
|
}
|
|
},
|
|
"alpha_pct": -35.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.45,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.49,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.32,
|
|
"trades": 33
|
|
}
|
|
],
|
|
"worst_ret": 14.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 149498722,
|
|
"total_return_pct": 49.5,
|
|
"cagr_pct": 73.97,
|
|
"mdd_pct": 10.92,
|
|
"trades": 71,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 49.3,
|
|
"profit_factor": 3.73,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.83
|
|
}
|
|
},
|
|
"alpha_pct": -45.6
|
|
},
|
|
"test": {
|
|
"final_equity": 132311892,
|
|
"total_return_pct": 32.31,
|
|
"cagr_pct": 144.28,
|
|
"mdd_pct": 5.75,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 4.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.48
|
|
}
|
|
},
|
|
"alpha_pct": -20.52
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.24,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.44,
|
|
"trades": 34
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.29,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 14.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 149498722,
|
|
"total_return_pct": 49.5,
|
|
"cagr_pct": 73.97,
|
|
"mdd_pct": 10.92,
|
|
"trades": 71,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 49.3,
|
|
"profit_factor": 3.73,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.83
|
|
}
|
|
},
|
|
"alpha_pct": -45.6
|
|
},
|
|
"test": {
|
|
"final_equity": 132311892,
|
|
"total_return_pct": 32.31,
|
|
"cagr_pct": 144.28,
|
|
"mdd_pct": 5.75,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 4.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.48
|
|
}
|
|
},
|
|
"alpha_pct": -20.52
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.24,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.44,
|
|
"trades": 34
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.29,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 14.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 154388688,
|
|
"total_return_pct": 54.39,
|
|
"cagr_pct": 81.86,
|
|
"mdd_pct": 11.06,
|
|
"trades": 69,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 53.6,
|
|
"profit_factor": 3.76,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 6.72
|
|
}
|
|
},
|
|
"alpha_pct": -40.71
|
|
},
|
|
"test": {
|
|
"final_equity": 142294068,
|
|
"total_return_pct": 42.29,
|
|
"cagr_pct": 208.07,
|
|
"mdd_pct": 9.0,
|
|
"trades": 23,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 43.5,
|
|
"profit_factor": 4.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -10.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 56.46
|
|
}
|
|
},
|
|
"alpha_pct": -10.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.2,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.43,
|
|
"trades": 30
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.73,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 14.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 154388688,
|
|
"total_return_pct": 54.39,
|
|
"cagr_pct": 81.86,
|
|
"mdd_pct": 11.06,
|
|
"trades": 69,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 53.6,
|
|
"profit_factor": 3.76,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 6.72
|
|
}
|
|
},
|
|
"alpha_pct": -40.71
|
|
},
|
|
"test": {
|
|
"final_equity": 142294068,
|
|
"total_return_pct": 42.29,
|
|
"cagr_pct": 208.07,
|
|
"mdd_pct": 9.0,
|
|
"trades": 23,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 43.5,
|
|
"profit_factor": 4.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -10.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 56.46
|
|
}
|
|
},
|
|
"alpha_pct": -10.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.2,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.43,
|
|
"trades": 30
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.73,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 14.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 168415782,
|
|
"total_return_pct": 68.42,
|
|
"cagr_pct": 104.99,
|
|
"mdd_pct": 9.16,
|
|
"trades": 48,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 54.2,
|
|
"profit_factor": 6.97,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -26.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 20.75
|
|
}
|
|
},
|
|
"alpha_pct": -26.68
|
|
},
|
|
"test": {
|
|
"final_equity": 132191020,
|
|
"total_return_pct": 32.19,
|
|
"cagr_pct": 143.57,
|
|
"mdd_pct": 6.96,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.36
|
|
}
|
|
},
|
|
"alpha_pct": -20.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.43,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.29,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.77,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 14.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 168415782,
|
|
"total_return_pct": 68.42,
|
|
"cagr_pct": 104.99,
|
|
"mdd_pct": 9.16,
|
|
"trades": 48,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 54.2,
|
|
"profit_factor": 6.97,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -26.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 20.75
|
|
}
|
|
},
|
|
"alpha_pct": -26.68
|
|
},
|
|
"test": {
|
|
"final_equity": 132191020,
|
|
"total_return_pct": 32.19,
|
|
"cagr_pct": 143.57,
|
|
"mdd_pct": 6.96,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.36
|
|
}
|
|
},
|
|
"alpha_pct": -20.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.43,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.29,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.77,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 14.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 161376716,
|
|
"total_return_pct": 61.38,
|
|
"cagr_pct": 93.29,
|
|
"mdd_pct": 9.59,
|
|
"trades": 52,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 5.76,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -33.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.71
|
|
}
|
|
},
|
|
"alpha_pct": -33.72
|
|
},
|
|
"test": {
|
|
"final_equity": 132140185,
|
|
"total_return_pct": 32.14,
|
|
"cagr_pct": 143.27,
|
|
"mdd_pct": 6.95,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.31
|
|
}
|
|
},
|
|
"alpha_pct": -20.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.43,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.74,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.42,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 14.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 161376716,
|
|
"total_return_pct": 61.38,
|
|
"cagr_pct": 93.29,
|
|
"mdd_pct": 9.59,
|
|
"trades": 52,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 5.76,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -33.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.71
|
|
}
|
|
},
|
|
"alpha_pct": -33.72
|
|
},
|
|
"test": {
|
|
"final_equity": 132140185,
|
|
"total_return_pct": 32.14,
|
|
"cagr_pct": 143.27,
|
|
"mdd_pct": 6.95,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.31
|
|
}
|
|
},
|
|
"alpha_pct": -20.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.43,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.74,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.42,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 14.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 169875749,
|
|
"total_return_pct": 69.88,
|
|
"cagr_pct": 107.44,
|
|
"mdd_pct": 10.61,
|
|
"trades": 50,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 52.0,
|
|
"profit_factor": 6.72,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -25.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 22.21
|
|
}
|
|
},
|
|
"alpha_pct": -25.22
|
|
},
|
|
"test": {
|
|
"final_equity": 132140185,
|
|
"total_return_pct": 32.14,
|
|
"cagr_pct": 143.27,
|
|
"mdd_pct": 6.95,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.31
|
|
}
|
|
},
|
|
"alpha_pct": -20.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.43,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.86,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.42,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 14.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 169875749,
|
|
"total_return_pct": 69.88,
|
|
"cagr_pct": 107.44,
|
|
"mdd_pct": 10.61,
|
|
"trades": 50,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 52.0,
|
|
"profit_factor": 6.72,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -25.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 22.21
|
|
}
|
|
},
|
|
"alpha_pct": -25.22
|
|
},
|
|
"test": {
|
|
"final_equity": 132140185,
|
|
"total_return_pct": 32.14,
|
|
"cagr_pct": 143.27,
|
|
"mdd_pct": 6.95,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.31
|
|
}
|
|
},
|
|
"alpha_pct": -20.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.43,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.86,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.42,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 14.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 168606636,
|
|
"total_return_pct": 68.61,
|
|
"cagr_pct": 105.31,
|
|
"mdd_pct": 9.15,
|
|
"trades": 48,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 54.2,
|
|
"profit_factor": 7.28,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -26.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 20.94
|
|
}
|
|
},
|
|
"alpha_pct": -26.49
|
|
},
|
|
"test": {
|
|
"final_equity": 129386839,
|
|
"total_return_pct": 29.39,
|
|
"cagr_pct": 127.47,
|
|
"mdd_pct": 6.52,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.56
|
|
}
|
|
},
|
|
"alpha_pct": -23.44
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.43,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.76,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.31,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 14.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 168606636,
|
|
"total_return_pct": 68.61,
|
|
"cagr_pct": 105.31,
|
|
"mdd_pct": 9.15,
|
|
"trades": 48,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 54.2,
|
|
"profit_factor": 7.28,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -26.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 20.94
|
|
}
|
|
},
|
|
"alpha_pct": -26.49
|
|
},
|
|
"test": {
|
|
"final_equity": 129386839,
|
|
"total_return_pct": 29.39,
|
|
"cagr_pct": 127.47,
|
|
"mdd_pct": 6.52,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.56
|
|
}
|
|
},
|
|
"alpha_pct": -23.44
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.43,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.76,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.31,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 14.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 161597518,
|
|
"total_return_pct": 61.6,
|
|
"cagr_pct": 93.65,
|
|
"mdd_pct": 9.57,
|
|
"trades": 52,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 5.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -33.5
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.93
|
|
}
|
|
},
|
|
"alpha_pct": -33.5
|
|
},
|
|
"test": {
|
|
"final_equity": 129335809,
|
|
"total_return_pct": 29.34,
|
|
"cagr_pct": 127.18,
|
|
"mdd_pct": 6.52,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.51
|
|
}
|
|
},
|
|
"alpha_pct": -23.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.43,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.14,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.6,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 14.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 161597518,
|
|
"total_return_pct": 61.6,
|
|
"cagr_pct": 93.65,
|
|
"mdd_pct": 9.57,
|
|
"trades": 52,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 5.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -33.5
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.93
|
|
}
|
|
},
|
|
"alpha_pct": -33.5
|
|
},
|
|
"test": {
|
|
"final_equity": 129335809,
|
|
"total_return_pct": 29.34,
|
|
"cagr_pct": 127.18,
|
|
"mdd_pct": 6.52,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.51
|
|
}
|
|
},
|
|
"alpha_pct": -23.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.43,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.14,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.6,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 14.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 170179959,
|
|
"total_return_pct": 70.18,
|
|
"cagr_pct": 107.96,
|
|
"mdd_pct": 10.79,
|
|
"trades": 50,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 52.0,
|
|
"profit_factor": 7.03,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -24.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 22.51
|
|
}
|
|
},
|
|
"alpha_pct": -24.92
|
|
},
|
|
"test": {
|
|
"final_equity": 129335809,
|
|
"total_return_pct": 29.34,
|
|
"cagr_pct": 127.18,
|
|
"mdd_pct": 6.52,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.51
|
|
}
|
|
},
|
|
"alpha_pct": -23.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.43,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.3,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.6,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 14.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 170179959,
|
|
"total_return_pct": 70.18,
|
|
"cagr_pct": 107.96,
|
|
"mdd_pct": 10.79,
|
|
"trades": 50,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 52.0,
|
|
"profit_factor": 7.03,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -24.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 22.51
|
|
}
|
|
},
|
|
"alpha_pct": -24.92
|
|
},
|
|
"test": {
|
|
"final_equity": 129335809,
|
|
"total_return_pct": 29.34,
|
|
"cagr_pct": 127.18,
|
|
"mdd_pct": 6.52,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.51
|
|
}
|
|
},
|
|
"alpha_pct": -23.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.43,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.3,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.6,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 14.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 156433916,
|
|
"total_return_pct": 56.43,
|
|
"cagr_pct": 85.18,
|
|
"mdd_pct": 10.63,
|
|
"trades": 49,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.8,
|
|
"profit_factor": 4.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 8.76
|
|
}
|
|
},
|
|
"alpha_pct": -38.67
|
|
},
|
|
"test": {
|
|
"final_equity": 137000197,
|
|
"total_return_pct": 37.0,
|
|
"cagr_pct": 172.98,
|
|
"mdd_pct": 6.66,
|
|
"trades": 16,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 5.57,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -15.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 51.17
|
|
}
|
|
},
|
|
"alpha_pct": -15.83
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.34,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.42,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 36.05,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 14.34
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 156433916,
|
|
"total_return_pct": 56.43,
|
|
"cagr_pct": 85.18,
|
|
"mdd_pct": 10.63,
|
|
"trades": 49,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.8,
|
|
"profit_factor": 4.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 8.76
|
|
}
|
|
},
|
|
"alpha_pct": -38.67
|
|
},
|
|
"test": {
|
|
"final_equity": 137000197,
|
|
"total_return_pct": 37.0,
|
|
"cagr_pct": 172.98,
|
|
"mdd_pct": 6.66,
|
|
"trades": 16,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 5.57,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -15.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 51.17
|
|
}
|
|
},
|
|
"alpha_pct": -15.83
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.34,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.42,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 36.05,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 14.34
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 152927963,
|
|
"total_return_pct": 52.93,
|
|
"cagr_pct": 79.49,
|
|
"mdd_pct": 9.79,
|
|
"trades": 77,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.2,
|
|
"profit_factor": 3.23,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 5.26
|
|
}
|
|
},
|
|
"alpha_pct": -42.17
|
|
},
|
|
"test": {
|
|
"final_equity": 124900727,
|
|
"total_return_pct": 24.9,
|
|
"cagr_pct": 103.25,
|
|
"mdd_pct": 6.12,
|
|
"trades": 28,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 3.43,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.07
|
|
}
|
|
},
|
|
"alpha_pct": -27.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.3,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.42,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.4,
|
|
"trades": 42
|
|
}
|
|
],
|
|
"worst_ret": 14.3
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 152927963,
|
|
"total_return_pct": 52.93,
|
|
"cagr_pct": 79.49,
|
|
"mdd_pct": 9.79,
|
|
"trades": 77,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.2,
|
|
"profit_factor": 3.23,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 5.26
|
|
}
|
|
},
|
|
"alpha_pct": -42.17
|
|
},
|
|
"test": {
|
|
"final_equity": 124900727,
|
|
"total_return_pct": 24.9,
|
|
"cagr_pct": 103.25,
|
|
"mdd_pct": 6.12,
|
|
"trades": 28,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 3.43,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.07
|
|
}
|
|
},
|
|
"alpha_pct": -27.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.3,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.42,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.4,
|
|
"trades": 42
|
|
}
|
|
],
|
|
"worst_ret": 14.3
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145267726,
|
|
"total_return_pct": 45.27,
|
|
"cagr_pct": 67.23,
|
|
"mdd_pct": 11.06,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 2.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.4
|
|
}
|
|
},
|
|
"alpha_pct": -49.83
|
|
},
|
|
"test": {
|
|
"final_equity": 123114697,
|
|
"total_return_pct": 23.11,
|
|
"cagr_pct": 94.12,
|
|
"mdd_pct": 5.51,
|
|
"trades": 23,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 4.91,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -29.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 37.28
|
|
}
|
|
},
|
|
"alpha_pct": -29.72
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.29,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.36,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.01,
|
|
"trades": 33
|
|
}
|
|
],
|
|
"worst_ret": 14.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145267726,
|
|
"total_return_pct": 45.27,
|
|
"cagr_pct": 67.23,
|
|
"mdd_pct": 11.06,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 2.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.4
|
|
}
|
|
},
|
|
"alpha_pct": -49.83
|
|
},
|
|
"test": {
|
|
"final_equity": 123114697,
|
|
"total_return_pct": 23.11,
|
|
"cagr_pct": 94.12,
|
|
"mdd_pct": 5.51,
|
|
"trades": 23,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 4.91,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -29.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 37.28
|
|
}
|
|
},
|
|
"alpha_pct": -29.72
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.29,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.36,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.01,
|
|
"trades": 33
|
|
}
|
|
],
|
|
"worst_ret": 14.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 153248412,
|
|
"total_return_pct": 53.25,
|
|
"cagr_pct": 80.01,
|
|
"mdd_pct": 9.04,
|
|
"trades": 59,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.3,
|
|
"profit_factor": 3.37,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -41.85
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 5.58
|
|
}
|
|
},
|
|
"alpha_pct": -41.85
|
|
},
|
|
"test": {
|
|
"final_equity": 120257159,
|
|
"total_return_pct": 20.26,
|
|
"cagr_pct": 80.11,
|
|
"mdd_pct": 6.41,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 3.19,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -32.57
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 34.43
|
|
}
|
|
},
|
|
"alpha_pct": -32.57
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.29,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.4,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 19.35,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 14.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 153248412,
|
|
"total_return_pct": 53.25,
|
|
"cagr_pct": 80.01,
|
|
"mdd_pct": 9.04,
|
|
"trades": 59,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.3,
|
|
"profit_factor": 3.37,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -41.85
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 5.58
|
|
}
|
|
},
|
|
"alpha_pct": -41.85
|
|
},
|
|
"test": {
|
|
"final_equity": 120257159,
|
|
"total_return_pct": 20.26,
|
|
"cagr_pct": 80.11,
|
|
"mdd_pct": 6.41,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 3.19,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -32.57
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 34.43
|
|
}
|
|
},
|
|
"alpha_pct": -32.57
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.29,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.4,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 19.35,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 14.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146475147,
|
|
"total_return_pct": 46.48,
|
|
"cagr_pct": 69.15,
|
|
"mdd_pct": 10.53,
|
|
"trades": 75,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 46.7,
|
|
"profit_factor": 3.55,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.19
|
|
}
|
|
},
|
|
"alpha_pct": -48.62
|
|
},
|
|
"test": {
|
|
"final_equity": 129898950,
|
|
"total_return_pct": 29.9,
|
|
"cagr_pct": 130.35,
|
|
"mdd_pct": 5.67,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 4.41,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -22.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 44.07
|
|
}
|
|
},
|
|
"alpha_pct": -22.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.42,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.12,
|
|
"trades": 34
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 24.96,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 14.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146475147,
|
|
"total_return_pct": 46.48,
|
|
"cagr_pct": 69.15,
|
|
"mdd_pct": 10.53,
|
|
"trades": 75,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 46.7,
|
|
"profit_factor": 3.55,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.19
|
|
}
|
|
},
|
|
"alpha_pct": -48.62
|
|
},
|
|
"test": {
|
|
"final_equity": 129898950,
|
|
"total_return_pct": 29.9,
|
|
"cagr_pct": 130.35,
|
|
"mdd_pct": 5.67,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 4.41,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -22.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 44.07
|
|
}
|
|
},
|
|
"alpha_pct": -22.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.42,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.12,
|
|
"trades": 34
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 24.96,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 14.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143312977,
|
|
"total_return_pct": 43.31,
|
|
"cagr_pct": 64.14,
|
|
"mdd_pct": 11.97,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 2.68,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.36
|
|
}
|
|
},
|
|
"alpha_pct": -51.79
|
|
},
|
|
"test": {
|
|
"final_equity": 126564089,
|
|
"total_return_pct": 26.56,
|
|
"cagr_pct": 112.01,
|
|
"mdd_pct": 6.37,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.88,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.73
|
|
}
|
|
},
|
|
"alpha_pct": -26.27
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.06,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.12,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.77,
|
|
"trades": 37
|
|
}
|
|
],
|
|
"worst_ret": 14.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143312977,
|
|
"total_return_pct": 43.31,
|
|
"cagr_pct": 64.14,
|
|
"mdd_pct": 11.97,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 2.68,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.36
|
|
}
|
|
},
|
|
"alpha_pct": -51.79
|
|
},
|
|
"test": {
|
|
"final_equity": 126564089,
|
|
"total_return_pct": 26.56,
|
|
"cagr_pct": 112.01,
|
|
"mdd_pct": 6.37,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.88,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.73
|
|
}
|
|
},
|
|
"alpha_pct": -26.27
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.06,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.12,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.77,
|
|
"trades": 37
|
|
}
|
|
],
|
|
"worst_ret": 14.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 164951857,
|
|
"total_return_pct": 64.95,
|
|
"cagr_pct": 99.21,
|
|
"mdd_pct": 9.59,
|
|
"trades": 58,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.4,
|
|
"profit_factor": 5.18,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.15
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 17.28
|
|
}
|
|
},
|
|
"alpha_pct": -30.15
|
|
},
|
|
"test": {
|
|
"final_equity": 125441042,
|
|
"total_return_pct": 25.44,
|
|
"cagr_pct": 106.07,
|
|
"mdd_pct": 5.86,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.9,
|
|
"profit_factor": 4.78,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.61
|
|
}
|
|
},
|
|
"alpha_pct": -27.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.07,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.48,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.06,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 14.07
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 164951857,
|
|
"total_return_pct": 64.95,
|
|
"cagr_pct": 99.21,
|
|
"mdd_pct": 9.59,
|
|
"trades": 58,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.4,
|
|
"profit_factor": 5.18,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.15
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 17.28
|
|
}
|
|
},
|
|
"alpha_pct": -30.15
|
|
},
|
|
"test": {
|
|
"final_equity": 125441042,
|
|
"total_return_pct": 25.44,
|
|
"cagr_pct": 106.07,
|
|
"mdd_pct": 5.86,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.9,
|
|
"profit_factor": 4.78,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.61
|
|
}
|
|
},
|
|
"alpha_pct": -27.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.07,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.48,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.06,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 14.07
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152303693,
|
|
"total_return_pct": 52.3,
|
|
"cagr_pct": 78.48,
|
|
"mdd_pct": 10.36,
|
|
"trades": 77,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.2,
|
|
"profit_factor": 3.05,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.63
|
|
}
|
|
},
|
|
"alpha_pct": -42.8
|
|
},
|
|
"test": {
|
|
"final_equity": 129441456,
|
|
"total_return_pct": 29.44,
|
|
"cagr_pct": 127.77,
|
|
"mdd_pct": 7.09,
|
|
"trades": 28,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 3.15,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.61
|
|
}
|
|
},
|
|
"alpha_pct": -23.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.06,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.35,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 23.46,
|
|
"trades": 42
|
|
}
|
|
],
|
|
"worst_ret": 14.06
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152303693,
|
|
"total_return_pct": 52.3,
|
|
"cagr_pct": 78.48,
|
|
"mdd_pct": 10.36,
|
|
"trades": 77,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.2,
|
|
"profit_factor": 3.05,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.63
|
|
}
|
|
},
|
|
"alpha_pct": -42.8
|
|
},
|
|
"test": {
|
|
"final_equity": 129441456,
|
|
"total_return_pct": 29.44,
|
|
"cagr_pct": 127.77,
|
|
"mdd_pct": 7.09,
|
|
"trades": 28,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 3.15,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.61
|
|
}
|
|
},
|
|
"alpha_pct": -23.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.06,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.35,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 23.46,
|
|
"trades": 42
|
|
}
|
|
],
|
|
"worst_ret": 14.06
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 162558731,
|
|
"total_return_pct": 62.56,
|
|
"cagr_pct": 95.24,
|
|
"mdd_pct": 12.05,
|
|
"trades": 42,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 47.6,
|
|
"profit_factor": 5.2,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -32.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 14.89
|
|
}
|
|
},
|
|
"alpha_pct": -32.54
|
|
},
|
|
"test": {
|
|
"final_equity": 139844417,
|
|
"total_return_pct": 39.84,
|
|
"cagr_pct": 191.47,
|
|
"mdd_pct": 10.56,
|
|
"trades": 12,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -12.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 54.01
|
|
}
|
|
},
|
|
"alpha_pct": -12.99
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.05,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.76,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 46.88,
|
|
"trades": 12
|
|
}
|
|
],
|
|
"worst_ret": 14.05
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 162558731,
|
|
"total_return_pct": 62.56,
|
|
"cagr_pct": 95.24,
|
|
"mdd_pct": 12.05,
|
|
"trades": 42,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 47.6,
|
|
"profit_factor": 5.2,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -32.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 14.89
|
|
}
|
|
},
|
|
"alpha_pct": -32.54
|
|
},
|
|
"test": {
|
|
"final_equity": 139844417,
|
|
"total_return_pct": 39.84,
|
|
"cagr_pct": 191.47,
|
|
"mdd_pct": 10.56,
|
|
"trades": 12,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -12.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 54.01
|
|
}
|
|
},
|
|
"alpha_pct": -12.99
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.05,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.76,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 46.88,
|
|
"trades": 12
|
|
}
|
|
],
|
|
"worst_ret": 14.05
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 164739535,
|
|
"total_return_pct": 64.74,
|
|
"cagr_pct": 98.86,
|
|
"mdd_pct": 12.34,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.2,
|
|
"profit_factor": 5.68,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 17.07
|
|
}
|
|
},
|
|
"alpha_pct": -30.36
|
|
},
|
|
"test": {
|
|
"final_equity": 132507794,
|
|
"total_return_pct": 32.51,
|
|
"cagr_pct": 145.43,
|
|
"mdd_pct": 8.44,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 3.85,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.68
|
|
}
|
|
},
|
|
"alpha_pct": -20.32
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.05,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.68,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.71,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 14.05
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 164739535,
|
|
"total_return_pct": 64.74,
|
|
"cagr_pct": 98.86,
|
|
"mdd_pct": 12.34,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.2,
|
|
"profit_factor": 5.68,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 17.07
|
|
}
|
|
},
|
|
"alpha_pct": -30.36
|
|
},
|
|
"test": {
|
|
"final_equity": 132507794,
|
|
"total_return_pct": 32.51,
|
|
"cagr_pct": 145.43,
|
|
"mdd_pct": 8.44,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 3.85,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.68
|
|
}
|
|
},
|
|
"alpha_pct": -20.32
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.05,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.68,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.71,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 14.05
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 164739535,
|
|
"total_return_pct": 64.74,
|
|
"cagr_pct": 98.86,
|
|
"mdd_pct": 12.34,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.2,
|
|
"profit_factor": 5.68,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 17.07
|
|
}
|
|
},
|
|
"alpha_pct": -30.36
|
|
},
|
|
"test": {
|
|
"final_equity": 132138885,
|
|
"total_return_pct": 32.14,
|
|
"cagr_pct": 143.26,
|
|
"mdd_pct": 7.45,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.1,
|
|
"profit_factor": 3.44,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.31
|
|
}
|
|
},
|
|
"alpha_pct": -20.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.05,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.68,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.71,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 14.05
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 164739535,
|
|
"total_return_pct": 64.74,
|
|
"cagr_pct": 98.86,
|
|
"mdd_pct": 12.34,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.2,
|
|
"profit_factor": 5.68,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 17.07
|
|
}
|
|
},
|
|
"alpha_pct": -30.36
|
|
},
|
|
"test": {
|
|
"final_equity": 132138885,
|
|
"total_return_pct": 32.14,
|
|
"cagr_pct": 143.26,
|
|
"mdd_pct": 7.45,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.1,
|
|
"profit_factor": 3.44,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.31
|
|
}
|
|
},
|
|
"alpha_pct": -20.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.05,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.68,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.71,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 14.05
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 150488796,
|
|
"total_return_pct": 50.49,
|
|
"cagr_pct": 75.56,
|
|
"mdd_pct": 10.68,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.8,
|
|
"profit_factor": 3.6,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.61
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.82
|
|
}
|
|
},
|
|
"alpha_pct": -44.61
|
|
},
|
|
"test": {
|
|
"final_equity": 123467136,
|
|
"total_return_pct": 23.47,
|
|
"cagr_pct": 95.9,
|
|
"mdd_pct": 6.21,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 36.4,
|
|
"profit_factor": 4.4,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -29.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 37.64
|
|
}
|
|
},
|
|
"alpha_pct": -29.36
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.02,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.16,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.64,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 14.02
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 150488796,
|
|
"total_return_pct": 50.49,
|
|
"cagr_pct": 75.56,
|
|
"mdd_pct": 10.68,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.8,
|
|
"profit_factor": 3.6,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.61
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.82
|
|
}
|
|
},
|
|
"alpha_pct": -44.61
|
|
},
|
|
"test": {
|
|
"final_equity": 123467136,
|
|
"total_return_pct": 23.47,
|
|
"cagr_pct": 95.9,
|
|
"mdd_pct": 6.21,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 36.4,
|
|
"profit_factor": 4.4,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -29.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 37.64
|
|
}
|
|
},
|
|
"alpha_pct": -29.36
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.02,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.16,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.64,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 14.02
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138528171,
|
|
"total_return_pct": 38.53,
|
|
"cagr_pct": 56.64,
|
|
"mdd_pct": 12.08,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.2,
|
|
"profit_factor": 2.43,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.57
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.14
|
|
}
|
|
},
|
|
"alpha_pct": -56.57
|
|
},
|
|
"test": {
|
|
"final_equity": 122175792,
|
|
"total_return_pct": 22.18,
|
|
"cagr_pct": 89.44,
|
|
"mdd_pct": 5.88,
|
|
"trades": 27,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.33,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.35
|
|
}
|
|
},
|
|
"alpha_pct": -30.65
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.92,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.3,
|
|
"trades": 32
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.31,
|
|
"trades": 36
|
|
}
|
|
],
|
|
"worst_ret": 13.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138528171,
|
|
"total_return_pct": 38.53,
|
|
"cagr_pct": 56.64,
|
|
"mdd_pct": 12.08,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.2,
|
|
"profit_factor": 2.43,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.57
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.14
|
|
}
|
|
},
|
|
"alpha_pct": -56.57
|
|
},
|
|
"test": {
|
|
"final_equity": 122175792,
|
|
"total_return_pct": 22.18,
|
|
"cagr_pct": 89.44,
|
|
"mdd_pct": 5.88,
|
|
"trades": 27,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.33,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.35
|
|
}
|
|
},
|
|
"alpha_pct": -30.65
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.92,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.3,
|
|
"trades": 32
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.31,
|
|
"trades": 36
|
|
}
|
|
],
|
|
"worst_ret": 13.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 164691628,
|
|
"total_return_pct": 64.69,
|
|
"cagr_pct": 98.78,
|
|
"mdd_pct": 9.51,
|
|
"trades": 58,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.4,
|
|
"profit_factor": 4.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 17.02
|
|
}
|
|
},
|
|
"alpha_pct": -30.41
|
|
},
|
|
"test": {
|
|
"final_equity": 130893415,
|
|
"total_return_pct": 30.89,
|
|
"cagr_pct": 136.02,
|
|
"mdd_pct": 6.99,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.9,
|
|
"profit_factor": 4.43,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.06
|
|
}
|
|
},
|
|
"alpha_pct": -21.94
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.89,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.13,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.57,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 13.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 164691628,
|
|
"total_return_pct": 64.69,
|
|
"cagr_pct": 98.78,
|
|
"mdd_pct": 9.51,
|
|
"trades": 58,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.4,
|
|
"profit_factor": 4.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 17.02
|
|
}
|
|
},
|
|
"alpha_pct": -30.41
|
|
},
|
|
"test": {
|
|
"final_equity": 130893415,
|
|
"total_return_pct": 30.89,
|
|
"cagr_pct": 136.02,
|
|
"mdd_pct": 6.99,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.9,
|
|
"profit_factor": 4.43,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.06
|
|
}
|
|
},
|
|
"alpha_pct": -21.94
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.89,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.13,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.57,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 13.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145070370,
|
|
"total_return_pct": 45.07,
|
|
"cagr_pct": 66.92,
|
|
"mdd_pct": 9.99,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 47.5,
|
|
"profit_factor": 3.93,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.03
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.6
|
|
}
|
|
},
|
|
"alpha_pct": -50.03
|
|
},
|
|
"test": {
|
|
"final_equity": 127911265,
|
|
"total_return_pct": 27.91,
|
|
"cagr_pct": 119.29,
|
|
"mdd_pct": 9.41,
|
|
"trades": 16,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 4.85,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.08
|
|
}
|
|
},
|
|
"alpha_pct": -24.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.85,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.63,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.43,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 13.85
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145070370,
|
|
"total_return_pct": 45.07,
|
|
"cagr_pct": 66.92,
|
|
"mdd_pct": 9.99,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 47.5,
|
|
"profit_factor": 3.93,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.03
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.6
|
|
}
|
|
},
|
|
"alpha_pct": -50.03
|
|
},
|
|
"test": {
|
|
"final_equity": 127911265,
|
|
"total_return_pct": 27.91,
|
|
"cagr_pct": 119.29,
|
|
"mdd_pct": 9.41,
|
|
"trades": 16,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 4.85,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.08
|
|
}
|
|
},
|
|
"alpha_pct": -24.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.85,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.63,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.43,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 13.85
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 163446046,
|
|
"total_return_pct": 63.45,
|
|
"cagr_pct": 96.71,
|
|
"mdd_pct": 11.27,
|
|
"trades": 63,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.3,
|
|
"profit_factor": 4.11,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -31.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 15.78
|
|
}
|
|
},
|
|
"alpha_pct": -31.65
|
|
},
|
|
"test": {
|
|
"final_equity": 132540935,
|
|
"total_return_pct": 32.54,
|
|
"cagr_pct": 145.63,
|
|
"mdd_pct": 10.33,
|
|
"trades": 28,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 2.96,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.71
|
|
}
|
|
},
|
|
"alpha_pct": -20.29
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.12,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.8,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.21,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 13.8
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 163446046,
|
|
"total_return_pct": 63.45,
|
|
"cagr_pct": 96.71,
|
|
"mdd_pct": 11.27,
|
|
"trades": 63,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.3,
|
|
"profit_factor": 4.11,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -31.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 15.78
|
|
}
|
|
},
|
|
"alpha_pct": -31.65
|
|
},
|
|
"test": {
|
|
"final_equity": 132540935,
|
|
"total_return_pct": 32.54,
|
|
"cagr_pct": 145.63,
|
|
"mdd_pct": 10.33,
|
|
"trades": 28,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 2.96,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.71
|
|
}
|
|
},
|
|
"alpha_pct": -20.29
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.12,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.8,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.21,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 13.8
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 150984905,
|
|
"total_return_pct": 50.98,
|
|
"cagr_pct": 76.36,
|
|
"mdd_pct": 10.06,
|
|
"trades": 49,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 49.0,
|
|
"profit_factor": 4.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.31
|
|
}
|
|
},
|
|
"alpha_pct": -44.12
|
|
},
|
|
"test": {
|
|
"final_equity": 125817777,
|
|
"total_return_pct": 25.82,
|
|
"cagr_pct": 108.05,
|
|
"mdd_pct": 4.98,
|
|
"trades": 13,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 6.47,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.99
|
|
}
|
|
},
|
|
"alpha_pct": -27.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.75,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.18,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.6,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 13.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 150984905,
|
|
"total_return_pct": 50.98,
|
|
"cagr_pct": 76.36,
|
|
"mdd_pct": 10.06,
|
|
"trades": 49,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 49.0,
|
|
"profit_factor": 4.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.31
|
|
}
|
|
},
|
|
"alpha_pct": -44.12
|
|
},
|
|
"test": {
|
|
"final_equity": 125817777,
|
|
"total_return_pct": 25.82,
|
|
"cagr_pct": 108.05,
|
|
"mdd_pct": 4.98,
|
|
"trades": 13,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 6.47,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.99
|
|
}
|
|
},
|
|
"alpha_pct": -27.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.75,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.18,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.6,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 13.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 138526450,
|
|
"total_return_pct": 38.53,
|
|
"cagr_pct": 56.64,
|
|
"mdd_pct": 12.82,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.2,
|
|
"profit_factor": 2.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.57
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.14
|
|
}
|
|
},
|
|
"alpha_pct": -56.57
|
|
},
|
|
"test": {
|
|
"final_equity": 127134867,
|
|
"total_return_pct": 27.13,
|
|
"cagr_pct": 115.08,
|
|
"mdd_pct": 8.13,
|
|
"trades": 27,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.19,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.7
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.3
|
|
}
|
|
},
|
|
"alpha_pct": -25.7
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.92,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.69,
|
|
"trades": 32
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 41.19,
|
|
"trades": 36
|
|
}
|
|
],
|
|
"worst_ret": 13.69
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 138526450,
|
|
"total_return_pct": 38.53,
|
|
"cagr_pct": 56.64,
|
|
"mdd_pct": 12.82,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.2,
|
|
"profit_factor": 2.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.57
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.14
|
|
}
|
|
},
|
|
"alpha_pct": -56.57
|
|
},
|
|
"test": {
|
|
"final_equity": 127134867,
|
|
"total_return_pct": 27.13,
|
|
"cagr_pct": 115.08,
|
|
"mdd_pct": 8.13,
|
|
"trades": 27,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.19,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.7
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.3
|
|
}
|
|
},
|
|
"alpha_pct": -25.7
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.92,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.69,
|
|
"trades": 32
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 41.19,
|
|
"trades": 36
|
|
}
|
|
],
|
|
"worst_ret": 13.69
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 148350204,
|
|
"total_return_pct": 48.35,
|
|
"cagr_pct": 72.14,
|
|
"mdd_pct": 11.22,
|
|
"trades": 71,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 49.3,
|
|
"profit_factor": 3.51,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.68
|
|
}
|
|
},
|
|
"alpha_pct": -46.75
|
|
},
|
|
"test": {
|
|
"final_equity": 133879543,
|
|
"total_return_pct": 33.88,
|
|
"cagr_pct": 153.63,
|
|
"mdd_pct": 7.18,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 4.19,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.05
|
|
}
|
|
},
|
|
"alpha_pct": -18.95
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.22,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.67,
|
|
"trades": 34
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 30.44,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 13.67
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 148350204,
|
|
"total_return_pct": 48.35,
|
|
"cagr_pct": 72.14,
|
|
"mdd_pct": 11.22,
|
|
"trades": 71,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 49.3,
|
|
"profit_factor": 3.51,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.68
|
|
}
|
|
},
|
|
"alpha_pct": -46.75
|
|
},
|
|
"test": {
|
|
"final_equity": 133879543,
|
|
"total_return_pct": 33.88,
|
|
"cagr_pct": 153.63,
|
|
"mdd_pct": 7.18,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 4.19,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.05
|
|
}
|
|
},
|
|
"alpha_pct": -18.95
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.22,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.67,
|
|
"trades": 34
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 30.44,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 13.67
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 155302299,
|
|
"total_return_pct": 55.3,
|
|
"cagr_pct": 83.34,
|
|
"mdd_pct": 10.25,
|
|
"trades": 45,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 4.69,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.63
|
|
}
|
|
},
|
|
"alpha_pct": -39.8
|
|
},
|
|
"test": {
|
|
"final_equity": 122022833,
|
|
"total_return_pct": 22.02,
|
|
"cagr_pct": 88.68,
|
|
"mdd_pct": 5.32,
|
|
"trades": 15,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.24,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.19
|
|
}
|
|
},
|
|
"alpha_pct": -30.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.66,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.84,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 19.28,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 13.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 155302299,
|
|
"total_return_pct": 55.3,
|
|
"cagr_pct": 83.34,
|
|
"mdd_pct": 10.25,
|
|
"trades": 45,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 4.69,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.63
|
|
}
|
|
},
|
|
"alpha_pct": -39.8
|
|
},
|
|
"test": {
|
|
"final_equity": 122022833,
|
|
"total_return_pct": 22.02,
|
|
"cagr_pct": 88.68,
|
|
"mdd_pct": 5.32,
|
|
"trades": 15,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.24,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.19
|
|
}
|
|
},
|
|
"alpha_pct": -30.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.66,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.84,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 19.28,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 13.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 161406128,
|
|
"total_return_pct": 61.41,
|
|
"cagr_pct": 93.34,
|
|
"mdd_pct": 10.64,
|
|
"trades": 45,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 4.46,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -33.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.74
|
|
}
|
|
},
|
|
"alpha_pct": -33.69
|
|
},
|
|
"test": {
|
|
"final_equity": 136198490,
|
|
"total_return_pct": 36.2,
|
|
"cagr_pct": 167.91,
|
|
"mdd_pct": 7.28,
|
|
"trades": 15,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 5.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -16.63
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 50.37
|
|
}
|
|
},
|
|
"alpha_pct": -16.63
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.02,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.63,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.33,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 13.63
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 161406128,
|
|
"total_return_pct": 61.41,
|
|
"cagr_pct": 93.34,
|
|
"mdd_pct": 10.64,
|
|
"trades": 45,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 4.46,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -33.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.74
|
|
}
|
|
},
|
|
"alpha_pct": -33.69
|
|
},
|
|
"test": {
|
|
"final_equity": 136198490,
|
|
"total_return_pct": 36.2,
|
|
"cagr_pct": 167.91,
|
|
"mdd_pct": 7.28,
|
|
"trades": 15,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 5.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -16.63
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 50.37
|
|
}
|
|
},
|
|
"alpha_pct": -16.63
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.02,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.63,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.33,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 13.63
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 167653420,
|
|
"total_return_pct": 67.65,
|
|
"cagr_pct": 103.72,
|
|
"mdd_pct": 10.6,
|
|
"trades": 50,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 48.0,
|
|
"profit_factor": 6.2,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -27.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 19.98
|
|
}
|
|
},
|
|
"alpha_pct": -27.45
|
|
},
|
|
"test": {
|
|
"final_equity": 134915828,
|
|
"total_return_pct": 34.92,
|
|
"cagr_pct": 159.95,
|
|
"mdd_pct": 6.99,
|
|
"trades": 17,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 4.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.09
|
|
}
|
|
},
|
|
"alpha_pct": -17.91
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.51,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.49,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 41.22,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 13.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 167653420,
|
|
"total_return_pct": 67.65,
|
|
"cagr_pct": 103.72,
|
|
"mdd_pct": 10.6,
|
|
"trades": 50,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 48.0,
|
|
"profit_factor": 6.2,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -27.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 19.98
|
|
}
|
|
},
|
|
"alpha_pct": -27.45
|
|
},
|
|
"test": {
|
|
"final_equity": 134915828,
|
|
"total_return_pct": 34.92,
|
|
"cagr_pct": 159.95,
|
|
"mdd_pct": 6.99,
|
|
"trades": 17,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 4.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.09
|
|
}
|
|
},
|
|
"alpha_pct": -17.91
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.51,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.49,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 41.22,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 13.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 162169732,
|
|
"total_return_pct": 62.17,
|
|
"cagr_pct": 94.6,
|
|
"mdd_pct": 11.12,
|
|
"trades": 54,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 5.15,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -32.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 14.5
|
|
}
|
|
},
|
|
"alpha_pct": -32.93
|
|
},
|
|
"test": {
|
|
"final_equity": 133361028,
|
|
"total_return_pct": 33.36,
|
|
"cagr_pct": 150.51,
|
|
"mdd_pct": 7.08,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 4.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.53
|
|
}
|
|
},
|
|
"alpha_pct": -19.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.51,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.87,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.57,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 13.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 162169732,
|
|
"total_return_pct": 62.17,
|
|
"cagr_pct": 94.6,
|
|
"mdd_pct": 11.12,
|
|
"trades": 54,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 5.15,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -32.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 14.5
|
|
}
|
|
},
|
|
"alpha_pct": -32.93
|
|
},
|
|
"test": {
|
|
"final_equity": 133361028,
|
|
"total_return_pct": 33.36,
|
|
"cagr_pct": 150.51,
|
|
"mdd_pct": 7.08,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 4.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.53
|
|
}
|
|
},
|
|
"alpha_pct": -19.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.51,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.87,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.57,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 13.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 167661996,
|
|
"total_return_pct": 67.66,
|
|
"cagr_pct": 103.73,
|
|
"mdd_pct": 10.69,
|
|
"trades": 50,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 48.0,
|
|
"profit_factor": 6.39,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -27.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 19.99
|
|
}
|
|
},
|
|
"alpha_pct": -27.44
|
|
},
|
|
"test": {
|
|
"final_equity": 129352222,
|
|
"total_return_pct": 29.35,
|
|
"cagr_pct": 127.27,
|
|
"mdd_pct": 6.02,
|
|
"trades": 17,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 5.54,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.52
|
|
}
|
|
},
|
|
"alpha_pct": -23.48
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.51,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.48,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.41,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 13.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 167661996,
|
|
"total_return_pct": 67.66,
|
|
"cagr_pct": 103.73,
|
|
"mdd_pct": 10.69,
|
|
"trades": 50,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 48.0,
|
|
"profit_factor": 6.39,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -27.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 19.99
|
|
}
|
|
},
|
|
"alpha_pct": -27.44
|
|
},
|
|
"test": {
|
|
"final_equity": 129352222,
|
|
"total_return_pct": 29.35,
|
|
"cagr_pct": 127.27,
|
|
"mdd_pct": 6.02,
|
|
"trades": 17,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 5.54,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.52
|
|
}
|
|
},
|
|
"alpha_pct": -23.48
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.51,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.48,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.41,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 13.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 161575160,
|
|
"total_return_pct": 61.58,
|
|
"cagr_pct": 93.62,
|
|
"mdd_pct": 11.5,
|
|
"trades": 54,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 5.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -33.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.91
|
|
}
|
|
},
|
|
"alpha_pct": -33.52
|
|
},
|
|
"test": {
|
|
"final_equity": 128627784,
|
|
"total_return_pct": 28.63,
|
|
"cagr_pct": 123.24,
|
|
"mdd_pct": 6.03,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 5.3,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.8
|
|
}
|
|
},
|
|
"alpha_pct": -24.2
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.51,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.89,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.24,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 13.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 161575160,
|
|
"total_return_pct": 61.58,
|
|
"cagr_pct": 93.62,
|
|
"mdd_pct": 11.5,
|
|
"trades": 54,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 5.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -33.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.91
|
|
}
|
|
},
|
|
"alpha_pct": -33.52
|
|
},
|
|
"test": {
|
|
"final_equity": 128627784,
|
|
"total_return_pct": 28.63,
|
|
"cagr_pct": 123.24,
|
|
"mdd_pct": 6.03,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 5.3,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.8
|
|
}
|
|
},
|
|
"alpha_pct": -24.2
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.51,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.89,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.24,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 13.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 152594115,
|
|
"total_return_pct": 52.59,
|
|
"cagr_pct": 78.95,
|
|
"mdd_pct": 11.34,
|
|
"trades": 62,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 51.6,
|
|
"profit_factor": 4.46,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.92
|
|
}
|
|
},
|
|
"alpha_pct": -42.51
|
|
},
|
|
"test": {
|
|
"final_equity": 135470191,
|
|
"total_return_pct": 35.47,
|
|
"cagr_pct": 163.37,
|
|
"mdd_pct": 6.47,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 6.02,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.64
|
|
}
|
|
},
|
|
"alpha_pct": -17.36
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.65,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.5,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 35.33,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 13.5
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 152594115,
|
|
"total_return_pct": 52.59,
|
|
"cagr_pct": 78.95,
|
|
"mdd_pct": 11.34,
|
|
"trades": 62,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 51.6,
|
|
"profit_factor": 4.46,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.92
|
|
}
|
|
},
|
|
"alpha_pct": -42.51
|
|
},
|
|
"test": {
|
|
"final_equity": 135470191,
|
|
"total_return_pct": 35.47,
|
|
"cagr_pct": 163.37,
|
|
"mdd_pct": 6.47,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 6.02,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.64
|
|
}
|
|
},
|
|
"alpha_pct": -17.36
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.65,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.5,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 35.33,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 13.5
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143421556,
|
|
"total_return_pct": 43.42,
|
|
"cagr_pct": 64.31,
|
|
"mdd_pct": 12.65,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 2.55,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.25
|
|
}
|
|
},
|
|
"alpha_pct": -51.68
|
|
},
|
|
"test": {
|
|
"final_equity": 134471358,
|
|
"total_return_pct": 34.47,
|
|
"cagr_pct": 157.22,
|
|
"mdd_pct": 7.5,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.64
|
|
}
|
|
},
|
|
"alpha_pct": -18.36
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.06,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.5,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 41.23,
|
|
"trades": 37
|
|
}
|
|
],
|
|
"worst_ret": 13.5
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143421556,
|
|
"total_return_pct": 43.42,
|
|
"cagr_pct": 64.31,
|
|
"mdd_pct": 12.65,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 2.55,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.25
|
|
}
|
|
},
|
|
"alpha_pct": -51.68
|
|
},
|
|
"test": {
|
|
"final_equity": 134471358,
|
|
"total_return_pct": 34.47,
|
|
"cagr_pct": 157.22,
|
|
"mdd_pct": 7.5,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.64
|
|
}
|
|
},
|
|
"alpha_pct": -18.36
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.06,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.5,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 41.23,
|
|
"trades": 37
|
|
}
|
|
],
|
|
"worst_ret": 13.5
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149662903,
|
|
"total_return_pct": 49.66,
|
|
"cagr_pct": 74.24,
|
|
"mdd_pct": 10.02,
|
|
"trades": 63,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 3.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.99
|
|
}
|
|
},
|
|
"alpha_pct": -45.44
|
|
},
|
|
"test": {
|
|
"final_equity": 140531004,
|
|
"total_return_pct": 40.53,
|
|
"cagr_pct": 196.06,
|
|
"mdd_pct": 12.85,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 27.8,
|
|
"profit_factor": 4.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -12.3
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 54.7
|
|
}
|
|
},
|
|
"alpha_pct": -12.3
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.91,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.44,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 42.37,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 13.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149662903,
|
|
"total_return_pct": 49.66,
|
|
"cagr_pct": 74.24,
|
|
"mdd_pct": 10.02,
|
|
"trades": 63,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 3.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.99
|
|
}
|
|
},
|
|
"alpha_pct": -45.44
|
|
},
|
|
"test": {
|
|
"final_equity": 140531004,
|
|
"total_return_pct": 40.53,
|
|
"cagr_pct": 196.06,
|
|
"mdd_pct": 12.85,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 27.8,
|
|
"profit_factor": 4.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -12.3
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 54.7
|
|
}
|
|
},
|
|
"alpha_pct": -12.3
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.91,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.44,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 42.37,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 13.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145392794,
|
|
"total_return_pct": 45.39,
|
|
"cagr_pct": 67.43,
|
|
"mdd_pct": 10.68,
|
|
"trades": 75,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 46.7,
|
|
"profit_factor": 3.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.28
|
|
}
|
|
},
|
|
"alpha_pct": -49.71
|
|
},
|
|
"test": {
|
|
"final_equity": 131020194,
|
|
"total_return_pct": 31.02,
|
|
"cagr_pct": 136.75,
|
|
"mdd_pct": 6.89,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 3.94,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.19
|
|
}
|
|
},
|
|
"alpha_pct": -21.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.43,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.44,
|
|
"trades": 34
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.68,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 13.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145392794,
|
|
"total_return_pct": 45.39,
|
|
"cagr_pct": 67.43,
|
|
"mdd_pct": 10.68,
|
|
"trades": 75,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 46.7,
|
|
"profit_factor": 3.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.28
|
|
}
|
|
},
|
|
"alpha_pct": -49.71
|
|
},
|
|
"test": {
|
|
"final_equity": 131020194,
|
|
"total_return_pct": 31.02,
|
|
"cagr_pct": 136.75,
|
|
"mdd_pct": 6.89,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 3.94,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.19
|
|
}
|
|
},
|
|
"alpha_pct": -21.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.43,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.44,
|
|
"trades": 34
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.68,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 13.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 172951439,
|
|
"total_return_pct": 72.95,
|
|
"cagr_pct": 112.63,
|
|
"mdd_pct": 12.3,
|
|
"trades": 57,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.9,
|
|
"profit_factor": 5.58,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -22.15
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 25.28
|
|
}
|
|
},
|
|
"alpha_pct": -22.15
|
|
},
|
|
"test": {
|
|
"final_equity": 125587432,
|
|
"total_return_pct": 25.59,
|
|
"cagr_pct": 106.84,
|
|
"mdd_pct": 6.36,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 36.4,
|
|
"profit_factor": 4.63,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.24
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.76
|
|
}
|
|
},
|
|
"alpha_pct": -27.24
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.38,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.86,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.41,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 13.38
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 172951439,
|
|
"total_return_pct": 72.95,
|
|
"cagr_pct": 112.63,
|
|
"mdd_pct": 12.3,
|
|
"trades": 57,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.9,
|
|
"profit_factor": 5.58,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -22.15
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 25.28
|
|
}
|
|
},
|
|
"alpha_pct": -22.15
|
|
},
|
|
"test": {
|
|
"final_equity": 125587432,
|
|
"total_return_pct": 25.59,
|
|
"cagr_pct": 106.84,
|
|
"mdd_pct": 6.36,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 36.4,
|
|
"profit_factor": 4.63,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.24
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.76
|
|
}
|
|
},
|
|
"alpha_pct": -27.24
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.38,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.86,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.41,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 13.38
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 173265792,
|
|
"total_return_pct": 73.27,
|
|
"cagr_pct": 113.17,
|
|
"mdd_pct": 10.06,
|
|
"trades": 54,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.7,
|
|
"profit_factor": 6.12,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -21.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 25.6
|
|
}
|
|
},
|
|
"alpha_pct": -21.83
|
|
},
|
|
"test": {
|
|
"final_equity": 121754910,
|
|
"total_return_pct": 21.75,
|
|
"cagr_pct": 87.37,
|
|
"mdd_pct": 8.55,
|
|
"trades": 19,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 3.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -31.08
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 35.92
|
|
}
|
|
},
|
|
"alpha_pct": -31.08
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.38,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 28.03,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.17,
|
|
"trades": 33
|
|
}
|
|
],
|
|
"worst_ret": 13.38
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 173265792,
|
|
"total_return_pct": 73.27,
|
|
"cagr_pct": 113.17,
|
|
"mdd_pct": 10.06,
|
|
"trades": 54,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.7,
|
|
"profit_factor": 6.12,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -21.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 25.6
|
|
}
|
|
},
|
|
"alpha_pct": -21.83
|
|
},
|
|
"test": {
|
|
"final_equity": 121754910,
|
|
"total_return_pct": 21.75,
|
|
"cagr_pct": 87.37,
|
|
"mdd_pct": 8.55,
|
|
"trades": 19,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 3.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -31.08
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 35.92
|
|
}
|
|
},
|
|
"alpha_pct": -31.08
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.38,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 28.03,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.17,
|
|
"trades": 33
|
|
}
|
|
],
|
|
"worst_ret": 13.38
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 147585162,
|
|
"total_return_pct": 47.59,
|
|
"cagr_pct": 70.91,
|
|
"mdd_pct": 11.17,
|
|
"trades": 66,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 48.5,
|
|
"profit_factor": 4.0,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.08
|
|
}
|
|
},
|
|
"alpha_pct": -47.51
|
|
},
|
|
"test": {
|
|
"final_equity": 133034784,
|
|
"total_return_pct": 33.03,
|
|
"cagr_pct": 148.56,
|
|
"mdd_pct": 6.52,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 5.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.2
|
|
}
|
|
},
|
|
"alpha_pct": -19.8
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.57,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.17,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.98,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 13.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 147585162,
|
|
"total_return_pct": 47.59,
|
|
"cagr_pct": 70.91,
|
|
"mdd_pct": 11.17,
|
|
"trades": 66,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 48.5,
|
|
"profit_factor": 4.0,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.08
|
|
}
|
|
},
|
|
"alpha_pct": -47.51
|
|
},
|
|
"test": {
|
|
"final_equity": 133034784,
|
|
"total_return_pct": 33.03,
|
|
"cagr_pct": 148.56,
|
|
"mdd_pct": 6.52,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 5.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.2
|
|
}
|
|
},
|
|
"alpha_pct": -19.8
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.57,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.17,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.98,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 13.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 172439998,
|
|
"total_return_pct": 72.44,
|
|
"cagr_pct": 111.77,
|
|
"mdd_pct": 12.12,
|
|
"trades": 57,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.9,
|
|
"profit_factor": 5.37,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -22.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 24.77
|
|
}
|
|
},
|
|
"alpha_pct": -22.66
|
|
},
|
|
"test": {
|
|
"final_equity": 131119189,
|
|
"total_return_pct": 31.12,
|
|
"cagr_pct": 137.32,
|
|
"mdd_pct": 6.99,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 36.4,
|
|
"profit_factor": 4.33,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.29
|
|
}
|
|
},
|
|
"alpha_pct": -21.71
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.14,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.4,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.76,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 13.14
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 172439998,
|
|
"total_return_pct": 72.44,
|
|
"cagr_pct": 111.77,
|
|
"mdd_pct": 12.12,
|
|
"trades": 57,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.9,
|
|
"profit_factor": 5.37,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -22.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 24.77
|
|
}
|
|
},
|
|
"alpha_pct": -22.66
|
|
},
|
|
"test": {
|
|
"final_equity": 131119189,
|
|
"total_return_pct": 31.12,
|
|
"cagr_pct": 137.32,
|
|
"mdd_pct": 6.99,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 36.4,
|
|
"profit_factor": 4.33,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.29
|
|
}
|
|
},
|
|
"alpha_pct": -21.71
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.14,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.4,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.76,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 13.14
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 172837031,
|
|
"total_return_pct": 72.84,
|
|
"cagr_pct": 112.44,
|
|
"mdd_pct": 10.09,
|
|
"trades": 54,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.7,
|
|
"profit_factor": 5.88,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -22.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 25.17
|
|
}
|
|
},
|
|
"alpha_pct": -22.26
|
|
},
|
|
"test": {
|
|
"final_equity": 127041131,
|
|
"total_return_pct": 27.04,
|
|
"cagr_pct": 114.57,
|
|
"mdd_pct": 9.26,
|
|
"trades": 19,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 3.52,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.21
|
|
}
|
|
},
|
|
"alpha_pct": -25.79
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.14,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.58,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 39.27,
|
|
"trades": 33
|
|
}
|
|
],
|
|
"worst_ret": 13.14
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 172837031,
|
|
"total_return_pct": 72.84,
|
|
"cagr_pct": 112.44,
|
|
"mdd_pct": 10.09,
|
|
"trades": 54,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.7,
|
|
"profit_factor": 5.88,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -22.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 25.17
|
|
}
|
|
},
|
|
"alpha_pct": -22.26
|
|
},
|
|
"test": {
|
|
"final_equity": 127041131,
|
|
"total_return_pct": 27.04,
|
|
"cagr_pct": 114.57,
|
|
"mdd_pct": 9.26,
|
|
"trades": 19,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 3.52,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.21
|
|
}
|
|
},
|
|
"alpha_pct": -25.79
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.14,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.58,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 39.27,
|
|
"trades": 33
|
|
}
|
|
],
|
|
"worst_ret": 13.14
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 151514407,
|
|
"total_return_pct": 51.51,
|
|
"cagr_pct": 77.21,
|
|
"mdd_pct": 11.65,
|
|
"trades": 62,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 51.6,
|
|
"profit_factor": 4.2,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -43.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.84
|
|
}
|
|
},
|
|
"alpha_pct": -43.59
|
|
},
|
|
"test": {
|
|
"final_equity": 140904638,
|
|
"total_return_pct": 40.9,
|
|
"cagr_pct": 198.57,
|
|
"mdd_pct": 7.4,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 5.85,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -11.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.07
|
|
}
|
|
},
|
|
"alpha_pct": -11.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.51,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.89,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 42.34,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 12.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 151514407,
|
|
"total_return_pct": 51.51,
|
|
"cagr_pct": 77.21,
|
|
"mdd_pct": 11.65,
|
|
"trades": 62,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 51.6,
|
|
"profit_factor": 4.2,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -43.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.84
|
|
}
|
|
},
|
|
"alpha_pct": -43.59
|
|
},
|
|
"test": {
|
|
"final_equity": 140904638,
|
|
"total_return_pct": 40.9,
|
|
"cagr_pct": 198.57,
|
|
"mdd_pct": 7.4,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 5.85,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -11.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.07
|
|
}
|
|
},
|
|
"alpha_pct": -11.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.51,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.89,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 42.34,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 12.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149738067,
|
|
"total_return_pct": 49.74,
|
|
"cagr_pct": 74.36,
|
|
"mdd_pct": 9.91,
|
|
"trades": 68,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 3.19,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.07
|
|
}
|
|
},
|
|
"alpha_pct": -45.36
|
|
},
|
|
"test": {
|
|
"final_equity": 139363211,
|
|
"total_return_pct": 39.36,
|
|
"cagr_pct": 188.28,
|
|
"mdd_pct": 8.85,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 5.54,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.53
|
|
}
|
|
},
|
|
"alpha_pct": -13.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.83,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.29,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.66,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 12.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149738067,
|
|
"total_return_pct": 49.74,
|
|
"cagr_pct": 74.36,
|
|
"mdd_pct": 9.91,
|
|
"trades": 68,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 3.19,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.07
|
|
}
|
|
},
|
|
"alpha_pct": -45.36
|
|
},
|
|
"test": {
|
|
"final_equity": 139363211,
|
|
"total_return_pct": 39.36,
|
|
"cagr_pct": 188.28,
|
|
"mdd_pct": 8.85,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 5.54,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.53
|
|
}
|
|
},
|
|
"alpha_pct": -13.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.83,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.29,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.66,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 12.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146490811,
|
|
"total_return_pct": 46.49,
|
|
"cagr_pct": 69.17,
|
|
"mdd_pct": 11.48,
|
|
"trades": 66,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 48.5,
|
|
"profit_factor": 3.79,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.61
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.18
|
|
}
|
|
},
|
|
"alpha_pct": -48.61
|
|
},
|
|
"test": {
|
|
"final_equity": 138034337,
|
|
"total_return_pct": 38.03,
|
|
"cagr_pct": 179.6,
|
|
"mdd_pct": 7.47,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 5.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.2
|
|
}
|
|
},
|
|
"alpha_pct": -14.8
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.42,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.83,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 39.43,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 12.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146490811,
|
|
"total_return_pct": 46.49,
|
|
"cagr_pct": 69.17,
|
|
"mdd_pct": 11.48,
|
|
"trades": 66,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 48.5,
|
|
"profit_factor": 3.79,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.61
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.18
|
|
}
|
|
},
|
|
"alpha_pct": -48.61
|
|
},
|
|
"test": {
|
|
"final_equity": 138034337,
|
|
"total_return_pct": 38.03,
|
|
"cagr_pct": 179.6,
|
|
"mdd_pct": 7.47,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 5.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.2
|
|
}
|
|
},
|
|
"alpha_pct": -14.8
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.42,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.83,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 39.43,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 12.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 162626604,
|
|
"total_return_pct": 62.63,
|
|
"cagr_pct": 95.35,
|
|
"mdd_pct": 10.52,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.6,
|
|
"profit_factor": 4.18,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -32.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 14.96
|
|
}
|
|
},
|
|
"alpha_pct": -32.47
|
|
},
|
|
"test": {
|
|
"final_equity": 121660011,
|
|
"total_return_pct": 21.66,
|
|
"cagr_pct": 86.9,
|
|
"mdd_pct": 7.65,
|
|
"trades": 23,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.4,
|
|
"profit_factor": 3.14,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -31.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 35.83
|
|
}
|
|
},
|
|
"alpha_pct": -31.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.76,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.74,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.06,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 12.76
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 162626604,
|
|
"total_return_pct": 62.63,
|
|
"cagr_pct": 95.35,
|
|
"mdd_pct": 10.52,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.6,
|
|
"profit_factor": 4.18,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -32.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 14.96
|
|
}
|
|
},
|
|
"alpha_pct": -32.47
|
|
},
|
|
"test": {
|
|
"final_equity": 121660011,
|
|
"total_return_pct": 21.66,
|
|
"cagr_pct": 86.9,
|
|
"mdd_pct": 7.65,
|
|
"trades": 23,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.4,
|
|
"profit_factor": 3.14,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -31.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 35.83
|
|
}
|
|
},
|
|
"alpha_pct": -31.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.76,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.74,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.06,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 12.76
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 168726007,
|
|
"total_return_pct": 68.73,
|
|
"cagr_pct": 105.51,
|
|
"mdd_pct": 9.16,
|
|
"trades": 49,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 51.0,
|
|
"profit_factor": 6.73,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -26.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 21.06
|
|
}
|
|
},
|
|
"alpha_pct": -26.37
|
|
},
|
|
"test": {
|
|
"final_equity": 132191020,
|
|
"total_return_pct": 32.19,
|
|
"cagr_pct": 143.57,
|
|
"mdd_pct": 6.96,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.36
|
|
}
|
|
},
|
|
"alpha_pct": -20.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.74,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.34,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 42.65,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 12.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 168726007,
|
|
"total_return_pct": 68.73,
|
|
"cagr_pct": 105.51,
|
|
"mdd_pct": 9.16,
|
|
"trades": 49,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 51.0,
|
|
"profit_factor": 6.73,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -26.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 21.06
|
|
}
|
|
},
|
|
"alpha_pct": -26.37
|
|
},
|
|
"test": {
|
|
"final_equity": 132191020,
|
|
"total_return_pct": 32.19,
|
|
"cagr_pct": 143.57,
|
|
"mdd_pct": 6.96,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.36
|
|
}
|
|
},
|
|
"alpha_pct": -20.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.74,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.34,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 42.65,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 12.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 160672472,
|
|
"total_return_pct": 60.67,
|
|
"cagr_pct": 92.13,
|
|
"mdd_pct": 9.59,
|
|
"trades": 53,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.9,
|
|
"profit_factor": 5.53,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -34.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.0
|
|
}
|
|
},
|
|
"alpha_pct": -34.43
|
|
},
|
|
"test": {
|
|
"final_equity": 132140185,
|
|
"total_return_pct": 32.14,
|
|
"cagr_pct": 143.27,
|
|
"mdd_pct": 6.95,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.31
|
|
}
|
|
},
|
|
"alpha_pct": -20.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.74,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.74,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.49,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 12.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 160672472,
|
|
"total_return_pct": 60.67,
|
|
"cagr_pct": 92.13,
|
|
"mdd_pct": 9.59,
|
|
"trades": 53,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.9,
|
|
"profit_factor": 5.53,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -34.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.0
|
|
}
|
|
},
|
|
"alpha_pct": -34.43
|
|
},
|
|
"test": {
|
|
"final_equity": 132140185,
|
|
"total_return_pct": 32.14,
|
|
"cagr_pct": 143.27,
|
|
"mdd_pct": 6.95,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.31
|
|
}
|
|
},
|
|
"alpha_pct": -20.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.74,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.74,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.49,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 12.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 169236494,
|
|
"total_return_pct": 69.24,
|
|
"cagr_pct": 106.37,
|
|
"mdd_pct": 10.6,
|
|
"trades": 51,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 49.0,
|
|
"profit_factor": 6.48,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -25.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 21.57
|
|
}
|
|
},
|
|
"alpha_pct": -25.86
|
|
},
|
|
"test": {
|
|
"final_equity": 132140185,
|
|
"total_return_pct": 32.14,
|
|
"cagr_pct": 143.27,
|
|
"mdd_pct": 6.95,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.31
|
|
}
|
|
},
|
|
"alpha_pct": -20.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.74,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.92,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.49,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 12.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 169236494,
|
|
"total_return_pct": 69.24,
|
|
"cagr_pct": 106.37,
|
|
"mdd_pct": 10.6,
|
|
"trades": 51,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 49.0,
|
|
"profit_factor": 6.48,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -25.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 21.57
|
|
}
|
|
},
|
|
"alpha_pct": -25.86
|
|
},
|
|
"test": {
|
|
"final_equity": 132140185,
|
|
"total_return_pct": 32.14,
|
|
"cagr_pct": 143.27,
|
|
"mdd_pct": 6.95,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.31
|
|
}
|
|
},
|
|
"alpha_pct": -20.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.74,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.92,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.49,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 12.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 168934748,
|
|
"total_return_pct": 68.93,
|
|
"cagr_pct": 105.86,
|
|
"mdd_pct": 9.15,
|
|
"trades": 49,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 51.0,
|
|
"profit_factor": 7.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -26.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 21.26
|
|
}
|
|
},
|
|
"alpha_pct": -26.17
|
|
},
|
|
"test": {
|
|
"final_equity": 129386839,
|
|
"total_return_pct": 29.39,
|
|
"cagr_pct": 127.47,
|
|
"mdd_pct": 6.52,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.56
|
|
}
|
|
},
|
|
"alpha_pct": -23.44
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.74,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.8,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.27,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 12.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 168934748,
|
|
"total_return_pct": 68.93,
|
|
"cagr_pct": 105.86,
|
|
"mdd_pct": 9.15,
|
|
"trades": 49,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 51.0,
|
|
"profit_factor": 7.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -26.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 21.26
|
|
}
|
|
},
|
|
"alpha_pct": -26.17
|
|
},
|
|
"test": {
|
|
"final_equity": 129386839,
|
|
"total_return_pct": 29.39,
|
|
"cagr_pct": 127.47,
|
|
"mdd_pct": 6.52,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.56
|
|
}
|
|
},
|
|
"alpha_pct": -23.44
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.74,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.8,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.27,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 12.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 160833723,
|
|
"total_return_pct": 60.83,
|
|
"cagr_pct": 92.39,
|
|
"mdd_pct": 9.56,
|
|
"trades": 53,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.9,
|
|
"profit_factor": 5.74,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -34.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.16
|
|
}
|
|
},
|
|
"alpha_pct": -34.27
|
|
},
|
|
"test": {
|
|
"final_equity": 129335809,
|
|
"total_return_pct": 29.34,
|
|
"cagr_pct": 127.18,
|
|
"mdd_pct": 6.52,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.51
|
|
}
|
|
},
|
|
"alpha_pct": -23.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.74,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.14,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.16,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 12.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 160833723,
|
|
"total_return_pct": 60.83,
|
|
"cagr_pct": 92.39,
|
|
"mdd_pct": 9.56,
|
|
"trades": 53,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.9,
|
|
"profit_factor": 5.74,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -34.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.16
|
|
}
|
|
},
|
|
"alpha_pct": -34.27
|
|
},
|
|
"test": {
|
|
"final_equity": 129335809,
|
|
"total_return_pct": 29.34,
|
|
"cagr_pct": 127.18,
|
|
"mdd_pct": 6.52,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.51
|
|
}
|
|
},
|
|
"alpha_pct": -23.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.74,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.14,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.16,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 12.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 169429997,
|
|
"total_return_pct": 69.43,
|
|
"cagr_pct": 106.7,
|
|
"mdd_pct": 10.8,
|
|
"trades": 51,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 49.0,
|
|
"profit_factor": 6.75,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -25.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 21.76
|
|
}
|
|
},
|
|
"alpha_pct": -25.67
|
|
},
|
|
"test": {
|
|
"final_equity": 129335809,
|
|
"total_return_pct": 29.34,
|
|
"cagr_pct": 127.18,
|
|
"mdd_pct": 6.52,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.51
|
|
}
|
|
},
|
|
"alpha_pct": -23.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.74,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.34,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.16,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 12.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 169429997,
|
|
"total_return_pct": 69.43,
|
|
"cagr_pct": 106.7,
|
|
"mdd_pct": 10.8,
|
|
"trades": 51,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 49.0,
|
|
"profit_factor": 6.75,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -25.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 21.76
|
|
}
|
|
},
|
|
"alpha_pct": -25.67
|
|
},
|
|
"test": {
|
|
"final_equity": 129335809,
|
|
"total_return_pct": 29.34,
|
|
"cagr_pct": 127.18,
|
|
"mdd_pct": 6.52,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.51
|
|
}
|
|
},
|
|
"alpha_pct": -23.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.74,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.34,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.16,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 12.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 150901626,
|
|
"total_return_pct": 50.9,
|
|
"cagr_pct": 76.23,
|
|
"mdd_pct": 9.9,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.3,
|
|
"profit_factor": 3.45,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.23
|
|
}
|
|
},
|
|
"alpha_pct": -44.2
|
|
},
|
|
"test": {
|
|
"final_equity": 141156982,
|
|
"total_return_pct": 41.16,
|
|
"cagr_pct": 200.28,
|
|
"mdd_pct": 8.82,
|
|
"trades": 19,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 42.1,
|
|
"profit_factor": 5.85,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -11.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.33
|
|
}
|
|
},
|
|
"alpha_pct": -11.67
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.65,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.97,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.66,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 12.65
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 150901626,
|
|
"total_return_pct": 50.9,
|
|
"cagr_pct": 76.23,
|
|
"mdd_pct": 9.9,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.3,
|
|
"profit_factor": 3.45,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.23
|
|
}
|
|
},
|
|
"alpha_pct": -44.2
|
|
},
|
|
"test": {
|
|
"final_equity": 141156982,
|
|
"total_return_pct": 41.16,
|
|
"cagr_pct": 200.28,
|
|
"mdd_pct": 8.82,
|
|
"trades": 19,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 42.1,
|
|
"profit_factor": 5.85,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -11.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.33
|
|
}
|
|
},
|
|
"alpha_pct": -11.67
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.65,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.97,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.66,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 12.65
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152124857,
|
|
"total_return_pct": 52.12,
|
|
"cagr_pct": 78.2,
|
|
"mdd_pct": 9.98,
|
|
"trades": 52,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 44.2,
|
|
"profit_factor": 3.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.45
|
|
}
|
|
},
|
|
"alpha_pct": -42.98
|
|
},
|
|
"test": {
|
|
"final_equity": 140827464,
|
|
"total_return_pct": 40.83,
|
|
"cagr_pct": 198.05,
|
|
"mdd_pct": 6.6,
|
|
"trades": 15,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 8.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -12.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.0
|
|
}
|
|
},
|
|
"alpha_pct": -12.0
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.3,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.61,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 54.33,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 12.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152124857,
|
|
"total_return_pct": 52.12,
|
|
"cagr_pct": 78.2,
|
|
"mdd_pct": 9.98,
|
|
"trades": 52,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 44.2,
|
|
"profit_factor": 3.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.45
|
|
}
|
|
},
|
|
"alpha_pct": -42.98
|
|
},
|
|
"test": {
|
|
"final_equity": 140827464,
|
|
"total_return_pct": 40.83,
|
|
"cagr_pct": 198.05,
|
|
"mdd_pct": 6.6,
|
|
"trades": 15,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 8.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -12.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.0
|
|
}
|
|
},
|
|
"alpha_pct": -12.0
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.3,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.61,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 54.33,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 12.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 157346659,
|
|
"total_return_pct": 57.35,
|
|
"cagr_pct": 86.67,
|
|
"mdd_pct": 11.2,
|
|
"trades": 51,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.1,
|
|
"profit_factor": 4.18,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -37.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.68
|
|
}
|
|
},
|
|
"alpha_pct": -37.75
|
|
},
|
|
"test": {
|
|
"final_equity": 134143688,
|
|
"total_return_pct": 34.14,
|
|
"cagr_pct": 155.23,
|
|
"mdd_pct": 6.87,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 5.19,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.31
|
|
}
|
|
},
|
|
"alpha_pct": -18.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.61,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.93,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.38,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 12.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 157346659,
|
|
"total_return_pct": 57.35,
|
|
"cagr_pct": 86.67,
|
|
"mdd_pct": 11.2,
|
|
"trades": 51,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.1,
|
|
"profit_factor": 4.18,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -37.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.68
|
|
}
|
|
},
|
|
"alpha_pct": -37.75
|
|
},
|
|
"test": {
|
|
"final_equity": 134143688,
|
|
"total_return_pct": 34.14,
|
|
"cagr_pct": 155.23,
|
|
"mdd_pct": 6.87,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 5.19,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.31
|
|
}
|
|
},
|
|
"alpha_pct": -18.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.61,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.93,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.38,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 12.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 162373928,
|
|
"total_return_pct": 62.37,
|
|
"cagr_pct": 94.94,
|
|
"mdd_pct": 10.64,
|
|
"trades": 47,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 48.9,
|
|
"profit_factor": 4.91,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -32.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 14.7
|
|
}
|
|
},
|
|
"alpha_pct": -32.73
|
|
},
|
|
"test": {
|
|
"final_equity": 132722221,
|
|
"total_return_pct": 32.72,
|
|
"cagr_pct": 146.7,
|
|
"mdd_pct": 6.91,
|
|
"trades": 17,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 4.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.89
|
|
}
|
|
},
|
|
"alpha_pct": -20.11
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.61,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.87,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.84,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 12.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 162373928,
|
|
"total_return_pct": 62.37,
|
|
"cagr_pct": 94.94,
|
|
"mdd_pct": 10.64,
|
|
"trades": 47,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 48.9,
|
|
"profit_factor": 4.91,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -32.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 14.7
|
|
}
|
|
},
|
|
"alpha_pct": -32.73
|
|
},
|
|
"test": {
|
|
"final_equity": 132722221,
|
|
"total_return_pct": 32.72,
|
|
"cagr_pct": 146.7,
|
|
"mdd_pct": 6.91,
|
|
"trades": 17,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 4.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.89
|
|
}
|
|
},
|
|
"alpha_pct": -20.11
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.61,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.87,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.84,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 12.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 154761138,
|
|
"total_return_pct": 54.76,
|
|
"cagr_pct": 82.46,
|
|
"mdd_pct": 11.5,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.3,
|
|
"profit_factor": 3.59,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.09
|
|
}
|
|
},
|
|
"alpha_pct": -40.34
|
|
},
|
|
"test": {
|
|
"final_equity": 124140418,
|
|
"total_return_pct": 24.14,
|
|
"cagr_pct": 99.33,
|
|
"mdd_pct": 6.43,
|
|
"trades": 28,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 4.02,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.31
|
|
}
|
|
},
|
|
"alpha_pct": -28.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.57,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.96,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.07,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 12.57
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 154761138,
|
|
"total_return_pct": 54.76,
|
|
"cagr_pct": 82.46,
|
|
"mdd_pct": 11.5,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.3,
|
|
"profit_factor": 3.59,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.09
|
|
}
|
|
},
|
|
"alpha_pct": -40.34
|
|
},
|
|
"test": {
|
|
"final_equity": 124140418,
|
|
"total_return_pct": 24.14,
|
|
"cagr_pct": 99.33,
|
|
"mdd_pct": 6.43,
|
|
"trades": 28,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 4.02,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.31
|
|
}
|
|
},
|
|
"alpha_pct": -28.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.57,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.96,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.07,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 12.57
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 159007274,
|
|
"total_return_pct": 59.01,
|
|
"cagr_pct": 89.39,
|
|
"mdd_pct": 10.5,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.4,
|
|
"profit_factor": 3.89,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.09
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 11.34
|
|
}
|
|
},
|
|
"alpha_pct": -36.09
|
|
},
|
|
"test": {
|
|
"final_equity": 120447168,
|
|
"total_return_pct": 20.45,
|
|
"cagr_pct": 81.02,
|
|
"mdd_pct": 6.67,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 3.2,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -32.38
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 34.62
|
|
}
|
|
},
|
|
"alpha_pct": -32.38
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.57,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 31.33,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 18.97,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 12.57
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 159007274,
|
|
"total_return_pct": 59.01,
|
|
"cagr_pct": 89.39,
|
|
"mdd_pct": 10.5,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.4,
|
|
"profit_factor": 3.89,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.09
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 11.34
|
|
}
|
|
},
|
|
"alpha_pct": -36.09
|
|
},
|
|
"test": {
|
|
"final_equity": 120447168,
|
|
"total_return_pct": 20.45,
|
|
"cagr_pct": 81.02,
|
|
"mdd_pct": 6.67,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 3.2,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -32.38
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 34.62
|
|
}
|
|
},
|
|
"alpha_pct": -32.38
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.57,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 31.33,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 18.97,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 12.57
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 169618145,
|
|
"total_return_pct": 69.62,
|
|
"cagr_pct": 107.01,
|
|
"mdd_pct": 10.29,
|
|
"trades": 51,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 51.0,
|
|
"profit_factor": 5.09,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -25.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 21.95
|
|
}
|
|
},
|
|
"alpha_pct": -25.48
|
|
},
|
|
"test": {
|
|
"final_equity": 127303480,
|
|
"total_return_pct": 27.3,
|
|
"cagr_pct": 115.99,
|
|
"mdd_pct": 10.27,
|
|
"trades": 18,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.18,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.47
|
|
}
|
|
},
|
|
"alpha_pct": -25.53
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.49,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.0,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.26,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 12.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 169618145,
|
|
"total_return_pct": 69.62,
|
|
"cagr_pct": 107.01,
|
|
"mdd_pct": 10.29,
|
|
"trades": 51,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 51.0,
|
|
"profit_factor": 5.09,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -25.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 21.95
|
|
}
|
|
},
|
|
"alpha_pct": -25.48
|
|
},
|
|
"test": {
|
|
"final_equity": 127303480,
|
|
"total_return_pct": 27.3,
|
|
"cagr_pct": 115.99,
|
|
"mdd_pct": 10.27,
|
|
"trades": 18,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.18,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.47
|
|
}
|
|
},
|
|
"alpha_pct": -25.53
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.49,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.0,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.26,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 12.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 142234782,
|
|
"total_return_pct": 42.23,
|
|
"cagr_pct": 62.44,
|
|
"mdd_pct": 13.53,
|
|
"trades": 40,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.23,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.44
|
|
}
|
|
},
|
|
"alpha_pct": -52.87
|
|
},
|
|
"test": {
|
|
"final_equity": 106729640,
|
|
"total_return_pct": 6.73,
|
|
"cagr_pct": 23.09,
|
|
"mdd_pct": 9.79,
|
|
"trades": 11,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 18.2,
|
|
"profit_factor": 1.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -46.1
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 20.9
|
|
}
|
|
},
|
|
"alpha_pct": -46.1
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.41,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.42,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 19.3,
|
|
"trades": 11
|
|
}
|
|
],
|
|
"worst_ret": 12.41
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 142234782,
|
|
"total_return_pct": 42.23,
|
|
"cagr_pct": 62.44,
|
|
"mdd_pct": 13.53,
|
|
"trades": 40,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.23,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.44
|
|
}
|
|
},
|
|
"alpha_pct": -52.87
|
|
},
|
|
"test": {
|
|
"final_equity": 106729640,
|
|
"total_return_pct": 6.73,
|
|
"cagr_pct": 23.09,
|
|
"mdd_pct": 9.79,
|
|
"trades": 11,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 18.2,
|
|
"profit_factor": 1.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -46.1
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 20.9
|
|
}
|
|
},
|
|
"alpha_pct": -46.1
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.41,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.42,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 19.3,
|
|
"trades": 11
|
|
}
|
|
],
|
|
"worst_ret": 12.41
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144543452,
|
|
"total_return_pct": 44.54,
|
|
"cagr_pct": 66.08,
|
|
"mdd_pct": 14.59,
|
|
"trades": 48,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.52,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.56
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.13
|
|
}
|
|
},
|
|
"alpha_pct": -50.56
|
|
},
|
|
"test": {
|
|
"final_equity": 94361513,
|
|
"total_return_pct": -5.64,
|
|
"cagr_pct": -16.9,
|
|
"mdd_pct": 11.33,
|
|
"trades": 19,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 15.8,
|
|
"profit_factor": 0.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.53
|
|
}
|
|
},
|
|
"alpha_pct": -58.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.42,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.96,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.37,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 12.37
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144543452,
|
|
"total_return_pct": 44.54,
|
|
"cagr_pct": 66.08,
|
|
"mdd_pct": 14.59,
|
|
"trades": 48,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.52,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.56
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.13
|
|
}
|
|
},
|
|
"alpha_pct": -50.56
|
|
},
|
|
"test": {
|
|
"final_equity": 94361513,
|
|
"total_return_pct": -5.64,
|
|
"cagr_pct": -16.9,
|
|
"mdd_pct": 11.33,
|
|
"trades": 19,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 15.8,
|
|
"profit_factor": 0.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.53
|
|
}
|
|
},
|
|
"alpha_pct": -58.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.42,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.96,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.37,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 12.37
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 164461731,
|
|
"total_return_pct": 64.46,
|
|
"cagr_pct": 98.4,
|
|
"mdd_pct": 9.31,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 48.9,
|
|
"profit_factor": 5.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 16.79
|
|
}
|
|
},
|
|
"alpha_pct": -30.64
|
|
},
|
|
"test": {
|
|
"final_equity": 134396303,
|
|
"total_return_pct": 34.4,
|
|
"cagr_pct": 156.77,
|
|
"mdd_pct": 11.35,
|
|
"trades": 16,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 3.29,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.57
|
|
}
|
|
},
|
|
"alpha_pct": -18.43
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.35,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.81,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.92,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 12.35
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 164461731,
|
|
"total_return_pct": 64.46,
|
|
"cagr_pct": 98.4,
|
|
"mdd_pct": 9.31,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 48.9,
|
|
"profit_factor": 5.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 16.79
|
|
}
|
|
},
|
|
"alpha_pct": -30.64
|
|
},
|
|
"test": {
|
|
"final_equity": 134396303,
|
|
"total_return_pct": 34.4,
|
|
"cagr_pct": 156.77,
|
|
"mdd_pct": 11.35,
|
|
"trades": 16,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 3.29,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.57
|
|
}
|
|
},
|
|
"alpha_pct": -18.43
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.35,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.81,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.92,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 12.35
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 168631063,
|
|
"total_return_pct": 68.63,
|
|
"cagr_pct": 105.35,
|
|
"mdd_pct": 12.45,
|
|
"trades": 51,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 51.0,
|
|
"profit_factor": 5.71,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -26.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 20.96
|
|
}
|
|
},
|
|
"alpha_pct": -26.47
|
|
},
|
|
"test": {
|
|
"final_equity": 132164645,
|
|
"total_return_pct": 32.16,
|
|
"cagr_pct": 143.41,
|
|
"mdd_pct": 8.01,
|
|
"trades": 19,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 3.36,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.33
|
|
}
|
|
},
|
|
"alpha_pct": -20.67
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.35,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.73,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.31,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 12.35
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 168631063,
|
|
"total_return_pct": 68.63,
|
|
"cagr_pct": 105.35,
|
|
"mdd_pct": 12.45,
|
|
"trades": 51,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 51.0,
|
|
"profit_factor": 5.71,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -26.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 20.96
|
|
}
|
|
},
|
|
"alpha_pct": -26.47
|
|
},
|
|
"test": {
|
|
"final_equity": 132164645,
|
|
"total_return_pct": 32.16,
|
|
"cagr_pct": 143.41,
|
|
"mdd_pct": 8.01,
|
|
"trades": 19,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 3.36,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.33
|
|
}
|
|
},
|
|
"alpha_pct": -20.67
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.35,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.73,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.31,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 12.35
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 171763527,
|
|
"total_return_pct": 71.76,
|
|
"cagr_pct": 110.63,
|
|
"mdd_pct": 12.41,
|
|
"trades": 50,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 52.0,
|
|
"profit_factor": 5.96,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -23.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 24.09
|
|
}
|
|
},
|
|
"alpha_pct": -23.34
|
|
},
|
|
"test": {
|
|
"final_equity": 131373684,
|
|
"total_return_pct": 31.37,
|
|
"cagr_pct": 138.8,
|
|
"mdd_pct": 8.87,
|
|
"trades": 19,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 3.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.54
|
|
}
|
|
},
|
|
"alpha_pct": -21.46
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.35,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.73,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.31,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 12.35
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 171763527,
|
|
"total_return_pct": 71.76,
|
|
"cagr_pct": 110.63,
|
|
"mdd_pct": 12.41,
|
|
"trades": 50,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 52.0,
|
|
"profit_factor": 5.96,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -23.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 24.09
|
|
}
|
|
},
|
|
"alpha_pct": -23.34
|
|
},
|
|
"test": {
|
|
"final_equity": 131373684,
|
|
"total_return_pct": 31.37,
|
|
"cagr_pct": 138.8,
|
|
"mdd_pct": 8.87,
|
|
"trades": 19,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 3.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.54
|
|
}
|
|
},
|
|
"alpha_pct": -21.46
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.35,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.73,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.31,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 12.35
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 168733495,
|
|
"total_return_pct": 68.73,
|
|
"cagr_pct": 105.53,
|
|
"mdd_pct": 10.13,
|
|
"trades": 52,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 5.0,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -26.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 21.06
|
|
}
|
|
},
|
|
"alpha_pct": -26.37
|
|
},
|
|
"test": {
|
|
"final_equity": 131123102,
|
|
"total_return_pct": 31.12,
|
|
"cagr_pct": 137.35,
|
|
"mdd_pct": 9.07,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 4.47,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.29
|
|
}
|
|
},
|
|
"alpha_pct": -21.71
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.27,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.8,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 36.24,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 12.27
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 168733495,
|
|
"total_return_pct": 68.73,
|
|
"cagr_pct": 105.53,
|
|
"mdd_pct": 10.13,
|
|
"trades": 52,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 5.0,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -26.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 21.06
|
|
}
|
|
},
|
|
"alpha_pct": -26.37
|
|
},
|
|
"test": {
|
|
"final_equity": 131123102,
|
|
"total_return_pct": 31.12,
|
|
"cagr_pct": 137.35,
|
|
"mdd_pct": 9.07,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 4.47,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.29
|
|
}
|
|
},
|
|
"alpha_pct": -21.71
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.27,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.8,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 36.24,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 12.27
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 169045071,
|
|
"total_return_pct": 69.05,
|
|
"cagr_pct": 106.05,
|
|
"mdd_pct": 12.15,
|
|
"trades": 55,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.9,
|
|
"profit_factor": 4.67,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -26.05
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 21.38
|
|
}
|
|
},
|
|
"alpha_pct": -26.05
|
|
},
|
|
"test": {
|
|
"final_equity": 129439136,
|
|
"total_return_pct": 29.44,
|
|
"cagr_pct": 127.76,
|
|
"mdd_pct": 7.56,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 3.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.61
|
|
}
|
|
},
|
|
"alpha_pct": -23.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.27,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.99,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.68,
|
|
"trades": 33
|
|
}
|
|
],
|
|
"worst_ret": 12.27
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 169045071,
|
|
"total_return_pct": 69.05,
|
|
"cagr_pct": 106.05,
|
|
"mdd_pct": 12.15,
|
|
"trades": 55,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.9,
|
|
"profit_factor": 4.67,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -26.05
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 21.38
|
|
}
|
|
},
|
|
"alpha_pct": -26.05
|
|
},
|
|
"test": {
|
|
"final_equity": 129439136,
|
|
"total_return_pct": 29.44,
|
|
"cagr_pct": 127.76,
|
|
"mdd_pct": 7.56,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 3.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.61
|
|
}
|
|
},
|
|
"alpha_pct": -23.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.27,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.99,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.68,
|
|
"trades": 33
|
|
}
|
|
],
|
|
"worst_ret": 12.27
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 158564675,
|
|
"total_return_pct": 58.56,
|
|
"cagr_pct": 88.67,
|
|
"mdd_pct": 11.09,
|
|
"trades": 44,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 43.2,
|
|
"profit_factor": 5.1,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 10.89
|
|
}
|
|
},
|
|
"alpha_pct": -36.54
|
|
},
|
|
"test": {
|
|
"final_equity": 135240632,
|
|
"total_return_pct": 35.24,
|
|
"cagr_pct": 161.95,
|
|
"mdd_pct": 6.63,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.41
|
|
}
|
|
},
|
|
"alpha_pct": -17.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.2,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.51,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 36.4,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 12.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 158564675,
|
|
"total_return_pct": 58.56,
|
|
"cagr_pct": 88.67,
|
|
"mdd_pct": 11.09,
|
|
"trades": 44,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 43.2,
|
|
"profit_factor": 5.1,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 10.89
|
|
}
|
|
},
|
|
"alpha_pct": -36.54
|
|
},
|
|
"test": {
|
|
"final_equity": 135240632,
|
|
"total_return_pct": 35.24,
|
|
"cagr_pct": 161.95,
|
|
"mdd_pct": 6.63,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.41
|
|
}
|
|
},
|
|
"alpha_pct": -17.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.2,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.51,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 36.4,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 12.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 148169091,
|
|
"total_return_pct": 48.17,
|
|
"cagr_pct": 71.85,
|
|
"mdd_pct": 9.3,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 44.9,
|
|
"profit_factor": 4.25,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.5
|
|
}
|
|
},
|
|
"alpha_pct": -46.93
|
|
},
|
|
"test": {
|
|
"final_equity": 135187468,
|
|
"total_return_pct": 35.19,
|
|
"cagr_pct": 161.62,
|
|
"mdd_pct": 6.63,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.36
|
|
}
|
|
},
|
|
"alpha_pct": -17.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.2,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.96,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.86,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 12.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 148169091,
|
|
"total_return_pct": 48.17,
|
|
"cagr_pct": 71.85,
|
|
"mdd_pct": 9.3,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 44.9,
|
|
"profit_factor": 4.25,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.5
|
|
}
|
|
},
|
|
"alpha_pct": -46.93
|
|
},
|
|
"test": {
|
|
"final_equity": 135187468,
|
|
"total_return_pct": 35.19,
|
|
"cagr_pct": 161.62,
|
|
"mdd_pct": 6.63,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.36
|
|
}
|
|
},
|
|
"alpha_pct": -17.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.2,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.96,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.86,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 12.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 154780535,
|
|
"total_return_pct": 54.78,
|
|
"cagr_pct": 82.49,
|
|
"mdd_pct": 12.6,
|
|
"trades": 47,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.6,
|
|
"profit_factor": 4.66,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.11
|
|
}
|
|
},
|
|
"alpha_pct": -40.32
|
|
},
|
|
"test": {
|
|
"final_equity": 135187468,
|
|
"total_return_pct": 35.19,
|
|
"cagr_pct": 161.62,
|
|
"mdd_pct": 6.63,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.36
|
|
}
|
|
},
|
|
"alpha_pct": -17.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.2,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.92,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 36.4,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 12.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 154780535,
|
|
"total_return_pct": 54.78,
|
|
"cagr_pct": 82.49,
|
|
"mdd_pct": 12.6,
|
|
"trades": 47,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.6,
|
|
"profit_factor": 4.66,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.11
|
|
}
|
|
},
|
|
"alpha_pct": -40.32
|
|
},
|
|
"test": {
|
|
"final_equity": 135187468,
|
|
"total_return_pct": 35.19,
|
|
"cagr_pct": 161.62,
|
|
"mdd_pct": 6.63,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.36
|
|
}
|
|
},
|
|
"alpha_pct": -17.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.2,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.92,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 36.4,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 12.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 158008173,
|
|
"total_return_pct": 58.01,
|
|
"cagr_pct": 87.76,
|
|
"mdd_pct": 11.56,
|
|
"trades": 44,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 43.2,
|
|
"profit_factor": 5.27,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -37.09
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 10.34
|
|
}
|
|
},
|
|
"alpha_pct": -37.09
|
|
},
|
|
"test": {
|
|
"final_equity": 131912031,
|
|
"total_return_pct": 31.91,
|
|
"cagr_pct": 141.93,
|
|
"mdd_pct": 5.58,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.08
|
|
}
|
|
},
|
|
"alpha_pct": -20.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.2,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.69,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.8,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 12.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 158008173,
|
|
"total_return_pct": 58.01,
|
|
"cagr_pct": 87.76,
|
|
"mdd_pct": 11.56,
|
|
"trades": 44,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 43.2,
|
|
"profit_factor": 5.27,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -37.09
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 10.34
|
|
}
|
|
},
|
|
"alpha_pct": -37.09
|
|
},
|
|
"test": {
|
|
"final_equity": 131912031,
|
|
"total_return_pct": 31.91,
|
|
"cagr_pct": 141.93,
|
|
"mdd_pct": 5.58,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.08
|
|
}
|
|
},
|
|
"alpha_pct": -20.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.2,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.69,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.8,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 12.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 148279632,
|
|
"total_return_pct": 48.28,
|
|
"cagr_pct": 72.02,
|
|
"mdd_pct": 9.21,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 44.9,
|
|
"profit_factor": 4.42,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.61
|
|
}
|
|
},
|
|
"alpha_pct": -46.82
|
|
},
|
|
"test": {
|
|
"final_equity": 131859256,
|
|
"total_return_pct": 31.86,
|
|
"cagr_pct": 141.62,
|
|
"mdd_pct": 5.58,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.03
|
|
}
|
|
},
|
|
"alpha_pct": -20.97
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.2,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.35,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.8,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 12.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 148279632,
|
|
"total_return_pct": 48.28,
|
|
"cagr_pct": 72.02,
|
|
"mdd_pct": 9.21,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 44.9,
|
|
"profit_factor": 4.42,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.61
|
|
}
|
|
},
|
|
"alpha_pct": -46.82
|
|
},
|
|
"test": {
|
|
"final_equity": 131859256,
|
|
"total_return_pct": 31.86,
|
|
"cagr_pct": 141.62,
|
|
"mdd_pct": 5.58,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.03
|
|
}
|
|
},
|
|
"alpha_pct": -20.97
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.2,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.35,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.8,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 12.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 155044521,
|
|
"total_return_pct": 55.04,
|
|
"cagr_pct": 82.92,
|
|
"mdd_pct": 12.79,
|
|
"trades": 47,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.6,
|
|
"profit_factor": 4.86,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.37
|
|
}
|
|
},
|
|
"alpha_pct": -40.06
|
|
},
|
|
"test": {
|
|
"final_equity": 131859256,
|
|
"total_return_pct": 31.86,
|
|
"cagr_pct": 141.62,
|
|
"mdd_pct": 5.58,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.03
|
|
}
|
|
},
|
|
"alpha_pct": -20.97
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.2,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.36,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.8,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 12.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 155044521,
|
|
"total_return_pct": 55.04,
|
|
"cagr_pct": 82.92,
|
|
"mdd_pct": 12.79,
|
|
"trades": 47,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.6,
|
|
"profit_factor": 4.86,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.37
|
|
}
|
|
},
|
|
"alpha_pct": -40.06
|
|
},
|
|
"test": {
|
|
"final_equity": 131859256,
|
|
"total_return_pct": 31.86,
|
|
"cagr_pct": 141.62,
|
|
"mdd_pct": 5.58,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.03
|
|
}
|
|
},
|
|
"alpha_pct": -20.97
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.2,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.36,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.8,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 12.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143670982,
|
|
"total_return_pct": 43.67,
|
|
"cagr_pct": 64.7,
|
|
"mdd_pct": 10.01,
|
|
"trades": 68,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 3.22,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.0
|
|
}
|
|
},
|
|
"alpha_pct": -51.43
|
|
},
|
|
"test": {
|
|
"final_equity": 129301724,
|
|
"total_return_pct": 29.3,
|
|
"cagr_pct": 126.99,
|
|
"mdd_pct": 6.13,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 4.51,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.47
|
|
}
|
|
},
|
|
"alpha_pct": -23.53
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.43,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.09,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.39,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 12.09
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143670982,
|
|
"total_return_pct": 43.67,
|
|
"cagr_pct": 64.7,
|
|
"mdd_pct": 10.01,
|
|
"trades": 68,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 3.22,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.0
|
|
}
|
|
},
|
|
"alpha_pct": -51.43
|
|
},
|
|
"test": {
|
|
"final_equity": 129301724,
|
|
"total_return_pct": 29.3,
|
|
"cagr_pct": 126.99,
|
|
"mdd_pct": 6.13,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 4.51,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.47
|
|
}
|
|
},
|
|
"alpha_pct": -23.53
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.43,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.09,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.39,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 12.09
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140508841,
|
|
"total_return_pct": 40.51,
|
|
"cagr_pct": 59.73,
|
|
"mdd_pct": 11.06,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.3,
|
|
"profit_factor": 2.72,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.16
|
|
}
|
|
},
|
|
"alpha_pct": -54.59
|
|
},
|
|
"test": {
|
|
"final_equity": 122532742,
|
|
"total_return_pct": 22.53,
|
|
"cagr_pct": 91.21,
|
|
"mdd_pct": 5.13,
|
|
"trades": 26,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 3.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.3
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.7
|
|
}
|
|
},
|
|
"alpha_pct": -30.3
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.99,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.06,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.2,
|
|
"trades": 36
|
|
}
|
|
],
|
|
"worst_ret": 11.99
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140508841,
|
|
"total_return_pct": 40.51,
|
|
"cagr_pct": 59.73,
|
|
"mdd_pct": 11.06,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.3,
|
|
"profit_factor": 2.72,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.16
|
|
}
|
|
},
|
|
"alpha_pct": -54.59
|
|
},
|
|
"test": {
|
|
"final_equity": 122532742,
|
|
"total_return_pct": 22.53,
|
|
"cagr_pct": 91.21,
|
|
"mdd_pct": 5.13,
|
|
"trades": 26,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 3.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.3
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.7
|
|
}
|
|
},
|
|
"alpha_pct": -30.3
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.99,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.06,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.2,
|
|
"trades": 36
|
|
}
|
|
],
|
|
"worst_ret": 11.99
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143249406,
|
|
"total_return_pct": 43.25,
|
|
"cagr_pct": 64.04,
|
|
"mdd_pct": 10.69,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.3,
|
|
"profit_factor": 3.0,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.85
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.42
|
|
}
|
|
},
|
|
"alpha_pct": -51.85
|
|
},
|
|
"test": {
|
|
"final_equity": 120918211,
|
|
"total_return_pct": 20.92,
|
|
"cagr_pct": 83.29,
|
|
"mdd_pct": 6.3,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 3.42,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -31.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 35.09
|
|
}
|
|
},
|
|
"alpha_pct": -31.91
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.99,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.57,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.21,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 11.99
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143249406,
|
|
"total_return_pct": 43.25,
|
|
"cagr_pct": 64.04,
|
|
"mdd_pct": 10.69,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.3,
|
|
"profit_factor": 3.0,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.85
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.42
|
|
}
|
|
},
|
|
"alpha_pct": -51.85
|
|
},
|
|
"test": {
|
|
"final_equity": 120918211,
|
|
"total_return_pct": 20.92,
|
|
"cagr_pct": 83.29,
|
|
"mdd_pct": 6.3,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 3.42,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -31.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 35.09
|
|
}
|
|
},
|
|
"alpha_pct": -31.91
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.99,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.57,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.21,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 11.99
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152437502,
|
|
"total_return_pct": 52.44,
|
|
"cagr_pct": 78.7,
|
|
"mdd_pct": 11.17,
|
|
"trades": 50,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 2.89,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.77
|
|
}
|
|
},
|
|
"alpha_pct": -42.66
|
|
},
|
|
"test": {
|
|
"final_equity": 144340231,
|
|
"total_return_pct": 44.34,
|
|
"cagr_pct": 222.42,
|
|
"mdd_pct": 9.25,
|
|
"trades": 11,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.5,
|
|
"profit_factor": 6.27,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -8.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 58.51
|
|
}
|
|
},
|
|
"alpha_pct": -8.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.98,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.09,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.73,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 11.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152437502,
|
|
"total_return_pct": 52.44,
|
|
"cagr_pct": 78.7,
|
|
"mdd_pct": 11.17,
|
|
"trades": 50,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 2.89,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.77
|
|
}
|
|
},
|
|
"alpha_pct": -42.66
|
|
},
|
|
"test": {
|
|
"final_equity": 144340231,
|
|
"total_return_pct": 44.34,
|
|
"cagr_pct": 222.42,
|
|
"mdd_pct": 9.25,
|
|
"trades": 11,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.5,
|
|
"profit_factor": 6.27,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -8.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 58.51
|
|
}
|
|
},
|
|
"alpha_pct": -8.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.98,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.09,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.73,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 11.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152355044,
|
|
"total_return_pct": 52.36,
|
|
"cagr_pct": 78.57,
|
|
"mdd_pct": 12.21,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.0,
|
|
"profit_factor": 2.78,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.69
|
|
}
|
|
},
|
|
"alpha_pct": -42.74
|
|
},
|
|
"test": {
|
|
"final_equity": 133656276,
|
|
"total_return_pct": 33.66,
|
|
"cagr_pct": 152.28,
|
|
"mdd_pct": 7.61,
|
|
"trades": 18,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 3.18,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.83
|
|
}
|
|
},
|
|
"alpha_pct": -19.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.98,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.76,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.36,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 11.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152355044,
|
|
"total_return_pct": 52.36,
|
|
"cagr_pct": 78.57,
|
|
"mdd_pct": 12.21,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.0,
|
|
"profit_factor": 2.78,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.69
|
|
}
|
|
},
|
|
"alpha_pct": -42.74
|
|
},
|
|
"test": {
|
|
"final_equity": 133656276,
|
|
"total_return_pct": 33.66,
|
|
"cagr_pct": 152.28,
|
|
"mdd_pct": 7.61,
|
|
"trades": 18,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 3.18,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.83
|
|
}
|
|
},
|
|
"alpha_pct": -19.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.98,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.76,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.36,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 11.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 153265847,
|
|
"total_return_pct": 53.27,
|
|
"cagr_pct": 80.04,
|
|
"mdd_pct": 11.3,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.56,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -41.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 5.6
|
|
}
|
|
},
|
|
"alpha_pct": -41.83
|
|
},
|
|
"test": {
|
|
"final_equity": 133656276,
|
|
"total_return_pct": 33.66,
|
|
"cagr_pct": 152.28,
|
|
"mdd_pct": 7.61,
|
|
"trades": 18,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 3.18,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.83
|
|
}
|
|
},
|
|
"alpha_pct": -19.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.98,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.77,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.36,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 11.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 153265847,
|
|
"total_return_pct": 53.27,
|
|
"cagr_pct": 80.04,
|
|
"mdd_pct": 11.3,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.56,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -41.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 5.6
|
|
}
|
|
},
|
|
"alpha_pct": -41.83
|
|
},
|
|
"test": {
|
|
"final_equity": 133656276,
|
|
"total_return_pct": 33.66,
|
|
"cagr_pct": 152.28,
|
|
"mdd_pct": 7.61,
|
|
"trades": 18,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 3.18,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.83
|
|
}
|
|
},
|
|
"alpha_pct": -19.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.98,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.77,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.36,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 11.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 157314501,
|
|
"total_return_pct": 57.31,
|
|
"cagr_pct": 86.62,
|
|
"mdd_pct": 11.47,
|
|
"trades": 42,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 47.6,
|
|
"profit_factor": 5.4,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -37.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.64
|
|
}
|
|
},
|
|
"alpha_pct": -37.79
|
|
},
|
|
"test": {
|
|
"final_equity": 125376459,
|
|
"total_return_pct": 25.38,
|
|
"cagr_pct": 105.73,
|
|
"mdd_pct": 7.81,
|
|
"trades": 12,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.0,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.55
|
|
}
|
|
},
|
|
"alpha_pct": -27.45
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.86,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.73,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.36,
|
|
"trades": 12
|
|
}
|
|
],
|
|
"worst_ret": 11.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 157314501,
|
|
"total_return_pct": 57.31,
|
|
"cagr_pct": 86.62,
|
|
"mdd_pct": 11.47,
|
|
"trades": 42,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 47.6,
|
|
"profit_factor": 5.4,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -37.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.64
|
|
}
|
|
},
|
|
"alpha_pct": -37.79
|
|
},
|
|
"test": {
|
|
"final_equity": 125376459,
|
|
"total_return_pct": 25.38,
|
|
"cagr_pct": 105.73,
|
|
"mdd_pct": 7.81,
|
|
"trades": 12,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.0,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.55
|
|
}
|
|
},
|
|
"alpha_pct": -27.45
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.86,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.73,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.36,
|
|
"trades": 12
|
|
}
|
|
],
|
|
"worst_ret": 11.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 158790557,
|
|
"total_return_pct": 58.79,
|
|
"cagr_pct": 89.04,
|
|
"mdd_pct": 11.66,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.2,
|
|
"profit_factor": 5.9,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 11.12
|
|
}
|
|
},
|
|
"alpha_pct": -36.31
|
|
},
|
|
"test": {
|
|
"final_equity": 121164849,
|
|
"total_return_pct": 21.16,
|
|
"cagr_pct": 84.48,
|
|
"mdd_pct": 5.69,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.1,
|
|
"profit_factor": 3.3,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -31.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 35.33
|
|
}
|
|
},
|
|
"alpha_pct": -31.67
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.86,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.79,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.23,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 11.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 158790557,
|
|
"total_return_pct": 58.79,
|
|
"cagr_pct": 89.04,
|
|
"mdd_pct": 11.66,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.2,
|
|
"profit_factor": 5.9,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 11.12
|
|
}
|
|
},
|
|
"alpha_pct": -36.31
|
|
},
|
|
"test": {
|
|
"final_equity": 121164849,
|
|
"total_return_pct": 21.16,
|
|
"cagr_pct": 84.48,
|
|
"mdd_pct": 5.69,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.1,
|
|
"profit_factor": 3.3,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -31.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 35.33
|
|
}
|
|
},
|
|
"alpha_pct": -31.67
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.86,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.79,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.23,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 11.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 158790557,
|
|
"total_return_pct": 58.79,
|
|
"cagr_pct": 89.04,
|
|
"mdd_pct": 11.66,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.2,
|
|
"profit_factor": 5.9,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 11.12
|
|
}
|
|
},
|
|
"alpha_pct": -36.31
|
|
},
|
|
"test": {
|
|
"final_equity": 120798789,
|
|
"total_return_pct": 20.8,
|
|
"cagr_pct": 82.71,
|
|
"mdd_pct": 6.46,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 3.54,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -32.03
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 34.97
|
|
}
|
|
},
|
|
"alpha_pct": -32.03
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.86,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.79,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.23,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 11.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 158790557,
|
|
"total_return_pct": 58.79,
|
|
"cagr_pct": 89.04,
|
|
"mdd_pct": 11.66,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.2,
|
|
"profit_factor": 5.9,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 11.12
|
|
}
|
|
},
|
|
"alpha_pct": -36.31
|
|
},
|
|
"test": {
|
|
"final_equity": 120798789,
|
|
"total_return_pct": 20.8,
|
|
"cagr_pct": 82.71,
|
|
"mdd_pct": 6.46,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 3.54,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -32.03
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 34.97
|
|
}
|
|
},
|
|
"alpha_pct": -32.03
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.86,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.79,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.23,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 11.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 149492386,
|
|
"total_return_pct": 49.49,
|
|
"cagr_pct": 73.96,
|
|
"mdd_pct": 10.03,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.6,
|
|
"profit_factor": 3.41,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.61
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.82
|
|
}
|
|
},
|
|
"alpha_pct": -45.61
|
|
},
|
|
"test": {
|
|
"final_equity": 129301724,
|
|
"total_return_pct": 29.3,
|
|
"cagr_pct": 126.99,
|
|
"mdd_pct": 6.13,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 4.51,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.47
|
|
}
|
|
},
|
|
"alpha_pct": -23.53
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.86,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.83,
|
|
"trades": 32
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.39,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 11.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 149492386,
|
|
"total_return_pct": 49.49,
|
|
"cagr_pct": 73.96,
|
|
"mdd_pct": 10.03,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.6,
|
|
"profit_factor": 3.41,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.61
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.82
|
|
}
|
|
},
|
|
"alpha_pct": -45.61
|
|
},
|
|
"test": {
|
|
"final_equity": 129301724,
|
|
"total_return_pct": 29.3,
|
|
"cagr_pct": 126.99,
|
|
"mdd_pct": 6.13,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 4.51,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.47
|
|
}
|
|
},
|
|
"alpha_pct": -23.53
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.86,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.83,
|
|
"trades": 32
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.39,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 11.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 150806644,
|
|
"total_return_pct": 50.81,
|
|
"cagr_pct": 76.07,
|
|
"mdd_pct": 12.4,
|
|
"trades": 43,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.2,
|
|
"profit_factor": 4.82,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.14
|
|
}
|
|
},
|
|
"alpha_pct": -44.29
|
|
},
|
|
"test": {
|
|
"final_equity": 139067372,
|
|
"total_return_pct": 39.07,
|
|
"cagr_pct": 186.33,
|
|
"mdd_pct": 6.56,
|
|
"trades": 13,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 7.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.24
|
|
}
|
|
},
|
|
"alpha_pct": -13.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.81,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.9,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.8,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 11.81
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 150806644,
|
|
"total_return_pct": 50.81,
|
|
"cagr_pct": 76.07,
|
|
"mdd_pct": 12.4,
|
|
"trades": 43,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.2,
|
|
"profit_factor": 4.82,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.14
|
|
}
|
|
},
|
|
"alpha_pct": -44.29
|
|
},
|
|
"test": {
|
|
"final_equity": 139067372,
|
|
"total_return_pct": 39.07,
|
|
"cagr_pct": 186.33,
|
|
"mdd_pct": 6.56,
|
|
"trades": 13,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 7.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.24
|
|
}
|
|
},
|
|
"alpha_pct": -13.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.81,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.9,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.8,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 11.81
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 153426034,
|
|
"total_return_pct": 53.43,
|
|
"cagr_pct": 80.3,
|
|
"mdd_pct": 12.59,
|
|
"trades": 42,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.2,
|
|
"profit_factor": 4.94,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -41.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 5.76
|
|
}
|
|
},
|
|
"alpha_pct": -41.67
|
|
},
|
|
"test": {
|
|
"final_equity": 139067372,
|
|
"total_return_pct": 39.07,
|
|
"cagr_pct": 186.33,
|
|
"mdd_pct": 6.56,
|
|
"trades": 13,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 7.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.24
|
|
}
|
|
},
|
|
"alpha_pct": -13.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.81,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.75,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.8,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 11.81
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 153426034,
|
|
"total_return_pct": 53.43,
|
|
"cagr_pct": 80.3,
|
|
"mdd_pct": 12.59,
|
|
"trades": 42,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.2,
|
|
"profit_factor": 4.94,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -41.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 5.76
|
|
}
|
|
},
|
|
"alpha_pct": -41.67
|
|
},
|
|
"test": {
|
|
"final_equity": 139067372,
|
|
"total_return_pct": 39.07,
|
|
"cagr_pct": 186.33,
|
|
"mdd_pct": 6.56,
|
|
"trades": 13,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 7.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.24
|
|
}
|
|
},
|
|
"alpha_pct": -13.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.81,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.75,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.8,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 11.81
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 153333955,
|
|
"total_return_pct": 53.33,
|
|
"cagr_pct": 80.15,
|
|
"mdd_pct": 9.65,
|
|
"trades": 55,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.5,
|
|
"profit_factor": 4.47,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -41.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 5.66
|
|
}
|
|
},
|
|
"alpha_pct": -41.77
|
|
},
|
|
"test": {
|
|
"final_equity": 132844865,
|
|
"total_return_pct": 32.84,
|
|
"cagr_pct": 147.43,
|
|
"mdd_pct": 7.09,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 4.56,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.01
|
|
}
|
|
},
|
|
"alpha_pct": -19.99
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.34,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.76,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.55,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 11.76
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 153333955,
|
|
"total_return_pct": 53.33,
|
|
"cagr_pct": 80.15,
|
|
"mdd_pct": 9.65,
|
|
"trades": 55,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.5,
|
|
"profit_factor": 4.47,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -41.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 5.66
|
|
}
|
|
},
|
|
"alpha_pct": -41.77
|
|
},
|
|
"test": {
|
|
"final_equity": 132844865,
|
|
"total_return_pct": 32.84,
|
|
"cagr_pct": 147.43,
|
|
"mdd_pct": 7.09,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 4.56,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.01
|
|
}
|
|
},
|
|
"alpha_pct": -19.99
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.34,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.76,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.55,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 11.76
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 152654621,
|
|
"total_return_pct": 52.65,
|
|
"cagr_pct": 79.05,
|
|
"mdd_pct": 9.65,
|
|
"trades": 55,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.5,
|
|
"profit_factor": 4.59,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.98
|
|
}
|
|
},
|
|
"alpha_pct": -42.45
|
|
},
|
|
"test": {
|
|
"final_equity": 128188570,
|
|
"total_return_pct": 28.19,
|
|
"cagr_pct": 120.81,
|
|
"mdd_pct": 6.05,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 5.24,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.36
|
|
}
|
|
},
|
|
"alpha_pct": -24.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.34,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.75,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.42,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 11.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 152654621,
|
|
"total_return_pct": 52.65,
|
|
"cagr_pct": 79.05,
|
|
"mdd_pct": 9.65,
|
|
"trades": 55,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.5,
|
|
"profit_factor": 4.59,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.98
|
|
}
|
|
},
|
|
"alpha_pct": -42.45
|
|
},
|
|
"test": {
|
|
"final_equity": 128188570,
|
|
"total_return_pct": 28.19,
|
|
"cagr_pct": 120.81,
|
|
"mdd_pct": 6.05,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 5.24,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.36
|
|
}
|
|
},
|
|
"alpha_pct": -24.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.34,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.75,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.42,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 11.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 150981660,
|
|
"total_return_pct": 50.98,
|
|
"cagr_pct": 76.35,
|
|
"mdd_pct": 10.22,
|
|
"trades": 49,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.8,
|
|
"profit_factor": 4.44,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.31
|
|
}
|
|
},
|
|
"alpha_pct": -44.12
|
|
},
|
|
"test": {
|
|
"final_equity": 122786180,
|
|
"total_return_pct": 22.79,
|
|
"cagr_pct": 92.48,
|
|
"mdd_pct": 4.67,
|
|
"trades": 16,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 4.82,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.96
|
|
}
|
|
},
|
|
"alpha_pct": -30.04
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.74,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.01,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.6,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 11.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 150981660,
|
|
"total_return_pct": 50.98,
|
|
"cagr_pct": 76.35,
|
|
"mdd_pct": 10.22,
|
|
"trades": 49,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.8,
|
|
"profit_factor": 4.44,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.31
|
|
}
|
|
},
|
|
"alpha_pct": -44.12
|
|
},
|
|
"test": {
|
|
"final_equity": 122786180,
|
|
"total_return_pct": 22.79,
|
|
"cagr_pct": 92.48,
|
|
"mdd_pct": 4.67,
|
|
"trades": 16,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 4.82,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.96
|
|
}
|
|
},
|
|
"alpha_pct": -30.04
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.74,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.01,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.6,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 11.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 147146937,
|
|
"total_return_pct": 47.15,
|
|
"cagr_pct": 70.22,
|
|
"mdd_pct": 10.04,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.5,
|
|
"profit_factor": 3.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.52
|
|
}
|
|
},
|
|
"alpha_pct": -47.95
|
|
},
|
|
"test": {
|
|
"final_equity": 141492207,
|
|
"total_return_pct": 41.49,
|
|
"cagr_pct": 202.56,
|
|
"mdd_pct": 8.8,
|
|
"trades": 19,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 47.4,
|
|
"profit_factor": 6.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -11.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.66
|
|
}
|
|
},
|
|
"alpha_pct": -11.34
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.65,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.72,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.73,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 11.72
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 147146937,
|
|
"total_return_pct": 47.15,
|
|
"cagr_pct": 70.22,
|
|
"mdd_pct": 10.04,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.5,
|
|
"profit_factor": 3.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.52
|
|
}
|
|
},
|
|
"alpha_pct": -47.95
|
|
},
|
|
"test": {
|
|
"final_equity": 141492207,
|
|
"total_return_pct": 41.49,
|
|
"cagr_pct": 202.56,
|
|
"mdd_pct": 8.8,
|
|
"trades": 19,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 47.4,
|
|
"profit_factor": 6.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -11.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.66
|
|
}
|
|
},
|
|
"alpha_pct": -11.34
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.65,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.72,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.73,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 11.72
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 154587131,
|
|
"total_return_pct": 54.59,
|
|
"cagr_pct": 82.18,
|
|
"mdd_pct": 9.64,
|
|
"trades": 53,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 49.1,
|
|
"profit_factor": 4.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 6.92
|
|
}
|
|
},
|
|
"alpha_pct": -40.51
|
|
},
|
|
"test": {
|
|
"final_equity": 132768310,
|
|
"total_return_pct": 32.77,
|
|
"cagr_pct": 146.98,
|
|
"mdd_pct": 7.09,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 4.52,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.94
|
|
}
|
|
},
|
|
"alpha_pct": -20.06
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.72,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.69,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.47,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 11.69
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 154587131,
|
|
"total_return_pct": 54.59,
|
|
"cagr_pct": 82.18,
|
|
"mdd_pct": 9.64,
|
|
"trades": 53,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 49.1,
|
|
"profit_factor": 4.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 6.92
|
|
}
|
|
},
|
|
"alpha_pct": -40.51
|
|
},
|
|
"test": {
|
|
"final_equity": 132768310,
|
|
"total_return_pct": 32.77,
|
|
"cagr_pct": 146.98,
|
|
"mdd_pct": 7.09,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 4.52,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.94
|
|
}
|
|
},
|
|
"alpha_pct": -20.06
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.72,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.69,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.47,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 11.69
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 153988020,
|
|
"total_return_pct": 53.99,
|
|
"cagr_pct": 81.21,
|
|
"mdd_pct": 9.65,
|
|
"trades": 53,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 49.1,
|
|
"profit_factor": 4.68,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -41.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 6.32
|
|
}
|
|
},
|
|
"alpha_pct": -41.11
|
|
},
|
|
"test": {
|
|
"final_equity": 128091564,
|
|
"total_return_pct": 28.09,
|
|
"cagr_pct": 120.28,
|
|
"mdd_pct": 6.04,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 5.17,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.26
|
|
}
|
|
},
|
|
"alpha_pct": -24.74
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.72,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.68,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.33,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 11.68
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 153988020,
|
|
"total_return_pct": 53.99,
|
|
"cagr_pct": 81.21,
|
|
"mdd_pct": 9.65,
|
|
"trades": 53,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 49.1,
|
|
"profit_factor": 4.68,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -41.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 6.32
|
|
}
|
|
},
|
|
"alpha_pct": -41.11
|
|
},
|
|
"test": {
|
|
"final_equity": 128091564,
|
|
"total_return_pct": 28.09,
|
|
"cagr_pct": 120.28,
|
|
"mdd_pct": 6.04,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 5.17,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.26
|
|
}
|
|
},
|
|
"alpha_pct": -24.74
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.72,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.68,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.33,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 11.68
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144193259,
|
|
"total_return_pct": 44.19,
|
|
"cagr_pct": 65.53,
|
|
"mdd_pct": 10.02,
|
|
"trades": 68,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 3.06,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.48
|
|
}
|
|
},
|
|
"alpha_pct": -50.91
|
|
},
|
|
"test": {
|
|
"final_equity": 131049050,
|
|
"total_return_pct": 31.05,
|
|
"cagr_pct": 136.92,
|
|
"mdd_pct": 7.91,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.94,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.22
|
|
}
|
|
},
|
|
"alpha_pct": -21.78
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.58,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.55,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 44.87,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 11.55
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144193259,
|
|
"total_return_pct": 44.19,
|
|
"cagr_pct": 65.53,
|
|
"mdd_pct": 10.02,
|
|
"trades": 68,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 3.06,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.48
|
|
}
|
|
},
|
|
"alpha_pct": -50.91
|
|
},
|
|
"test": {
|
|
"final_equity": 131049050,
|
|
"total_return_pct": 31.05,
|
|
"cagr_pct": 136.92,
|
|
"mdd_pct": 7.91,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.94,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.22
|
|
}
|
|
},
|
|
"alpha_pct": -21.78
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.58,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.55,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 44.87,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 11.55
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149654159,
|
|
"total_return_pct": 49.65,
|
|
"cagr_pct": 74.22,
|
|
"mdd_pct": 10.8,
|
|
"trades": 57,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.8,
|
|
"profit_factor": 2.86,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.98
|
|
}
|
|
},
|
|
"alpha_pct": -45.45
|
|
},
|
|
"test": {
|
|
"final_equity": 112371392,
|
|
"total_return_pct": 12.37,
|
|
"cagr_pct": 45.07,
|
|
"mdd_pct": 11.02,
|
|
"trades": 21,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.99,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -40.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 26.54
|
|
}
|
|
},
|
|
"alpha_pct": -40.46
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.5,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.1,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.38,
|
|
"trades": 30
|
|
}
|
|
],
|
|
"worst_ret": 11.5
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149654159,
|
|
"total_return_pct": 49.65,
|
|
"cagr_pct": 74.22,
|
|
"mdd_pct": 10.8,
|
|
"trades": 57,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.8,
|
|
"profit_factor": 2.86,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.98
|
|
}
|
|
},
|
|
"alpha_pct": -45.45
|
|
},
|
|
"test": {
|
|
"final_equity": 112371392,
|
|
"total_return_pct": 12.37,
|
|
"cagr_pct": 45.07,
|
|
"mdd_pct": 11.02,
|
|
"trades": 21,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.99,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -40.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 26.54
|
|
}
|
|
},
|
|
"alpha_pct": -40.46
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.5,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.1,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.38,
|
|
"trades": 30
|
|
}
|
|
],
|
|
"worst_ret": 11.5
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 150481843,
|
|
"total_return_pct": 50.48,
|
|
"cagr_pct": 75.55,
|
|
"mdd_pct": 10.63,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.5,
|
|
"profit_factor": 3.13,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.81
|
|
}
|
|
},
|
|
"alpha_pct": -44.62
|
|
},
|
|
"test": {
|
|
"final_equity": 111656535,
|
|
"total_return_pct": 11.66,
|
|
"cagr_pct": 42.15,
|
|
"mdd_pct": 10.89,
|
|
"trades": 25,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 24.0,
|
|
"profit_factor": 1.85,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.83
|
|
}
|
|
},
|
|
"alpha_pct": -41.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.5,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.1,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.87,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 11.5
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 150481843,
|
|
"total_return_pct": 50.48,
|
|
"cagr_pct": 75.55,
|
|
"mdd_pct": 10.63,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.5,
|
|
"profit_factor": 3.13,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.81
|
|
}
|
|
},
|
|
"alpha_pct": -44.62
|
|
},
|
|
"test": {
|
|
"final_equity": 111656535,
|
|
"total_return_pct": 11.66,
|
|
"cagr_pct": 42.15,
|
|
"mdd_pct": 10.89,
|
|
"trades": 25,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 24.0,
|
|
"profit_factor": 1.85,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.83
|
|
}
|
|
},
|
|
"alpha_pct": -41.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.5,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.1,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.87,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 11.5
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 148807971,
|
|
"total_return_pct": 48.81,
|
|
"cagr_pct": 72.87,
|
|
"mdd_pct": 12.45,
|
|
"trades": 57,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 2.89,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.14
|
|
}
|
|
},
|
|
"alpha_pct": -46.29
|
|
},
|
|
"test": {
|
|
"final_equity": 113810215,
|
|
"total_return_pct": 13.81,
|
|
"cagr_pct": 51.08,
|
|
"mdd_pct": 9.91,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 2.13,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -39.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 27.98
|
|
}
|
|
},
|
|
"alpha_pct": -39.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.7,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.49,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 13.06,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 11.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 148807971,
|
|
"total_return_pct": 48.81,
|
|
"cagr_pct": 72.87,
|
|
"mdd_pct": 12.45,
|
|
"trades": 57,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 2.89,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.14
|
|
}
|
|
},
|
|
"alpha_pct": -46.29
|
|
},
|
|
"test": {
|
|
"final_equity": 113810215,
|
|
"total_return_pct": 13.81,
|
|
"cagr_pct": 51.08,
|
|
"mdd_pct": 9.91,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 2.13,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -39.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 27.98
|
|
}
|
|
},
|
|
"alpha_pct": -39.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.7,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.49,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 13.06,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 11.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 150142490,
|
|
"total_return_pct": 50.14,
|
|
"cagr_pct": 75.01,
|
|
"mdd_pct": 10.04,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.6,
|
|
"profit_factor": 3.26,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.96
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.47
|
|
}
|
|
},
|
|
"alpha_pct": -44.96
|
|
},
|
|
"test": {
|
|
"final_equity": 131049050,
|
|
"total_return_pct": 31.05,
|
|
"cagr_pct": 136.92,
|
|
"mdd_pct": 7.91,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.94,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.22
|
|
}
|
|
},
|
|
"alpha_pct": -21.78
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.01,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.34,
|
|
"trades": 32
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 44.87,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 11.34
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 150142490,
|
|
"total_return_pct": 50.14,
|
|
"cagr_pct": 75.01,
|
|
"mdd_pct": 10.04,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.6,
|
|
"profit_factor": 3.26,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.96
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.47
|
|
}
|
|
},
|
|
"alpha_pct": -44.96
|
|
},
|
|
"test": {
|
|
"final_equity": 131049050,
|
|
"total_return_pct": 31.05,
|
|
"cagr_pct": 136.92,
|
|
"mdd_pct": 7.91,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 3.94,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.22
|
|
}
|
|
},
|
|
"alpha_pct": -21.78
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.01,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.34,
|
|
"trades": 32
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 44.87,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 11.34
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 148766220,
|
|
"total_return_pct": 48.77,
|
|
"cagr_pct": 72.8,
|
|
"mdd_pct": 10.02,
|
|
"trades": 52,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 46.2,
|
|
"profit_factor": 3.9,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.1
|
|
}
|
|
},
|
|
"alpha_pct": -46.33
|
|
},
|
|
"test": {
|
|
"final_equity": 139069188,
|
|
"total_return_pct": 39.07,
|
|
"cagr_pct": 186.34,
|
|
"mdd_pct": 6.73,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 46.7,
|
|
"profit_factor": 7.93,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.24
|
|
}
|
|
},
|
|
"alpha_pct": -13.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.04,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.22,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 52.52,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 11.22
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 148766220,
|
|
"total_return_pct": 48.77,
|
|
"cagr_pct": 72.8,
|
|
"mdd_pct": 10.02,
|
|
"trades": 52,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 46.2,
|
|
"profit_factor": 3.9,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.1
|
|
}
|
|
},
|
|
"alpha_pct": -46.33
|
|
},
|
|
"test": {
|
|
"final_equity": 139069188,
|
|
"total_return_pct": 39.07,
|
|
"cagr_pct": 186.34,
|
|
"mdd_pct": 6.73,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 46.7,
|
|
"profit_factor": 7.93,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.24
|
|
}
|
|
},
|
|
"alpha_pct": -13.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.04,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.22,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 52.52,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 11.22
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 147411863,
|
|
"total_return_pct": 47.41,
|
|
"cagr_pct": 70.64,
|
|
"mdd_pct": 10.02,
|
|
"trades": 52,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 44.2,
|
|
"profit_factor": 4.36,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.26
|
|
}
|
|
},
|
|
"alpha_pct": -47.69
|
|
},
|
|
"test": {
|
|
"final_equity": 125373578,
|
|
"total_return_pct": 25.37,
|
|
"cagr_pct": 105.71,
|
|
"mdd_pct": 4.66,
|
|
"trades": 15,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 6.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.54
|
|
}
|
|
},
|
|
"alpha_pct": -27.46
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.12,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.72,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.6,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 11.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 147411863,
|
|
"total_return_pct": 47.41,
|
|
"cagr_pct": 70.64,
|
|
"mdd_pct": 10.02,
|
|
"trades": 52,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 44.2,
|
|
"profit_factor": 4.36,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.26
|
|
}
|
|
},
|
|
"alpha_pct": -47.69
|
|
},
|
|
"test": {
|
|
"final_equity": 125373578,
|
|
"total_return_pct": 25.37,
|
|
"cagr_pct": 105.71,
|
|
"mdd_pct": 4.66,
|
|
"trades": 15,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 6.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.54
|
|
}
|
|
},
|
|
"alpha_pct": -27.46
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.12,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.72,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.6,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 11.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142539622,
|
|
"total_return_pct": 42.54,
|
|
"cagr_pct": 62.92,
|
|
"mdd_pct": 10.02,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 3.42,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.56
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.13
|
|
}
|
|
},
|
|
"alpha_pct": -52.56
|
|
},
|
|
"test": {
|
|
"final_equity": 126020576,
|
|
"total_return_pct": 26.02,
|
|
"cagr_pct": 109.12,
|
|
"mdd_pct": 6.37,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.78,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.19
|
|
}
|
|
},
|
|
"alpha_pct": -26.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.85,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.42,
|
|
"trades": 32
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 24.34,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 10.85
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142539622,
|
|
"total_return_pct": 42.54,
|
|
"cagr_pct": 62.92,
|
|
"mdd_pct": 10.02,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 3.42,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.56
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.13
|
|
}
|
|
},
|
|
"alpha_pct": -52.56
|
|
},
|
|
"test": {
|
|
"final_equity": 126020576,
|
|
"total_return_pct": 26.02,
|
|
"cagr_pct": 109.12,
|
|
"mdd_pct": 6.37,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.78,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.19
|
|
}
|
|
},
|
|
"alpha_pct": -26.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.85,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.42,
|
|
"trades": 32
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 24.34,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 10.85
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145454991,
|
|
"total_return_pct": 45.45,
|
|
"cagr_pct": 67.53,
|
|
"mdd_pct": 9.93,
|
|
"trades": 68,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 3.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.22
|
|
}
|
|
},
|
|
"alpha_pct": -49.65
|
|
},
|
|
"test": {
|
|
"final_equity": 125781536,
|
|
"total_return_pct": 25.78,
|
|
"cagr_pct": 107.86,
|
|
"mdd_pct": 6.38,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 5.56,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.05
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.95
|
|
}
|
|
},
|
|
"alpha_pct": -27.05
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.85,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.73,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 26.29,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 10.85
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145454991,
|
|
"total_return_pct": 45.45,
|
|
"cagr_pct": 67.53,
|
|
"mdd_pct": 9.93,
|
|
"trades": 68,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 3.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.22
|
|
}
|
|
},
|
|
"alpha_pct": -49.65
|
|
},
|
|
"test": {
|
|
"final_equity": 125781536,
|
|
"total_return_pct": 25.78,
|
|
"cagr_pct": 107.86,
|
|
"mdd_pct": 6.38,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 5.56,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.05
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.95
|
|
}
|
|
},
|
|
"alpha_pct": -27.05
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.85,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.73,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 26.29,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 10.85
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138247371,
|
|
"total_return_pct": 38.25,
|
|
"cagr_pct": 56.2,
|
|
"mdd_pct": 12.99,
|
|
"trades": 40,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.3,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.85
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.42
|
|
}
|
|
},
|
|
"alpha_pct": -56.85
|
|
},
|
|
"test": {
|
|
"final_equity": 104409098,
|
|
"total_return_pct": 4.41,
|
|
"cagr_pct": 14.76,
|
|
"mdd_pct": 7.8,
|
|
"trades": 11,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 18.2,
|
|
"profit_factor": 1.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.58
|
|
}
|
|
},
|
|
"alpha_pct": -48.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.74,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.13,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.1,
|
|
"trades": 11
|
|
}
|
|
],
|
|
"worst_ret": 10.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138247371,
|
|
"total_return_pct": 38.25,
|
|
"cagr_pct": 56.2,
|
|
"mdd_pct": 12.99,
|
|
"trades": 40,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.3,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.85
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.42
|
|
}
|
|
},
|
|
"alpha_pct": -56.85
|
|
},
|
|
"test": {
|
|
"final_equity": 104409098,
|
|
"total_return_pct": 4.41,
|
|
"cagr_pct": 14.76,
|
|
"mdd_pct": 7.8,
|
|
"trades": 11,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 18.2,
|
|
"profit_factor": 1.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.58
|
|
}
|
|
},
|
|
"alpha_pct": -48.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.74,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.13,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.1,
|
|
"trades": 11
|
|
}
|
|
],
|
|
"worst_ret": 10.74
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 170981687,
|
|
"total_return_pct": 70.98,
|
|
"cagr_pct": 109.31,
|
|
"mdd_pct": 10.49,
|
|
"trades": 51,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 51.0,
|
|
"profit_factor": 5.69,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -24.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 23.31
|
|
}
|
|
},
|
|
"alpha_pct": -24.12
|
|
},
|
|
"test": {
|
|
"final_equity": 115258709,
|
|
"total_return_pct": 15.26,
|
|
"cagr_pct": 57.3,
|
|
"mdd_pct": 9.25,
|
|
"trades": 18,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.53,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -37.57
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 29.43
|
|
}
|
|
},
|
|
"alpha_pct": -37.57
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.72,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.42,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 19.77,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 10.72
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 170981687,
|
|
"total_return_pct": 70.98,
|
|
"cagr_pct": 109.31,
|
|
"mdd_pct": 10.49,
|
|
"trades": 51,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 51.0,
|
|
"profit_factor": 5.69,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -24.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 23.31
|
|
}
|
|
},
|
|
"alpha_pct": -24.12
|
|
},
|
|
"test": {
|
|
"final_equity": 115258709,
|
|
"total_return_pct": 15.26,
|
|
"cagr_pct": 57.3,
|
|
"mdd_pct": 9.25,
|
|
"trades": 18,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.53,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -37.57
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 29.43
|
|
}
|
|
},
|
|
"alpha_pct": -37.57
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.72,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.42,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 19.77,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 10.72
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145223494,
|
|
"total_return_pct": 45.22,
|
|
"cagr_pct": 67.16,
|
|
"mdd_pct": 13.54,
|
|
"trades": 44,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.4,
|
|
"profit_factor": 3.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.45
|
|
}
|
|
},
|
|
"alpha_pct": -49.88
|
|
},
|
|
"test": {
|
|
"final_equity": 104993620,
|
|
"total_return_pct": 4.99,
|
|
"cagr_pct": 16.82,
|
|
"mdd_pct": 10.54,
|
|
"trades": 13,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 15.4,
|
|
"profit_factor": 1.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.16
|
|
}
|
|
},
|
|
"alpha_pct": -47.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.7,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.48,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.98,
|
|
"trades": 15
|
|
}
|
|
],
|
|
"worst_ret": 10.7
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145223494,
|
|
"total_return_pct": 45.22,
|
|
"cagr_pct": 67.16,
|
|
"mdd_pct": 13.54,
|
|
"trades": 44,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.4,
|
|
"profit_factor": 3.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.45
|
|
}
|
|
},
|
|
"alpha_pct": -49.88
|
|
},
|
|
"test": {
|
|
"final_equity": 104993620,
|
|
"total_return_pct": 4.99,
|
|
"cagr_pct": 16.82,
|
|
"mdd_pct": 10.54,
|
|
"trades": 13,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 15.4,
|
|
"profit_factor": 1.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.16
|
|
}
|
|
},
|
|
"alpha_pct": -47.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.7,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.48,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.98,
|
|
"trades": 15
|
|
}
|
|
],
|
|
"worst_ret": 10.7
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142754225,
|
|
"total_return_pct": 42.75,
|
|
"cagr_pct": 63.26,
|
|
"mdd_pct": 10.04,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.5,
|
|
"profit_factor": 3.61,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.92
|
|
}
|
|
},
|
|
"alpha_pct": -52.35
|
|
},
|
|
"test": {
|
|
"final_equity": 126783539,
|
|
"total_return_pct": 26.78,
|
|
"cagr_pct": 113.19,
|
|
"mdd_pct": 6.36,
|
|
"trades": 19,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 47.4,
|
|
"profit_factor": 5.88,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.05
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.95
|
|
}
|
|
},
|
|
"alpha_pct": -26.05
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.66,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.29,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 25.1,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 10.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142754225,
|
|
"total_return_pct": 42.75,
|
|
"cagr_pct": 63.26,
|
|
"mdd_pct": 10.04,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.5,
|
|
"profit_factor": 3.61,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.92
|
|
}
|
|
},
|
|
"alpha_pct": -52.35
|
|
},
|
|
"test": {
|
|
"final_equity": 126783539,
|
|
"total_return_pct": 26.78,
|
|
"cagr_pct": 113.19,
|
|
"mdd_pct": 6.36,
|
|
"trades": 19,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 47.4,
|
|
"profit_factor": 5.88,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.05
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.95
|
|
}
|
|
},
|
|
"alpha_pct": -26.05
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.66,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.29,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 25.1,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 10.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146151179,
|
|
"total_return_pct": 46.15,
|
|
"cagr_pct": 68.63,
|
|
"mdd_pct": 9.93,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.3,
|
|
"profit_factor": 3.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.52
|
|
}
|
|
},
|
|
"alpha_pct": -48.95
|
|
},
|
|
"test": {
|
|
"final_equity": 126544973,
|
|
"total_return_pct": 26.54,
|
|
"cagr_pct": 111.91,
|
|
"mdd_pct": 6.37,
|
|
"trades": 19,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 42.1,
|
|
"profit_factor": 5.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.71
|
|
}
|
|
},
|
|
"alpha_pct": -26.29
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.66,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.92,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 26.29,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 10.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146151179,
|
|
"total_return_pct": 46.15,
|
|
"cagr_pct": 68.63,
|
|
"mdd_pct": 9.93,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.3,
|
|
"profit_factor": 3.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.52
|
|
}
|
|
},
|
|
"alpha_pct": -48.95
|
|
},
|
|
"test": {
|
|
"final_equity": 126544973,
|
|
"total_return_pct": 26.54,
|
|
"cagr_pct": 111.91,
|
|
"mdd_pct": 6.37,
|
|
"trades": 19,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 42.1,
|
|
"profit_factor": 5.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.71
|
|
}
|
|
},
|
|
"alpha_pct": -26.29
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.66,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.92,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 26.29,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 10.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 157846099,
|
|
"total_return_pct": 57.85,
|
|
"cagr_pct": 87.49,
|
|
"mdd_pct": 9.8,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.9,
|
|
"profit_factor": 3.6,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -37.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 10.18
|
|
}
|
|
},
|
|
"alpha_pct": -37.25
|
|
},
|
|
"test": {
|
|
"final_equity": 124839483,
|
|
"total_return_pct": 24.84,
|
|
"cagr_pct": 102.93,
|
|
"mdd_pct": 8.08,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.01
|
|
}
|
|
},
|
|
"alpha_pct": -27.99
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 34.62,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.43,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 10.58
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 157846099,
|
|
"total_return_pct": 57.85,
|
|
"cagr_pct": 87.49,
|
|
"mdd_pct": 9.8,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.9,
|
|
"profit_factor": 3.6,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -37.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 10.18
|
|
}
|
|
},
|
|
"alpha_pct": -37.25
|
|
},
|
|
"test": {
|
|
"final_equity": 124839483,
|
|
"total_return_pct": 24.84,
|
|
"cagr_pct": 102.93,
|
|
"mdd_pct": 8.08,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.01
|
|
}
|
|
},
|
|
"alpha_pct": -27.99
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 34.62,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.43,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 10.58
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 156574294,
|
|
"total_return_pct": 56.57,
|
|
"cagr_pct": 85.41,
|
|
"mdd_pct": 10.99,
|
|
"trades": 77,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.6,
|
|
"profit_factor": 3.07,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 8.9
|
|
}
|
|
},
|
|
"alpha_pct": -38.53
|
|
},
|
|
"test": {
|
|
"final_equity": 124788065,
|
|
"total_return_pct": 24.79,
|
|
"cagr_pct": 102.67,
|
|
"mdd_pct": 8.08,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.96
|
|
}
|
|
},
|
|
"alpha_pct": -28.04
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 33.15,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.38,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 10.58
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 156574294,
|
|
"total_return_pct": 56.57,
|
|
"cagr_pct": 85.41,
|
|
"mdd_pct": 10.99,
|
|
"trades": 77,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.6,
|
|
"profit_factor": 3.07,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 8.9
|
|
}
|
|
},
|
|
"alpha_pct": -38.53
|
|
},
|
|
"test": {
|
|
"final_equity": 124788065,
|
|
"total_return_pct": 24.79,
|
|
"cagr_pct": 102.67,
|
|
"mdd_pct": 8.08,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.96
|
|
}
|
|
},
|
|
"alpha_pct": -28.04
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 33.15,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.38,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 10.58
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 161479336,
|
|
"total_return_pct": 61.48,
|
|
"cagr_pct": 93.46,
|
|
"mdd_pct": 11.0,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.5,
|
|
"profit_factor": 3.2,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -33.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.81
|
|
}
|
|
},
|
|
"alpha_pct": -33.62
|
|
},
|
|
"test": {
|
|
"final_equity": 124788065,
|
|
"total_return_pct": 24.79,
|
|
"cagr_pct": 102.67,
|
|
"mdd_pct": 8.08,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.96
|
|
}
|
|
},
|
|
"alpha_pct": -28.04
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 36.56,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.38,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 10.58
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 161479336,
|
|
"total_return_pct": 61.48,
|
|
"cagr_pct": 93.46,
|
|
"mdd_pct": 11.0,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.5,
|
|
"profit_factor": 3.2,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -33.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.81
|
|
}
|
|
},
|
|
"alpha_pct": -33.62
|
|
},
|
|
"test": {
|
|
"final_equity": 124788065,
|
|
"total_return_pct": 24.79,
|
|
"cagr_pct": 102.67,
|
|
"mdd_pct": 8.08,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.96
|
|
}
|
|
},
|
|
"alpha_pct": -28.04
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 36.56,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.38,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 10.58
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 130642185,
|
|
"total_return_pct": 30.64,
|
|
"cagr_pct": 44.49,
|
|
"mdd_pct": 15.04,
|
|
"trades": 44,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 34.1,
|
|
"profit_factor": 2.76,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.03
|
|
}
|
|
},
|
|
"alpha_pct": -64.46
|
|
},
|
|
"test": {
|
|
"final_equity": 109883197,
|
|
"total_return_pct": 9.88,
|
|
"cagr_pct": 35.07,
|
|
"mdd_pct": 7.57,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -42.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 24.05
|
|
}
|
|
},
|
|
"alpha_pct": -42.95
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.55,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.49,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 10.58
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 130642185,
|
|
"total_return_pct": 30.64,
|
|
"cagr_pct": 44.49,
|
|
"mdd_pct": 15.04,
|
|
"trades": 44,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 34.1,
|
|
"profit_factor": 2.76,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.03
|
|
}
|
|
},
|
|
"alpha_pct": -64.46
|
|
},
|
|
"test": {
|
|
"final_equity": 109883197,
|
|
"total_return_pct": 9.88,
|
|
"cagr_pct": 35.07,
|
|
"mdd_pct": 7.57,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -42.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 24.05
|
|
}
|
|
},
|
|
"alpha_pct": -42.95
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.55,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.49,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 10.58
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 135576190,
|
|
"total_return_pct": 35.58,
|
|
"cagr_pct": 52.06,
|
|
"mdd_pct": 14.81,
|
|
"trades": 39,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 3.22,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -59.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.09
|
|
}
|
|
},
|
|
"alpha_pct": -59.52
|
|
},
|
|
"test": {
|
|
"final_equity": 115284426,
|
|
"total_return_pct": 15.28,
|
|
"cagr_pct": 57.41,
|
|
"mdd_pct": 4.74,
|
|
"trades": 12,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 58.3,
|
|
"profit_factor": 3.78,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -37.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 29.45
|
|
}
|
|
},
|
|
"alpha_pct": -37.55
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.56,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.33,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.1,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 10.56
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 135576190,
|
|
"total_return_pct": 35.58,
|
|
"cagr_pct": 52.06,
|
|
"mdd_pct": 14.81,
|
|
"trades": 39,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 3.22,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -59.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.09
|
|
}
|
|
},
|
|
"alpha_pct": -59.52
|
|
},
|
|
"test": {
|
|
"final_equity": 115284426,
|
|
"total_return_pct": 15.28,
|
|
"cagr_pct": 57.41,
|
|
"mdd_pct": 4.74,
|
|
"trades": 12,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 58.3,
|
|
"profit_factor": 3.78,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -37.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 29.45
|
|
}
|
|
},
|
|
"alpha_pct": -37.55
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.56,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.33,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.1,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 10.56
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 133030298,
|
|
"total_return_pct": 33.03,
|
|
"cagr_pct": 48.14,
|
|
"mdd_pct": 15.07,
|
|
"trades": 38,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 2.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.64
|
|
}
|
|
},
|
|
"alpha_pct": -62.07
|
|
},
|
|
"test": {
|
|
"final_equity": 115284426,
|
|
"total_return_pct": 15.28,
|
|
"cagr_pct": 57.41,
|
|
"mdd_pct": 4.74,
|
|
"trades": 12,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 58.3,
|
|
"profit_factor": 3.78,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -37.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 29.45
|
|
}
|
|
},
|
|
"alpha_pct": -37.55
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.56,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.18,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.1,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 10.56
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 133030298,
|
|
"total_return_pct": 33.03,
|
|
"cagr_pct": 48.14,
|
|
"mdd_pct": 15.07,
|
|
"trades": 38,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 2.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.64
|
|
}
|
|
},
|
|
"alpha_pct": -62.07
|
|
},
|
|
"test": {
|
|
"final_equity": 115284426,
|
|
"total_return_pct": 15.28,
|
|
"cagr_pct": 57.41,
|
|
"mdd_pct": 4.74,
|
|
"trades": 12,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 58.3,
|
|
"profit_factor": 3.78,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -37.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 29.45
|
|
}
|
|
},
|
|
"alpha_pct": -37.55
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.56,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.18,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.1,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 10.56
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152281402,
|
|
"total_return_pct": 52.28,
|
|
"cagr_pct": 78.45,
|
|
"mdd_pct": 10.15,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.9,
|
|
"profit_factor": 2.9,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.61
|
|
}
|
|
},
|
|
"alpha_pct": -42.82
|
|
},
|
|
"test": {
|
|
"final_equity": 125239698,
|
|
"total_return_pct": 25.24,
|
|
"cagr_pct": 105.01,
|
|
"mdd_pct": 10.15,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.41
|
|
}
|
|
},
|
|
"alpha_pct": -27.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.55,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.35,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.47,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 10.55
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152281402,
|
|
"total_return_pct": 52.28,
|
|
"cagr_pct": 78.45,
|
|
"mdd_pct": 10.15,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.9,
|
|
"profit_factor": 2.9,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.61
|
|
}
|
|
},
|
|
"alpha_pct": -42.82
|
|
},
|
|
"test": {
|
|
"final_equity": 125239698,
|
|
"total_return_pct": 25.24,
|
|
"cagr_pct": 105.01,
|
|
"mdd_pct": 10.15,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.41
|
|
}
|
|
},
|
|
"alpha_pct": -27.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.55,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.35,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.47,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 10.55
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 156279311,
|
|
"total_return_pct": 56.28,
|
|
"cagr_pct": 84.93,
|
|
"mdd_pct": 12.09,
|
|
"trades": 77,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.6,
|
|
"profit_factor": 2.82,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 8.61
|
|
}
|
|
},
|
|
"alpha_pct": -38.82
|
|
},
|
|
"test": {
|
|
"final_equity": 125188668,
|
|
"total_return_pct": 25.19,
|
|
"cagr_pct": 104.75,
|
|
"mdd_pct": 10.15,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.36
|
|
}
|
|
},
|
|
"alpha_pct": -27.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.55,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 33.88,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.41,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 10.55
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 156279311,
|
|
"total_return_pct": 56.28,
|
|
"cagr_pct": 84.93,
|
|
"mdd_pct": 12.09,
|
|
"trades": 77,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.6,
|
|
"profit_factor": 2.82,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 8.61
|
|
}
|
|
},
|
|
"alpha_pct": -38.82
|
|
},
|
|
"test": {
|
|
"final_equity": 125188668,
|
|
"total_return_pct": 25.19,
|
|
"cagr_pct": 104.75,
|
|
"mdd_pct": 10.15,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.36
|
|
}
|
|
},
|
|
"alpha_pct": -27.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.55,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 33.88,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.41,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 10.55
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 155116150,
|
|
"total_return_pct": 55.12,
|
|
"cagr_pct": 83.04,
|
|
"mdd_pct": 12.1,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.5,
|
|
"profit_factor": 2.74,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.45
|
|
}
|
|
},
|
|
"alpha_pct": -39.98
|
|
},
|
|
"test": {
|
|
"final_equity": 125188668,
|
|
"total_return_pct": 25.19,
|
|
"cagr_pct": 104.75,
|
|
"mdd_pct": 10.15,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.36
|
|
}
|
|
},
|
|
"alpha_pct": -27.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.55,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 32.33,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.41,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 10.55
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 155116150,
|
|
"total_return_pct": 55.12,
|
|
"cagr_pct": 83.04,
|
|
"mdd_pct": 12.1,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.5,
|
|
"profit_factor": 2.74,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.45
|
|
}
|
|
},
|
|
"alpha_pct": -39.98
|
|
},
|
|
"test": {
|
|
"final_equity": 125188668,
|
|
"total_return_pct": 25.19,
|
|
"cagr_pct": 104.75,
|
|
"mdd_pct": 10.15,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.36
|
|
}
|
|
},
|
|
"alpha_pct": -27.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.55,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 32.33,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.41,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 10.55
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 158622340,
|
|
"total_return_pct": 58.62,
|
|
"cagr_pct": 88.76,
|
|
"mdd_pct": 11.09,
|
|
"trades": 46,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 5.43,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 10.95
|
|
}
|
|
},
|
|
"alpha_pct": -36.48
|
|
},
|
|
"test": {
|
|
"final_equity": 135240632,
|
|
"total_return_pct": 35.24,
|
|
"cagr_pct": 161.95,
|
|
"mdd_pct": 6.63,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.41
|
|
}
|
|
},
|
|
"alpha_pct": -17.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.51,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.56,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.41,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 10.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 158622340,
|
|
"total_return_pct": 58.62,
|
|
"cagr_pct": 88.76,
|
|
"mdd_pct": 11.09,
|
|
"trades": 46,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 5.43,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -36.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 10.95
|
|
}
|
|
},
|
|
"alpha_pct": -36.48
|
|
},
|
|
"test": {
|
|
"final_equity": 135240632,
|
|
"total_return_pct": 35.24,
|
|
"cagr_pct": 161.95,
|
|
"mdd_pct": 6.63,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.41
|
|
}
|
|
},
|
|
"alpha_pct": -17.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.51,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.56,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.41,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 10.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 147426534,
|
|
"total_return_pct": 47.43,
|
|
"cagr_pct": 70.66,
|
|
"mdd_pct": 9.29,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 4.48,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.24
|
|
}
|
|
},
|
|
"alpha_pct": -47.67
|
|
},
|
|
"test": {
|
|
"final_equity": 135187468,
|
|
"total_return_pct": 35.19,
|
|
"cagr_pct": 161.62,
|
|
"mdd_pct": 6.63,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.36
|
|
}
|
|
},
|
|
"alpha_pct": -17.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.51,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.96,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.41,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 10.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 147426534,
|
|
"total_return_pct": 47.43,
|
|
"cagr_pct": 70.66,
|
|
"mdd_pct": 9.29,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 4.48,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.24
|
|
}
|
|
},
|
|
"alpha_pct": -47.67
|
|
},
|
|
"test": {
|
|
"final_equity": 135187468,
|
|
"total_return_pct": 35.19,
|
|
"cagr_pct": 161.62,
|
|
"mdd_pct": 6.63,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.36
|
|
}
|
|
},
|
|
"alpha_pct": -17.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.51,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.96,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.41,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 10.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152393870,
|
|
"total_return_pct": 52.39,
|
|
"cagr_pct": 78.63,
|
|
"mdd_pct": 12.61,
|
|
"trades": 48,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 4.74,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.72
|
|
}
|
|
},
|
|
"alpha_pct": -42.71
|
|
},
|
|
"test": {
|
|
"final_equity": 135187468,
|
|
"total_return_pct": 35.19,
|
|
"cagr_pct": 161.62,
|
|
"mdd_pct": 6.63,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.36
|
|
}
|
|
},
|
|
"alpha_pct": -17.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.51,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.97,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.41,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 10.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152393870,
|
|
"total_return_pct": 52.39,
|
|
"cagr_pct": 78.63,
|
|
"mdd_pct": 12.61,
|
|
"trades": 48,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 4.74,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.72
|
|
}
|
|
},
|
|
"alpha_pct": -42.71
|
|
},
|
|
"test": {
|
|
"final_equity": 135187468,
|
|
"total_return_pct": 35.19,
|
|
"cagr_pct": 161.62,
|
|
"mdd_pct": 6.63,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.36
|
|
}
|
|
},
|
|
"alpha_pct": -17.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.51,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.97,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.41,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 10.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 158041006,
|
|
"total_return_pct": 58.04,
|
|
"cagr_pct": 87.81,
|
|
"mdd_pct": 11.58,
|
|
"trades": 46,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 5.63,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -37.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 10.37
|
|
}
|
|
},
|
|
"alpha_pct": -37.06
|
|
},
|
|
"test": {
|
|
"final_equity": 131912031,
|
|
"total_return_pct": 31.91,
|
|
"cagr_pct": 141.93,
|
|
"mdd_pct": 5.58,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.08
|
|
}
|
|
},
|
|
"alpha_pct": -20.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.51,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.74,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.82,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 10.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 158041006,
|
|
"total_return_pct": 58.04,
|
|
"cagr_pct": 87.81,
|
|
"mdd_pct": 11.58,
|
|
"trades": 46,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 5.63,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -37.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 10.37
|
|
}
|
|
},
|
|
"alpha_pct": -37.06
|
|
},
|
|
"test": {
|
|
"final_equity": 131912031,
|
|
"total_return_pct": 31.91,
|
|
"cagr_pct": 141.93,
|
|
"mdd_pct": 5.58,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.08
|
|
}
|
|
},
|
|
"alpha_pct": -20.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.51,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.74,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.82,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 10.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 147542530,
|
|
"total_return_pct": 47.54,
|
|
"cagr_pct": 70.85,
|
|
"mdd_pct": 9.21,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 4.66,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.56
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.13
|
|
}
|
|
},
|
|
"alpha_pct": -47.56
|
|
},
|
|
"test": {
|
|
"final_equity": 131859256,
|
|
"total_return_pct": 31.86,
|
|
"cagr_pct": 141.62,
|
|
"mdd_pct": 5.58,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.03
|
|
}
|
|
},
|
|
"alpha_pct": -20.97
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.51,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.35,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.82,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 10.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 147542530,
|
|
"total_return_pct": 47.54,
|
|
"cagr_pct": 70.85,
|
|
"mdd_pct": 9.21,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 4.66,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.56
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.13
|
|
}
|
|
},
|
|
"alpha_pct": -47.56
|
|
},
|
|
"test": {
|
|
"final_equity": 131859256,
|
|
"total_return_pct": 31.86,
|
|
"cagr_pct": 141.62,
|
|
"mdd_pct": 5.58,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.03
|
|
}
|
|
},
|
|
"alpha_pct": -20.97
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.51,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.35,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.82,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 10.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 152557600,
|
|
"total_return_pct": 52.56,
|
|
"cagr_pct": 78.89,
|
|
"mdd_pct": 12.79,
|
|
"trades": 48,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 4.93,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.89
|
|
}
|
|
},
|
|
"alpha_pct": -42.54
|
|
},
|
|
"test": {
|
|
"final_equity": 131859256,
|
|
"total_return_pct": 31.86,
|
|
"cagr_pct": 141.62,
|
|
"mdd_pct": 5.58,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.03
|
|
}
|
|
},
|
|
"alpha_pct": -20.97
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.51,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.41,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.82,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 10.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 152557600,
|
|
"total_return_pct": 52.56,
|
|
"cagr_pct": 78.89,
|
|
"mdd_pct": 12.79,
|
|
"trades": 48,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 4.93,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.89
|
|
}
|
|
},
|
|
"alpha_pct": -42.54
|
|
},
|
|
"test": {
|
|
"final_equity": 131859256,
|
|
"total_return_pct": 31.86,
|
|
"cagr_pct": 141.62,
|
|
"mdd_pct": 5.58,
|
|
"trades": 16,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.03
|
|
}
|
|
},
|
|
"alpha_pct": -20.97
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.51,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.41,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.82,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 10.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 169245503,
|
|
"total_return_pct": 69.25,
|
|
"cagr_pct": 106.39,
|
|
"mdd_pct": 10.48,
|
|
"trades": 52,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 5.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -25.85
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 21.58
|
|
}
|
|
},
|
|
"alpha_pct": -25.85
|
|
},
|
|
"test": {
|
|
"final_equity": 118338930,
|
|
"total_return_pct": 18.34,
|
|
"cagr_pct": 71.11,
|
|
"mdd_pct": 7.45,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 3.83,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -34.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 32.51
|
|
}
|
|
},
|
|
"alpha_pct": -34.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.5,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.23,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.87,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 10.5
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 169245503,
|
|
"total_return_pct": 69.25,
|
|
"cagr_pct": 106.39,
|
|
"mdd_pct": 10.48,
|
|
"trades": 52,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 5.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -25.85
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 21.58
|
|
}
|
|
},
|
|
"alpha_pct": -25.85
|
|
},
|
|
"test": {
|
|
"final_equity": 118338930,
|
|
"total_return_pct": 18.34,
|
|
"cagr_pct": 71.11,
|
|
"mdd_pct": 7.45,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 3.83,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -34.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 32.51
|
|
}
|
|
},
|
|
"alpha_pct": -34.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.5,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.23,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.87,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 10.5
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 163889205,
|
|
"total_return_pct": 63.89,
|
|
"cagr_pct": 97.45,
|
|
"mdd_pct": 11.51,
|
|
"trades": 55,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.9,
|
|
"profit_factor": 4.84,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -31.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 16.22
|
|
}
|
|
},
|
|
"alpha_pct": -31.21
|
|
},
|
|
"test": {
|
|
"final_equity": 116512076,
|
|
"total_return_pct": 16.51,
|
|
"cagr_pct": 62.82,
|
|
"mdd_pct": 6.2,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 3.08,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -36.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 30.68
|
|
}
|
|
},
|
|
"alpha_pct": -36.32
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.5,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.16,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.02,
|
|
"trades": 33
|
|
}
|
|
],
|
|
"worst_ret": 10.5
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 163889205,
|
|
"total_return_pct": 63.89,
|
|
"cagr_pct": 97.45,
|
|
"mdd_pct": 11.51,
|
|
"trades": 55,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 50.9,
|
|
"profit_factor": 4.84,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -31.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 16.22
|
|
}
|
|
},
|
|
"alpha_pct": -31.21
|
|
},
|
|
"test": {
|
|
"final_equity": 116512076,
|
|
"total_return_pct": 16.51,
|
|
"cagr_pct": 62.82,
|
|
"mdd_pct": 6.2,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 3.08,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -36.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 30.68
|
|
}
|
|
},
|
|
"alpha_pct": -36.32
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.5,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.16,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.02,
|
|
"trades": 33
|
|
}
|
|
],
|
|
"worst_ret": 10.5
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146768963,
|
|
"total_return_pct": 46.77,
|
|
"cagr_pct": 69.61,
|
|
"mdd_pct": 10.01,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 3.15,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.9
|
|
}
|
|
},
|
|
"alpha_pct": -48.33
|
|
},
|
|
"test": {
|
|
"final_equity": 139761814,
|
|
"total_return_pct": 39.76,
|
|
"cagr_pct": 190.92,
|
|
"mdd_pct": 8.86,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.93
|
|
}
|
|
},
|
|
"alpha_pct": -13.07
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.83,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.48,
|
|
"trades": 32
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.0,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 10.48
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146768963,
|
|
"total_return_pct": 46.77,
|
|
"cagr_pct": 69.61,
|
|
"mdd_pct": 10.01,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 3.15,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.9
|
|
}
|
|
},
|
|
"alpha_pct": -48.33
|
|
},
|
|
"test": {
|
|
"final_equity": 139761814,
|
|
"total_return_pct": 39.76,
|
|
"cagr_pct": 190.92,
|
|
"mdd_pct": 8.86,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.93
|
|
}
|
|
},
|
|
"alpha_pct": -13.07
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.83,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.48,
|
|
"trades": 32
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.0,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 10.48
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 131033477,
|
|
"total_return_pct": 31.03,
|
|
"cagr_pct": 45.09,
|
|
"mdd_pct": 14.79,
|
|
"trades": 44,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 34.1,
|
|
"profit_factor": 2.91,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.64
|
|
}
|
|
},
|
|
"alpha_pct": -64.07
|
|
},
|
|
"test": {
|
|
"final_equity": 108006412,
|
|
"total_return_pct": 8.01,
|
|
"cagr_pct": 27.85,
|
|
"mdd_pct": 5.31,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.18
|
|
}
|
|
},
|
|
"alpha_pct": -44.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.9,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.45,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 10.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 131033477,
|
|
"total_return_pct": 31.03,
|
|
"cagr_pct": 45.09,
|
|
"mdd_pct": 14.79,
|
|
"trades": 44,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 34.1,
|
|
"profit_factor": 2.91,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.64
|
|
}
|
|
},
|
|
"alpha_pct": -64.07
|
|
},
|
|
"test": {
|
|
"final_equity": 108006412,
|
|
"total_return_pct": 8.01,
|
|
"cagr_pct": 27.85,
|
|
"mdd_pct": 5.31,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.18
|
|
}
|
|
},
|
|
"alpha_pct": -44.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.9,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.45,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 10.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 130335989,
|
|
"total_return_pct": 30.34,
|
|
"cagr_pct": 44.03,
|
|
"mdd_pct": 11.44,
|
|
"trades": 63,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.1,
|
|
"profit_factor": 2.29,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.33
|
|
}
|
|
},
|
|
"alpha_pct": -64.76
|
|
},
|
|
"test": {
|
|
"final_equity": 97825030,
|
|
"total_return_pct": -2.17,
|
|
"cagr_pct": -6.77,
|
|
"mdd_pct": 10.74,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 22.2,
|
|
"profit_factor": 0.72,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.0
|
|
}
|
|
},
|
|
"alpha_pct": -55.0
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.42,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.74,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.47,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 10.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 130335989,
|
|
"total_return_pct": 30.34,
|
|
"cagr_pct": 44.03,
|
|
"mdd_pct": 11.44,
|
|
"trades": 63,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.1,
|
|
"profit_factor": 2.29,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.33
|
|
}
|
|
},
|
|
"alpha_pct": -64.76
|
|
},
|
|
"test": {
|
|
"final_equity": 97825030,
|
|
"total_return_pct": -2.17,
|
|
"cagr_pct": -6.77,
|
|
"mdd_pct": 10.74,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 22.2,
|
|
"profit_factor": 0.72,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.0
|
|
}
|
|
},
|
|
"alpha_pct": -55.0
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.42,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.74,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.47,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 10.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 156749855,
|
|
"total_return_pct": 56.75,
|
|
"cagr_pct": 85.7,
|
|
"mdd_pct": 11.19,
|
|
"trades": 54,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.7,
|
|
"profit_factor": 4.25,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.08
|
|
}
|
|
},
|
|
"alpha_pct": -38.35
|
|
},
|
|
"test": {
|
|
"final_equity": 134232373,
|
|
"total_return_pct": 34.23,
|
|
"cagr_pct": 155.77,
|
|
"mdd_pct": 6.86,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 5.25,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.4
|
|
}
|
|
},
|
|
"alpha_pct": -18.6
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.32,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.5,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.8,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 10.32
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 156749855,
|
|
"total_return_pct": 56.75,
|
|
"cagr_pct": 85.7,
|
|
"mdd_pct": 11.19,
|
|
"trades": 54,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.7,
|
|
"profit_factor": 4.25,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.08
|
|
}
|
|
},
|
|
"alpha_pct": -38.35
|
|
},
|
|
"test": {
|
|
"final_equity": 134232373,
|
|
"total_return_pct": 34.23,
|
|
"cagr_pct": 155.77,
|
|
"mdd_pct": 6.86,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 5.25,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.4
|
|
}
|
|
},
|
|
"alpha_pct": -18.6
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.32,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.5,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.8,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 10.32
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 161588275,
|
|
"total_return_pct": 61.59,
|
|
"cagr_pct": 93.64,
|
|
"mdd_pct": 10.62,
|
|
"trades": 50,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.0,
|
|
"profit_factor": 4.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -33.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.92
|
|
}
|
|
},
|
|
"alpha_pct": -33.51
|
|
},
|
|
"test": {
|
|
"final_equity": 133484927,
|
|
"total_return_pct": 33.48,
|
|
"cagr_pct": 151.25,
|
|
"mdd_pct": 6.89,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 5.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.65
|
|
}
|
|
},
|
|
"alpha_pct": -19.35
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.32,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.78,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 36.69,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 10.32
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 161588275,
|
|
"total_return_pct": 61.59,
|
|
"cagr_pct": 93.64,
|
|
"mdd_pct": 10.62,
|
|
"trades": 50,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.0,
|
|
"profit_factor": 4.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -33.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 13.92
|
|
}
|
|
},
|
|
"alpha_pct": -33.51
|
|
},
|
|
"test": {
|
|
"final_equity": 133484927,
|
|
"total_return_pct": 33.48,
|
|
"cagr_pct": 151.25,
|
|
"mdd_pct": 6.89,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 5.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.65
|
|
}
|
|
},
|
|
"alpha_pct": -19.35
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.32,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.78,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 36.69,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 10.32
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149703350,
|
|
"total_return_pct": 49.7,
|
|
"cagr_pct": 74.3,
|
|
"mdd_pct": 12.99,
|
|
"trades": 73,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.6,
|
|
"profit_factor": 2.72,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.03
|
|
}
|
|
},
|
|
"alpha_pct": -45.4
|
|
},
|
|
"test": {
|
|
"final_equity": 136190820,
|
|
"total_return_pct": 36.19,
|
|
"cagr_pct": 167.86,
|
|
"mdd_pct": 7.42,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 3.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -16.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 50.36
|
|
}
|
|
},
|
|
"alpha_pct": -16.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.29,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.04,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.89,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 10.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149703350,
|
|
"total_return_pct": 49.7,
|
|
"cagr_pct": 74.3,
|
|
"mdd_pct": 12.99,
|
|
"trades": 73,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.6,
|
|
"profit_factor": 2.72,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.03
|
|
}
|
|
},
|
|
"alpha_pct": -45.4
|
|
},
|
|
"test": {
|
|
"final_equity": 136190820,
|
|
"total_return_pct": 36.19,
|
|
"cagr_pct": 167.86,
|
|
"mdd_pct": 7.42,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 3.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -16.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 50.36
|
|
}
|
|
},
|
|
"alpha_pct": -16.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.29,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.04,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 34.89,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 10.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146849981,
|
|
"total_return_pct": 46.85,
|
|
"cagr_pct": 69.74,
|
|
"mdd_pct": 12.44,
|
|
"trades": 68,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.8,
|
|
"profit_factor": 2.66,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.82
|
|
}
|
|
},
|
|
"alpha_pct": -48.25
|
|
},
|
|
"test": {
|
|
"final_equity": 134945766,
|
|
"total_return_pct": 34.95,
|
|
"cagr_pct": 160.13,
|
|
"mdd_pct": 9.54,
|
|
"trades": 16,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 3.96,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.12
|
|
}
|
|
},
|
|
"alpha_pct": -17.88
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.29,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 28.32,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.89,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 10.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146849981,
|
|
"total_return_pct": 46.85,
|
|
"cagr_pct": 69.74,
|
|
"mdd_pct": 12.44,
|
|
"trades": 68,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.8,
|
|
"profit_factor": 2.66,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.82
|
|
}
|
|
},
|
|
"alpha_pct": -48.25
|
|
},
|
|
"test": {
|
|
"final_equity": 134945766,
|
|
"total_return_pct": 34.95,
|
|
"cagr_pct": 160.13,
|
|
"mdd_pct": 9.54,
|
|
"trades": 16,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 3.96,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.12
|
|
}
|
|
},
|
|
"alpha_pct": -17.88
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.29,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 28.32,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.89,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 10.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 151458394,
|
|
"total_return_pct": 51.46,
|
|
"cagr_pct": 77.12,
|
|
"mdd_pct": 13.68,
|
|
"trades": 73,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.7,
|
|
"profit_factor": 2.92,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -43.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.79
|
|
}
|
|
},
|
|
"alpha_pct": -43.64
|
|
},
|
|
"test": {
|
|
"final_equity": 133782898,
|
|
"total_return_pct": 33.78,
|
|
"cagr_pct": 153.05,
|
|
"mdd_pct": 7.56,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.21,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.05
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.95
|
|
}
|
|
},
|
|
"alpha_pct": -19.05
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.29,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 32.17,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.84,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 10.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 151458394,
|
|
"total_return_pct": 51.46,
|
|
"cagr_pct": 77.12,
|
|
"mdd_pct": 13.68,
|
|
"trades": 73,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.7,
|
|
"profit_factor": 2.92,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -43.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.79
|
|
}
|
|
},
|
|
"alpha_pct": -43.64
|
|
},
|
|
"test": {
|
|
"final_equity": 133782898,
|
|
"total_return_pct": 33.78,
|
|
"cagr_pct": 153.05,
|
|
"mdd_pct": 7.56,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.21,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.05
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.95
|
|
}
|
|
},
|
|
"alpha_pct": -19.05
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.29,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 32.17,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.84,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 10.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 144331814,
|
|
"total_return_pct": 44.33,
|
|
"cagr_pct": 65.75,
|
|
"mdd_pct": 10.05,
|
|
"trades": 52,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 46.2,
|
|
"profit_factor": 4.27,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.34
|
|
}
|
|
},
|
|
"alpha_pct": -50.77
|
|
},
|
|
"test": {
|
|
"final_equity": 124191203,
|
|
"total_return_pct": 24.19,
|
|
"cagr_pct": 99.59,
|
|
"mdd_pct": 4.76,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 46.7,
|
|
"profit_factor": 6.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.36
|
|
}
|
|
},
|
|
"alpha_pct": -28.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.29,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.52,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.43,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 10.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 144331814,
|
|
"total_return_pct": 44.33,
|
|
"cagr_pct": 65.75,
|
|
"mdd_pct": 10.05,
|
|
"trades": 52,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 46.2,
|
|
"profit_factor": 4.27,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.34
|
|
}
|
|
},
|
|
"alpha_pct": -50.77
|
|
},
|
|
"test": {
|
|
"final_equity": 124191203,
|
|
"total_return_pct": 24.19,
|
|
"cagr_pct": 99.59,
|
|
"mdd_pct": 4.76,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 46.7,
|
|
"profit_factor": 6.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.36
|
|
}
|
|
},
|
|
"alpha_pct": -28.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.29,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.52,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.43,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 10.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 164817494,
|
|
"total_return_pct": 64.82,
|
|
"cagr_pct": 98.99,
|
|
"mdd_pct": 11.53,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 48.9,
|
|
"profit_factor": 5.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.28
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 17.15
|
|
}
|
|
},
|
|
"alpha_pct": -30.28
|
|
},
|
|
"test": {
|
|
"final_equity": 122369721,
|
|
"total_return_pct": 22.37,
|
|
"cagr_pct": 90.4,
|
|
"mdd_pct": 8.43,
|
|
"trades": 16,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 3.2,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.54
|
|
}
|
|
},
|
|
"alpha_pct": -30.46
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.17,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.74,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.99,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 10.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 164817494,
|
|
"total_return_pct": 64.82,
|
|
"cagr_pct": 98.99,
|
|
"mdd_pct": 11.53,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 48.9,
|
|
"profit_factor": 5.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -30.28
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 17.15
|
|
}
|
|
},
|
|
"alpha_pct": -30.28
|
|
},
|
|
"test": {
|
|
"final_equity": 122369721,
|
|
"total_return_pct": 22.37,
|
|
"cagr_pct": 90.4,
|
|
"mdd_pct": 8.43,
|
|
"trades": 16,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 3.2,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.54
|
|
}
|
|
},
|
|
"alpha_pct": -30.46
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.17,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.74,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.99,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 10.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 163500067,
|
|
"total_return_pct": 63.5,
|
|
"cagr_pct": 96.8,
|
|
"mdd_pct": 11.68,
|
|
"trades": 51,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 51.0,
|
|
"profit_factor": 6.01,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -31.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 15.83
|
|
}
|
|
},
|
|
"alpha_pct": -31.6
|
|
},
|
|
"test": {
|
|
"final_equity": 121610801,
|
|
"total_return_pct": 21.61,
|
|
"cagr_pct": 86.66,
|
|
"mdd_pct": 6.08,
|
|
"trades": 19,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 3.27,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -31.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 35.78
|
|
}
|
|
},
|
|
"alpha_pct": -31.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.17,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.83,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 19.45,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 10.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 163500067,
|
|
"total_return_pct": 63.5,
|
|
"cagr_pct": 96.8,
|
|
"mdd_pct": 11.68,
|
|
"trades": 51,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 51.0,
|
|
"profit_factor": 6.01,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -31.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 15.83
|
|
}
|
|
},
|
|
"alpha_pct": -31.6
|
|
},
|
|
"test": {
|
|
"final_equity": 121610801,
|
|
"total_return_pct": 21.61,
|
|
"cagr_pct": 86.66,
|
|
"mdd_pct": 6.08,
|
|
"trades": 19,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 3.27,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -31.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 35.78
|
|
}
|
|
},
|
|
"alpha_pct": -31.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.17,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.83,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 19.45,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 10.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 165774463,
|
|
"total_return_pct": 65.77,
|
|
"cagr_pct": 100.58,
|
|
"mdd_pct": 11.65,
|
|
"trades": 50,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 52.0,
|
|
"profit_factor": 6.22,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -29.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 18.1
|
|
}
|
|
},
|
|
"alpha_pct": -29.33
|
|
},
|
|
"test": {
|
|
"final_equity": 120829211,
|
|
"total_return_pct": 20.83,
|
|
"cagr_pct": 82.86,
|
|
"mdd_pct": 6.94,
|
|
"trades": 19,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 3.22,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -32.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 35.0
|
|
}
|
|
},
|
|
"alpha_pct": -32.0
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.17,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.83,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 19.45,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 10.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 165774463,
|
|
"total_return_pct": 65.77,
|
|
"cagr_pct": 100.58,
|
|
"mdd_pct": 11.65,
|
|
"trades": 50,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 52.0,
|
|
"profit_factor": 6.22,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -29.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 18.1
|
|
}
|
|
},
|
|
"alpha_pct": -29.33
|
|
},
|
|
"test": {
|
|
"final_equity": 120829211,
|
|
"total_return_pct": 20.83,
|
|
"cagr_pct": 82.86,
|
|
"mdd_pct": 6.94,
|
|
"trades": 19,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 3.22,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -32.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 35.0
|
|
}
|
|
},
|
|
"alpha_pct": -32.0
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.17,
|
|
"trades": 12
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.83,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 19.45,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 10.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 156791466,
|
|
"total_return_pct": 56.79,
|
|
"cagr_pct": 85.77,
|
|
"mdd_pct": 11.15,
|
|
"trades": 44,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.6,
|
|
"profit_factor": 5.1,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.12
|
|
}
|
|
},
|
|
"alpha_pct": -38.31
|
|
},
|
|
"test": {
|
|
"final_equity": 145287731,
|
|
"total_return_pct": 45.29,
|
|
"cagr_pct": 229.22,
|
|
"mdd_pct": 10.44,
|
|
"trades": 12,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 41.7,
|
|
"profit_factor": 7.39,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -7.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 59.46
|
|
}
|
|
},
|
|
"alpha_pct": -7.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.12,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.15,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.72,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 10.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 156791466,
|
|
"total_return_pct": 56.79,
|
|
"cagr_pct": 85.77,
|
|
"mdd_pct": 11.15,
|
|
"trades": 44,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.6,
|
|
"profit_factor": 5.1,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.12
|
|
}
|
|
},
|
|
"alpha_pct": -38.31
|
|
},
|
|
"test": {
|
|
"final_equity": 145287731,
|
|
"total_return_pct": 45.29,
|
|
"cagr_pct": 229.22,
|
|
"mdd_pct": 10.44,
|
|
"trades": 12,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 41.7,
|
|
"profit_factor": 7.39,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -7.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 59.46
|
|
}
|
|
},
|
|
"alpha_pct": -7.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.12,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.15,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.72,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 10.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149911485,
|
|
"total_return_pct": 49.91,
|
|
"cagr_pct": 74.64,
|
|
"mdd_pct": 12.4,
|
|
"trades": 46,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 4.82,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.24
|
|
}
|
|
},
|
|
"alpha_pct": -45.19
|
|
},
|
|
"test": {
|
|
"final_equity": 136167795,
|
|
"total_return_pct": 36.17,
|
|
"cagr_pct": 167.72,
|
|
"mdd_pct": 6.96,
|
|
"trades": 15,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.51,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -16.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 50.34
|
|
}
|
|
},
|
|
"alpha_pct": -16.66
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.12,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.96,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.5,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 10.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149911485,
|
|
"total_return_pct": 49.91,
|
|
"cagr_pct": 74.64,
|
|
"mdd_pct": 12.4,
|
|
"trades": 46,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 4.82,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.24
|
|
}
|
|
},
|
|
"alpha_pct": -45.19
|
|
},
|
|
"test": {
|
|
"final_equity": 136167795,
|
|
"total_return_pct": 36.17,
|
|
"cagr_pct": 167.72,
|
|
"mdd_pct": 6.96,
|
|
"trades": 15,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.51,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -16.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 50.34
|
|
}
|
|
},
|
|
"alpha_pct": -16.66
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.12,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.96,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.5,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 10.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152295778,
|
|
"total_return_pct": 52.3,
|
|
"cagr_pct": 78.47,
|
|
"mdd_pct": 12.58,
|
|
"trades": 45,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 4.91,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.63
|
|
}
|
|
},
|
|
"alpha_pct": -42.8
|
|
},
|
|
"test": {
|
|
"final_equity": 136167795,
|
|
"total_return_pct": 36.17,
|
|
"cagr_pct": 167.72,
|
|
"mdd_pct": 6.96,
|
|
"trades": 15,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.51,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -16.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 50.34
|
|
}
|
|
},
|
|
"alpha_pct": -16.66
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.12,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.8,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.5,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 10.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152295778,
|
|
"total_return_pct": 52.3,
|
|
"cagr_pct": 78.47,
|
|
"mdd_pct": 12.58,
|
|
"trades": 45,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 4.91,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.63
|
|
}
|
|
},
|
|
"alpha_pct": -42.8
|
|
},
|
|
"test": {
|
|
"final_equity": 136167795,
|
|
"total_return_pct": 36.17,
|
|
"cagr_pct": 167.72,
|
|
"mdd_pct": 6.96,
|
|
"trades": 15,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.51,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -16.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 50.34
|
|
}
|
|
},
|
|
"alpha_pct": -16.66
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.12,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.8,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.5,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 10.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 150988119,
|
|
"total_return_pct": 50.99,
|
|
"cagr_pct": 76.37,
|
|
"mdd_pct": 11.05,
|
|
"trades": 51,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.1,
|
|
"profit_factor": 4.25,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.32
|
|
}
|
|
},
|
|
"alpha_pct": -44.11
|
|
},
|
|
"test": {
|
|
"final_equity": 120753118,
|
|
"total_return_pct": 20.75,
|
|
"cagr_pct": 82.49,
|
|
"mdd_pct": 4.78,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 4.37,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -32.08
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 34.92
|
|
}
|
|
},
|
|
"alpha_pct": -32.08
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.11,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.63,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.39,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 10.11
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 150988119,
|
|
"total_return_pct": 50.99,
|
|
"cagr_pct": 76.37,
|
|
"mdd_pct": 11.05,
|
|
"trades": 51,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.1,
|
|
"profit_factor": 4.25,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 3.32
|
|
}
|
|
},
|
|
"alpha_pct": -44.11
|
|
},
|
|
"test": {
|
|
"final_equity": 120753118,
|
|
"total_return_pct": 20.75,
|
|
"cagr_pct": 82.49,
|
|
"mdd_pct": 4.78,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 4.37,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -32.08
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 34.92
|
|
}
|
|
},
|
|
"alpha_pct": -32.08
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.11,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.63,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.39,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 10.11
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 155626879,
|
|
"total_return_pct": 55.63,
|
|
"cagr_pct": 83.87,
|
|
"mdd_pct": 10.26,
|
|
"trades": 47,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 48.9,
|
|
"profit_factor": 4.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.96
|
|
}
|
|
},
|
|
"alpha_pct": -39.47
|
|
},
|
|
"test": {
|
|
"final_equity": 119771960,
|
|
"total_return_pct": 19.77,
|
|
"cagr_pct": 77.8,
|
|
"mdd_pct": 4.76,
|
|
"trades": 17,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 3.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -33.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 33.94
|
|
}
|
|
},
|
|
"alpha_pct": -33.06
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.11,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.29,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.02,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 10.11
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 155626879,
|
|
"total_return_pct": 55.63,
|
|
"cagr_pct": 83.87,
|
|
"mdd_pct": 10.26,
|
|
"trades": 47,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 48.9,
|
|
"profit_factor": 4.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.96
|
|
}
|
|
},
|
|
"alpha_pct": -39.47
|
|
},
|
|
"test": {
|
|
"final_equity": 119771960,
|
|
"total_return_pct": 19.77,
|
|
"cagr_pct": 77.8,
|
|
"mdd_pct": 4.76,
|
|
"trades": 17,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 3.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -33.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 33.94
|
|
}
|
|
},
|
|
"alpha_pct": -33.06
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.11,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.29,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.02,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 10.11
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 148746617,
|
|
"total_return_pct": 48.75,
|
|
"cagr_pct": 72.77,
|
|
"mdd_pct": 9.96,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 3.52,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.08
|
|
}
|
|
},
|
|
"alpha_pct": -46.35
|
|
},
|
|
"test": {
|
|
"final_equity": 129560997,
|
|
"total_return_pct": 29.56,
|
|
"cagr_pct": 128.44,
|
|
"mdd_pct": 6.11,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.73
|
|
}
|
|
},
|
|
"alpha_pct": -23.27
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.86,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.9,
|
|
"trades": 35
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.04,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 9.9
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 148746617,
|
|
"total_return_pct": 48.75,
|
|
"cagr_pct": 72.77,
|
|
"mdd_pct": 9.96,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 3.52,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.08
|
|
}
|
|
},
|
|
"alpha_pct": -46.35
|
|
},
|
|
"test": {
|
|
"final_equity": 129560997,
|
|
"total_return_pct": 29.56,
|
|
"cagr_pct": 128.44,
|
|
"mdd_pct": 6.11,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.73
|
|
}
|
|
},
|
|
"alpha_pct": -23.27
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.86,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.9,
|
|
"trades": 35
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.04,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 9.9
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 155324420,
|
|
"total_return_pct": 55.32,
|
|
"cagr_pct": 83.38,
|
|
"mdd_pct": 10.0,
|
|
"trades": 56,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 3.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.65
|
|
}
|
|
},
|
|
"alpha_pct": -39.78
|
|
},
|
|
"test": {
|
|
"final_equity": 115917051,
|
|
"total_return_pct": 15.92,
|
|
"cagr_pct": 60.18,
|
|
"mdd_pct": 10.63,
|
|
"trades": 23,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.4,
|
|
"profit_factor": 2.3,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -36.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 30.09
|
|
}
|
|
},
|
|
"alpha_pct": -36.91
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.2,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.9,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 15.22,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 9.9
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 155324420,
|
|
"total_return_pct": 55.32,
|
|
"cagr_pct": 83.38,
|
|
"mdd_pct": 10.0,
|
|
"trades": 56,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 3.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -39.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 7.65
|
|
}
|
|
},
|
|
"alpha_pct": -39.78
|
|
},
|
|
"test": {
|
|
"final_equity": 115917051,
|
|
"total_return_pct": 15.92,
|
|
"cagr_pct": 60.18,
|
|
"mdd_pct": 10.63,
|
|
"trades": 23,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.4,
|
|
"profit_factor": 2.3,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -36.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 30.09
|
|
}
|
|
},
|
|
"alpha_pct": -36.91
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 18.2,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.9,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 15.22,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 9.9
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 144105426,
|
|
"total_return_pct": 44.11,
|
|
"cagr_pct": 65.39,
|
|
"mdd_pct": 10.4,
|
|
"trades": 50,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 2.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.56
|
|
}
|
|
},
|
|
"alpha_pct": -50.99
|
|
},
|
|
"test": {
|
|
"final_equity": 128512118,
|
|
"total_return_pct": 28.51,
|
|
"cagr_pct": 122.6,
|
|
"mdd_pct": 6.23,
|
|
"trades": 11,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.5,
|
|
"profit_factor": 5.95,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.68
|
|
}
|
|
},
|
|
"alpha_pct": -24.32
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.79,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.48,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.91,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 9.79
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 144105426,
|
|
"total_return_pct": 44.11,
|
|
"cagr_pct": 65.39,
|
|
"mdd_pct": 10.4,
|
|
"trades": 50,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 2.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.56
|
|
}
|
|
},
|
|
"alpha_pct": -50.99
|
|
},
|
|
"test": {
|
|
"final_equity": 128512118,
|
|
"total_return_pct": 28.51,
|
|
"cagr_pct": 122.6,
|
|
"mdd_pct": 6.23,
|
|
"trades": 11,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.5,
|
|
"profit_factor": 5.95,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.68
|
|
}
|
|
},
|
|
"alpha_pct": -24.32
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.79,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.48,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.91,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 9.79
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 152482397,
|
|
"total_return_pct": 52.48,
|
|
"cagr_pct": 78.77,
|
|
"mdd_pct": 10.0,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.0,
|
|
"profit_factor": 3.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.81
|
|
}
|
|
},
|
|
"alpha_pct": -42.62
|
|
},
|
|
"test": {
|
|
"final_equity": 121914168,
|
|
"total_return_pct": 21.91,
|
|
"cagr_pct": 88.15,
|
|
"mdd_pct": 4.76,
|
|
"trades": 18,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 3.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.08
|
|
}
|
|
},
|
|
"alpha_pct": -30.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.79,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.0,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.24,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 9.79
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 152482397,
|
|
"total_return_pct": 52.48,
|
|
"cagr_pct": 78.77,
|
|
"mdd_pct": 10.0,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.0,
|
|
"profit_factor": 3.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.81
|
|
}
|
|
},
|
|
"alpha_pct": -42.62
|
|
},
|
|
"test": {
|
|
"final_equity": 121914168,
|
|
"total_return_pct": 21.91,
|
|
"cagr_pct": 88.15,
|
|
"mdd_pct": 4.76,
|
|
"trades": 18,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 3.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.08
|
|
}
|
|
},
|
|
"alpha_pct": -30.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.79,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.0,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.24,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 9.79
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 152036942,
|
|
"total_return_pct": 52.04,
|
|
"cagr_pct": 78.05,
|
|
"mdd_pct": 9.46,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 3.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -43.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.37
|
|
}
|
|
},
|
|
"alpha_pct": -43.06
|
|
},
|
|
"test": {
|
|
"final_equity": 121914168,
|
|
"total_return_pct": 21.91,
|
|
"cagr_pct": 88.15,
|
|
"mdd_pct": 4.76,
|
|
"trades": 18,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 3.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.08
|
|
}
|
|
},
|
|
"alpha_pct": -30.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.79,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.08,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.24,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 9.79
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 152036942,
|
|
"total_return_pct": 52.04,
|
|
"cagr_pct": 78.05,
|
|
"mdd_pct": 9.46,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 3.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -43.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.37
|
|
}
|
|
},
|
|
"alpha_pct": -43.06
|
|
},
|
|
"test": {
|
|
"final_equity": 121914168,
|
|
"total_return_pct": 21.91,
|
|
"cagr_pct": 88.15,
|
|
"mdd_pct": 4.76,
|
|
"trades": 18,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 3.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.08
|
|
}
|
|
},
|
|
"alpha_pct": -30.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.79,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.08,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.24,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 9.79
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 144298072,
|
|
"total_return_pct": 44.3,
|
|
"cagr_pct": 65.7,
|
|
"mdd_pct": 9.96,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.0,
|
|
"profit_factor": 3.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.37
|
|
}
|
|
},
|
|
"alpha_pct": -50.8
|
|
},
|
|
"test": {
|
|
"final_equity": 129560997,
|
|
"total_return_pct": 29.56,
|
|
"cagr_pct": 128.44,
|
|
"mdd_pct": 6.11,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.73
|
|
}
|
|
},
|
|
"alpha_pct": -23.27
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.43,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.73,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.04,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 9.73
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 144298072,
|
|
"total_return_pct": 44.3,
|
|
"cagr_pct": 65.7,
|
|
"mdd_pct": 9.96,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.0,
|
|
"profit_factor": 3.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.37
|
|
}
|
|
},
|
|
"alpha_pct": -50.8
|
|
},
|
|
"test": {
|
|
"final_equity": 129560997,
|
|
"total_return_pct": 29.56,
|
|
"cagr_pct": 128.44,
|
|
"mdd_pct": 6.11,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.73
|
|
}
|
|
},
|
|
"alpha_pct": -23.27
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.43,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.73,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.04,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 9.73
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141604016,
|
|
"total_return_pct": 41.6,
|
|
"cagr_pct": 61.45,
|
|
"mdd_pct": 12.52,
|
|
"trades": 43,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 34.9,
|
|
"profit_factor": 3.21,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.5
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.07
|
|
}
|
|
},
|
|
"alpha_pct": -53.5
|
|
},
|
|
"test": {
|
|
"final_equity": 105531025,
|
|
"total_return_pct": 5.53,
|
|
"cagr_pct": 18.74,
|
|
"mdd_pct": 7.18,
|
|
"trades": 14,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 1.22,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.3
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.7
|
|
}
|
|
},
|
|
"alpha_pct": -47.3
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.32,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.67,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.62,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 9.67
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141604016,
|
|
"total_return_pct": 41.6,
|
|
"cagr_pct": 61.45,
|
|
"mdd_pct": 12.52,
|
|
"trades": 43,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 34.9,
|
|
"profit_factor": 3.21,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.5
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.07
|
|
}
|
|
},
|
|
"alpha_pct": -53.5
|
|
},
|
|
"test": {
|
|
"final_equity": 105531025,
|
|
"total_return_pct": 5.53,
|
|
"cagr_pct": 18.74,
|
|
"mdd_pct": 7.18,
|
|
"trades": 14,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 1.22,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.3
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.7
|
|
}
|
|
},
|
|
"alpha_pct": -47.3
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.32,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.67,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.62,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 9.67
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145787735,
|
|
"total_return_pct": 45.79,
|
|
"cagr_pct": 68.06,
|
|
"mdd_pct": 11.66,
|
|
"trades": 43,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.2,
|
|
"profit_factor": 5.0,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.88
|
|
}
|
|
},
|
|
"alpha_pct": -49.31
|
|
},
|
|
"test": {
|
|
"final_equity": 125310996,
|
|
"total_return_pct": 25.31,
|
|
"cagr_pct": 105.39,
|
|
"mdd_pct": 4.58,
|
|
"trades": 13,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 6.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.48
|
|
}
|
|
},
|
|
"alpha_pct": -27.52
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.66,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.98,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.94,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 9.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145787735,
|
|
"total_return_pct": 45.79,
|
|
"cagr_pct": 68.06,
|
|
"mdd_pct": 11.66,
|
|
"trades": 43,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.2,
|
|
"profit_factor": 5.0,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.88
|
|
}
|
|
},
|
|
"alpha_pct": -49.31
|
|
},
|
|
"test": {
|
|
"final_equity": 125310996,
|
|
"total_return_pct": 25.31,
|
|
"cagr_pct": 105.39,
|
|
"mdd_pct": 4.58,
|
|
"trades": 13,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 6.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.48
|
|
}
|
|
},
|
|
"alpha_pct": -27.52
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.66,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.98,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.94,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 9.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 147624640,
|
|
"total_return_pct": 47.62,
|
|
"cagr_pct": 70.98,
|
|
"mdd_pct": 11.86,
|
|
"trades": 42,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.2,
|
|
"profit_factor": 5.03,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.05
|
|
}
|
|
},
|
|
"alpha_pct": -47.48
|
|
},
|
|
"test": {
|
|
"final_equity": 125310996,
|
|
"total_return_pct": 25.31,
|
|
"cagr_pct": 105.39,
|
|
"mdd_pct": 4.58,
|
|
"trades": 13,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 6.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.48
|
|
}
|
|
},
|
|
"alpha_pct": -27.52
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.66,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.82,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.94,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 9.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 147624640,
|
|
"total_return_pct": 47.62,
|
|
"cagr_pct": 70.98,
|
|
"mdd_pct": 11.86,
|
|
"trades": 42,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 45.2,
|
|
"profit_factor": 5.03,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.05
|
|
}
|
|
},
|
|
"alpha_pct": -47.48
|
|
},
|
|
"test": {
|
|
"final_equity": 125310996,
|
|
"total_return_pct": 25.31,
|
|
"cagr_pct": 105.39,
|
|
"mdd_pct": 4.58,
|
|
"trades": 13,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 53.8,
|
|
"profit_factor": 6.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.48
|
|
}
|
|
},
|
|
"alpha_pct": -27.52
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.66,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.82,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.94,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 9.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 135366693,
|
|
"total_return_pct": 35.37,
|
|
"cagr_pct": 51.74,
|
|
"mdd_pct": 15.52,
|
|
"trades": 58,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 27.6,
|
|
"profit_factor": 1.94,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -59.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.3
|
|
}
|
|
},
|
|
"alpha_pct": -59.73
|
|
},
|
|
"test": {
|
|
"final_equity": 105019783,
|
|
"total_return_pct": 5.02,
|
|
"cagr_pct": 16.91,
|
|
"mdd_pct": 9.91,
|
|
"trades": 17,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 1.65,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.19
|
|
}
|
|
},
|
|
"alpha_pct": -47.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.63,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.33,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.34,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 9.63
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 135366693,
|
|
"total_return_pct": 35.37,
|
|
"cagr_pct": 51.74,
|
|
"mdd_pct": 15.52,
|
|
"trades": 58,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 27.6,
|
|
"profit_factor": 1.94,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -59.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.3
|
|
}
|
|
},
|
|
"alpha_pct": -59.73
|
|
},
|
|
"test": {
|
|
"final_equity": 105019783,
|
|
"total_return_pct": 5.02,
|
|
"cagr_pct": 16.91,
|
|
"mdd_pct": 9.91,
|
|
"trades": 17,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 1.65,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.19
|
|
}
|
|
},
|
|
"alpha_pct": -47.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.63,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.33,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.34,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 9.63
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 139422221,
|
|
"total_return_pct": 39.42,
|
|
"cagr_pct": 58.03,
|
|
"mdd_pct": 11.17,
|
|
"trades": 68,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 44.1,
|
|
"profit_factor": 3.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -55.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.25
|
|
}
|
|
},
|
|
"alpha_pct": -55.68
|
|
},
|
|
"test": {
|
|
"final_equity": 133034784,
|
|
"total_return_pct": 33.03,
|
|
"cagr_pct": 148.56,
|
|
"mdd_pct": 6.52,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 5.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.2
|
|
}
|
|
},
|
|
"alpha_pct": -19.8
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.62,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.08,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.98,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 9.62
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 139422221,
|
|
"total_return_pct": 39.42,
|
|
"cagr_pct": 58.03,
|
|
"mdd_pct": 11.17,
|
|
"trades": 68,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 44.1,
|
|
"profit_factor": 3.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -55.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.25
|
|
}
|
|
},
|
|
"alpha_pct": -55.68
|
|
},
|
|
"test": {
|
|
"final_equity": 133034784,
|
|
"total_return_pct": 33.03,
|
|
"cagr_pct": 148.56,
|
|
"mdd_pct": 6.52,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 5.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.2
|
|
}
|
|
},
|
|
"alpha_pct": -19.8
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.62,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.08,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.98,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 9.62
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 144969166,
|
|
"total_return_pct": 44.97,
|
|
"cagr_pct": 66.76,
|
|
"mdd_pct": 9.31,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 43.1,
|
|
"profit_factor": 3.26,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.7
|
|
}
|
|
},
|
|
"alpha_pct": -50.13
|
|
},
|
|
"test": {
|
|
"final_equity": 127114971,
|
|
"total_return_pct": 27.11,
|
|
"cagr_pct": 114.97,
|
|
"mdd_pct": 6.16,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.37,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.28
|
|
}
|
|
},
|
|
"alpha_pct": -25.72
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.8,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.59,
|
|
"trades": 35
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 26.0,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 9.59
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 144969166,
|
|
"total_return_pct": 44.97,
|
|
"cagr_pct": 66.76,
|
|
"mdd_pct": 9.31,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 43.1,
|
|
"profit_factor": 3.26,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.7
|
|
}
|
|
},
|
|
"alpha_pct": -50.13
|
|
},
|
|
"test": {
|
|
"final_equity": 127114971,
|
|
"total_return_pct": 27.11,
|
|
"cagr_pct": 114.97,
|
|
"mdd_pct": 6.16,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.37,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.28
|
|
}
|
|
},
|
|
"alpha_pct": -25.72
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.8,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.59,
|
|
"trades": 35
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 26.0,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 9.59
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 127841603,
|
|
"total_return_pct": 27.84,
|
|
"cagr_pct": 40.25,
|
|
"mdd_pct": 10.99,
|
|
"trades": 44,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.6,
|
|
"profit_factor": 2.95,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.83
|
|
}
|
|
},
|
|
"alpha_pct": -67.26
|
|
},
|
|
"test": {
|
|
"final_equity": 108006412,
|
|
"total_return_pct": 8.01,
|
|
"cagr_pct": 27.85,
|
|
"mdd_pct": 5.31,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.18
|
|
}
|
|
},
|
|
"alpha_pct": -44.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.49,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.45,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 9.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 127841603,
|
|
"total_return_pct": 27.84,
|
|
"cagr_pct": 40.25,
|
|
"mdd_pct": 10.99,
|
|
"trades": 44,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.6,
|
|
"profit_factor": 2.95,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.83
|
|
}
|
|
},
|
|
"alpha_pct": -67.26
|
|
},
|
|
"test": {
|
|
"final_equity": 108006412,
|
|
"total_return_pct": 8.01,
|
|
"cagr_pct": 27.85,
|
|
"mdd_pct": 5.31,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.18
|
|
}
|
|
},
|
|
"alpha_pct": -44.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.49,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.45,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 9.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 133188694,
|
|
"total_return_pct": 33.19,
|
|
"cagr_pct": 48.39,
|
|
"mdd_pct": 15.02,
|
|
"trades": 42,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.1,
|
|
"profit_factor": 3.09,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.48
|
|
}
|
|
},
|
|
"alpha_pct": -61.91
|
|
},
|
|
"test": {
|
|
"final_equity": 106866323,
|
|
"total_return_pct": 6.87,
|
|
"cagr_pct": 23.59,
|
|
"mdd_pct": 10.02,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.96,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -45.96
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 21.04
|
|
}
|
|
},
|
|
"alpha_pct": -45.96
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.63,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.49,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 9.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 133188694,
|
|
"total_return_pct": 33.19,
|
|
"cagr_pct": 48.39,
|
|
"mdd_pct": 15.02,
|
|
"trades": 42,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.1,
|
|
"profit_factor": 3.09,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.48
|
|
}
|
|
},
|
|
"alpha_pct": -61.91
|
|
},
|
|
"test": {
|
|
"final_equity": 106866323,
|
|
"total_return_pct": 6.87,
|
|
"cagr_pct": 23.59,
|
|
"mdd_pct": 10.02,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.96,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -45.96
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 21.04
|
|
}
|
|
},
|
|
"alpha_pct": -45.96
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.63,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.49,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 9.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142828343,
|
|
"total_return_pct": 42.83,
|
|
"cagr_pct": 63.38,
|
|
"mdd_pct": 9.31,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.16,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.84
|
|
}
|
|
},
|
|
"alpha_pct": -52.27
|
|
},
|
|
"test": {
|
|
"final_equity": 127114971,
|
|
"total_return_pct": 27.11,
|
|
"cagr_pct": 114.97,
|
|
"mdd_pct": 6.16,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.37,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.28
|
|
}
|
|
},
|
|
"alpha_pct": -25.72
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.26,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.47,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 26.0,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 9.47
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142828343,
|
|
"total_return_pct": 42.83,
|
|
"cagr_pct": 63.38,
|
|
"mdd_pct": 9.31,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.16,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.84
|
|
}
|
|
},
|
|
"alpha_pct": -52.27
|
|
},
|
|
"test": {
|
|
"final_equity": 127114971,
|
|
"total_return_pct": 27.11,
|
|
"cagr_pct": 114.97,
|
|
"mdd_pct": 6.16,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.37,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.28
|
|
}
|
|
},
|
|
"alpha_pct": -25.72
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.26,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.47,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 26.0,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 9.47
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 138367522,
|
|
"total_return_pct": 38.37,
|
|
"cagr_pct": 56.39,
|
|
"mdd_pct": 11.48,
|
|
"trades": 68,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 44.1,
|
|
"profit_factor": 3.09,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.3
|
|
}
|
|
},
|
|
"alpha_pct": -56.73
|
|
},
|
|
"test": {
|
|
"final_equity": 138034337,
|
|
"total_return_pct": 38.03,
|
|
"cagr_pct": 179.6,
|
|
"mdd_pct": 7.47,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 5.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.2
|
|
}
|
|
},
|
|
"alpha_pct": -14.8
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.45,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.71,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 39.43,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 9.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 138367522,
|
|
"total_return_pct": 38.37,
|
|
"cagr_pct": 56.39,
|
|
"mdd_pct": 11.48,
|
|
"trades": 68,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 44.1,
|
|
"profit_factor": 3.09,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.3
|
|
}
|
|
},
|
|
"alpha_pct": -56.73
|
|
},
|
|
"test": {
|
|
"final_equity": 138034337,
|
|
"total_return_pct": 38.03,
|
|
"cagr_pct": 179.6,
|
|
"mdd_pct": 7.47,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 5.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.2
|
|
}
|
|
},
|
|
"alpha_pct": -14.8
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.45,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.71,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 39.43,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 9.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144955212,
|
|
"total_return_pct": 44.96,
|
|
"cagr_pct": 66.74,
|
|
"mdd_pct": 12.58,
|
|
"trades": 53,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.7,
|
|
"profit_factor": 3.11,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.14
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.71
|
|
}
|
|
},
|
|
"alpha_pct": -50.14
|
|
},
|
|
"test": {
|
|
"final_equity": 99353540,
|
|
"total_return_pct": -0.65,
|
|
"cagr_pct": -2.05,
|
|
"mdd_pct": 11.18,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 19.0,
|
|
"profit_factor": 0.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.52
|
|
}
|
|
},
|
|
"alpha_pct": -53.48
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.29,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.05,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.43,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 9.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144955212,
|
|
"total_return_pct": 44.96,
|
|
"cagr_pct": 66.74,
|
|
"mdd_pct": 12.58,
|
|
"trades": 53,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.7,
|
|
"profit_factor": 3.11,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.14
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.71
|
|
}
|
|
},
|
|
"alpha_pct": -50.14
|
|
},
|
|
"test": {
|
|
"final_equity": 99353540,
|
|
"total_return_pct": -0.65,
|
|
"cagr_pct": -2.05,
|
|
"mdd_pct": 11.18,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 19.0,
|
|
"profit_factor": 0.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.52
|
|
}
|
|
},
|
|
"alpha_pct": -53.48
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.29,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.05,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.43,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 9.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145836175,
|
|
"total_return_pct": 45.84,
|
|
"cagr_pct": 68.13,
|
|
"mdd_pct": 13.66,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.6,
|
|
"profit_factor": 2.6,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.83
|
|
}
|
|
},
|
|
"alpha_pct": -49.26
|
|
},
|
|
"test": {
|
|
"final_equity": 100974895,
|
|
"total_return_pct": 0.97,
|
|
"cagr_pct": 3.14,
|
|
"mdd_pct": 8.41,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.14
|
|
}
|
|
},
|
|
"alpha_pct": -51.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.42,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.79,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.41,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 9.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145836175,
|
|
"total_return_pct": 45.84,
|
|
"cagr_pct": 68.13,
|
|
"mdd_pct": 13.66,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.6,
|
|
"profit_factor": 2.6,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.83
|
|
}
|
|
},
|
|
"alpha_pct": -49.26
|
|
},
|
|
"test": {
|
|
"final_equity": 100974895,
|
|
"total_return_pct": 0.97,
|
|
"cagr_pct": 3.14,
|
|
"mdd_pct": 8.41,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.14
|
|
}
|
|
},
|
|
"alpha_pct": -51.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.42,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.79,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.41,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 9.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144485279,
|
|
"total_return_pct": 44.49,
|
|
"cagr_pct": 65.99,
|
|
"mdd_pct": 15.57,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.6,
|
|
"profit_factor": 2.33,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.61
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.18
|
|
}
|
|
},
|
|
"alpha_pct": -50.61
|
|
},
|
|
"test": {
|
|
"final_equity": 100090141,
|
|
"total_return_pct": 0.09,
|
|
"cagr_pct": 0.29,
|
|
"mdd_pct": 10.08,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.26
|
|
}
|
|
},
|
|
"alpha_pct": -52.74
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.42,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.46,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 16.0,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 9.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144485279,
|
|
"total_return_pct": 44.49,
|
|
"cagr_pct": 65.99,
|
|
"mdd_pct": 15.57,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.6,
|
|
"profit_factor": 2.33,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.61
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.18
|
|
}
|
|
},
|
|
"alpha_pct": -50.61
|
|
},
|
|
"test": {
|
|
"final_equity": 100090141,
|
|
"total_return_pct": 0.09,
|
|
"cagr_pct": 0.29,
|
|
"mdd_pct": 10.08,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.26
|
|
}
|
|
},
|
|
"alpha_pct": -52.74
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.42,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.46,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 16.0,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 9.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149384839,
|
|
"total_return_pct": 49.38,
|
|
"cagr_pct": 73.79,
|
|
"mdd_pct": 9.95,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 3.36,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.71
|
|
}
|
|
},
|
|
"alpha_pct": -45.72
|
|
},
|
|
"test": {
|
|
"final_equity": 131341902,
|
|
"total_return_pct": 31.34,
|
|
"cagr_pct": 138.61,
|
|
"mdd_pct": 7.9,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.51
|
|
}
|
|
},
|
|
"alpha_pct": -21.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.01,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.4,
|
|
"trades": 35
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 30.57,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 9.4
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149384839,
|
|
"total_return_pct": 49.38,
|
|
"cagr_pct": 73.79,
|
|
"mdd_pct": 9.95,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 3.36,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.71
|
|
}
|
|
},
|
|
"alpha_pct": -45.72
|
|
},
|
|
"test": {
|
|
"final_equity": 131341902,
|
|
"total_return_pct": 31.34,
|
|
"cagr_pct": 138.61,
|
|
"mdd_pct": 7.9,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.51
|
|
}
|
|
},
|
|
"alpha_pct": -21.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.01,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.4,
|
|
"trades": 35
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 30.57,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 9.4
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 140702378,
|
|
"total_return_pct": 40.7,
|
|
"cagr_pct": 60.04,
|
|
"mdd_pct": 14.34,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.9,
|
|
"profit_factor": 2.4,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.97
|
|
}
|
|
},
|
|
"alpha_pct": -54.4
|
|
},
|
|
"test": {
|
|
"final_equity": 105651544,
|
|
"total_return_pct": 5.65,
|
|
"cagr_pct": 19.17,
|
|
"mdd_pct": 8.28,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.18
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.82
|
|
}
|
|
},
|
|
"alpha_pct": -47.18
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.4,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.86,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.06,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 9.4
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 140702378,
|
|
"total_return_pct": 40.7,
|
|
"cagr_pct": 60.04,
|
|
"mdd_pct": 14.34,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.9,
|
|
"profit_factor": 2.4,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.97
|
|
}
|
|
},
|
|
"alpha_pct": -54.4
|
|
},
|
|
"test": {
|
|
"final_equity": 105651544,
|
|
"total_return_pct": 5.65,
|
|
"cagr_pct": 19.17,
|
|
"mdd_pct": 8.28,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.18
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.82
|
|
}
|
|
},
|
|
"alpha_pct": -47.18
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.4,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.86,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.06,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 9.4
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146645726,
|
|
"total_return_pct": 46.65,
|
|
"cagr_pct": 69.42,
|
|
"mdd_pct": 11.87,
|
|
"trades": 54,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 29.6,
|
|
"profit_factor": 2.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.02
|
|
}
|
|
},
|
|
"alpha_pct": -48.45
|
|
},
|
|
"test": {
|
|
"final_equity": 97831847,
|
|
"total_return_pct": -2.17,
|
|
"cagr_pct": -6.75,
|
|
"mdd_pct": 17.53,
|
|
"trades": 15,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 13.3,
|
|
"profit_factor": 0.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.0
|
|
}
|
|
},
|
|
"alpha_pct": -55.0
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.4,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.73,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.71,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 9.4
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146645726,
|
|
"total_return_pct": 46.65,
|
|
"cagr_pct": 69.42,
|
|
"mdd_pct": 11.87,
|
|
"trades": 54,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 29.6,
|
|
"profit_factor": 2.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.02
|
|
}
|
|
},
|
|
"alpha_pct": -48.45
|
|
},
|
|
"test": {
|
|
"final_equity": 97831847,
|
|
"total_return_pct": -2.17,
|
|
"cagr_pct": -6.75,
|
|
"mdd_pct": 17.53,
|
|
"trades": 15,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 13.3,
|
|
"profit_factor": 0.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.0
|
|
}
|
|
},
|
|
"alpha_pct": -55.0
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.4,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.73,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.71,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 9.4
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142176098,
|
|
"total_return_pct": 42.18,
|
|
"cagr_pct": 62.35,
|
|
"mdd_pct": 10.2,
|
|
"trades": 54,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 4.05,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.49
|
|
}
|
|
},
|
|
"alpha_pct": -52.92
|
|
},
|
|
"test": {
|
|
"final_equity": 124442048,
|
|
"total_return_pct": 24.44,
|
|
"cagr_pct": 100.88,
|
|
"mdd_pct": 4.77,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 53.3,
|
|
"profit_factor": 6.99,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.61
|
|
}
|
|
},
|
|
"alpha_pct": -28.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.29,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.36,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 25.95,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 9.36
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142176098,
|
|
"total_return_pct": 42.18,
|
|
"cagr_pct": 62.35,
|
|
"mdd_pct": 10.2,
|
|
"trades": 54,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 4.05,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.49
|
|
}
|
|
},
|
|
"alpha_pct": -52.92
|
|
},
|
|
"test": {
|
|
"final_equity": 124442048,
|
|
"total_return_pct": 24.44,
|
|
"cagr_pct": 100.88,
|
|
"mdd_pct": 4.77,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 53.3,
|
|
"profit_factor": 6.99,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.61
|
|
}
|
|
},
|
|
"alpha_pct": -28.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.29,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.36,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 25.95,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 9.36
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144536418,
|
|
"total_return_pct": 44.54,
|
|
"cagr_pct": 66.07,
|
|
"mdd_pct": 13.57,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 2.57,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.56
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.13
|
|
}
|
|
},
|
|
"alpha_pct": -50.56
|
|
},
|
|
"test": {
|
|
"final_equity": 133209542,
|
|
"total_return_pct": 33.21,
|
|
"cagr_pct": 149.6,
|
|
"mdd_pct": 7.71,
|
|
"trades": 15,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 4.78,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.38
|
|
}
|
|
},
|
|
"alpha_pct": -19.62
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.3,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.65,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.67,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 9.3
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144536418,
|
|
"total_return_pct": 44.54,
|
|
"cagr_pct": 66.07,
|
|
"mdd_pct": 13.57,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 2.57,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.56
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.13
|
|
}
|
|
},
|
|
"alpha_pct": -50.56
|
|
},
|
|
"test": {
|
|
"final_equity": 133209542,
|
|
"total_return_pct": 33.21,
|
|
"cagr_pct": 149.6,
|
|
"mdd_pct": 7.71,
|
|
"trades": 15,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 4.78,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.38
|
|
}
|
|
},
|
|
"alpha_pct": -19.62
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.3,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.65,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.67,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 9.3
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 150237886,
|
|
"total_return_pct": 50.24,
|
|
"cagr_pct": 75.16,
|
|
"mdd_pct": 12.78,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.3,
|
|
"profit_factor": 2.4,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.57
|
|
}
|
|
},
|
|
"alpha_pct": -44.86
|
|
},
|
|
"test": {
|
|
"final_equity": 129972448,
|
|
"total_return_pct": 29.97,
|
|
"cagr_pct": 130.77,
|
|
"mdd_pct": 7.65,
|
|
"trades": 14,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 4.38,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -22.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 44.14
|
|
}
|
|
},
|
|
"alpha_pct": -22.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.3,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.74,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 44.95,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": 9.3
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 150237886,
|
|
"total_return_pct": 50.24,
|
|
"cagr_pct": 75.16,
|
|
"mdd_pct": 12.78,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.3,
|
|
"profit_factor": 2.4,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.57
|
|
}
|
|
},
|
|
"alpha_pct": -44.86
|
|
},
|
|
"test": {
|
|
"final_equity": 129972448,
|
|
"total_return_pct": 29.97,
|
|
"cagr_pct": 130.77,
|
|
"mdd_pct": 7.65,
|
|
"trades": 14,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 4.38,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -22.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 44.14
|
|
}
|
|
},
|
|
"alpha_pct": -22.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.3,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.74,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 44.95,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": 9.3
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143975474,
|
|
"total_return_pct": 43.98,
|
|
"cagr_pct": 65.19,
|
|
"mdd_pct": 12.73,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.9,
|
|
"profit_factor": 2.73,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.69
|
|
}
|
|
},
|
|
"alpha_pct": -51.12
|
|
},
|
|
"test": {
|
|
"final_equity": 109096081,
|
|
"total_return_pct": 9.1,
|
|
"cagr_pct": 32.01,
|
|
"mdd_pct": 15.0,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.9,
|
|
"profit_factor": 1.45,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -43.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 23.27
|
|
}
|
|
},
|
|
"alpha_pct": -43.73
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.52,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.49,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.26,
|
|
"trades": 36
|
|
}
|
|
],
|
|
"worst_ret": 9.26
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143975474,
|
|
"total_return_pct": 43.98,
|
|
"cagr_pct": 65.19,
|
|
"mdd_pct": 12.73,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.9,
|
|
"profit_factor": 2.73,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.69
|
|
}
|
|
},
|
|
"alpha_pct": -51.12
|
|
},
|
|
"test": {
|
|
"final_equity": 109096081,
|
|
"total_return_pct": 9.1,
|
|
"cagr_pct": 32.01,
|
|
"mdd_pct": 15.0,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.9,
|
|
"profit_factor": 1.45,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -43.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 23.27
|
|
}
|
|
},
|
|
"alpha_pct": -43.73
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.52,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.49,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.26,
|
|
"trades": 36
|
|
}
|
|
],
|
|
"worst_ret": 9.26
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 127552522,
|
|
"total_return_pct": 27.55,
|
|
"cagr_pct": 39.81,
|
|
"mdd_pct": 11.25,
|
|
"trades": 44,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.6,
|
|
"profit_factor": 2.79,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -20.12
|
|
}
|
|
},
|
|
"alpha_pct": -67.55
|
|
},
|
|
"test": {
|
|
"final_equity": 109883197,
|
|
"total_return_pct": 9.88,
|
|
"cagr_pct": 35.07,
|
|
"mdd_pct": 7.57,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -42.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 24.05
|
|
}
|
|
},
|
|
"alpha_pct": -42.95
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.24,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.49,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 9.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 127552522,
|
|
"total_return_pct": 27.55,
|
|
"cagr_pct": 39.81,
|
|
"mdd_pct": 11.25,
|
|
"trades": 44,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.6,
|
|
"profit_factor": 2.79,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -20.12
|
|
}
|
|
},
|
|
"alpha_pct": -67.55
|
|
},
|
|
"test": {
|
|
"final_equity": 109883197,
|
|
"total_return_pct": 9.88,
|
|
"cagr_pct": 35.07,
|
|
"mdd_pct": 7.57,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -42.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 24.05
|
|
}
|
|
},
|
|
"alpha_pct": -42.95
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.24,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.49,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 9.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144849352,
|
|
"total_return_pct": 44.85,
|
|
"cagr_pct": 66.57,
|
|
"mdd_pct": 9.96,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.0,
|
|
"profit_factor": 3.15,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.82
|
|
}
|
|
},
|
|
"alpha_pct": -50.25
|
|
},
|
|
"test": {
|
|
"final_equity": 131341902,
|
|
"total_return_pct": 31.34,
|
|
"cagr_pct": 138.61,
|
|
"mdd_pct": 7.9,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.51
|
|
}
|
|
},
|
|
"alpha_pct": -21.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.58,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.21,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 30.57,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 9.21
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144849352,
|
|
"total_return_pct": 44.85,
|
|
"cagr_pct": 66.57,
|
|
"mdd_pct": 9.96,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.0,
|
|
"profit_factor": 3.15,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.82
|
|
}
|
|
},
|
|
"alpha_pct": -50.25
|
|
},
|
|
"test": {
|
|
"final_equity": 131341902,
|
|
"total_return_pct": 31.34,
|
|
"cagr_pct": 138.61,
|
|
"mdd_pct": 7.9,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.51
|
|
}
|
|
},
|
|
"alpha_pct": -21.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.58,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.21,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 30.57,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 9.21
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131727378,
|
|
"total_return_pct": 31.73,
|
|
"cagr_pct": 46.15,
|
|
"mdd_pct": 11.42,
|
|
"trades": 66,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.4,
|
|
"profit_factor": 2.33,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.94
|
|
}
|
|
},
|
|
"alpha_pct": -63.37
|
|
},
|
|
"test": {
|
|
"final_equity": 101361013,
|
|
"total_return_pct": 1.36,
|
|
"cagr_pct": 4.41,
|
|
"mdd_pct": 11.15,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.22,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.53
|
|
}
|
|
},
|
|
"alpha_pct": -51.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.18,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.22,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.21,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 9.21
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131727378,
|
|
"total_return_pct": 31.73,
|
|
"cagr_pct": 46.15,
|
|
"mdd_pct": 11.42,
|
|
"trades": 66,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.4,
|
|
"profit_factor": 2.33,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.94
|
|
}
|
|
},
|
|
"alpha_pct": -63.37
|
|
},
|
|
"test": {
|
|
"final_equity": 101361013,
|
|
"total_return_pct": 1.36,
|
|
"cagr_pct": 4.41,
|
|
"mdd_pct": 11.15,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.22,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.53
|
|
}
|
|
},
|
|
"alpha_pct": -51.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.18,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.22,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.21,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 9.21
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145964378,
|
|
"total_return_pct": 45.96,
|
|
"cagr_pct": 68.34,
|
|
"mdd_pct": 9.31,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 43.1,
|
|
"profit_factor": 3.14,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.14
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.71
|
|
}
|
|
},
|
|
"alpha_pct": -49.14
|
|
},
|
|
"test": {
|
|
"final_equity": 128449506,
|
|
"total_return_pct": 28.45,
|
|
"cagr_pct": 122.25,
|
|
"mdd_pct": 7.13,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.79,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.38
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.62
|
|
}
|
|
},
|
|
"alpha_pct": -24.38
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.95,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.2,
|
|
"trades": 35
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.21,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 9.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145964378,
|
|
"total_return_pct": 45.96,
|
|
"cagr_pct": 68.34,
|
|
"mdd_pct": 9.31,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 43.1,
|
|
"profit_factor": 3.14,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.14
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.71
|
|
}
|
|
},
|
|
"alpha_pct": -49.14
|
|
},
|
|
"test": {
|
|
"final_equity": 128449506,
|
|
"total_return_pct": 28.45,
|
|
"cagr_pct": 122.25,
|
|
"mdd_pct": 7.13,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.79,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.38
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.62
|
|
}
|
|
},
|
|
"alpha_pct": -24.38
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.95,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.2,
|
|
"trades": 35
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.21,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 9.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143228433,
|
|
"total_return_pct": 43.23,
|
|
"cagr_pct": 64.01,
|
|
"mdd_pct": 14.05,
|
|
"trades": 63,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.7,
|
|
"profit_factor": 2.29,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.44
|
|
}
|
|
},
|
|
"alpha_pct": -51.87
|
|
},
|
|
"test": {
|
|
"final_equity": 101819066,
|
|
"total_return_pct": 1.82,
|
|
"cagr_pct": 5.92,
|
|
"mdd_pct": 8.89,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 1.2,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.99
|
|
}
|
|
},
|
|
"alpha_pct": -51.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.4,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.15,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.14,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 9.14
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143228433,
|
|
"total_return_pct": 43.23,
|
|
"cagr_pct": 64.01,
|
|
"mdd_pct": 14.05,
|
|
"trades": 63,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.7,
|
|
"profit_factor": 2.29,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.44
|
|
}
|
|
},
|
|
"alpha_pct": -51.87
|
|
},
|
|
"test": {
|
|
"final_equity": 101819066,
|
|
"total_return_pct": 1.82,
|
|
"cagr_pct": 5.92,
|
|
"mdd_pct": 8.89,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 1.2,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.99
|
|
}
|
|
},
|
|
"alpha_pct": -51.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.4,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.15,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.14,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 9.14
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146950730,
|
|
"total_return_pct": 46.95,
|
|
"cagr_pct": 69.9,
|
|
"mdd_pct": 12.55,
|
|
"trades": 43,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 39.5,
|
|
"profit_factor": 4.07,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.15
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.72
|
|
}
|
|
},
|
|
"alpha_pct": -48.15
|
|
},
|
|
"test": {
|
|
"final_equity": 104820828,
|
|
"total_return_pct": 4.82,
|
|
"cagr_pct": 16.21,
|
|
"mdd_pct": 5.26,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 26.7,
|
|
"profit_factor": 1.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.99
|
|
}
|
|
},
|
|
"alpha_pct": -48.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.73,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.07,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.28,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 9.07
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146950730,
|
|
"total_return_pct": 46.95,
|
|
"cagr_pct": 69.9,
|
|
"mdd_pct": 12.55,
|
|
"trades": 43,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 39.5,
|
|
"profit_factor": 4.07,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.15
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.72
|
|
}
|
|
},
|
|
"alpha_pct": -48.15
|
|
},
|
|
"test": {
|
|
"final_equity": 104820828,
|
|
"total_return_pct": 4.82,
|
|
"cagr_pct": 16.21,
|
|
"mdd_pct": 5.26,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 26.7,
|
|
"profit_factor": 1.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.99
|
|
}
|
|
},
|
|
"alpha_pct": -48.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.73,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.07,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.28,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 9.07
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149956088,
|
|
"total_return_pct": 49.96,
|
|
"cagr_pct": 74.71,
|
|
"mdd_pct": 12.11,
|
|
"trades": 64,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 2.89,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.14
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.29
|
|
}
|
|
},
|
|
"alpha_pct": -45.14
|
|
},
|
|
"test": {
|
|
"final_equity": 109492563,
|
|
"total_return_pct": 9.49,
|
|
"cagr_pct": 33.55,
|
|
"mdd_pct": 13.69,
|
|
"trades": 26,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 26.9,
|
|
"profit_factor": 1.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -43.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 23.66
|
|
}
|
|
},
|
|
"alpha_pct": -43.34
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.66,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.65,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.06,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 9.06
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149956088,
|
|
"total_return_pct": 49.96,
|
|
"cagr_pct": 74.71,
|
|
"mdd_pct": 12.11,
|
|
"trades": 64,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 2.89,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.14
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.29
|
|
}
|
|
},
|
|
"alpha_pct": -45.14
|
|
},
|
|
"test": {
|
|
"final_equity": 109492563,
|
|
"total_return_pct": 9.49,
|
|
"cagr_pct": 33.55,
|
|
"mdd_pct": 13.69,
|
|
"trades": 26,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 26.9,
|
|
"profit_factor": 1.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -43.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 23.66
|
|
}
|
|
},
|
|
"alpha_pct": -43.34
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.66,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.65,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.06,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 9.06
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141019700,
|
|
"total_return_pct": 41.02,
|
|
"cagr_pct": 60.53,
|
|
"mdd_pct": 12.89,
|
|
"trades": 44,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.4,
|
|
"profit_factor": 3.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.08
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.65
|
|
}
|
|
},
|
|
"alpha_pct": -54.08
|
|
},
|
|
"test": {
|
|
"final_equity": 103250382,
|
|
"total_return_pct": 3.25,
|
|
"cagr_pct": 10.74,
|
|
"mdd_pct": 8.33,
|
|
"trades": 13,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 15.4,
|
|
"profit_factor": 1.11,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.58
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.42
|
|
}
|
|
},
|
|
"alpha_pct": -49.58
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.05,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.16,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.19,
|
|
"trades": 15
|
|
}
|
|
],
|
|
"worst_ret": 9.05
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141019700,
|
|
"total_return_pct": 41.02,
|
|
"cagr_pct": 60.53,
|
|
"mdd_pct": 12.89,
|
|
"trades": 44,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.4,
|
|
"profit_factor": 3.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.08
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.65
|
|
}
|
|
},
|
|
"alpha_pct": -54.08
|
|
},
|
|
"test": {
|
|
"final_equity": 103250382,
|
|
"total_return_pct": 3.25,
|
|
"cagr_pct": 10.74,
|
|
"mdd_pct": 8.33,
|
|
"trades": 13,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 15.4,
|
|
"profit_factor": 1.11,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.58
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.42
|
|
}
|
|
},
|
|
"alpha_pct": -49.58
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.05,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.16,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.19,
|
|
"trades": 15
|
|
}
|
|
],
|
|
"worst_ret": 9.05
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144345242,
|
|
"total_return_pct": 44.35,
|
|
"cagr_pct": 65.77,
|
|
"mdd_pct": 12.1,
|
|
"trades": 60,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.0,
|
|
"profit_factor": 2.86,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.32
|
|
}
|
|
},
|
|
"alpha_pct": -50.75
|
|
},
|
|
"test": {
|
|
"final_equity": 114585164,
|
|
"total_return_pct": 14.59,
|
|
"cagr_pct": 54.39,
|
|
"mdd_pct": 14.5,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 24.0,
|
|
"profit_factor": 1.65,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -38.24
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 28.76
|
|
}
|
|
},
|
|
"alpha_pct": -38.24
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.59,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.03,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 14.15,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 9.03
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144345242,
|
|
"total_return_pct": 44.35,
|
|
"cagr_pct": 65.77,
|
|
"mdd_pct": 12.1,
|
|
"trades": 60,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.0,
|
|
"profit_factor": 2.86,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.32
|
|
}
|
|
},
|
|
"alpha_pct": -50.75
|
|
},
|
|
"test": {
|
|
"final_equity": 114585164,
|
|
"total_return_pct": 14.59,
|
|
"cagr_pct": 54.39,
|
|
"mdd_pct": 14.5,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 24.0,
|
|
"profit_factor": 1.65,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -38.24
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 28.76
|
|
}
|
|
},
|
|
"alpha_pct": -38.24
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.59,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.03,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 14.15,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 9.03
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131464172,
|
|
"total_return_pct": 31.46,
|
|
"cagr_pct": 45.75,
|
|
"mdd_pct": 15.51,
|
|
"trades": 60,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.0,
|
|
"profit_factor": 1.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.21
|
|
}
|
|
},
|
|
"alpha_pct": -63.64
|
|
},
|
|
"test": {
|
|
"final_equity": 110656502,
|
|
"total_return_pct": 10.66,
|
|
"cagr_pct": 38.13,
|
|
"mdd_pct": 8.42,
|
|
"trades": 17,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 47.1,
|
|
"profit_factor": 2.56,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -42.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 24.83
|
|
}
|
|
},
|
|
"alpha_pct": -42.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.03,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.43,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 24.92,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 9.03
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131464172,
|
|
"total_return_pct": 31.46,
|
|
"cagr_pct": 45.75,
|
|
"mdd_pct": 15.51,
|
|
"trades": 60,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.0,
|
|
"profit_factor": 1.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.21
|
|
}
|
|
},
|
|
"alpha_pct": -63.64
|
|
},
|
|
"test": {
|
|
"final_equity": 110656502,
|
|
"total_return_pct": 10.66,
|
|
"cagr_pct": 38.13,
|
|
"mdd_pct": 8.42,
|
|
"trades": 17,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 47.1,
|
|
"profit_factor": 2.56,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -42.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 24.83
|
|
}
|
|
},
|
|
"alpha_pct": -42.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.03,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.43,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 24.92,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 9.03
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143679752,
|
|
"total_return_pct": 43.68,
|
|
"cagr_pct": 64.72,
|
|
"mdd_pct": 9.31,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.03,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.99
|
|
}
|
|
},
|
|
"alpha_pct": -51.42
|
|
},
|
|
"test": {
|
|
"final_equity": 128449506,
|
|
"total_return_pct": 28.45,
|
|
"cagr_pct": 122.25,
|
|
"mdd_pct": 7.13,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.79,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.38
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.62
|
|
}
|
|
},
|
|
"alpha_pct": -24.38
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.41,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.98,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.21,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 8.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143679752,
|
|
"total_return_pct": 43.68,
|
|
"cagr_pct": 64.72,
|
|
"mdd_pct": 9.31,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.03,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.99
|
|
}
|
|
},
|
|
"alpha_pct": -51.42
|
|
},
|
|
"test": {
|
|
"final_equity": 128449506,
|
|
"total_return_pct": 28.45,
|
|
"cagr_pct": 122.25,
|
|
"mdd_pct": 7.13,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.79,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.38
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.62
|
|
}
|
|
},
|
|
"alpha_pct": -24.38
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.41,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.98,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.21,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 8.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144914343,
|
|
"total_return_pct": 44.91,
|
|
"cagr_pct": 66.67,
|
|
"mdd_pct": 9.98,
|
|
"trades": 55,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.8,
|
|
"profit_factor": 3.46,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.76
|
|
}
|
|
},
|
|
"alpha_pct": -50.19
|
|
},
|
|
"test": {
|
|
"final_equity": 139206760,
|
|
"total_return_pct": 39.21,
|
|
"cagr_pct": 187.25,
|
|
"mdd_pct": 6.73,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 8.2,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.38
|
|
}
|
|
},
|
|
"alpha_pct": -13.62
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.32,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.93,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 52.52,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 8.93
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144914343,
|
|
"total_return_pct": 44.91,
|
|
"cagr_pct": 66.67,
|
|
"mdd_pct": 9.98,
|
|
"trades": 55,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.8,
|
|
"profit_factor": 3.46,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.76
|
|
}
|
|
},
|
|
"alpha_pct": -50.19
|
|
},
|
|
"test": {
|
|
"final_equity": 139206760,
|
|
"total_return_pct": 39.21,
|
|
"cagr_pct": 187.25,
|
|
"mdd_pct": 6.73,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 8.2,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.38
|
|
}
|
|
},
|
|
"alpha_pct": -13.62
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.32,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.93,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 52.52,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 8.93
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 131496310,
|
|
"total_return_pct": 31.5,
|
|
"cagr_pct": 45.8,
|
|
"mdd_pct": 13.59,
|
|
"trades": 39,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 3.38,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.17
|
|
}
|
|
},
|
|
"alpha_pct": -63.6
|
|
},
|
|
"test": {
|
|
"final_equity": 111719261,
|
|
"total_return_pct": 11.72,
|
|
"cagr_pct": 42.4,
|
|
"mdd_pct": 3.69,
|
|
"trades": 12,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 58.3,
|
|
"profit_factor": 3.54,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.89
|
|
}
|
|
},
|
|
"alpha_pct": -41.11
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.93,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.94,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 13.52,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 8.93
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 131496310,
|
|
"total_return_pct": 31.5,
|
|
"cagr_pct": 45.8,
|
|
"mdd_pct": 13.59,
|
|
"trades": 39,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 3.38,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.17
|
|
}
|
|
},
|
|
"alpha_pct": -63.6
|
|
},
|
|
"test": {
|
|
"final_equity": 111719261,
|
|
"total_return_pct": 11.72,
|
|
"cagr_pct": 42.4,
|
|
"mdd_pct": 3.69,
|
|
"trades": 12,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 58.3,
|
|
"profit_factor": 3.54,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.89
|
|
}
|
|
},
|
|
"alpha_pct": -41.11
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.93,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.94,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 13.52,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 8.93
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 129693203,
|
|
"total_return_pct": 29.69,
|
|
"cagr_pct": 43.05,
|
|
"mdd_pct": 13.86,
|
|
"trades": 38,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 3.16,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.98
|
|
}
|
|
},
|
|
"alpha_pct": -65.41
|
|
},
|
|
"test": {
|
|
"final_equity": 111719261,
|
|
"total_return_pct": 11.72,
|
|
"cagr_pct": 42.4,
|
|
"mdd_pct": 3.69,
|
|
"trades": 12,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 58.3,
|
|
"profit_factor": 3.54,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.89
|
|
}
|
|
},
|
|
"alpha_pct": -41.11
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.93,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.78,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 13.52,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 8.93
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 129693203,
|
|
"total_return_pct": 29.69,
|
|
"cagr_pct": 43.05,
|
|
"mdd_pct": 13.86,
|
|
"trades": 38,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 3.16,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.98
|
|
}
|
|
},
|
|
"alpha_pct": -65.41
|
|
},
|
|
"test": {
|
|
"final_equity": 111719261,
|
|
"total_return_pct": 11.72,
|
|
"cagr_pct": 42.4,
|
|
"mdd_pct": 3.69,
|
|
"trades": 12,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 58.3,
|
|
"profit_factor": 3.54,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.89
|
|
}
|
|
},
|
|
"alpha_pct": -41.11
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.93,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.78,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 13.52,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 8.93
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146907398,
|
|
"total_return_pct": 46.91,
|
|
"cagr_pct": 69.84,
|
|
"mdd_pct": 9.93,
|
|
"trades": 64,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.2,
|
|
"profit_factor": 3.59,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.76
|
|
}
|
|
},
|
|
"alpha_pct": -48.19
|
|
},
|
|
"test": {
|
|
"final_equity": 137072719,
|
|
"total_return_pct": 37.07,
|
|
"cagr_pct": 173.44,
|
|
"mdd_pct": 7.96,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 45.0,
|
|
"profit_factor": 6.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -15.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 51.24
|
|
}
|
|
},
|
|
"alpha_pct": -15.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.92,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.83,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.58,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 8.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146907398,
|
|
"total_return_pct": 46.91,
|
|
"cagr_pct": 69.84,
|
|
"mdd_pct": 9.93,
|
|
"trades": 64,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.2,
|
|
"profit_factor": 3.59,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.76
|
|
}
|
|
},
|
|
"alpha_pct": -48.19
|
|
},
|
|
"test": {
|
|
"final_equity": 137072719,
|
|
"total_return_pct": 37.07,
|
|
"cagr_pct": 173.44,
|
|
"mdd_pct": 7.96,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 45.0,
|
|
"profit_factor": 6.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -15.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 51.24
|
|
}
|
|
},
|
|
"alpha_pct": -15.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.92,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.83,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.58,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 8.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141625159,
|
|
"total_return_pct": 41.63,
|
|
"cagr_pct": 61.48,
|
|
"mdd_pct": 11.34,
|
|
"trades": 66,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 42.4,
|
|
"profit_factor": 3.41,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.04
|
|
}
|
|
},
|
|
"alpha_pct": -53.47
|
|
},
|
|
"test": {
|
|
"final_equity": 135470191,
|
|
"total_return_pct": 35.47,
|
|
"cagr_pct": 163.37,
|
|
"mdd_pct": 6.47,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 6.02,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.64
|
|
}
|
|
},
|
|
"alpha_pct": -17.36
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.92,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.42,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 35.33,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 8.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141625159,
|
|
"total_return_pct": 41.63,
|
|
"cagr_pct": 61.48,
|
|
"mdd_pct": 11.34,
|
|
"trades": 66,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 42.4,
|
|
"profit_factor": 3.41,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.04
|
|
}
|
|
},
|
|
"alpha_pct": -53.47
|
|
},
|
|
"test": {
|
|
"final_equity": 135470191,
|
|
"total_return_pct": 35.47,
|
|
"cagr_pct": 163.37,
|
|
"mdd_pct": 6.47,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 6.02,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.64
|
|
}
|
|
},
|
|
"alpha_pct": -17.36
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.92,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.42,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 35.33,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 8.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136791694,
|
|
"total_return_pct": 36.79,
|
|
"cagr_pct": 53.94,
|
|
"mdd_pct": 11.3,
|
|
"trades": 54,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 2.6,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.88
|
|
}
|
|
},
|
|
"alpha_pct": -58.31
|
|
},
|
|
"test": {
|
|
"final_equity": 100636739,
|
|
"total_return_pct": 0.64,
|
|
"cagr_pct": 2.05,
|
|
"mdd_pct": 9.45,
|
|
"trades": 15,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.03,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.81
|
|
}
|
|
},
|
|
"alpha_pct": -52.19
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.57,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.23,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.9,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 8.9
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136791694,
|
|
"total_return_pct": 36.79,
|
|
"cagr_pct": 53.94,
|
|
"mdd_pct": 11.3,
|
|
"trades": 54,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 2.6,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.88
|
|
}
|
|
},
|
|
"alpha_pct": -58.31
|
|
},
|
|
"test": {
|
|
"final_equity": 100636739,
|
|
"total_return_pct": 0.64,
|
|
"cagr_pct": 2.05,
|
|
"mdd_pct": 9.45,
|
|
"trades": 15,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.03,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.81
|
|
}
|
|
},
|
|
"alpha_pct": -52.19
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.57,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.23,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.9,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 8.9
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 148972163,
|
|
"total_return_pct": 48.97,
|
|
"cagr_pct": 73.13,
|
|
"mdd_pct": 9.61,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.7,
|
|
"profit_factor": 3.35,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.3
|
|
}
|
|
},
|
|
"alpha_pct": -46.13
|
|
},
|
|
"test": {
|
|
"final_equity": 124839483,
|
|
"total_return_pct": 24.84,
|
|
"cagr_pct": 102.93,
|
|
"mdd_pct": 8.08,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.01
|
|
}
|
|
},
|
|
"alpha_pct": -27.99
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.89,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.81,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.98,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 8.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 148972163,
|
|
"total_return_pct": 48.97,
|
|
"cagr_pct": 73.13,
|
|
"mdd_pct": 9.61,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.7,
|
|
"profit_factor": 3.35,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.3
|
|
}
|
|
},
|
|
"alpha_pct": -46.13
|
|
},
|
|
"test": {
|
|
"final_equity": 124839483,
|
|
"total_return_pct": 24.84,
|
|
"cagr_pct": 102.93,
|
|
"mdd_pct": 8.08,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.01
|
|
}
|
|
},
|
|
"alpha_pct": -27.99
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.89,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.81,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.98,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 8.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143127398,
|
|
"total_return_pct": 43.13,
|
|
"cagr_pct": 63.85,
|
|
"mdd_pct": 12.58,
|
|
"trades": 79,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.2,
|
|
"profit_factor": 2.67,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.54
|
|
}
|
|
},
|
|
"alpha_pct": -51.97
|
|
},
|
|
"test": {
|
|
"final_equity": 124788065,
|
|
"total_return_pct": 24.79,
|
|
"cagr_pct": 102.67,
|
|
"mdd_pct": 8.08,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.96
|
|
}
|
|
},
|
|
"alpha_pct": -28.04
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.89,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.55,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.87,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 8.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143127398,
|
|
"total_return_pct": 43.13,
|
|
"cagr_pct": 63.85,
|
|
"mdd_pct": 12.58,
|
|
"trades": 79,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.2,
|
|
"profit_factor": 2.67,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.54
|
|
}
|
|
},
|
|
"alpha_pct": -51.97
|
|
},
|
|
"test": {
|
|
"final_equity": 124788065,
|
|
"total_return_pct": 24.79,
|
|
"cagr_pct": 102.67,
|
|
"mdd_pct": 8.08,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.96
|
|
}
|
|
},
|
|
"alpha_pct": -28.04
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.89,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.55,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.87,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 8.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 147505062,
|
|
"total_return_pct": 47.51,
|
|
"cagr_pct": 70.79,
|
|
"mdd_pct": 13.01,
|
|
"trades": 78,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 2.8,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.16
|
|
}
|
|
},
|
|
"alpha_pct": -47.59
|
|
},
|
|
"test": {
|
|
"final_equity": 124788065,
|
|
"total_return_pct": 24.79,
|
|
"cagr_pct": 102.67,
|
|
"mdd_pct": 8.08,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.96
|
|
}
|
|
},
|
|
"alpha_pct": -28.04
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.89,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 32.05,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.87,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 8.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 147505062,
|
|
"total_return_pct": 47.51,
|
|
"cagr_pct": 70.79,
|
|
"mdd_pct": 13.01,
|
|
"trades": 78,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 2.8,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.16
|
|
}
|
|
},
|
|
"alpha_pct": -47.59
|
|
},
|
|
"test": {
|
|
"final_equity": 124788065,
|
|
"total_return_pct": 24.79,
|
|
"cagr_pct": 102.67,
|
|
"mdd_pct": 8.08,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.96
|
|
}
|
|
},
|
|
"alpha_pct": -28.04
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.89,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 32.05,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.87,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 8.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145759250,
|
|
"total_return_pct": 45.76,
|
|
"cagr_pct": 68.01,
|
|
"mdd_pct": 11.06,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.7,
|
|
"profit_factor": 2.88,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.91
|
|
}
|
|
},
|
|
"alpha_pct": -49.34
|
|
},
|
|
"test": {
|
|
"final_equity": 125239698,
|
|
"total_return_pct": 25.24,
|
|
"cagr_pct": 105.01,
|
|
"mdd_pct": 10.15,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.41
|
|
}
|
|
},
|
|
"alpha_pct": -27.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.86,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.3,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.51,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 8.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145759250,
|
|
"total_return_pct": 45.76,
|
|
"cagr_pct": 68.01,
|
|
"mdd_pct": 11.06,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.7,
|
|
"profit_factor": 2.88,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.91
|
|
}
|
|
},
|
|
"alpha_pct": -49.34
|
|
},
|
|
"test": {
|
|
"final_equity": 125239698,
|
|
"total_return_pct": 25.24,
|
|
"cagr_pct": 105.01,
|
|
"mdd_pct": 10.15,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.41
|
|
}
|
|
},
|
|
"alpha_pct": -27.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.86,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.3,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 32.51,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 8.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141451383,
|
|
"total_return_pct": 41.45,
|
|
"cagr_pct": 61.21,
|
|
"mdd_pct": 13.85,
|
|
"trades": 79,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.2,
|
|
"profit_factor": 2.46,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.22
|
|
}
|
|
},
|
|
"alpha_pct": -53.65
|
|
},
|
|
"test": {
|
|
"final_equity": 125188668,
|
|
"total_return_pct": 25.19,
|
|
"cagr_pct": 104.75,
|
|
"mdd_pct": 10.15,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.36
|
|
}
|
|
},
|
|
"alpha_pct": -27.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.86,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.22,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.68,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 8.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141451383,
|
|
"total_return_pct": 41.45,
|
|
"cagr_pct": 61.21,
|
|
"mdd_pct": 13.85,
|
|
"trades": 79,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.2,
|
|
"profit_factor": 2.46,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.22
|
|
}
|
|
},
|
|
"alpha_pct": -53.65
|
|
},
|
|
"test": {
|
|
"final_equity": 125188668,
|
|
"total_return_pct": 25.19,
|
|
"cagr_pct": 104.75,
|
|
"mdd_pct": 10.15,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.36
|
|
}
|
|
},
|
|
"alpha_pct": -27.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.86,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.22,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.68,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 8.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145707957,
|
|
"total_return_pct": 45.71,
|
|
"cagr_pct": 67.93,
|
|
"mdd_pct": 13.86,
|
|
"trades": 78,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 2.58,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.96
|
|
}
|
|
},
|
|
"alpha_pct": -49.39
|
|
},
|
|
"test": {
|
|
"final_equity": 125188668,
|
|
"total_return_pct": 25.19,
|
|
"cagr_pct": 104.75,
|
|
"mdd_pct": 10.15,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.36
|
|
}
|
|
},
|
|
"alpha_pct": -27.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.86,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 31.64,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.68,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 8.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145707957,
|
|
"total_return_pct": 45.71,
|
|
"cagr_pct": 67.93,
|
|
"mdd_pct": 13.86,
|
|
"trades": 78,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 2.58,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.96
|
|
}
|
|
},
|
|
"alpha_pct": -49.39
|
|
},
|
|
"test": {
|
|
"final_equity": 125188668,
|
|
"total_return_pct": 25.19,
|
|
"cagr_pct": 104.75,
|
|
"mdd_pct": 10.15,
|
|
"trades": 23,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.36
|
|
}
|
|
},
|
|
"alpha_pct": -27.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.86,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 31.64,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.68,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 8.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136113047,
|
|
"total_return_pct": 36.11,
|
|
"cagr_pct": 52.89,
|
|
"mdd_pct": 15.03,
|
|
"trades": 40,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 3.01,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.56
|
|
}
|
|
},
|
|
"alpha_pct": -58.99
|
|
},
|
|
"test": {
|
|
"final_equity": 116625193,
|
|
"total_return_pct": 16.63,
|
|
"cagr_pct": 63.33,
|
|
"mdd_pct": 8.32,
|
|
"trades": 11,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 27.3,
|
|
"profit_factor": 2.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -36.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 30.8
|
|
}
|
|
},
|
|
"alpha_pct": -36.2
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.86,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.09,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.28,
|
|
"trades": 12
|
|
}
|
|
],
|
|
"worst_ret": 8.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136113047,
|
|
"total_return_pct": 36.11,
|
|
"cagr_pct": 52.89,
|
|
"mdd_pct": 15.03,
|
|
"trades": 40,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 3.01,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.56
|
|
}
|
|
},
|
|
"alpha_pct": -58.99
|
|
},
|
|
"test": {
|
|
"final_equity": 116625193,
|
|
"total_return_pct": 16.63,
|
|
"cagr_pct": 63.33,
|
|
"mdd_pct": 8.32,
|
|
"trades": 11,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 27.3,
|
|
"profit_factor": 2.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -36.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 30.8
|
|
}
|
|
},
|
|
"alpha_pct": -36.2
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.86,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.09,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.28,
|
|
"trades": 12
|
|
}
|
|
],
|
|
"worst_ret": 8.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 129332275,
|
|
"total_return_pct": 29.33,
|
|
"cagr_pct": 42.5,
|
|
"mdd_pct": 14.84,
|
|
"trades": 45,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 2.61,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.34
|
|
}
|
|
},
|
|
"alpha_pct": -65.77
|
|
},
|
|
"test": {
|
|
"final_equity": 115411183,
|
|
"total_return_pct": 15.41,
|
|
"cagr_pct": 57.97,
|
|
"mdd_pct": 4.56,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 46.2,
|
|
"profit_factor": 3.91,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -37.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 29.58
|
|
}
|
|
},
|
|
"alpha_pct": -37.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.86,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.38,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 15.78,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 8.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 129332275,
|
|
"total_return_pct": 29.33,
|
|
"cagr_pct": 42.5,
|
|
"mdd_pct": 14.84,
|
|
"trades": 45,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 2.61,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.34
|
|
}
|
|
},
|
|
"alpha_pct": -65.77
|
|
},
|
|
"test": {
|
|
"final_equity": 115411183,
|
|
"total_return_pct": 15.41,
|
|
"cagr_pct": 57.97,
|
|
"mdd_pct": 4.56,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 46.2,
|
|
"profit_factor": 3.91,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -37.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 29.58
|
|
}
|
|
},
|
|
"alpha_pct": -37.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.86,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.38,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 15.78,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 8.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 126674139,
|
|
"total_return_pct": 26.67,
|
|
"cagr_pct": 38.49,
|
|
"mdd_pct": 15.05,
|
|
"trades": 43,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 32.6,
|
|
"profit_factor": 2.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -68.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -21.0
|
|
}
|
|
},
|
|
"alpha_pct": -68.43
|
|
},
|
|
"test": {
|
|
"final_equity": 115411183,
|
|
"total_return_pct": 15.41,
|
|
"cagr_pct": 57.97,
|
|
"mdd_pct": 4.56,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 46.2,
|
|
"profit_factor": 3.91,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -37.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 29.58
|
|
}
|
|
},
|
|
"alpha_pct": -37.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.86,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.22,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 15.78,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 8.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 126674139,
|
|
"total_return_pct": 26.67,
|
|
"cagr_pct": 38.49,
|
|
"mdd_pct": 15.05,
|
|
"trades": 43,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 32.6,
|
|
"profit_factor": 2.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -68.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -21.0
|
|
}
|
|
},
|
|
"alpha_pct": -68.43
|
|
},
|
|
"test": {
|
|
"final_equity": 115411183,
|
|
"total_return_pct": 15.41,
|
|
"cagr_pct": 57.97,
|
|
"mdd_pct": 4.56,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 46.2,
|
|
"profit_factor": 3.91,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -37.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 29.58
|
|
}
|
|
},
|
|
"alpha_pct": -37.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.86,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.22,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 15.78,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 8.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145070905,
|
|
"total_return_pct": 45.07,
|
|
"cagr_pct": 66.92,
|
|
"mdd_pct": 10.14,
|
|
"trades": 63,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.3,
|
|
"profit_factor": 3.04,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.03
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.6
|
|
}
|
|
},
|
|
"alpha_pct": -50.03
|
|
},
|
|
"test": {
|
|
"final_equity": 142657915,
|
|
"total_return_pct": 42.66,
|
|
"cagr_pct": 210.59,
|
|
"mdd_pct": 8.53,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 45.0,
|
|
"profit_factor": 6.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -10.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 56.83
|
|
}
|
|
},
|
|
"alpha_pct": -10.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.83,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.77,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 47.0,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 8.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145070905,
|
|
"total_return_pct": 45.07,
|
|
"cagr_pct": 66.92,
|
|
"mdd_pct": 10.14,
|
|
"trades": 63,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.3,
|
|
"profit_factor": 3.04,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.03
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.6
|
|
}
|
|
},
|
|
"alpha_pct": -50.03
|
|
},
|
|
"test": {
|
|
"final_equity": 142657915,
|
|
"total_return_pct": 42.66,
|
|
"cagr_pct": 210.59,
|
|
"mdd_pct": 8.53,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 45.0,
|
|
"profit_factor": 6.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -10.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 56.83
|
|
}
|
|
},
|
|
"alpha_pct": -10.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.83,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.77,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 47.0,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 8.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137891060,
|
|
"total_return_pct": 37.89,
|
|
"cagr_pct": 55.65,
|
|
"mdd_pct": 12.06,
|
|
"trades": 66,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 42.4,
|
|
"profit_factor": 2.87,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.78
|
|
}
|
|
},
|
|
"alpha_pct": -57.21
|
|
},
|
|
"test": {
|
|
"final_equity": 140947253,
|
|
"total_return_pct": 40.95,
|
|
"cagr_pct": 198.86,
|
|
"mdd_pct": 7.48,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 47.6,
|
|
"profit_factor": 5.63,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -11.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.12
|
|
}
|
|
},
|
|
"alpha_pct": -11.88
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.83,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.56,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.8,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 8.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137891060,
|
|
"total_return_pct": 37.89,
|
|
"cagr_pct": 55.65,
|
|
"mdd_pct": 12.06,
|
|
"trades": 66,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 42.4,
|
|
"profit_factor": 2.87,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.78
|
|
}
|
|
},
|
|
"alpha_pct": -57.21
|
|
},
|
|
"test": {
|
|
"final_equity": 140947253,
|
|
"total_return_pct": 40.95,
|
|
"cagr_pct": 198.86,
|
|
"mdd_pct": 7.48,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 47.6,
|
|
"profit_factor": 5.63,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -11.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.12
|
|
}
|
|
},
|
|
"alpha_pct": -11.88
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.83,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.56,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.8,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 8.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143645003,
|
|
"total_return_pct": 43.65,
|
|
"cagr_pct": 64.66,
|
|
"mdd_pct": 10.13,
|
|
"trades": 64,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.2,
|
|
"profit_factor": 2.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.02
|
|
}
|
|
},
|
|
"alpha_pct": -51.45
|
|
},
|
|
"test": {
|
|
"final_equity": 140355657,
|
|
"total_return_pct": 40.36,
|
|
"cagr_pct": 194.88,
|
|
"mdd_pct": 7.65,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -12.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 54.53
|
|
}
|
|
},
|
|
"alpha_pct": -12.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.83,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.81,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.58,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 8.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143645003,
|
|
"total_return_pct": 43.65,
|
|
"cagr_pct": 64.66,
|
|
"mdd_pct": 10.13,
|
|
"trades": 64,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.2,
|
|
"profit_factor": 2.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.02
|
|
}
|
|
},
|
|
"alpha_pct": -51.45
|
|
},
|
|
"test": {
|
|
"final_equity": 140355657,
|
|
"total_return_pct": 40.36,
|
|
"cagr_pct": 194.88,
|
|
"mdd_pct": 7.65,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -12.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 54.53
|
|
}
|
|
},
|
|
"alpha_pct": -12.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.83,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.81,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.58,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 8.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132484394,
|
|
"total_return_pct": 32.48,
|
|
"cagr_pct": 47.31,
|
|
"mdd_pct": 11.23,
|
|
"trades": 43,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.5,
|
|
"profit_factor": 3.42,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.19
|
|
}
|
|
},
|
|
"alpha_pct": -62.62
|
|
},
|
|
"test": {
|
|
"final_equity": 109883197,
|
|
"total_return_pct": 9.88,
|
|
"cagr_pct": 35.07,
|
|
"mdd_pct": 7.57,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -42.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 24.05
|
|
}
|
|
},
|
|
"alpha_pct": -42.95
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.81,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.24,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.45,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 8.81
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132484394,
|
|
"total_return_pct": 32.48,
|
|
"cagr_pct": 47.31,
|
|
"mdd_pct": 11.23,
|
|
"trades": 43,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.5,
|
|
"profit_factor": 3.42,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.19
|
|
}
|
|
},
|
|
"alpha_pct": -62.62
|
|
},
|
|
"test": {
|
|
"final_equity": 109883197,
|
|
"total_return_pct": 9.88,
|
|
"cagr_pct": 35.07,
|
|
"mdd_pct": 7.57,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -42.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 24.05
|
|
}
|
|
},
|
|
"alpha_pct": -42.95
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.81,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.24,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.45,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 8.81
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136333304,
|
|
"total_return_pct": 36.33,
|
|
"cagr_pct": 53.23,
|
|
"mdd_pct": 15.01,
|
|
"trades": 43,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.2,
|
|
"profit_factor": 3.38,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.34
|
|
}
|
|
},
|
|
"alpha_pct": -58.77
|
|
},
|
|
"test": {
|
|
"final_equity": 109883197,
|
|
"total_return_pct": 9.88,
|
|
"cagr_pct": 35.07,
|
|
"mdd_pct": 7.57,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -42.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 24.05
|
|
}
|
|
},
|
|
"alpha_pct": -42.95
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.81,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.61,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.45,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 8.81
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136333304,
|
|
"total_return_pct": 36.33,
|
|
"cagr_pct": 53.23,
|
|
"mdd_pct": 15.01,
|
|
"trades": 43,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.2,
|
|
"profit_factor": 3.38,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.34
|
|
}
|
|
},
|
|
"alpha_pct": -58.77
|
|
},
|
|
"test": {
|
|
"final_equity": 109883197,
|
|
"total_return_pct": 9.88,
|
|
"cagr_pct": 35.07,
|
|
"mdd_pct": 7.57,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -42.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 24.05
|
|
}
|
|
},
|
|
"alpha_pct": -42.95
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.81,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.61,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.45,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 8.81
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 147116570,
|
|
"total_return_pct": 47.12,
|
|
"cagr_pct": 70.17,
|
|
"mdd_pct": 9.93,
|
|
"trades": 64,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.2,
|
|
"profit_factor": 3.41,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.55
|
|
}
|
|
},
|
|
"alpha_pct": -47.98
|
|
},
|
|
"test": {
|
|
"final_equity": 143084478,
|
|
"total_return_pct": 43.08,
|
|
"cagr_pct": 213.56,
|
|
"mdd_pct": 8.69,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 45.0,
|
|
"profit_factor": 6.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -9.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 57.25
|
|
}
|
|
},
|
|
"alpha_pct": -9.75
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.75,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.69,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 47.8,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 8.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 147116570,
|
|
"total_return_pct": 47.12,
|
|
"cagr_pct": 70.17,
|
|
"mdd_pct": 9.93,
|
|
"trades": 64,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.2,
|
|
"profit_factor": 3.41,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.55
|
|
}
|
|
},
|
|
"alpha_pct": -47.98
|
|
},
|
|
"test": {
|
|
"final_equity": 143084478,
|
|
"total_return_pct": 43.08,
|
|
"cagr_pct": 213.56,
|
|
"mdd_pct": 8.69,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 45.0,
|
|
"profit_factor": 6.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -9.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 57.25
|
|
}
|
|
},
|
|
"alpha_pct": -9.75
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.75,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.69,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 47.8,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 8.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 140375472,
|
|
"total_return_pct": 40.38,
|
|
"cagr_pct": 59.52,
|
|
"mdd_pct": 11.65,
|
|
"trades": 66,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 42.4,
|
|
"profit_factor": 3.23,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.29
|
|
}
|
|
},
|
|
"alpha_pct": -54.72
|
|
},
|
|
"test": {
|
|
"final_equity": 140904638,
|
|
"total_return_pct": 40.9,
|
|
"cagr_pct": 198.57,
|
|
"mdd_pct": 7.4,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 5.85,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -11.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.07
|
|
}
|
|
},
|
|
"alpha_pct": -11.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.75,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.85,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 42.34,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 8.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 140375472,
|
|
"total_return_pct": 40.38,
|
|
"cagr_pct": 59.52,
|
|
"mdd_pct": 11.65,
|
|
"trades": 66,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 42.4,
|
|
"profit_factor": 3.23,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.29
|
|
}
|
|
},
|
|
"alpha_pct": -54.72
|
|
},
|
|
"test": {
|
|
"final_equity": 140904638,
|
|
"total_return_pct": 40.9,
|
|
"cagr_pct": 198.57,
|
|
"mdd_pct": 7.4,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 50.0,
|
|
"profit_factor": 5.85,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -11.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.07
|
|
}
|
|
},
|
|
"alpha_pct": -11.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.75,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.85,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 42.34,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 8.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137856333,
|
|
"total_return_pct": 37.86,
|
|
"cagr_pct": 55.6,
|
|
"mdd_pct": 14.02,
|
|
"trades": 44,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.9,
|
|
"profit_factor": 3.26,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.24
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.81
|
|
}
|
|
},
|
|
"alpha_pct": -57.24
|
|
},
|
|
"test": {
|
|
"final_equity": 103388089,
|
|
"total_return_pct": 3.39,
|
|
"cagr_pct": 11.21,
|
|
"mdd_pct": 8.28,
|
|
"trades": 17,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 1.24,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.56
|
|
}
|
|
},
|
|
"alpha_pct": -49.44
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.41,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.93,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.75,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 8.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137856333,
|
|
"total_return_pct": 37.86,
|
|
"cagr_pct": 55.6,
|
|
"mdd_pct": 14.02,
|
|
"trades": 44,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.9,
|
|
"profit_factor": 3.26,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.24
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.81
|
|
}
|
|
},
|
|
"alpha_pct": -57.24
|
|
},
|
|
"test": {
|
|
"final_equity": 103388089,
|
|
"total_return_pct": 3.39,
|
|
"cagr_pct": 11.21,
|
|
"mdd_pct": 8.28,
|
|
"trades": 17,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 1.24,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.56
|
|
}
|
|
},
|
|
"alpha_pct": -49.44
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.41,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.93,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.75,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 8.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137829716,
|
|
"total_return_pct": 37.83,
|
|
"cagr_pct": 55.55,
|
|
"mdd_pct": 14.25,
|
|
"trades": 42,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.84
|
|
}
|
|
},
|
|
"alpha_pct": -57.27
|
|
},
|
|
"test": {
|
|
"final_equity": 103388089,
|
|
"total_return_pct": 3.39,
|
|
"cagr_pct": 11.21,
|
|
"mdd_pct": 8.28,
|
|
"trades": 17,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 1.24,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.56
|
|
}
|
|
},
|
|
"alpha_pct": -49.44
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.41,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.78,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.75,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 8.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137829716,
|
|
"total_return_pct": 37.83,
|
|
"cagr_pct": 55.55,
|
|
"mdd_pct": 14.25,
|
|
"trades": 42,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.84
|
|
}
|
|
},
|
|
"alpha_pct": -57.27
|
|
},
|
|
"test": {
|
|
"final_equity": 103388089,
|
|
"total_return_pct": 3.39,
|
|
"cagr_pct": 11.21,
|
|
"mdd_pct": 8.28,
|
|
"trades": 17,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 1.24,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.56
|
|
}
|
|
},
|
|
"alpha_pct": -49.44
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.41,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.78,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.75,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 8.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 144653511,
|
|
"total_return_pct": 44.65,
|
|
"cagr_pct": 66.26,
|
|
"mdd_pct": 14.63,
|
|
"trades": 48,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.62,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.02
|
|
}
|
|
},
|
|
"alpha_pct": -50.45
|
|
},
|
|
"test": {
|
|
"final_equity": 94971739,
|
|
"total_return_pct": -5.03,
|
|
"cagr_pct": -15.17,
|
|
"mdd_pct": 10.23,
|
|
"trades": 19,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 15.8,
|
|
"profit_factor": 0.58,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.14
|
|
}
|
|
},
|
|
"alpha_pct": -57.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.42,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.38,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.73,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 8.73
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 144653511,
|
|
"total_return_pct": 44.65,
|
|
"cagr_pct": 66.26,
|
|
"mdd_pct": 14.63,
|
|
"trades": 48,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.62,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.02
|
|
}
|
|
},
|
|
"alpha_pct": -50.45
|
|
},
|
|
"test": {
|
|
"final_equity": 94971739,
|
|
"total_return_pct": -5.03,
|
|
"cagr_pct": -15.17,
|
|
"mdd_pct": 10.23,
|
|
"trades": 19,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 15.8,
|
|
"profit_factor": 0.58,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.14
|
|
}
|
|
},
|
|
"alpha_pct": -57.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.42,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.38,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.73,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 8.73
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136658941,
|
|
"total_return_pct": 36.66,
|
|
"cagr_pct": 53.74,
|
|
"mdd_pct": 10.53,
|
|
"trades": 78,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.0,
|
|
"profit_factor": 2.78,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.01
|
|
}
|
|
},
|
|
"alpha_pct": -58.44
|
|
},
|
|
"test": {
|
|
"final_equity": 129898950,
|
|
"total_return_pct": 29.9,
|
|
"cagr_pct": 130.35,
|
|
"mdd_pct": 5.67,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 4.41,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -22.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 44.07
|
|
}
|
|
},
|
|
"alpha_pct": -22.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.69,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.39,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 24.96,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 8.69
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136658941,
|
|
"total_return_pct": 36.66,
|
|
"cagr_pct": 53.74,
|
|
"mdd_pct": 10.53,
|
|
"trades": 78,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.0,
|
|
"profit_factor": 2.78,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.01
|
|
}
|
|
},
|
|
"alpha_pct": -58.44
|
|
},
|
|
"test": {
|
|
"final_equity": 129898950,
|
|
"total_return_pct": 29.9,
|
|
"cagr_pct": 130.35,
|
|
"mdd_pct": 5.67,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 4.41,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -22.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 44.07
|
|
}
|
|
},
|
|
"alpha_pct": -22.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.69,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.39,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 24.96,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 8.69
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 135538422,
|
|
"total_return_pct": 35.54,
|
|
"cagr_pct": 52.0,
|
|
"mdd_pct": 10.68,
|
|
"trades": 78,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.0,
|
|
"profit_factor": 2.63,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -59.56
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.13
|
|
}
|
|
},
|
|
"alpha_pct": -59.56
|
|
},
|
|
"test": {
|
|
"final_equity": 131020194,
|
|
"total_return_pct": 31.02,
|
|
"cagr_pct": 136.75,
|
|
"mdd_pct": 6.89,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 3.94,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.19
|
|
}
|
|
},
|
|
"alpha_pct": -21.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.66,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.69,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.68,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 8.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 135538422,
|
|
"total_return_pct": 35.54,
|
|
"cagr_pct": 52.0,
|
|
"mdd_pct": 10.68,
|
|
"trades": 78,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.0,
|
|
"profit_factor": 2.63,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -59.56
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.13
|
|
}
|
|
},
|
|
"alpha_pct": -59.56
|
|
},
|
|
"test": {
|
|
"final_equity": 131020194,
|
|
"total_return_pct": 31.02,
|
|
"cagr_pct": 136.75,
|
|
"mdd_pct": 6.89,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 3.94,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.19
|
|
}
|
|
},
|
|
"alpha_pct": -21.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.66,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.69,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.68,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 8.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152453707,
|
|
"total_return_pct": 52.45,
|
|
"cagr_pct": 78.73,
|
|
"mdd_pct": 14.57,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.4,
|
|
"profit_factor": 4.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.78
|
|
}
|
|
},
|
|
"alpha_pct": -42.65
|
|
},
|
|
"test": {
|
|
"final_equity": 93823819,
|
|
"total_return_pct": -6.18,
|
|
"cagr_pct": -18.4,
|
|
"mdd_pct": 12.69,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 15.0,
|
|
"profit_factor": 0.52,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -59.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 7.99
|
|
}
|
|
},
|
|
"alpha_pct": -59.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.64,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.01,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.66,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 8.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152453707,
|
|
"total_return_pct": 52.45,
|
|
"cagr_pct": 78.73,
|
|
"mdd_pct": 14.57,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.4,
|
|
"profit_factor": 4.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.78
|
|
}
|
|
},
|
|
"alpha_pct": -42.65
|
|
},
|
|
"test": {
|
|
"final_equity": 93823819,
|
|
"total_return_pct": -6.18,
|
|
"cagr_pct": -18.4,
|
|
"mdd_pct": 12.69,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 15.0,
|
|
"profit_factor": 0.52,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -59.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 7.99
|
|
}
|
|
},
|
|
"alpha_pct": -59.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.64,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.01,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.66,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 8.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145948699,
|
|
"total_return_pct": 45.95,
|
|
"cagr_pct": 68.31,
|
|
"mdd_pct": 10.22,
|
|
"trades": 54,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 3.66,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.15
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.72
|
|
}
|
|
},
|
|
"alpha_pct": -49.15
|
|
},
|
|
"test": {
|
|
"final_equity": 139424096,
|
|
"total_return_pct": 39.42,
|
|
"cagr_pct": 188.68,
|
|
"mdd_pct": 6.72,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 53.3,
|
|
"profit_factor": 8.4,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.59
|
|
}
|
|
},
|
|
"alpha_pct": -13.41
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.04,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.49,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.83,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 8.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145948699,
|
|
"total_return_pct": 45.95,
|
|
"cagr_pct": 68.31,
|
|
"mdd_pct": 10.22,
|
|
"trades": 54,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 3.66,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.15
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.72
|
|
}
|
|
},
|
|
"alpha_pct": -49.15
|
|
},
|
|
"test": {
|
|
"final_equity": 139424096,
|
|
"total_return_pct": 39.42,
|
|
"cagr_pct": 188.68,
|
|
"mdd_pct": 6.72,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 53.3,
|
|
"profit_factor": 8.4,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.59
|
|
}
|
|
},
|
|
"alpha_pct": -13.41
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.04,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.49,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.83,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 8.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146937058,
|
|
"total_return_pct": 46.94,
|
|
"cagr_pct": 69.88,
|
|
"mdd_pct": 10.19,
|
|
"trades": 46,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.68,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.73
|
|
}
|
|
},
|
|
"alpha_pct": -48.16
|
|
},
|
|
"test": {
|
|
"final_equity": 109409095,
|
|
"total_return_pct": 9.41,
|
|
"cagr_pct": 33.22,
|
|
"mdd_pct": 10.61,
|
|
"trades": 11,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 27.3,
|
|
"profit_factor": 1.63,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -43.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 23.58
|
|
}
|
|
},
|
|
"alpha_pct": -43.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.4,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.45,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.0,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 8.4
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146937058,
|
|
"total_return_pct": 46.94,
|
|
"cagr_pct": 69.88,
|
|
"mdd_pct": 10.19,
|
|
"trades": 46,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.68,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.73
|
|
}
|
|
},
|
|
"alpha_pct": -48.16
|
|
},
|
|
"test": {
|
|
"final_equity": 109409095,
|
|
"total_return_pct": 9.41,
|
|
"cagr_pct": 33.22,
|
|
"mdd_pct": 10.61,
|
|
"trades": 11,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 27.3,
|
|
"profit_factor": 1.63,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -43.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 23.58
|
|
}
|
|
},
|
|
"alpha_pct": -43.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.4,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.45,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.0,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 8.4
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132676743,
|
|
"total_return_pct": 32.68,
|
|
"cagr_pct": 47.6,
|
|
"mdd_pct": 10.97,
|
|
"trades": 43,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.5,
|
|
"profit_factor": 3.63,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.99
|
|
}
|
|
},
|
|
"alpha_pct": -62.42
|
|
},
|
|
"test": {
|
|
"final_equity": 108006412,
|
|
"total_return_pct": 8.01,
|
|
"cagr_pct": 27.85,
|
|
"mdd_pct": 5.31,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.18
|
|
}
|
|
},
|
|
"alpha_pct": -44.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.81,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.49,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.4,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 8.4
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132676743,
|
|
"total_return_pct": 32.68,
|
|
"cagr_pct": 47.6,
|
|
"mdd_pct": 10.97,
|
|
"trades": 43,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.5,
|
|
"profit_factor": 3.63,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.99
|
|
}
|
|
},
|
|
"alpha_pct": -62.42
|
|
},
|
|
"test": {
|
|
"final_equity": 108006412,
|
|
"total_return_pct": 8.01,
|
|
"cagr_pct": 27.85,
|
|
"mdd_pct": 5.31,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.18
|
|
}
|
|
},
|
|
"alpha_pct": -44.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.81,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.49,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.4,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 8.4
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136524958,
|
|
"total_return_pct": 36.52,
|
|
"cagr_pct": 53.53,
|
|
"mdd_pct": 14.77,
|
|
"trades": 43,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.2,
|
|
"profit_factor": 3.57,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.58
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.15
|
|
}
|
|
},
|
|
"alpha_pct": -58.58
|
|
},
|
|
"test": {
|
|
"final_equity": 108006412,
|
|
"total_return_pct": 8.01,
|
|
"cagr_pct": 27.85,
|
|
"mdd_pct": 5.31,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.18
|
|
}
|
|
},
|
|
"alpha_pct": -44.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.81,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.94,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.4,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 8.4
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136524958,
|
|
"total_return_pct": 36.52,
|
|
"cagr_pct": 53.53,
|
|
"mdd_pct": 14.77,
|
|
"trades": 43,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.2,
|
|
"profit_factor": 3.57,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.58
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.15
|
|
}
|
|
},
|
|
"alpha_pct": -58.58
|
|
},
|
|
"test": {
|
|
"final_equity": 108006412,
|
|
"total_return_pct": 8.01,
|
|
"cagr_pct": 27.85,
|
|
"mdd_pct": 5.31,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.18
|
|
}
|
|
},
|
|
"alpha_pct": -44.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.81,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.94,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.4,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 8.4
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131633713,
|
|
"total_return_pct": 31.63,
|
|
"cagr_pct": 46.01,
|
|
"mdd_pct": 14.0,
|
|
"trades": 56,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 2.27,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.04
|
|
}
|
|
},
|
|
"alpha_pct": -63.47
|
|
},
|
|
"test": {
|
|
"final_equity": 107904121,
|
|
"total_return_pct": 7.9,
|
|
"cagr_pct": 27.46,
|
|
"mdd_pct": 11.25,
|
|
"trades": 16,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 18.8,
|
|
"profit_factor": 1.29,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.07
|
|
}
|
|
},
|
|
"alpha_pct": -44.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.34,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.19,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 18.18,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 8.34
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131633713,
|
|
"total_return_pct": 31.63,
|
|
"cagr_pct": 46.01,
|
|
"mdd_pct": 14.0,
|
|
"trades": 56,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 2.27,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.04
|
|
}
|
|
},
|
|
"alpha_pct": -63.47
|
|
},
|
|
"test": {
|
|
"final_equity": 107904121,
|
|
"total_return_pct": 7.9,
|
|
"cagr_pct": 27.46,
|
|
"mdd_pct": 11.25,
|
|
"trades": 16,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 18.8,
|
|
"profit_factor": 1.29,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.07
|
|
}
|
|
},
|
|
"alpha_pct": -44.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.34,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.19,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 18.18,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 8.34
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131653687,
|
|
"total_return_pct": 31.65,
|
|
"cagr_pct": 46.04,
|
|
"mdd_pct": 11.37,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 2.39,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.02
|
|
}
|
|
},
|
|
"alpha_pct": -63.45
|
|
},
|
|
"test": {
|
|
"final_equity": 99770538,
|
|
"total_return_pct": -0.23,
|
|
"cagr_pct": -0.73,
|
|
"mdd_pct": 9.41,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 1.0,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.94
|
|
}
|
|
},
|
|
"alpha_pct": -53.06
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.32,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.03,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.31,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 8.31
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131653687,
|
|
"total_return_pct": 31.65,
|
|
"cagr_pct": 46.04,
|
|
"mdd_pct": 11.37,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 2.39,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.02
|
|
}
|
|
},
|
|
"alpha_pct": -63.45
|
|
},
|
|
"test": {
|
|
"final_equity": 99770538,
|
|
"total_return_pct": -0.23,
|
|
"cagr_pct": -0.73,
|
|
"mdd_pct": 9.41,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 1.0,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.94
|
|
}
|
|
},
|
|
"alpha_pct": -53.06
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.32,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.03,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.31,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 8.31
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146315778,
|
|
"total_return_pct": 46.32,
|
|
"cagr_pct": 68.89,
|
|
"mdd_pct": 12.47,
|
|
"trades": 43,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 39.5,
|
|
"profit_factor": 3.8,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.35
|
|
}
|
|
},
|
|
"alpha_pct": -48.78
|
|
},
|
|
"test": {
|
|
"final_equity": 104411975,
|
|
"total_return_pct": 4.41,
|
|
"cagr_pct": 14.77,
|
|
"mdd_pct": 7.1,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 26.7,
|
|
"profit_factor": 1.42,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.58
|
|
}
|
|
},
|
|
"alpha_pct": -48.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.63,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.3,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 16.96,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 8.3
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146315778,
|
|
"total_return_pct": 46.32,
|
|
"cagr_pct": 68.89,
|
|
"mdd_pct": 12.47,
|
|
"trades": 43,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 39.5,
|
|
"profit_factor": 3.8,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.35
|
|
}
|
|
},
|
|
"alpha_pct": -48.78
|
|
},
|
|
"test": {
|
|
"final_equity": 104411975,
|
|
"total_return_pct": 4.41,
|
|
"cagr_pct": 14.77,
|
|
"mdd_pct": 7.1,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 26.7,
|
|
"profit_factor": 1.42,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.58
|
|
}
|
|
},
|
|
"alpha_pct": -48.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.63,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.3,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 16.96,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 8.3
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 138774851,
|
|
"total_return_pct": 38.77,
|
|
"cagr_pct": 57.03,
|
|
"mdd_pct": 11.16,
|
|
"trades": 77,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 2.63,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.9
|
|
}
|
|
},
|
|
"alpha_pct": -56.33
|
|
},
|
|
"test": {
|
|
"final_equity": 142294068,
|
|
"total_return_pct": 42.29,
|
|
"cagr_pct": 208.07,
|
|
"mdd_pct": 9.0,
|
|
"trades": 23,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 43.5,
|
|
"profit_factor": 4.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -10.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 56.46
|
|
}
|
|
},
|
|
"alpha_pct": -10.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.22,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.84,
|
|
"trades": 30
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.73,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 8.22
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 138774851,
|
|
"total_return_pct": 38.77,
|
|
"cagr_pct": 57.03,
|
|
"mdd_pct": 11.16,
|
|
"trades": 77,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 2.63,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.9
|
|
}
|
|
},
|
|
"alpha_pct": -56.33
|
|
},
|
|
"test": {
|
|
"final_equity": 142294068,
|
|
"total_return_pct": 42.29,
|
|
"cagr_pct": 208.07,
|
|
"mdd_pct": 9.0,
|
|
"trades": 23,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 43.5,
|
|
"profit_factor": 4.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -10.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 56.46
|
|
}
|
|
},
|
|
"alpha_pct": -10.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.22,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.84,
|
|
"trades": 30
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.73,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 8.22
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144142317,
|
|
"total_return_pct": 44.14,
|
|
"cagr_pct": 65.45,
|
|
"mdd_pct": 10.05,
|
|
"trades": 73,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.1,
|
|
"profit_factor": 2.64,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.96
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.53
|
|
}
|
|
},
|
|
"alpha_pct": -50.96
|
|
},
|
|
"test": {
|
|
"final_equity": 139992681,
|
|
"total_return_pct": 39.99,
|
|
"cagr_pct": 192.45,
|
|
"mdd_pct": 8.63,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 34.8,
|
|
"profit_factor": 4.07,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -12.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 54.16
|
|
}
|
|
},
|
|
"alpha_pct": -12.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.22,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.99,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 48.42,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 8.22
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144142317,
|
|
"total_return_pct": 44.14,
|
|
"cagr_pct": 65.45,
|
|
"mdd_pct": 10.05,
|
|
"trades": 73,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.1,
|
|
"profit_factor": 2.64,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.96
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.53
|
|
}
|
|
},
|
|
"alpha_pct": -50.96
|
|
},
|
|
"test": {
|
|
"final_equity": 139992681,
|
|
"total_return_pct": 39.99,
|
|
"cagr_pct": 192.45,
|
|
"mdd_pct": 8.63,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 34.8,
|
|
"profit_factor": 4.07,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -12.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 54.16
|
|
}
|
|
},
|
|
"alpha_pct": -12.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.22,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.99,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 48.42,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 8.22
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145299798,
|
|
"total_return_pct": 45.3,
|
|
"cagr_pct": 67.28,
|
|
"mdd_pct": 9.87,
|
|
"trades": 68,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 42.6,
|
|
"profit_factor": 3.21,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.37
|
|
}
|
|
},
|
|
"alpha_pct": -49.8
|
|
},
|
|
"test": {
|
|
"final_equity": 135733266,
|
|
"total_return_pct": 35.73,
|
|
"cagr_pct": 165.0,
|
|
"mdd_pct": 7.53,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 4.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.1
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.9
|
|
}
|
|
},
|
|
"alpha_pct": -17.1
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.22,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.99,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 49.24,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 8.22
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145299798,
|
|
"total_return_pct": 45.3,
|
|
"cagr_pct": 67.28,
|
|
"mdd_pct": 9.87,
|
|
"trades": 68,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 42.6,
|
|
"profit_factor": 3.21,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.37
|
|
}
|
|
},
|
|
"alpha_pct": -49.8
|
|
},
|
|
"test": {
|
|
"final_equity": 135733266,
|
|
"total_return_pct": 35.73,
|
|
"cagr_pct": 165.0,
|
|
"mdd_pct": 7.53,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 4.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.1
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.9
|
|
}
|
|
},
|
|
"alpha_pct": -17.1
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.22,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.99,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 49.24,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 8.22
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142383146,
|
|
"total_return_pct": 42.38,
|
|
"cagr_pct": 62.67,
|
|
"mdd_pct": 9.96,
|
|
"trades": 63,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.3,
|
|
"profit_factor": 3.29,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.29
|
|
}
|
|
},
|
|
"alpha_pct": -52.72
|
|
},
|
|
"test": {
|
|
"final_equity": 127637477,
|
|
"total_return_pct": 27.64,
|
|
"cagr_pct": 117.8,
|
|
"mdd_pct": 7.1,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 45.0,
|
|
"profit_factor": 5.75,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.81
|
|
}
|
|
},
|
|
"alpha_pct": -25.19
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.17,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.74,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.77,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 8.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142383146,
|
|
"total_return_pct": 42.38,
|
|
"cagr_pct": 62.67,
|
|
"mdd_pct": 9.96,
|
|
"trades": 63,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.3,
|
|
"profit_factor": 3.29,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.29
|
|
}
|
|
},
|
|
"alpha_pct": -52.72
|
|
},
|
|
"test": {
|
|
"final_equity": 127637477,
|
|
"total_return_pct": 27.64,
|
|
"cagr_pct": 117.8,
|
|
"mdd_pct": 7.1,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 45.0,
|
|
"profit_factor": 5.75,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.81
|
|
}
|
|
},
|
|
"alpha_pct": -25.19
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.17,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.74,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 29.77,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 8.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140742545,
|
|
"total_return_pct": 40.74,
|
|
"cagr_pct": 60.1,
|
|
"mdd_pct": 9.95,
|
|
"trades": 64,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.2,
|
|
"profit_factor": 3.21,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.93
|
|
}
|
|
},
|
|
"alpha_pct": -54.36
|
|
},
|
|
"test": {
|
|
"final_equity": 126043029,
|
|
"total_return_pct": 26.04,
|
|
"cagr_pct": 109.24,
|
|
"mdd_pct": 5.92,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 4.91,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.21
|
|
}
|
|
},
|
|
"alpha_pct": -26.79
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.17,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.86,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.88,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 8.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140742545,
|
|
"total_return_pct": 40.74,
|
|
"cagr_pct": 60.1,
|
|
"mdd_pct": 9.95,
|
|
"trades": 64,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.2,
|
|
"profit_factor": 3.21,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.93
|
|
}
|
|
},
|
|
"alpha_pct": -54.36
|
|
},
|
|
"test": {
|
|
"final_equity": 126043029,
|
|
"total_return_pct": 26.04,
|
|
"cagr_pct": 109.24,
|
|
"mdd_pct": 5.92,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 4.91,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.21
|
|
}
|
|
},
|
|
"alpha_pct": -26.79
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.17,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.86,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.88,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 8.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 137355631,
|
|
"total_return_pct": 37.36,
|
|
"cagr_pct": 54.82,
|
|
"mdd_pct": 11.21,
|
|
"trades": 66,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 42.4,
|
|
"profit_factor": 3.11,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.31
|
|
}
|
|
},
|
|
"alpha_pct": -57.74
|
|
},
|
|
"test": {
|
|
"final_equity": 126001406,
|
|
"total_return_pct": 26.0,
|
|
"cagr_pct": 109.02,
|
|
"mdd_pct": 5.32,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 47.6,
|
|
"profit_factor": 5.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.17
|
|
}
|
|
},
|
|
"alpha_pct": -26.83
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.17,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.38,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 25.32,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 8.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 137355631,
|
|
"total_return_pct": 37.36,
|
|
"cagr_pct": 54.82,
|
|
"mdd_pct": 11.21,
|
|
"trades": 66,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 42.4,
|
|
"profit_factor": 3.11,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.31
|
|
}
|
|
},
|
|
"alpha_pct": -57.74
|
|
},
|
|
"test": {
|
|
"final_equity": 126001406,
|
|
"total_return_pct": 26.0,
|
|
"cagr_pct": 109.02,
|
|
"mdd_pct": 5.32,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 47.6,
|
|
"profit_factor": 5.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.17
|
|
}
|
|
},
|
|
"alpha_pct": -26.83
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.17,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.38,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 25.32,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 8.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146807045,
|
|
"total_return_pct": 46.81,
|
|
"cagr_pct": 69.68,
|
|
"mdd_pct": 12.44,
|
|
"trades": 73,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.6,
|
|
"profit_factor": 2.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.86
|
|
}
|
|
},
|
|
"alpha_pct": -48.29
|
|
},
|
|
"test": {
|
|
"final_equity": 123544044,
|
|
"total_return_pct": 23.54,
|
|
"cagr_pct": 96.29,
|
|
"mdd_pct": 5.33,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 3.9,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -29.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 37.71
|
|
}
|
|
},
|
|
"alpha_pct": -29.29
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.1,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.21,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.11,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 8.1
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146807045,
|
|
"total_return_pct": 46.81,
|
|
"cagr_pct": 69.68,
|
|
"mdd_pct": 12.44,
|
|
"trades": 73,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.6,
|
|
"profit_factor": 2.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.86
|
|
}
|
|
},
|
|
"alpha_pct": -48.29
|
|
},
|
|
"test": {
|
|
"final_equity": 123544044,
|
|
"total_return_pct": 23.54,
|
|
"cagr_pct": 96.29,
|
|
"mdd_pct": 5.33,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 3.9,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -29.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 37.71
|
|
}
|
|
},
|
|
"alpha_pct": -29.29
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.1,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.21,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.11,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 8.1
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143373955,
|
|
"total_return_pct": 43.37,
|
|
"cagr_pct": 64.24,
|
|
"mdd_pct": 12.3,
|
|
"trades": 68,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.8,
|
|
"profit_factor": 2.94,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.3
|
|
}
|
|
},
|
|
"alpha_pct": -51.73
|
|
},
|
|
"test": {
|
|
"final_equity": 122792197,
|
|
"total_return_pct": 22.79,
|
|
"cagr_pct": 92.51,
|
|
"mdd_pct": 6.49,
|
|
"trades": 16,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 3.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.96
|
|
}
|
|
},
|
|
"alpha_pct": -30.04
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.1,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 28.12,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 23.95,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 8.1
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143373955,
|
|
"total_return_pct": 43.37,
|
|
"cagr_pct": 64.24,
|
|
"mdd_pct": 12.3,
|
|
"trades": 68,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.8,
|
|
"profit_factor": 2.94,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.3
|
|
}
|
|
},
|
|
"alpha_pct": -51.73
|
|
},
|
|
"test": {
|
|
"final_equity": 122792197,
|
|
"total_return_pct": 22.79,
|
|
"cagr_pct": 92.51,
|
|
"mdd_pct": 6.49,
|
|
"trades": 16,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 3.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.96
|
|
}
|
|
},
|
|
"alpha_pct": -30.04
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.1,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 28.12,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 23.95,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 8.1
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 148265650,
|
|
"total_return_pct": 48.27,
|
|
"cagr_pct": 72.0,
|
|
"mdd_pct": 12.37,
|
|
"trades": 73,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.7,
|
|
"profit_factor": 3.21,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.6
|
|
}
|
|
},
|
|
"alpha_pct": -46.83
|
|
},
|
|
"test": {
|
|
"final_equity": 122036550,
|
|
"total_return_pct": 22.04,
|
|
"cagr_pct": 88.75,
|
|
"mdd_pct": 4.73,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.25,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.21
|
|
}
|
|
},
|
|
"alpha_pct": -30.79
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.1,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 31.85,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.89,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 8.1
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 148265650,
|
|
"total_return_pct": 48.27,
|
|
"cagr_pct": 72.0,
|
|
"mdd_pct": 12.37,
|
|
"trades": 73,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.7,
|
|
"profit_factor": 3.21,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.6
|
|
}
|
|
},
|
|
"alpha_pct": -46.83
|
|
},
|
|
"test": {
|
|
"final_equity": 122036550,
|
|
"total_return_pct": 22.04,
|
|
"cagr_pct": 88.75,
|
|
"mdd_pct": 4.73,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 3.25,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -30.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 36.21
|
|
}
|
|
},
|
|
"alpha_pct": -30.79
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.1,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 31.85,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.89,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 8.1
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138030145,
|
|
"total_return_pct": 38.03,
|
|
"cagr_pct": 55.87,
|
|
"mdd_pct": 11.01,
|
|
"trades": 76,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 2.9,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.64
|
|
}
|
|
},
|
|
"alpha_pct": -57.07
|
|
},
|
|
"test": {
|
|
"final_equity": 132311892,
|
|
"total_return_pct": 32.31,
|
|
"cagr_pct": 144.28,
|
|
"mdd_pct": 5.75,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 4.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.48
|
|
}
|
|
},
|
|
"alpha_pct": -20.52
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.99,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.83,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.29,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 7.99
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138030145,
|
|
"total_return_pct": 38.03,
|
|
"cagr_pct": 55.87,
|
|
"mdd_pct": 11.01,
|
|
"trades": 76,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 2.9,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.64
|
|
}
|
|
},
|
|
"alpha_pct": -57.07
|
|
},
|
|
"test": {
|
|
"final_equity": 132311892,
|
|
"total_return_pct": 32.31,
|
|
"cagr_pct": 144.28,
|
|
"mdd_pct": 5.75,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 4.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.48
|
|
}
|
|
},
|
|
"alpha_pct": -20.52
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.99,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.83,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.29,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 7.99
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143513367,
|
|
"total_return_pct": 43.51,
|
|
"cagr_pct": 64.46,
|
|
"mdd_pct": 10.01,
|
|
"trades": 74,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.2,
|
|
"profit_factor": 2.92,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.16
|
|
}
|
|
},
|
|
"alpha_pct": -51.59
|
|
},
|
|
"test": {
|
|
"final_equity": 131666462,
|
|
"total_return_pct": 31.67,
|
|
"cagr_pct": 140.5,
|
|
"mdd_pct": 6.78,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 30.4,
|
|
"profit_factor": 4.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.84
|
|
}
|
|
},
|
|
"alpha_pct": -21.16
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.99,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.41,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.97,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 7.99
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143513367,
|
|
"total_return_pct": 43.51,
|
|
"cagr_pct": 64.46,
|
|
"mdd_pct": 10.01,
|
|
"trades": 74,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.2,
|
|
"profit_factor": 2.92,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.16
|
|
}
|
|
},
|
|
"alpha_pct": -51.59
|
|
},
|
|
"test": {
|
|
"final_equity": 131666462,
|
|
"total_return_pct": 31.67,
|
|
"cagr_pct": 140.5,
|
|
"mdd_pct": 6.78,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 30.4,
|
|
"profit_factor": 4.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.84
|
|
}
|
|
},
|
|
"alpha_pct": -21.16
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.99,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.41,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.97,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 7.99
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137750762,
|
|
"total_return_pct": 37.75,
|
|
"cagr_pct": 55.43,
|
|
"mdd_pct": 14.3,
|
|
"trades": 75,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 2.21,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.92
|
|
}
|
|
},
|
|
"alpha_pct": -57.35
|
|
},
|
|
"test": {
|
|
"final_equity": 139321173,
|
|
"total_return_pct": 39.32,
|
|
"cagr_pct": 188.0,
|
|
"mdd_pct": 9.04,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 4.77,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.49
|
|
}
|
|
},
|
|
"alpha_pct": -13.51
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.98,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.32,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 47.76,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137750762,
|
|
"total_return_pct": 37.75,
|
|
"cagr_pct": 55.43,
|
|
"mdd_pct": 14.3,
|
|
"trades": 75,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 2.21,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.92
|
|
}
|
|
},
|
|
"alpha_pct": -57.35
|
|
},
|
|
"test": {
|
|
"final_equity": 139321173,
|
|
"total_return_pct": 39.32,
|
|
"cagr_pct": 188.0,
|
|
"mdd_pct": 9.04,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 4.77,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.49
|
|
}
|
|
},
|
|
"alpha_pct": -13.51
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.98,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.32,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 47.76,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141781536,
|
|
"total_return_pct": 41.78,
|
|
"cagr_pct": 61.73,
|
|
"mdd_pct": 14.31,
|
|
"trades": 74,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.8,
|
|
"profit_factor": 2.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.89
|
|
}
|
|
},
|
|
"alpha_pct": -53.32
|
|
},
|
|
"test": {
|
|
"final_equity": 136963267,
|
|
"total_return_pct": 36.96,
|
|
"cagr_pct": 172.74,
|
|
"mdd_pct": 8.63,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -15.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 51.13
|
|
}
|
|
},
|
|
"alpha_pct": -15.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.98,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 33.66,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.29,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 7.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141781536,
|
|
"total_return_pct": 41.78,
|
|
"cagr_pct": 61.73,
|
|
"mdd_pct": 14.31,
|
|
"trades": 74,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.8,
|
|
"profit_factor": 2.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.89
|
|
}
|
|
},
|
|
"alpha_pct": -53.32
|
|
},
|
|
"test": {
|
|
"final_equity": 136963267,
|
|
"total_return_pct": 36.96,
|
|
"cagr_pct": 172.74,
|
|
"mdd_pct": 8.63,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -15.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 51.13
|
|
}
|
|
},
|
|
"alpha_pct": -15.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.98,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 33.66,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.29,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 7.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144516991,
|
|
"total_return_pct": 44.52,
|
|
"cagr_pct": 66.04,
|
|
"mdd_pct": 11.19,
|
|
"trades": 58,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.2,
|
|
"profit_factor": 2.7,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.58
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.15
|
|
}
|
|
},
|
|
"alpha_pct": -50.58
|
|
},
|
|
"test": {
|
|
"final_equity": 136963267,
|
|
"total_return_pct": 36.96,
|
|
"cagr_pct": 172.74,
|
|
"mdd_pct": 8.63,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -15.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 51.13
|
|
}
|
|
},
|
|
"alpha_pct": -15.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.98,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.33,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.29,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 7.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144516991,
|
|
"total_return_pct": 44.52,
|
|
"cagr_pct": 66.04,
|
|
"mdd_pct": 11.19,
|
|
"trades": 58,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.2,
|
|
"profit_factor": 2.7,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.58
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.15
|
|
}
|
|
},
|
|
"alpha_pct": -50.58
|
|
},
|
|
"test": {
|
|
"final_equity": 136963267,
|
|
"total_return_pct": 36.96,
|
|
"cagr_pct": 172.74,
|
|
"mdd_pct": 8.63,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -15.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 51.13
|
|
}
|
|
},
|
|
"alpha_pct": -15.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.98,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.33,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.29,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 7.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138749715,
|
|
"total_return_pct": 38.75,
|
|
"cagr_pct": 56.99,
|
|
"mdd_pct": 13.1,
|
|
"trades": 75,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 2.37,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.92
|
|
}
|
|
},
|
|
"alpha_pct": -56.35
|
|
},
|
|
"test": {
|
|
"final_equity": 134614491,
|
|
"total_return_pct": 34.61,
|
|
"cagr_pct": 158.1,
|
|
"mdd_pct": 7.23,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 5.11,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.78
|
|
}
|
|
},
|
|
"alpha_pct": -18.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.98,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.51,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.1,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138749715,
|
|
"total_return_pct": 38.75,
|
|
"cagr_pct": 56.99,
|
|
"mdd_pct": 13.1,
|
|
"trades": 75,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 2.37,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.92
|
|
}
|
|
},
|
|
"alpha_pct": -56.35
|
|
},
|
|
"test": {
|
|
"final_equity": 134614491,
|
|
"total_return_pct": 34.61,
|
|
"cagr_pct": 158.1,
|
|
"mdd_pct": 7.23,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 5.11,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.78
|
|
}
|
|
},
|
|
"alpha_pct": -18.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.98,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.51,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 38.1,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142904424,
|
|
"total_return_pct": 42.9,
|
|
"cagr_pct": 63.5,
|
|
"mdd_pct": 13.11,
|
|
"trades": 74,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.8,
|
|
"profit_factor": 2.51,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.77
|
|
}
|
|
},
|
|
"alpha_pct": -52.2
|
|
},
|
|
"test": {
|
|
"final_equity": 132426136,
|
|
"total_return_pct": 32.43,
|
|
"cagr_pct": 144.95,
|
|
"mdd_pct": 7.16,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 5.15,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.6
|
|
}
|
|
},
|
|
"alpha_pct": -20.4
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.98,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 33.02,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 35.85,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 7.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142904424,
|
|
"total_return_pct": 42.9,
|
|
"cagr_pct": 63.5,
|
|
"mdd_pct": 13.11,
|
|
"trades": 74,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.8,
|
|
"profit_factor": 2.51,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.77
|
|
}
|
|
},
|
|
"alpha_pct": -52.2
|
|
},
|
|
"test": {
|
|
"final_equity": 132426136,
|
|
"total_return_pct": 32.43,
|
|
"cagr_pct": 144.95,
|
|
"mdd_pct": 7.16,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 5.15,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.6
|
|
}
|
|
},
|
|
"alpha_pct": -20.4
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.98,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 33.02,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 35.85,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 7.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 150098967,
|
|
"total_return_pct": 50.1,
|
|
"cagr_pct": 74.94,
|
|
"mdd_pct": 10.26,
|
|
"trades": 58,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.2,
|
|
"profit_factor": 3.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.43
|
|
}
|
|
},
|
|
"alpha_pct": -45.0
|
|
},
|
|
"test": {
|
|
"final_equity": 132426136,
|
|
"total_return_pct": 32.43,
|
|
"cagr_pct": 144.95,
|
|
"mdd_pct": 7.16,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 5.15,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.6
|
|
}
|
|
},
|
|
"alpha_pct": -20.4
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.98,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 31.6,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 35.85,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 7.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 150098967,
|
|
"total_return_pct": 50.1,
|
|
"cagr_pct": 74.94,
|
|
"mdd_pct": 10.26,
|
|
"trades": 58,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.2,
|
|
"profit_factor": 3.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.43
|
|
}
|
|
},
|
|
"alpha_pct": -45.0
|
|
},
|
|
"test": {
|
|
"final_equity": 132426136,
|
|
"total_return_pct": 32.43,
|
|
"cagr_pct": 144.95,
|
|
"mdd_pct": 7.16,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 5.15,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.6
|
|
}
|
|
},
|
|
"alpha_pct": -20.4
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.98,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 31.6,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 35.85,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 7.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136756742,
|
|
"total_return_pct": 36.76,
|
|
"cagr_pct": 53.89,
|
|
"mdd_pct": 11.32,
|
|
"trades": 76,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 2.74,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.91
|
|
}
|
|
},
|
|
"alpha_pct": -58.34
|
|
},
|
|
"test": {
|
|
"final_equity": 133879543,
|
|
"total_return_pct": 33.88,
|
|
"cagr_pct": 153.63,
|
|
"mdd_pct": 7.18,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 4.19,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.05
|
|
}
|
|
},
|
|
"alpha_pct": -18.95
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.96,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.92,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 30.44,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 7.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136756742,
|
|
"total_return_pct": 36.76,
|
|
"cagr_pct": 53.89,
|
|
"mdd_pct": 11.32,
|
|
"trades": 76,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 2.74,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.91
|
|
}
|
|
},
|
|
"alpha_pct": -58.34
|
|
},
|
|
"test": {
|
|
"final_equity": 133879543,
|
|
"total_return_pct": 33.88,
|
|
"cagr_pct": 153.63,
|
|
"mdd_pct": 7.18,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 4.19,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.05
|
|
}
|
|
},
|
|
"alpha_pct": -18.95
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.96,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.92,
|
|
"trades": 33
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 30.44,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 7.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143854606,
|
|
"total_return_pct": 43.85,
|
|
"cagr_pct": 64.99,
|
|
"mdd_pct": 10.02,
|
|
"trades": 74,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.2,
|
|
"profit_factor": 2.78,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.82
|
|
}
|
|
},
|
|
"alpha_pct": -51.25
|
|
},
|
|
"test": {
|
|
"final_equity": 133330148,
|
|
"total_return_pct": 33.33,
|
|
"cagr_pct": 150.33,
|
|
"mdd_pct": 7.64,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 30.4,
|
|
"profit_factor": 3.93,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.5
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.5
|
|
}
|
|
},
|
|
"alpha_pct": -19.5
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.96,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.38,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 41.35,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 7.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143854606,
|
|
"total_return_pct": 43.85,
|
|
"cagr_pct": 64.99,
|
|
"mdd_pct": 10.02,
|
|
"trades": 74,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.2,
|
|
"profit_factor": 2.78,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.82
|
|
}
|
|
},
|
|
"alpha_pct": -51.25
|
|
},
|
|
"test": {
|
|
"final_equity": 133330148,
|
|
"total_return_pct": 33.33,
|
|
"cagr_pct": 150.33,
|
|
"mdd_pct": 7.64,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 30.4,
|
|
"profit_factor": 3.93,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.5
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.5
|
|
}
|
|
},
|
|
"alpha_pct": -19.5
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.96,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.38,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 41.35,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 7.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 150069897,
|
|
"total_return_pct": 50.07,
|
|
"cagr_pct": 74.89,
|
|
"mdd_pct": 10.96,
|
|
"trades": 44,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.6,
|
|
"profit_factor": 5.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.03
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.4
|
|
}
|
|
},
|
|
"alpha_pct": -45.03
|
|
},
|
|
"test": {
|
|
"final_equity": 129754873,
|
|
"total_return_pct": 29.75,
|
|
"cagr_pct": 129.54,
|
|
"mdd_pct": 8.06,
|
|
"trades": 12,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 41.7,
|
|
"profit_factor": 6.88,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.08
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.92
|
|
}
|
|
},
|
|
"alpha_pct": -23.08
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.96,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.83,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 26.6,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 7.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 150069897,
|
|
"total_return_pct": 50.07,
|
|
"cagr_pct": 74.89,
|
|
"mdd_pct": 10.96,
|
|
"trades": 44,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.6,
|
|
"profit_factor": 5.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.03
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.4
|
|
}
|
|
},
|
|
"alpha_pct": -45.03
|
|
},
|
|
"test": {
|
|
"final_equity": 129754873,
|
|
"total_return_pct": 29.75,
|
|
"cagr_pct": 129.54,
|
|
"mdd_pct": 8.06,
|
|
"trades": 12,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 41.7,
|
|
"profit_factor": 6.88,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -23.08
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 43.92
|
|
}
|
|
},
|
|
"alpha_pct": -23.08
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.96,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.83,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 26.6,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 7.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 144893117,
|
|
"total_return_pct": 44.89,
|
|
"cagr_pct": 66.64,
|
|
"mdd_pct": 11.65,
|
|
"trades": 46,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 5.0,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.78
|
|
}
|
|
},
|
|
"alpha_pct": -50.21
|
|
},
|
|
"test": {
|
|
"final_equity": 123567471,
|
|
"total_return_pct": 23.57,
|
|
"cagr_pct": 96.41,
|
|
"mdd_pct": 4.55,
|
|
"trades": 15,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.16,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -29.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 37.74
|
|
}
|
|
},
|
|
"alpha_pct": -29.26
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.96,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.01,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.46,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 7.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 144893117,
|
|
"total_return_pct": 44.89,
|
|
"cagr_pct": 66.64,
|
|
"mdd_pct": 11.65,
|
|
"trades": 46,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 5.0,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.78
|
|
}
|
|
},
|
|
"alpha_pct": -50.21
|
|
},
|
|
"test": {
|
|
"final_equity": 123567471,
|
|
"total_return_pct": 23.57,
|
|
"cagr_pct": 96.41,
|
|
"mdd_pct": 4.55,
|
|
"trades": 15,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.16,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -29.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 37.74
|
|
}
|
|
},
|
|
"alpha_pct": -29.26
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.96,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.01,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.46,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 7.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146642005,
|
|
"total_return_pct": 46.64,
|
|
"cagr_pct": 69.41,
|
|
"mdd_pct": 11.84,
|
|
"trades": 45,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.03
|
|
}
|
|
},
|
|
"alpha_pct": -48.46
|
|
},
|
|
"test": {
|
|
"final_equity": 123567471,
|
|
"total_return_pct": 23.57,
|
|
"cagr_pct": 96.41,
|
|
"mdd_pct": 4.55,
|
|
"trades": 15,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.16,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -29.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 37.74
|
|
}
|
|
},
|
|
"alpha_pct": -29.26
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.96,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.86,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.46,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 7.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146642005,
|
|
"total_return_pct": 46.64,
|
|
"cagr_pct": 69.41,
|
|
"mdd_pct": 11.84,
|
|
"trades": 45,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.03
|
|
}
|
|
},
|
|
"alpha_pct": -48.46
|
|
},
|
|
"test": {
|
|
"final_equity": 123567471,
|
|
"total_return_pct": 23.57,
|
|
"cagr_pct": 96.41,
|
|
"mdd_pct": 4.55,
|
|
"trades": 15,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 5.16,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -29.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 37.74
|
|
}
|
|
},
|
|
"alpha_pct": -29.26
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.96,
|
|
"trades": 11
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.86,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 20.46,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 7.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 150083899,
|
|
"total_return_pct": 50.08,
|
|
"cagr_pct": 74.91,
|
|
"mdd_pct": 11.04,
|
|
"trades": 54,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.7,
|
|
"profit_factor": 4.26,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.41
|
|
}
|
|
},
|
|
"alpha_pct": -45.02
|
|
},
|
|
"test": {
|
|
"final_equity": 120841276,
|
|
"total_return_pct": 20.84,
|
|
"cagr_pct": 82.92,
|
|
"mdd_pct": 4.78,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 4.44,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -31.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 35.01
|
|
}
|
|
},
|
|
"alpha_pct": -31.99
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.96,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.11,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.63,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 7.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 150083899,
|
|
"total_return_pct": 50.08,
|
|
"cagr_pct": 74.91,
|
|
"mdd_pct": 11.04,
|
|
"trades": 54,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.7,
|
|
"profit_factor": 4.26,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.41
|
|
}
|
|
},
|
|
"alpha_pct": -45.02
|
|
},
|
|
"test": {
|
|
"final_equity": 120841276,
|
|
"total_return_pct": 20.84,
|
|
"cagr_pct": 82.92,
|
|
"mdd_pct": 4.78,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 4.44,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -31.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 35.01
|
|
}
|
|
},
|
|
"alpha_pct": -31.99
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.96,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.11,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.63,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 7.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 154534184,
|
|
"total_return_pct": 54.53,
|
|
"cagr_pct": 82.09,
|
|
"mdd_pct": 10.22,
|
|
"trades": 50,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.0,
|
|
"profit_factor": 4.97,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.57
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 6.86
|
|
}
|
|
},
|
|
"alpha_pct": -40.57
|
|
},
|
|
"test": {
|
|
"final_equity": 120423385,
|
|
"total_return_pct": 20.42,
|
|
"cagr_pct": 80.91,
|
|
"mdd_pct": 4.79,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.29,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -32.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 34.59
|
|
}
|
|
},
|
|
"alpha_pct": -32.41
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.96,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.44,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.36,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 7.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 154534184,
|
|
"total_return_pct": 54.53,
|
|
"cagr_pct": 82.09,
|
|
"mdd_pct": 10.22,
|
|
"trades": 50,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.0,
|
|
"profit_factor": 4.97,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -40.57
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 6.86
|
|
}
|
|
},
|
|
"alpha_pct": -40.57
|
|
},
|
|
"test": {
|
|
"final_equity": 120423385,
|
|
"total_return_pct": 20.42,
|
|
"cagr_pct": 80.91,
|
|
"mdd_pct": 4.79,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.29,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -32.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 34.59
|
|
}
|
|
},
|
|
"alpha_pct": -32.41
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.96,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.44,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.36,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 7.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 125054579,
|
|
"total_return_pct": 25.05,
|
|
"cagr_pct": 36.05,
|
|
"mdd_pct": 14.24,
|
|
"trades": 67,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 26.9,
|
|
"profit_factor": 1.83,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -70.05
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -22.62
|
|
}
|
|
},
|
|
"alpha_pct": -70.05
|
|
},
|
|
"test": {
|
|
"final_equity": 105345078,
|
|
"total_return_pct": 5.35,
|
|
"cagr_pct": 18.07,
|
|
"mdd_pct": 8.82,
|
|
"trades": 18,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.85,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.52
|
|
}
|
|
},
|
|
"alpha_pct": -47.48
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.9,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.81,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.46,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.9
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 125054579,
|
|
"total_return_pct": 25.05,
|
|
"cagr_pct": 36.05,
|
|
"mdd_pct": 14.24,
|
|
"trades": 67,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 26.9,
|
|
"profit_factor": 1.83,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -70.05
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -22.62
|
|
}
|
|
},
|
|
"alpha_pct": -70.05
|
|
},
|
|
"test": {
|
|
"final_equity": 105345078,
|
|
"total_return_pct": 5.35,
|
|
"cagr_pct": 18.07,
|
|
"mdd_pct": 8.82,
|
|
"trades": 18,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.85,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.52
|
|
}
|
|
},
|
|
"alpha_pct": -47.48
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.9,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.81,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.46,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.9
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 149815352,
|
|
"total_return_pct": 49.82,
|
|
"cagr_pct": 74.48,
|
|
"mdd_pct": 9.97,
|
|
"trades": 56,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 3.66,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.28
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.15
|
|
}
|
|
},
|
|
"alpha_pct": -45.28
|
|
},
|
|
"test": {
|
|
"final_equity": 108842747,
|
|
"total_return_pct": 8.84,
|
|
"cagr_pct": 31.03,
|
|
"mdd_pct": 7.76,
|
|
"trades": 23,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.4,
|
|
"profit_factor": 1.98,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -43.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 23.01
|
|
}
|
|
},
|
|
"alpha_pct": -43.99
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.37,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.37,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.88,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 7.88
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 149815352,
|
|
"total_return_pct": 49.82,
|
|
"cagr_pct": 74.48,
|
|
"mdd_pct": 9.97,
|
|
"trades": 56,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 3.66,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.28
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.15
|
|
}
|
|
},
|
|
"alpha_pct": -45.28
|
|
},
|
|
"test": {
|
|
"final_equity": 108842747,
|
|
"total_return_pct": 8.84,
|
|
"cagr_pct": 31.03,
|
|
"mdd_pct": 7.76,
|
|
"trades": 23,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.4,
|
|
"profit_factor": 1.98,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -43.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 23.01
|
|
}
|
|
},
|
|
"alpha_pct": -43.99
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.37,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.37,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.88,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 7.88
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131337250,
|
|
"total_return_pct": 31.34,
|
|
"cagr_pct": 45.55,
|
|
"mdd_pct": 14.16,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 2.14,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.33
|
|
}
|
|
},
|
|
"alpha_pct": -63.76
|
|
},
|
|
"test": {
|
|
"final_equity": 108699142,
|
|
"total_return_pct": 8.7,
|
|
"cagr_pct": 30.48,
|
|
"mdd_pct": 9.62,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 2.31,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.87
|
|
}
|
|
},
|
|
"alpha_pct": -44.13
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.85,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.62,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.82,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 7.85
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131337250,
|
|
"total_return_pct": 31.34,
|
|
"cagr_pct": 45.55,
|
|
"mdd_pct": 14.16,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 2.14,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.33
|
|
}
|
|
},
|
|
"alpha_pct": -63.76
|
|
},
|
|
"test": {
|
|
"final_equity": 108699142,
|
|
"total_return_pct": 8.7,
|
|
"cagr_pct": 30.48,
|
|
"mdd_pct": 9.62,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 2.31,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.87
|
|
}
|
|
},
|
|
"alpha_pct": -44.13
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.85,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.62,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.82,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 7.85
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130345175,
|
|
"total_return_pct": 30.35,
|
|
"cagr_pct": 44.04,
|
|
"mdd_pct": 12.76,
|
|
"trades": 58,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 27.6,
|
|
"profit_factor": 2.08,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.32
|
|
}
|
|
},
|
|
"alpha_pct": -64.75
|
|
},
|
|
"test": {
|
|
"final_equity": 100609895,
|
|
"total_return_pct": 0.61,
|
|
"cagr_pct": 1.96,
|
|
"mdd_pct": 7.47,
|
|
"trades": 17,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 1.24,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.78
|
|
}
|
|
},
|
|
"alpha_pct": -52.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.83,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.21,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 13.74,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 7.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130345175,
|
|
"total_return_pct": 30.35,
|
|
"cagr_pct": 44.04,
|
|
"mdd_pct": 12.76,
|
|
"trades": 58,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 27.6,
|
|
"profit_factor": 2.08,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.32
|
|
}
|
|
},
|
|
"alpha_pct": -64.75
|
|
},
|
|
"test": {
|
|
"final_equity": 100609895,
|
|
"total_return_pct": 0.61,
|
|
"cagr_pct": 1.96,
|
|
"mdd_pct": 7.47,
|
|
"trades": 17,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 1.24,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.78
|
|
}
|
|
},
|
|
"alpha_pct": -52.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.83,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.21,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 13.74,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 7.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145826041,
|
|
"total_return_pct": 45.83,
|
|
"cagr_pct": 68.12,
|
|
"mdd_pct": 9.94,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.1,
|
|
"profit_factor": 3.8,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.84
|
|
}
|
|
},
|
|
"alpha_pct": -49.27
|
|
},
|
|
"test": {
|
|
"final_equity": 132820146,
|
|
"total_return_pct": 32.82,
|
|
"cagr_pct": 147.28,
|
|
"mdd_pct": 6.05,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 7.48,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.99
|
|
}
|
|
},
|
|
"alpha_pct": -20.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.49,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.8,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 43.45,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.8
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145826041,
|
|
"total_return_pct": 45.83,
|
|
"cagr_pct": 68.12,
|
|
"mdd_pct": 9.94,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.1,
|
|
"profit_factor": 3.8,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.84
|
|
}
|
|
},
|
|
"alpha_pct": -49.27
|
|
},
|
|
"test": {
|
|
"final_equity": 132820146,
|
|
"total_return_pct": 32.82,
|
|
"cagr_pct": 147.28,
|
|
"mdd_pct": 6.05,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 7.48,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.99
|
|
}
|
|
},
|
|
"alpha_pct": -20.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.49,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.8,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 43.45,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.8
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 149111328,
|
|
"total_return_pct": 49.11,
|
|
"cagr_pct": 73.35,
|
|
"mdd_pct": 9.95,
|
|
"trades": 54,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 4.22,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.44
|
|
}
|
|
},
|
|
"alpha_pct": -45.99
|
|
},
|
|
"test": {
|
|
"final_equity": 132820146,
|
|
"total_return_pct": 32.82,
|
|
"cagr_pct": 147.28,
|
|
"mdd_pct": 6.05,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 7.48,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.99
|
|
}
|
|
},
|
|
"alpha_pct": -20.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.97,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.72,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 43.45,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.72
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 149111328,
|
|
"total_return_pct": 49.11,
|
|
"cagr_pct": 73.35,
|
|
"mdd_pct": 9.95,
|
|
"trades": 54,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 4.22,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.44
|
|
}
|
|
},
|
|
"alpha_pct": -45.99
|
|
},
|
|
"test": {
|
|
"final_equity": 132820146,
|
|
"total_return_pct": 32.82,
|
|
"cagr_pct": 147.28,
|
|
"mdd_pct": 6.05,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 7.48,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.99
|
|
}
|
|
},
|
|
"alpha_pct": -20.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.97,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.72,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 43.45,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.72
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 138667925,
|
|
"total_return_pct": 38.67,
|
|
"cagr_pct": 56.86,
|
|
"mdd_pct": 15.0,
|
|
"trades": 40,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.56,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.0
|
|
}
|
|
},
|
|
"alpha_pct": -56.43
|
|
},
|
|
"test": {
|
|
"final_equity": 107120032,
|
|
"total_return_pct": 7.12,
|
|
"cagr_pct": 24.53,
|
|
"mdd_pct": 9.8,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 2.04,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -45.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 21.29
|
|
}
|
|
},
|
|
"alpha_pct": -45.71
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.81,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.69,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.7,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 7.7
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 138667925,
|
|
"total_return_pct": 38.67,
|
|
"cagr_pct": 56.86,
|
|
"mdd_pct": 15.0,
|
|
"trades": 40,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.56,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.0
|
|
}
|
|
},
|
|
"alpha_pct": -56.43
|
|
},
|
|
"test": {
|
|
"final_equity": 107120032,
|
|
"total_return_pct": 7.12,
|
|
"cagr_pct": 24.53,
|
|
"mdd_pct": 9.8,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 2.04,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -45.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 21.29
|
|
}
|
|
},
|
|
"alpha_pct": -45.71
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.81,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.69,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.7,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 7.7
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 139013819,
|
|
"total_return_pct": 39.01,
|
|
"cagr_pct": 57.4,
|
|
"mdd_pct": 13.91,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.2,
|
|
"profit_factor": 2.58,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.09
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.66
|
|
}
|
|
},
|
|
"alpha_pct": -56.09
|
|
},
|
|
"test": {
|
|
"final_equity": 105321902,
|
|
"total_return_pct": 5.32,
|
|
"cagr_pct": 17.99,
|
|
"mdd_pct": 8.28,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 1.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.49
|
|
}
|
|
},
|
|
"alpha_pct": -47.51
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.67,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.76,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.58,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 7.67
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 139013819,
|
|
"total_return_pct": 39.01,
|
|
"cagr_pct": 57.4,
|
|
"mdd_pct": 13.91,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.2,
|
|
"profit_factor": 2.58,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.09
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.66
|
|
}
|
|
},
|
|
"alpha_pct": -56.09
|
|
},
|
|
"test": {
|
|
"final_equity": 105321902,
|
|
"total_return_pct": 5.32,
|
|
"cagr_pct": 17.99,
|
|
"mdd_pct": 8.28,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 1.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.49
|
|
}
|
|
},
|
|
"alpha_pct": -47.51
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.67,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.76,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 21.58,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 7.67
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136012252,
|
|
"total_return_pct": 36.01,
|
|
"cagr_pct": 52.74,
|
|
"mdd_pct": 14.15,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.4,
|
|
"profit_factor": 2.28,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -59.09
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.66
|
|
}
|
|
},
|
|
"alpha_pct": -59.09
|
|
},
|
|
"test": {
|
|
"final_equity": 103411136,
|
|
"total_return_pct": 3.41,
|
|
"cagr_pct": 11.29,
|
|
"mdd_pct": 8.42,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 1.31,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.58
|
|
}
|
|
},
|
|
"alpha_pct": -49.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.67,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.48,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 14.94,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 7.67
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136012252,
|
|
"total_return_pct": 36.01,
|
|
"cagr_pct": 52.74,
|
|
"mdd_pct": 14.15,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.4,
|
|
"profit_factor": 2.28,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -59.09
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.66
|
|
}
|
|
},
|
|
"alpha_pct": -59.09
|
|
},
|
|
"test": {
|
|
"final_equity": 103411136,
|
|
"total_return_pct": 3.41,
|
|
"cagr_pct": 11.29,
|
|
"mdd_pct": 8.42,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 1.31,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.58
|
|
}
|
|
},
|
|
"alpha_pct": -49.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.67,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.48,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 14.94,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 7.67
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 134614110,
|
|
"total_return_pct": 34.61,
|
|
"cagr_pct": 50.58,
|
|
"mdd_pct": 14.7,
|
|
"trades": 64,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 2.25,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.06
|
|
}
|
|
},
|
|
"alpha_pct": -60.49
|
|
},
|
|
"test": {
|
|
"final_equity": 100540168,
|
|
"total_return_pct": 0.54,
|
|
"cagr_pct": 1.73,
|
|
"mdd_pct": 13.82,
|
|
"trades": 17,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 11.8,
|
|
"profit_factor": 0.75,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.71
|
|
}
|
|
},
|
|
"alpha_pct": -52.29
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.67,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.0,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 18.7,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 7.67
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 134614110,
|
|
"total_return_pct": 34.61,
|
|
"cagr_pct": 50.58,
|
|
"mdd_pct": 14.7,
|
|
"trades": 64,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 2.25,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.06
|
|
}
|
|
},
|
|
"alpha_pct": -60.49
|
|
},
|
|
"test": {
|
|
"final_equity": 100540168,
|
|
"total_return_pct": 0.54,
|
|
"cagr_pct": 1.73,
|
|
"mdd_pct": 13.82,
|
|
"trades": 17,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 11.8,
|
|
"profit_factor": 0.75,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.71
|
|
}
|
|
},
|
|
"alpha_pct": -52.29
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.67,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.0,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 18.7,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 7.67
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136706046,
|
|
"total_return_pct": 36.71,
|
|
"cagr_pct": 53.81,
|
|
"mdd_pct": 14.63,
|
|
"trades": 74,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.4,
|
|
"profit_factor": 2.42,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.96
|
|
}
|
|
},
|
|
"alpha_pct": -58.39
|
|
},
|
|
"test": {
|
|
"final_equity": 100090141,
|
|
"total_return_pct": 0.09,
|
|
"cagr_pct": 0.29,
|
|
"mdd_pct": 10.08,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.26
|
|
}
|
|
},
|
|
"alpha_pct": -52.74
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.63,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.71,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.55,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 7.63
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136706046,
|
|
"total_return_pct": 36.71,
|
|
"cagr_pct": 53.81,
|
|
"mdd_pct": 14.63,
|
|
"trades": 74,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.4,
|
|
"profit_factor": 2.42,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.96
|
|
}
|
|
},
|
|
"alpha_pct": -58.39
|
|
},
|
|
"test": {
|
|
"final_equity": 100090141,
|
|
"total_return_pct": 0.09,
|
|
"cagr_pct": 0.29,
|
|
"mdd_pct": 10.08,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.26
|
|
}
|
|
},
|
|
"alpha_pct": -52.74
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.63,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.71,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.55,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 7.63
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 135642578,
|
|
"total_return_pct": 35.64,
|
|
"cagr_pct": 52.17,
|
|
"mdd_pct": 11.03,
|
|
"trades": 77,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.1,
|
|
"profit_factor": 2.51,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -59.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.03
|
|
}
|
|
},
|
|
"alpha_pct": -59.46
|
|
},
|
|
"test": {
|
|
"final_equity": 98974171,
|
|
"total_return_pct": -1.03,
|
|
"cagr_pct": -3.24,
|
|
"mdd_pct": 10.88,
|
|
"trades": 25,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 1.0,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.14
|
|
}
|
|
},
|
|
"alpha_pct": -53.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.63,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.08,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.34,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 7.63
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 135642578,
|
|
"total_return_pct": 35.64,
|
|
"cagr_pct": 52.17,
|
|
"mdd_pct": 11.03,
|
|
"trades": 77,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.1,
|
|
"profit_factor": 2.51,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -59.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.03
|
|
}
|
|
},
|
|
"alpha_pct": -59.46
|
|
},
|
|
"test": {
|
|
"final_equity": 98974171,
|
|
"total_return_pct": -1.03,
|
|
"cagr_pct": -3.24,
|
|
"mdd_pct": 10.88,
|
|
"trades": 25,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 1.0,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.14
|
|
}
|
|
},
|
|
"alpha_pct": -53.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.63,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.08,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.34,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 7.63
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136562730,
|
|
"total_return_pct": 36.56,
|
|
"cagr_pct": 53.59,
|
|
"mdd_pct": 11.75,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.9,
|
|
"profit_factor": 2.64,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.11
|
|
}
|
|
},
|
|
"alpha_pct": -58.54
|
|
},
|
|
"test": {
|
|
"final_equity": 105294192,
|
|
"total_return_pct": 5.29,
|
|
"cagr_pct": 17.89,
|
|
"mdd_pct": 5.98,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.39,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.46
|
|
}
|
|
},
|
|
"alpha_pct": -47.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.62,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.07,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 13.29,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 7.62
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136562730,
|
|
"total_return_pct": 36.56,
|
|
"cagr_pct": 53.59,
|
|
"mdd_pct": 11.75,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.9,
|
|
"profit_factor": 2.64,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.11
|
|
}
|
|
},
|
|
"alpha_pct": -58.54
|
|
},
|
|
"test": {
|
|
"final_equity": 105294192,
|
|
"total_return_pct": 5.29,
|
|
"cagr_pct": 17.89,
|
|
"mdd_pct": 5.98,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.39,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.46
|
|
}
|
|
},
|
|
"alpha_pct": -47.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.62,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.07,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 13.29,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 7.62
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138402910,
|
|
"total_return_pct": 38.4,
|
|
"cagr_pct": 56.45,
|
|
"mdd_pct": 9.55,
|
|
"trades": 54,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 29.6,
|
|
"profit_factor": 2.38,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.7
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.27
|
|
}
|
|
},
|
|
"alpha_pct": -56.7
|
|
},
|
|
"test": {
|
|
"final_equity": 99811264,
|
|
"total_return_pct": -0.19,
|
|
"cagr_pct": -0.6,
|
|
"mdd_pct": 12.18,
|
|
"trades": 15,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 13.3,
|
|
"profit_factor": 0.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.98
|
|
}
|
|
},
|
|
"alpha_pct": -53.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.62,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 28.01,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.33,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 7.62
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138402910,
|
|
"total_return_pct": 38.4,
|
|
"cagr_pct": 56.45,
|
|
"mdd_pct": 9.55,
|
|
"trades": 54,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 29.6,
|
|
"profit_factor": 2.38,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.7
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.27
|
|
}
|
|
},
|
|
"alpha_pct": -56.7
|
|
},
|
|
"test": {
|
|
"final_equity": 99811264,
|
|
"total_return_pct": -0.19,
|
|
"cagr_pct": -0.6,
|
|
"mdd_pct": 12.18,
|
|
"trades": 15,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 13.3,
|
|
"profit_factor": 0.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.98
|
|
}
|
|
},
|
|
"alpha_pct": -53.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.62,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 28.01,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.33,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 7.62
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 138793125,
|
|
"total_return_pct": 38.79,
|
|
"cagr_pct": 57.05,
|
|
"mdd_pct": 12.17,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 21.0,
|
|
"profit_factor": 2.58,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.88
|
|
}
|
|
},
|
|
"alpha_pct": -56.31
|
|
},
|
|
"test": {
|
|
"final_equity": 144317905,
|
|
"total_return_pct": 44.32,
|
|
"cagr_pct": 222.26,
|
|
"mdd_pct": 9.56,
|
|
"trades": 13,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 7.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -8.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 58.49
|
|
}
|
|
},
|
|
"alpha_pct": -8.51
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.61,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.4,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 42.19,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 7.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 138793125,
|
|
"total_return_pct": 38.79,
|
|
"cagr_pct": 57.05,
|
|
"mdd_pct": 12.17,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 21.0,
|
|
"profit_factor": 2.58,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.88
|
|
}
|
|
},
|
|
"alpha_pct": -56.31
|
|
},
|
|
"test": {
|
|
"final_equity": 144317905,
|
|
"total_return_pct": 44.32,
|
|
"cagr_pct": 222.26,
|
|
"mdd_pct": 9.56,
|
|
"trades": 13,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 7.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -8.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 58.49
|
|
}
|
|
},
|
|
"alpha_pct": -8.51
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.61,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.4,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 42.19,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 7.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132333346,
|
|
"total_return_pct": 32.33,
|
|
"cagr_pct": 47.08,
|
|
"mdd_pct": 13.2,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.0,
|
|
"profit_factor": 2.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.34
|
|
}
|
|
},
|
|
"alpha_pct": -62.77
|
|
},
|
|
"test": {
|
|
"final_equity": 141111393,
|
|
"total_return_pct": 41.11,
|
|
"cagr_pct": 199.97,
|
|
"mdd_pct": 9.24,
|
|
"trades": 17,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 5.51,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -11.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.28
|
|
}
|
|
},
|
|
"alpha_pct": -11.72
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.61,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.4,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.33,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 7.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132333346,
|
|
"total_return_pct": 32.33,
|
|
"cagr_pct": 47.08,
|
|
"mdd_pct": 13.2,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.0,
|
|
"profit_factor": 2.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.34
|
|
}
|
|
},
|
|
"alpha_pct": -62.77
|
|
},
|
|
"test": {
|
|
"final_equity": 141111393,
|
|
"total_return_pct": 41.11,
|
|
"cagr_pct": 199.97,
|
|
"mdd_pct": 9.24,
|
|
"trades": 17,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 5.51,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -11.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 55.28
|
|
}
|
|
},
|
|
"alpha_pct": -11.72
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.61,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.4,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 45.33,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 7.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 133490034,
|
|
"total_return_pct": 33.49,
|
|
"cagr_pct": 48.85,
|
|
"mdd_pct": 12.29,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 25.4,
|
|
"profit_factor": 2.1,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.61
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.18
|
|
}
|
|
},
|
|
"alpha_pct": -61.61
|
|
},
|
|
"test": {
|
|
"final_equity": 138755561,
|
|
"total_return_pct": 38.76,
|
|
"cagr_pct": 184.29,
|
|
"mdd_pct": 9.15,
|
|
"trades": 16,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.93
|
|
}
|
|
},
|
|
"alpha_pct": -14.07
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.61,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.73,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.83,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 133490034,
|
|
"total_return_pct": 33.49,
|
|
"cagr_pct": 48.85,
|
|
"mdd_pct": 12.29,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 25.4,
|
|
"profit_factor": 2.1,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.61
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.18
|
|
}
|
|
},
|
|
"alpha_pct": -61.61
|
|
},
|
|
"test": {
|
|
"final_equity": 138755561,
|
|
"total_return_pct": 38.76,
|
|
"cagr_pct": 184.29,
|
|
"mdd_pct": 9.15,
|
|
"trades": 16,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.93
|
|
}
|
|
},
|
|
"alpha_pct": -14.07
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.61,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.73,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.83,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140729868,
|
|
"total_return_pct": 40.73,
|
|
"cagr_pct": 60.08,
|
|
"mdd_pct": 10.01,
|
|
"trades": 55,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.8,
|
|
"profit_factor": 3.74,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.94
|
|
}
|
|
},
|
|
"alpha_pct": -54.37
|
|
},
|
|
"test": {
|
|
"final_equity": 124297820,
|
|
"total_return_pct": 24.3,
|
|
"cagr_pct": 100.14,
|
|
"mdd_pct": 4.76,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 6.88,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.47
|
|
}
|
|
},
|
|
"alpha_pct": -28.53
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.6,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.05,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.43,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.6
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140729868,
|
|
"total_return_pct": 40.73,
|
|
"cagr_pct": 60.08,
|
|
"mdd_pct": 10.01,
|
|
"trades": 55,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.8,
|
|
"profit_factor": 3.74,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.94
|
|
}
|
|
},
|
|
"alpha_pct": -54.37
|
|
},
|
|
"test": {
|
|
"final_equity": 124297820,
|
|
"total_return_pct": 24.3,
|
|
"cagr_pct": 100.14,
|
|
"mdd_pct": 4.76,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 6.88,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.47
|
|
}
|
|
},
|
|
"alpha_pct": -28.53
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.6,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.05,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.43,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.6
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136641096,
|
|
"total_return_pct": 36.64,
|
|
"cagr_pct": 53.71,
|
|
"mdd_pct": 12.42,
|
|
"trades": 63,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.7,
|
|
"profit_factor": 2.38,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.03
|
|
}
|
|
},
|
|
"alpha_pct": -58.46
|
|
},
|
|
"test": {
|
|
"final_equity": 102812309,
|
|
"total_return_pct": 2.81,
|
|
"cagr_pct": 9.25,
|
|
"mdd_pct": 7.25,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 1.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.98
|
|
}
|
|
},
|
|
"alpha_pct": -50.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.62,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.08,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.57,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.57
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136641096,
|
|
"total_return_pct": 36.64,
|
|
"cagr_pct": 53.71,
|
|
"mdd_pct": 12.42,
|
|
"trades": 63,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.7,
|
|
"profit_factor": 2.38,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.03
|
|
}
|
|
},
|
|
"alpha_pct": -58.46
|
|
},
|
|
"test": {
|
|
"final_equity": 102812309,
|
|
"total_return_pct": 2.81,
|
|
"cagr_pct": 9.25,
|
|
"mdd_pct": 7.25,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 1.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.98
|
|
}
|
|
},
|
|
"alpha_pct": -50.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.62,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.08,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.57,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.57
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132726127,
|
|
"total_return_pct": 32.73,
|
|
"cagr_pct": 47.68,
|
|
"mdd_pct": 12.19,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 28.1,
|
|
"profit_factor": 2.06,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.94
|
|
}
|
|
},
|
|
"alpha_pct": -62.37
|
|
},
|
|
"test": {
|
|
"final_equity": 96432826,
|
|
"total_return_pct": -3.57,
|
|
"cagr_pct": -10.94,
|
|
"mdd_pct": 15.18,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 22.2,
|
|
"profit_factor": 0.99,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.6
|
|
}
|
|
},
|
|
"alpha_pct": -56.4
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.65,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.28,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.54,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 7.54
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132726127,
|
|
"total_return_pct": 32.73,
|
|
"cagr_pct": 47.68,
|
|
"mdd_pct": 12.19,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 28.1,
|
|
"profit_factor": 2.06,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.94
|
|
}
|
|
},
|
|
"alpha_pct": -62.37
|
|
},
|
|
"test": {
|
|
"final_equity": 96432826,
|
|
"total_return_pct": -3.57,
|
|
"cagr_pct": -10.94,
|
|
"mdd_pct": 15.18,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 22.2,
|
|
"profit_factor": 0.99,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.6
|
|
}
|
|
},
|
|
"alpha_pct": -56.4
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.65,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.28,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.54,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 7.54
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143169854,
|
|
"total_return_pct": 43.17,
|
|
"cagr_pct": 63.91,
|
|
"mdd_pct": 12.6,
|
|
"trades": 55,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 2.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.5
|
|
}
|
|
},
|
|
"alpha_pct": -51.93
|
|
},
|
|
"test": {
|
|
"final_equity": 98665691,
|
|
"total_return_pct": -1.33,
|
|
"cagr_pct": -4.19,
|
|
"mdd_pct": 12.65,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.84
|
|
}
|
|
},
|
|
"alpha_pct": -54.16
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.51,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.14,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.71,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 7.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143169854,
|
|
"total_return_pct": 43.17,
|
|
"cagr_pct": 63.91,
|
|
"mdd_pct": 12.6,
|
|
"trades": 55,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 2.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.5
|
|
}
|
|
},
|
|
"alpha_pct": -51.93
|
|
},
|
|
"test": {
|
|
"final_equity": 98665691,
|
|
"total_return_pct": -1.33,
|
|
"cagr_pct": -4.19,
|
|
"mdd_pct": 12.65,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.84
|
|
}
|
|
},
|
|
"alpha_pct": -54.16
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.51,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.14,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.71,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 7.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133584577,
|
|
"total_return_pct": 33.58,
|
|
"cagr_pct": 49.0,
|
|
"mdd_pct": 14.77,
|
|
"trades": 42,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.1,
|
|
"profit_factor": 3.27,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.09
|
|
}
|
|
},
|
|
"alpha_pct": -61.52
|
|
},
|
|
"test": {
|
|
"final_equity": 104948915,
|
|
"total_return_pct": 4.95,
|
|
"cagr_pct": 16.66,
|
|
"mdd_pct": 7.89,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.12
|
|
}
|
|
},
|
|
"alpha_pct": -47.88
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.97,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.43,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 7.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133584577,
|
|
"total_return_pct": 33.58,
|
|
"cagr_pct": 49.0,
|
|
"mdd_pct": 14.77,
|
|
"trades": 42,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.1,
|
|
"profit_factor": 3.27,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.09
|
|
}
|
|
},
|
|
"alpha_pct": -61.52
|
|
},
|
|
"test": {
|
|
"final_equity": 104948915,
|
|
"total_return_pct": 4.95,
|
|
"cagr_pct": 16.66,
|
|
"mdd_pct": 7.89,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.12
|
|
}
|
|
},
|
|
"alpha_pct": -47.88
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.58,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.97,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.43,
|
|
"trades": 13
|
|
}
|
|
],
|
|
"worst_ret": 7.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 127967671,
|
|
"total_return_pct": 27.97,
|
|
"cagr_pct": 40.44,
|
|
"mdd_pct": 11.36,
|
|
"trades": 62,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.1,
|
|
"profit_factor": 2.26,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.7
|
|
}
|
|
},
|
|
"alpha_pct": -67.13
|
|
},
|
|
"test": {
|
|
"final_equity": 102452201,
|
|
"total_return_pct": 2.45,
|
|
"cagr_pct": 8.03,
|
|
"mdd_pct": 10.27,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.38
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.62
|
|
}
|
|
},
|
|
"alpha_pct": -50.38
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.49,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.4,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.99,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 7.4
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 127967671,
|
|
"total_return_pct": 27.97,
|
|
"cagr_pct": 40.44,
|
|
"mdd_pct": 11.36,
|
|
"trades": 62,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.1,
|
|
"profit_factor": 2.26,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.7
|
|
}
|
|
},
|
|
"alpha_pct": -67.13
|
|
},
|
|
"test": {
|
|
"final_equity": 102452201,
|
|
"total_return_pct": 2.45,
|
|
"cagr_pct": 8.03,
|
|
"mdd_pct": 10.27,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.38
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.62
|
|
}
|
|
},
|
|
"alpha_pct": -50.38
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.49,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.4,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.99,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 7.4
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 130160388,
|
|
"total_return_pct": 30.16,
|
|
"cagr_pct": 43.76,
|
|
"mdd_pct": 11.45,
|
|
"trades": 68,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 2.16,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.51
|
|
}
|
|
},
|
|
"alpha_pct": -64.94
|
|
},
|
|
"test": {
|
|
"final_equity": 100105367,
|
|
"total_return_pct": 0.11,
|
|
"cagr_pct": 0.34,
|
|
"mdd_pct": 12.54,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 21.7,
|
|
"profit_factor": 1.07,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.28
|
|
}
|
|
},
|
|
"alpha_pct": -52.72
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.38,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.75,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.37,
|
|
"trades": 30
|
|
}
|
|
],
|
|
"worst_ret": 7.37
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 130160388,
|
|
"total_return_pct": 30.16,
|
|
"cagr_pct": 43.76,
|
|
"mdd_pct": 11.45,
|
|
"trades": 68,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 2.16,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.51
|
|
}
|
|
},
|
|
"alpha_pct": -64.94
|
|
},
|
|
"test": {
|
|
"final_equity": 100105367,
|
|
"total_return_pct": 0.11,
|
|
"cagr_pct": 0.34,
|
|
"mdd_pct": 12.54,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 21.7,
|
|
"profit_factor": 1.07,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.28
|
|
}
|
|
},
|
|
"alpha_pct": -52.72
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.38,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.75,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.37,
|
|
"trades": 30
|
|
}
|
|
],
|
|
"worst_ret": 7.37
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 150127551,
|
|
"total_return_pct": 50.13,
|
|
"cagr_pct": 74.98,
|
|
"mdd_pct": 13.6,
|
|
"trades": 65,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.4,
|
|
"profit_factor": 3.1,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.46
|
|
}
|
|
},
|
|
"alpha_pct": -44.97
|
|
},
|
|
"test": {
|
|
"final_equity": 113034907,
|
|
"total_return_pct": 13.03,
|
|
"cagr_pct": 47.82,
|
|
"mdd_pct": 11.66,
|
|
"trades": 26,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 34.6,
|
|
"profit_factor": 1.83,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -39.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 27.2
|
|
}
|
|
},
|
|
"alpha_pct": -39.8
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.65,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.12,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.36,
|
|
"trades": 36
|
|
}
|
|
],
|
|
"worst_ret": 7.36
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 150127551,
|
|
"total_return_pct": 50.13,
|
|
"cagr_pct": 74.98,
|
|
"mdd_pct": 13.6,
|
|
"trades": 65,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.4,
|
|
"profit_factor": 3.1,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.46
|
|
}
|
|
},
|
|
"alpha_pct": -44.97
|
|
},
|
|
"test": {
|
|
"final_equity": 113034907,
|
|
"total_return_pct": 13.03,
|
|
"cagr_pct": 47.82,
|
|
"mdd_pct": 11.66,
|
|
"trades": 26,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 34.6,
|
|
"profit_factor": 1.83,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -39.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 27.2
|
|
}
|
|
},
|
|
"alpha_pct": -39.8
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.65,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.12,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.36,
|
|
"trades": 36
|
|
}
|
|
],
|
|
"worst_ret": 7.36
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134200957,
|
|
"total_return_pct": 34.2,
|
|
"cagr_pct": 49.94,
|
|
"mdd_pct": 13.25,
|
|
"trades": 44,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.9,
|
|
"profit_factor": 3.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.9
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.47
|
|
}
|
|
},
|
|
"alpha_pct": -60.9
|
|
},
|
|
"test": {
|
|
"final_equity": 103891848,
|
|
"total_return_pct": 3.89,
|
|
"cagr_pct": 12.95,
|
|
"mdd_pct": 6.54,
|
|
"trades": 17,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 1.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.06
|
|
}
|
|
},
|
|
"alpha_pct": -48.94
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.74,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.63,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.34,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 7.34
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134200957,
|
|
"total_return_pct": 34.2,
|
|
"cagr_pct": 49.94,
|
|
"mdd_pct": 13.25,
|
|
"trades": 44,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.9,
|
|
"profit_factor": 3.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.9
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.47
|
|
}
|
|
},
|
|
"alpha_pct": -60.9
|
|
},
|
|
"test": {
|
|
"final_equity": 103891848,
|
|
"total_return_pct": 3.89,
|
|
"cagr_pct": 12.95,
|
|
"mdd_pct": 6.54,
|
|
"trades": 17,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 1.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.06
|
|
}
|
|
},
|
|
"alpha_pct": -48.94
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.74,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.63,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.34,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 7.34
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134184252,
|
|
"total_return_pct": 34.18,
|
|
"cagr_pct": 49.92,
|
|
"mdd_pct": 13.47,
|
|
"trades": 42,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.3,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.49
|
|
}
|
|
},
|
|
"alpha_pct": -60.92
|
|
},
|
|
"test": {
|
|
"final_equity": 103891848,
|
|
"total_return_pct": 3.89,
|
|
"cagr_pct": 12.95,
|
|
"mdd_pct": 6.54,
|
|
"trades": 17,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 1.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.06
|
|
}
|
|
},
|
|
"alpha_pct": -48.94
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.74,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.47,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.34,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 7.34
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134184252,
|
|
"total_return_pct": 34.18,
|
|
"cagr_pct": 49.92,
|
|
"mdd_pct": 13.47,
|
|
"trades": 42,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.3,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.49
|
|
}
|
|
},
|
|
"alpha_pct": -60.92
|
|
},
|
|
"test": {
|
|
"final_equity": 103891848,
|
|
"total_return_pct": 3.89,
|
|
"cagr_pct": 12.95,
|
|
"mdd_pct": 6.54,
|
|
"trades": 17,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 1.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.06
|
|
}
|
|
},
|
|
"alpha_pct": -48.94
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.74,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.47,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.34,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 7.34
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 127607456,
|
|
"total_return_pct": 27.61,
|
|
"cagr_pct": 39.89,
|
|
"mdd_pct": 13.99,
|
|
"trades": 68,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.9,
|
|
"profit_factor": 2.04,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -20.06
|
|
}
|
|
},
|
|
"alpha_pct": -67.49
|
|
},
|
|
"test": {
|
|
"final_equity": 102630637,
|
|
"total_return_pct": 2.63,
|
|
"cagr_pct": 8.64,
|
|
"mdd_pct": 10.75,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 1.46,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.8
|
|
}
|
|
},
|
|
"alpha_pct": -50.2
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.33,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.06,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.71,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 7.33
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 127607456,
|
|
"total_return_pct": 27.61,
|
|
"cagr_pct": 39.89,
|
|
"mdd_pct": 13.99,
|
|
"trades": 68,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.9,
|
|
"profit_factor": 2.04,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -20.06
|
|
}
|
|
},
|
|
"alpha_pct": -67.49
|
|
},
|
|
"test": {
|
|
"final_equity": 102630637,
|
|
"total_return_pct": 2.63,
|
|
"cagr_pct": 8.64,
|
|
"mdd_pct": 10.75,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 1.46,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.8
|
|
}
|
|
},
|
|
"alpha_pct": -50.2
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.33,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.06,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.71,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 7.33
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 129123178,
|
|
"total_return_pct": 29.12,
|
|
"cagr_pct": 42.19,
|
|
"mdd_pct": 10.63,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.4,
|
|
"profit_factor": 2.39,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.55
|
|
}
|
|
},
|
|
"alpha_pct": -65.98
|
|
},
|
|
"test": {
|
|
"final_equity": 111012908,
|
|
"total_return_pct": 11.01,
|
|
"cagr_pct": 39.55,
|
|
"mdd_pct": 9.36,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 2.48,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.18
|
|
}
|
|
},
|
|
"alpha_pct": -41.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.28,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.91,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.15,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 7.28
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 129123178,
|
|
"total_return_pct": 29.12,
|
|
"cagr_pct": 42.19,
|
|
"mdd_pct": 10.63,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.4,
|
|
"profit_factor": 2.39,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.55
|
|
}
|
|
},
|
|
"alpha_pct": -65.98
|
|
},
|
|
"test": {
|
|
"final_equity": 111012908,
|
|
"total_return_pct": 11.01,
|
|
"cagr_pct": 39.55,
|
|
"mdd_pct": 9.36,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 2.48,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.18
|
|
}
|
|
},
|
|
"alpha_pct": -41.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.28,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.91,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.15,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 7.28
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 129184280,
|
|
"total_return_pct": 29.18,
|
|
"cagr_pct": 42.28,
|
|
"mdd_pct": 10.58,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.4,
|
|
"profit_factor": 2.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.49
|
|
}
|
|
},
|
|
"alpha_pct": -65.92
|
|
},
|
|
"test": {
|
|
"final_equity": 108063688,
|
|
"total_return_pct": 8.06,
|
|
"cagr_pct": 28.07,
|
|
"mdd_pct": 7.46,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 2.16,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.23
|
|
}
|
|
},
|
|
"alpha_pct": -44.77
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.28,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.14,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.68,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 7.28
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 129184280,
|
|
"total_return_pct": 29.18,
|
|
"cagr_pct": 42.28,
|
|
"mdd_pct": 10.58,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.4,
|
|
"profit_factor": 2.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.49
|
|
}
|
|
},
|
|
"alpha_pct": -65.92
|
|
},
|
|
"test": {
|
|
"final_equity": 108063688,
|
|
"total_return_pct": 8.06,
|
|
"cagr_pct": 28.07,
|
|
"mdd_pct": 7.46,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 2.16,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.23
|
|
}
|
|
},
|
|
"alpha_pct": -44.77
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.28,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.14,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.68,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 7.28
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 127689972,
|
|
"total_return_pct": 27.69,
|
|
"cagr_pct": 40.02,
|
|
"mdd_pct": 12.76,
|
|
"trades": 60,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.0,
|
|
"profit_factor": 2.13,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.98
|
|
}
|
|
},
|
|
"alpha_pct": -67.41
|
|
},
|
|
"test": {
|
|
"final_equity": 105159676,
|
|
"total_return_pct": 5.16,
|
|
"cagr_pct": 17.41,
|
|
"mdd_pct": 5.63,
|
|
"trades": 17,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 47.1,
|
|
"profit_factor": 1.82,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.33
|
|
}
|
|
},
|
|
"alpha_pct": -47.67
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.26,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.53,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.35,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 7.26
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 127689972,
|
|
"total_return_pct": 27.69,
|
|
"cagr_pct": 40.02,
|
|
"mdd_pct": 12.76,
|
|
"trades": 60,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.0,
|
|
"profit_factor": 2.13,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.98
|
|
}
|
|
},
|
|
"alpha_pct": -67.41
|
|
},
|
|
"test": {
|
|
"final_equity": 105159676,
|
|
"total_return_pct": 5.16,
|
|
"cagr_pct": 17.41,
|
|
"mdd_pct": 5.63,
|
|
"trades": 17,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 47.1,
|
|
"profit_factor": 1.82,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.33
|
|
}
|
|
},
|
|
"alpha_pct": -47.67
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.26,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.53,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.35,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 7.26
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145915732,
|
|
"total_return_pct": 45.92,
|
|
"cagr_pct": 68.26,
|
|
"mdd_pct": 12.18,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.7,
|
|
"profit_factor": 3.06,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.18
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.75
|
|
}
|
|
},
|
|
"alpha_pct": -49.18
|
|
},
|
|
"test": {
|
|
"final_equity": 107849530,
|
|
"total_return_pct": 7.85,
|
|
"cagr_pct": 27.26,
|
|
"mdd_pct": 11.35,
|
|
"trades": 24,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 1.28,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.02
|
|
}
|
|
},
|
|
"alpha_pct": -44.98
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.29,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.54,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.25,
|
|
"trades": 33
|
|
}
|
|
],
|
|
"worst_ret": 7.25
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145915732,
|
|
"total_return_pct": 45.92,
|
|
"cagr_pct": 68.26,
|
|
"mdd_pct": 12.18,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.7,
|
|
"profit_factor": 3.06,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.18
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.75
|
|
}
|
|
},
|
|
"alpha_pct": -49.18
|
|
},
|
|
"test": {
|
|
"final_equity": 107849530,
|
|
"total_return_pct": 7.85,
|
|
"cagr_pct": 27.26,
|
|
"mdd_pct": 11.35,
|
|
"trades": 24,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 1.28,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.02
|
|
}
|
|
},
|
|
"alpha_pct": -44.98
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.29,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.54,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.25,
|
|
"trades": 33
|
|
}
|
|
],
|
|
"worst_ret": 7.25
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 137895200,
|
|
"total_return_pct": 37.9,
|
|
"cagr_pct": 55.66,
|
|
"mdd_pct": 10.81,
|
|
"trades": 77,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 2.94,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.77
|
|
}
|
|
},
|
|
"alpha_pct": -57.2
|
|
},
|
|
"test": {
|
|
"final_equity": 127361384,
|
|
"total_return_pct": 27.36,
|
|
"cagr_pct": 116.3,
|
|
"mdd_pct": 6.6,
|
|
"trades": 23,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 43.5,
|
|
"profit_factor": 4.27,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.53
|
|
}
|
|
},
|
|
"alpha_pct": -25.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.24,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.06,
|
|
"trades": 30
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 24.51,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 7.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 137895200,
|
|
"total_return_pct": 37.9,
|
|
"cagr_pct": 55.66,
|
|
"mdd_pct": 10.81,
|
|
"trades": 77,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 2.94,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.77
|
|
}
|
|
},
|
|
"alpha_pct": -57.2
|
|
},
|
|
"test": {
|
|
"final_equity": 127361384,
|
|
"total_return_pct": 27.36,
|
|
"cagr_pct": 116.3,
|
|
"mdd_pct": 6.6,
|
|
"trades": 23,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 43.5,
|
|
"profit_factor": 4.27,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.53
|
|
}
|
|
},
|
|
"alpha_pct": -25.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.24,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.06,
|
|
"trades": 30
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 24.51,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 7.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142298888,
|
|
"total_return_pct": 42.3,
|
|
"cagr_pct": 62.54,
|
|
"mdd_pct": 9.98,
|
|
"trades": 73,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.1,
|
|
"profit_factor": 3.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.37
|
|
}
|
|
},
|
|
"alpha_pct": -52.8
|
|
},
|
|
"test": {
|
|
"final_equity": 126183972,
|
|
"total_return_pct": 26.18,
|
|
"cagr_pct": 109.99,
|
|
"mdd_pct": 6.29,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 34.8,
|
|
"profit_factor": 3.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.35
|
|
}
|
|
},
|
|
"alpha_pct": -26.65
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.24,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.37,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 30.55,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 7.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142298888,
|
|
"total_return_pct": 42.3,
|
|
"cagr_pct": 62.54,
|
|
"mdd_pct": 9.98,
|
|
"trades": 73,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.1,
|
|
"profit_factor": 3.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.37
|
|
}
|
|
},
|
|
"alpha_pct": -52.8
|
|
},
|
|
"test": {
|
|
"final_equity": 126183972,
|
|
"total_return_pct": 26.18,
|
|
"cagr_pct": 109.99,
|
|
"mdd_pct": 6.29,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 34.8,
|
|
"profit_factor": 3.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -26.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 40.35
|
|
}
|
|
},
|
|
"alpha_pct": -26.65
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.24,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.37,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 30.55,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 7.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140772671,
|
|
"total_return_pct": 40.77,
|
|
"cagr_pct": 60.15,
|
|
"mdd_pct": 9.85,
|
|
"trades": 68,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 42.6,
|
|
"profit_factor": 3.4,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.9
|
|
}
|
|
},
|
|
"alpha_pct": -54.33
|
|
},
|
|
"test": {
|
|
"final_equity": 124067343,
|
|
"total_return_pct": 24.07,
|
|
"cagr_pct": 98.96,
|
|
"mdd_pct": 5.68,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 4.2,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.24
|
|
}
|
|
},
|
|
"alpha_pct": -28.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.24,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.37,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.19,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 7.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140772671,
|
|
"total_return_pct": 40.77,
|
|
"cagr_pct": 60.15,
|
|
"mdd_pct": 9.85,
|
|
"trades": 68,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 42.6,
|
|
"profit_factor": 3.4,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.9
|
|
}
|
|
},
|
|
"alpha_pct": -54.33
|
|
},
|
|
"test": {
|
|
"final_equity": 124067343,
|
|
"total_return_pct": 24.07,
|
|
"cagr_pct": 98.96,
|
|
"mdd_pct": 5.68,
|
|
"trades": 22,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 4.2,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.24
|
|
}
|
|
},
|
|
"alpha_pct": -28.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.24,
|
|
"trades": 29
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.37,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.19,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 7.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 125878532,
|
|
"total_return_pct": 25.88,
|
|
"cagr_pct": 37.29,
|
|
"mdd_pct": 13.62,
|
|
"trades": 45,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 2.7,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -21.79
|
|
}
|
|
},
|
|
"alpha_pct": -69.22
|
|
},
|
|
"test": {
|
|
"final_equity": 111815828,
|
|
"total_return_pct": 11.82,
|
|
"cagr_pct": 42.8,
|
|
"mdd_pct": 3.67,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 46.2,
|
|
"profit_factor": 3.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.99
|
|
}
|
|
},
|
|
"alpha_pct": -41.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.24,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.97,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.17,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 7.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 125878532,
|
|
"total_return_pct": 25.88,
|
|
"cagr_pct": 37.29,
|
|
"mdd_pct": 13.62,
|
|
"trades": 45,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 2.7,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -21.79
|
|
}
|
|
},
|
|
"alpha_pct": -69.22
|
|
},
|
|
"test": {
|
|
"final_equity": 111815828,
|
|
"total_return_pct": 11.82,
|
|
"cagr_pct": 42.8,
|
|
"mdd_pct": 3.67,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 46.2,
|
|
"profit_factor": 3.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.99
|
|
}
|
|
},
|
|
"alpha_pct": -41.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.24,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.97,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.17,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 7.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 124646630,
|
|
"total_return_pct": 24.65,
|
|
"cagr_pct": 35.44,
|
|
"mdd_pct": 13.85,
|
|
"trades": 43,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 32.6,
|
|
"profit_factor": 2.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -70.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -23.02
|
|
}
|
|
},
|
|
"alpha_pct": -70.45
|
|
},
|
|
"test": {
|
|
"final_equity": 111815828,
|
|
"total_return_pct": 11.82,
|
|
"cagr_pct": 42.8,
|
|
"mdd_pct": 3.67,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 46.2,
|
|
"profit_factor": 3.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.99
|
|
}
|
|
},
|
|
"alpha_pct": -41.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.24,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.81,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.17,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 7.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 124646630,
|
|
"total_return_pct": 24.65,
|
|
"cagr_pct": 35.44,
|
|
"mdd_pct": 13.85,
|
|
"trades": 43,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 32.6,
|
|
"profit_factor": 2.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -70.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -23.02
|
|
}
|
|
},
|
|
"alpha_pct": -70.45
|
|
},
|
|
"test": {
|
|
"final_equity": 111815828,
|
|
"total_return_pct": 11.82,
|
|
"cagr_pct": 42.8,
|
|
"mdd_pct": 3.67,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 46.2,
|
|
"profit_factor": 3.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.99
|
|
}
|
|
},
|
|
"alpha_pct": -41.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.24,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.81,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.17,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 7.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132329499,
|
|
"total_return_pct": 32.33,
|
|
"cagr_pct": 47.07,
|
|
"mdd_pct": 13.84,
|
|
"trades": 40,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 3.15,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.34
|
|
}
|
|
},
|
|
"alpha_pct": -62.77
|
|
},
|
|
"test": {
|
|
"final_equity": 111464981,
|
|
"total_return_pct": 11.46,
|
|
"cagr_pct": 41.37,
|
|
"mdd_pct": 5.62,
|
|
"trades": 11,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 27.3,
|
|
"profit_factor": 2.34,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.63
|
|
}
|
|
},
|
|
"alpha_pct": -41.37
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.24,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.67,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.98,
|
|
"trades": 12
|
|
}
|
|
],
|
|
"worst_ret": 7.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132329499,
|
|
"total_return_pct": 32.33,
|
|
"cagr_pct": 47.07,
|
|
"mdd_pct": 13.84,
|
|
"trades": 40,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 3.15,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.34
|
|
}
|
|
},
|
|
"alpha_pct": -62.77
|
|
},
|
|
"test": {
|
|
"final_equity": 111464981,
|
|
"total_return_pct": 11.46,
|
|
"cagr_pct": 41.37,
|
|
"mdd_pct": 5.62,
|
|
"trades": 11,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 27.3,
|
|
"profit_factor": 2.34,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.63
|
|
}
|
|
},
|
|
"alpha_pct": -41.37
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.24,
|
|
"trades": 8
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.67,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.98,
|
|
"trades": 12
|
|
}
|
|
],
|
|
"worst_ret": 7.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 139081165,
|
|
"total_return_pct": 39.08,
|
|
"cagr_pct": 57.5,
|
|
"mdd_pct": 14.66,
|
|
"trades": 74,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.4,
|
|
"profit_factor": 2.72,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.59
|
|
}
|
|
},
|
|
"alpha_pct": -56.02
|
|
},
|
|
"test": {
|
|
"final_equity": 100974895,
|
|
"total_return_pct": 0.97,
|
|
"cagr_pct": 3.14,
|
|
"mdd_pct": 8.41,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.14
|
|
}
|
|
},
|
|
"alpha_pct": -51.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.63,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.01,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.23,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 7.23
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 139081165,
|
|
"total_return_pct": 39.08,
|
|
"cagr_pct": 57.5,
|
|
"mdd_pct": 14.66,
|
|
"trades": 74,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.4,
|
|
"profit_factor": 2.72,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.59
|
|
}
|
|
},
|
|
"alpha_pct": -56.02
|
|
},
|
|
"test": {
|
|
"final_equity": 100974895,
|
|
"total_return_pct": 0.97,
|
|
"cagr_pct": 3.14,
|
|
"mdd_pct": 8.41,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.14
|
|
}
|
|
},
|
|
"alpha_pct": -51.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.63,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.01,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.23,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 7.23
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 139773823,
|
|
"total_return_pct": 39.77,
|
|
"cagr_pct": 58.58,
|
|
"mdd_pct": 11.34,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 2.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -55.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.9
|
|
}
|
|
},
|
|
"alpha_pct": -55.33
|
|
},
|
|
"test": {
|
|
"final_equity": 121095571,
|
|
"total_return_pct": 21.1,
|
|
"cagr_pct": 84.15,
|
|
"mdd_pct": 5.3,
|
|
"trades": 15,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 4.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -31.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 35.27
|
|
}
|
|
},
|
|
"alpha_pct": -31.73
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.18,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.02,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.69,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 7.18
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 139773823,
|
|
"total_return_pct": 39.77,
|
|
"cagr_pct": 58.58,
|
|
"mdd_pct": 11.34,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 2.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -55.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.9
|
|
}
|
|
},
|
|
"alpha_pct": -55.33
|
|
},
|
|
"test": {
|
|
"final_equity": 121095571,
|
|
"total_return_pct": 21.1,
|
|
"cagr_pct": 84.15,
|
|
"mdd_pct": 5.3,
|
|
"trades": 15,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 4.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -31.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 35.27
|
|
}
|
|
},
|
|
"alpha_pct": -31.73
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.18,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.02,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.69,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 7.18
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142432426,
|
|
"total_return_pct": 42.43,
|
|
"cagr_pct": 62.75,
|
|
"mdd_pct": 10.84,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.3,
|
|
"profit_factor": 2.55,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.24
|
|
}
|
|
},
|
|
"alpha_pct": -52.67
|
|
},
|
|
"test": {
|
|
"final_equity": 118047199,
|
|
"total_return_pct": 18.05,
|
|
"cagr_pct": 69.77,
|
|
"mdd_pct": 5.62,
|
|
"trades": 14,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -34.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 32.22
|
|
}
|
|
},
|
|
"alpha_pct": -34.78
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.18,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.85,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.61,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": 7.18
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142432426,
|
|
"total_return_pct": 42.43,
|
|
"cagr_pct": 62.75,
|
|
"mdd_pct": 10.84,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.3,
|
|
"profit_factor": 2.55,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.24
|
|
}
|
|
},
|
|
"alpha_pct": -52.67
|
|
},
|
|
"test": {
|
|
"final_equity": 118047199,
|
|
"total_return_pct": 18.05,
|
|
"cagr_pct": 69.77,
|
|
"mdd_pct": 5.62,
|
|
"trades": 14,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -34.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 32.22
|
|
}
|
|
},
|
|
"alpha_pct": -34.78
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.18,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.85,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.61,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": 7.18
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 147663085,
|
|
"total_return_pct": 47.66,
|
|
"cagr_pct": 71.04,
|
|
"mdd_pct": 12.59,
|
|
"trades": 53,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.7,
|
|
"profit_factor": 3.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.01
|
|
}
|
|
},
|
|
"alpha_pct": -47.44
|
|
},
|
|
"test": {
|
|
"final_equity": 99424316,
|
|
"total_return_pct": -0.58,
|
|
"cagr_pct": -1.82,
|
|
"mdd_pct": 11.19,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 19.0,
|
|
"profit_factor": 0.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.59
|
|
}
|
|
},
|
|
"alpha_pct": -53.41
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.16,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.96,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.51,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 7.16
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 147663085,
|
|
"total_return_pct": 47.66,
|
|
"cagr_pct": 71.04,
|
|
"mdd_pct": 12.59,
|
|
"trades": 53,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.7,
|
|
"profit_factor": 3.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.01
|
|
}
|
|
},
|
|
"alpha_pct": -47.44
|
|
},
|
|
"test": {
|
|
"final_equity": 99424316,
|
|
"total_return_pct": -0.58,
|
|
"cagr_pct": -1.82,
|
|
"mdd_pct": 11.19,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 19.0,
|
|
"profit_factor": 0.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.59
|
|
}
|
|
},
|
|
"alpha_pct": -53.41
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.16,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.96,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.51,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 7.16
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146335986,
|
|
"total_return_pct": 46.34,
|
|
"cagr_pct": 68.93,
|
|
"mdd_pct": 9.95,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.1,
|
|
"profit_factor": 3.62,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.33
|
|
}
|
|
},
|
|
"alpha_pct": -48.76
|
|
},
|
|
"test": {
|
|
"final_equity": 138070131,
|
|
"total_return_pct": 38.07,
|
|
"cagr_pct": 179.83,
|
|
"mdd_pct": 6.96,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 7.08,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.24
|
|
}
|
|
},
|
|
"alpha_pct": -14.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.49,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.1,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 56.44,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.1
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146335986,
|
|
"total_return_pct": 46.34,
|
|
"cagr_pct": 68.93,
|
|
"mdd_pct": 9.95,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.1,
|
|
"profit_factor": 3.62,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.33
|
|
}
|
|
},
|
|
"alpha_pct": -48.76
|
|
},
|
|
"test": {
|
|
"final_equity": 138070131,
|
|
"total_return_pct": 38.07,
|
|
"cagr_pct": 179.83,
|
|
"mdd_pct": 6.96,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 7.08,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.24
|
|
}
|
|
},
|
|
"alpha_pct": -14.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.49,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.1,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 56.44,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.1
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 126529003,
|
|
"total_return_pct": 26.53,
|
|
"cagr_pct": 38.27,
|
|
"mdd_pct": 11.35,
|
|
"trades": 59,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.6,
|
|
"profit_factor": 2.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -68.57
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -21.14
|
|
}
|
|
},
|
|
"alpha_pct": -68.57
|
|
},
|
|
"test": {
|
|
"final_equity": 103990034,
|
|
"total_return_pct": 3.99,
|
|
"cagr_pct": 13.29,
|
|
"mdd_pct": 12.18,
|
|
"trades": 15,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 20.0,
|
|
"profit_factor": 0.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.16
|
|
}
|
|
},
|
|
"alpha_pct": -48.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.73,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.08,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 13.61,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 7.08
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 126529003,
|
|
"total_return_pct": 26.53,
|
|
"cagr_pct": 38.27,
|
|
"mdd_pct": 11.35,
|
|
"trades": 59,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.6,
|
|
"profit_factor": 2.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -68.57
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -21.14
|
|
}
|
|
},
|
|
"alpha_pct": -68.57
|
|
},
|
|
"test": {
|
|
"final_equity": 103990034,
|
|
"total_return_pct": 3.99,
|
|
"cagr_pct": 13.29,
|
|
"mdd_pct": 12.18,
|
|
"trades": 15,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 20.0,
|
|
"profit_factor": 0.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.16
|
|
}
|
|
},
|
|
"alpha_pct": -48.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.73,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.08,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 13.61,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 7.08
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146585783,
|
|
"total_return_pct": 46.59,
|
|
"cagr_pct": 69.32,
|
|
"mdd_pct": 12.5,
|
|
"trades": 40,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.8,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.08
|
|
}
|
|
},
|
|
"alpha_pct": -48.51
|
|
},
|
|
"test": {
|
|
"final_equity": 106355656,
|
|
"total_return_pct": 6.36,
|
|
"cagr_pct": 21.72,
|
|
"mdd_pct": 6.5,
|
|
"trades": 14,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 1.36,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -46.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 20.53
|
|
}
|
|
},
|
|
"alpha_pct": -46.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.05,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.17,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 14.19,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 7.05
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146585783,
|
|
"total_return_pct": 46.59,
|
|
"cagr_pct": 69.32,
|
|
"mdd_pct": 12.5,
|
|
"trades": 40,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.8,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.08
|
|
}
|
|
},
|
|
"alpha_pct": -48.51
|
|
},
|
|
"test": {
|
|
"final_equity": 106355656,
|
|
"total_return_pct": 6.36,
|
|
"cagr_pct": 21.72,
|
|
"mdd_pct": 6.5,
|
|
"trades": 14,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 1.36,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -46.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 20.53
|
|
}
|
|
},
|
|
"alpha_pct": -46.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.05,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.17,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 14.19,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 7.05
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138618231,
|
|
"total_return_pct": 38.62,
|
|
"cagr_pct": 56.78,
|
|
"mdd_pct": 10.58,
|
|
"trades": 46,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.71,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.05
|
|
}
|
|
},
|
|
"alpha_pct": -56.48
|
|
},
|
|
"test": {
|
|
"final_equity": 103711559,
|
|
"total_return_pct": 3.71,
|
|
"cagr_pct": 12.33,
|
|
"mdd_pct": 8.18,
|
|
"trades": 11,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 27.3,
|
|
"profit_factor": 1.27,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.88
|
|
}
|
|
},
|
|
"alpha_pct": -49.12
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.04,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.34,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.7,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 7.04
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138618231,
|
|
"total_return_pct": 38.62,
|
|
"cagr_pct": 56.78,
|
|
"mdd_pct": 10.58,
|
|
"trades": 46,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 26.1,
|
|
"profit_factor": 2.71,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.05
|
|
}
|
|
},
|
|
"alpha_pct": -56.48
|
|
},
|
|
"test": {
|
|
"final_equity": 103711559,
|
|
"total_return_pct": 3.71,
|
|
"cagr_pct": 12.33,
|
|
"mdd_pct": 8.18,
|
|
"trades": 11,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 27.3,
|
|
"profit_factor": 1.27,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.88
|
|
}
|
|
},
|
|
"alpha_pct": -49.12
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.04,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.34,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.7,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 7.04
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149625481,
|
|
"total_return_pct": 49.63,
|
|
"cagr_pct": 74.18,
|
|
"mdd_pct": 9.95,
|
|
"trades": 54,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 4.01,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.96
|
|
}
|
|
},
|
|
"alpha_pct": -45.47
|
|
},
|
|
"test": {
|
|
"final_equity": 138070131,
|
|
"total_return_pct": 38.07,
|
|
"cagr_pct": 179.83,
|
|
"mdd_pct": 6.96,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 7.08,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.24
|
|
}
|
|
},
|
|
"alpha_pct": -14.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.97,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.02,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 56.44,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.02
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149625481,
|
|
"total_return_pct": 49.63,
|
|
"cagr_pct": 74.18,
|
|
"mdd_pct": 9.95,
|
|
"trades": 54,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 4.01,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.96
|
|
}
|
|
},
|
|
"alpha_pct": -45.47
|
|
},
|
|
"test": {
|
|
"final_equity": 138070131,
|
|
"total_return_pct": 38.07,
|
|
"cagr_pct": 179.83,
|
|
"mdd_pct": 6.96,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 7.08,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.24
|
|
}
|
|
},
|
|
"alpha_pct": -14.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.97,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.02,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 56.44,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 7.02
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144750965,
|
|
"total_return_pct": 44.75,
|
|
"cagr_pct": 66.41,
|
|
"mdd_pct": 12.59,
|
|
"trades": 51,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 43.1,
|
|
"profit_factor": 3.15,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.92
|
|
}
|
|
},
|
|
"alpha_pct": -50.35
|
|
},
|
|
"test": {
|
|
"final_equity": 98934020,
|
|
"total_return_pct": -1.07,
|
|
"cagr_pct": -3.36,
|
|
"mdd_pct": 12.32,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.9
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.1
|
|
}
|
|
},
|
|
"alpha_pct": -53.9
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.83,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.24,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.02,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 7.02
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144750965,
|
|
"total_return_pct": 44.75,
|
|
"cagr_pct": 66.41,
|
|
"mdd_pct": 12.59,
|
|
"trades": 51,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 43.1,
|
|
"profit_factor": 3.15,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.92
|
|
}
|
|
},
|
|
"alpha_pct": -50.35
|
|
},
|
|
"test": {
|
|
"final_equity": 98934020,
|
|
"total_return_pct": -1.07,
|
|
"cagr_pct": -3.36,
|
|
"mdd_pct": 12.32,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.9
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.1
|
|
}
|
|
},
|
|
"alpha_pct": -53.9
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.83,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.24,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.02,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 7.02
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132651900,
|
|
"total_return_pct": 32.65,
|
|
"cagr_pct": 47.56,
|
|
"mdd_pct": 11.44,
|
|
"trades": 63,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 34.9,
|
|
"profit_factor": 2.33,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.02
|
|
}
|
|
},
|
|
"alpha_pct": -62.45
|
|
},
|
|
"test": {
|
|
"final_equity": 99968932,
|
|
"total_return_pct": -0.03,
|
|
"cagr_pct": -0.1,
|
|
"mdd_pct": 12.54,
|
|
"trades": 22,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 18.2,
|
|
"profit_factor": 0.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.14
|
|
}
|
|
},
|
|
"alpha_pct": -52.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.62,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.18,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.96,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 6.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132651900,
|
|
"total_return_pct": 32.65,
|
|
"cagr_pct": 47.56,
|
|
"mdd_pct": 11.44,
|
|
"trades": 63,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 34.9,
|
|
"profit_factor": 2.33,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.02
|
|
}
|
|
},
|
|
"alpha_pct": -62.45
|
|
},
|
|
"test": {
|
|
"final_equity": 99968932,
|
|
"total_return_pct": -0.03,
|
|
"cagr_pct": -0.1,
|
|
"mdd_pct": 12.54,
|
|
"trades": 22,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 18.2,
|
|
"profit_factor": 0.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.14
|
|
}
|
|
},
|
|
"alpha_pct": -52.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.62,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.18,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.96,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 6.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 123551868,
|
|
"total_return_pct": 23.55,
|
|
"cagr_pct": 33.81,
|
|
"mdd_pct": 10.98,
|
|
"trades": 59,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.6,
|
|
"profit_factor": 2.38,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -71.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -24.12
|
|
}
|
|
},
|
|
"alpha_pct": -71.55
|
|
},
|
|
"test": {
|
|
"final_equity": 102459887,
|
|
"total_return_pct": 2.46,
|
|
"cagr_pct": 8.06,
|
|
"mdd_pct": 8.17,
|
|
"trades": 15,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 20.0,
|
|
"profit_factor": 0.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.63
|
|
}
|
|
},
|
|
"alpha_pct": -50.37
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.43,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.03,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.92,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 6.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 123551868,
|
|
"total_return_pct": 23.55,
|
|
"cagr_pct": 33.81,
|
|
"mdd_pct": 10.98,
|
|
"trades": 59,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.6,
|
|
"profit_factor": 2.38,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -71.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -24.12
|
|
}
|
|
},
|
|
"alpha_pct": -71.55
|
|
},
|
|
"test": {
|
|
"final_equity": 102459887,
|
|
"total_return_pct": 2.46,
|
|
"cagr_pct": 8.06,
|
|
"mdd_pct": 8.17,
|
|
"trades": 15,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 20.0,
|
|
"profit_factor": 0.64,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.63
|
|
}
|
|
},
|
|
"alpha_pct": -50.37
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.43,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.03,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.92,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 6.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143501846,
|
|
"total_return_pct": 43.5,
|
|
"cagr_pct": 64.44,
|
|
"mdd_pct": 13.59,
|
|
"trades": 60,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 2.91,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.17
|
|
}
|
|
},
|
|
"alpha_pct": -51.6
|
|
},
|
|
"test": {
|
|
"final_equity": 114701839,
|
|
"total_return_pct": 14.7,
|
|
"cagr_pct": 54.89,
|
|
"mdd_pct": 9.84,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 2.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -38.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 28.87
|
|
}
|
|
},
|
|
"alpha_pct": -38.13
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.88,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.97,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.89,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 6.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143501846,
|
|
"total_return_pct": 43.5,
|
|
"cagr_pct": 64.44,
|
|
"mdd_pct": 13.59,
|
|
"trades": 60,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 2.91,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.17
|
|
}
|
|
},
|
|
"alpha_pct": -51.6
|
|
},
|
|
"test": {
|
|
"final_equity": 114701839,
|
|
"total_return_pct": 14.7,
|
|
"cagr_pct": 54.89,
|
|
"mdd_pct": 9.84,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 2.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -38.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 28.87
|
|
}
|
|
},
|
|
"alpha_pct": -38.13
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.88,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.97,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.89,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 6.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138658080,
|
|
"total_return_pct": 38.66,
|
|
"cagr_pct": 56.84,
|
|
"mdd_pct": 10.16,
|
|
"trades": 57,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 40.4,
|
|
"profit_factor": 3.55,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.01
|
|
}
|
|
},
|
|
"alpha_pct": -56.44
|
|
},
|
|
"test": {
|
|
"final_equity": 124544349,
|
|
"total_return_pct": 24.54,
|
|
"cagr_pct": 101.41,
|
|
"mdd_pct": 4.77,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 43.8,
|
|
"profit_factor": 7.25,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.71
|
|
}
|
|
},
|
|
"alpha_pct": -28.29
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.6,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.88,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 25.24,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.88
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138658080,
|
|
"total_return_pct": 38.66,
|
|
"cagr_pct": 56.84,
|
|
"mdd_pct": 10.16,
|
|
"trades": 57,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 40.4,
|
|
"profit_factor": 3.55,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.01
|
|
}
|
|
},
|
|
"alpha_pct": -56.44
|
|
},
|
|
"test": {
|
|
"final_equity": 124544349,
|
|
"total_return_pct": 24.54,
|
|
"cagr_pct": 101.41,
|
|
"mdd_pct": 4.77,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 43.8,
|
|
"profit_factor": 7.25,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -28.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 38.71
|
|
}
|
|
},
|
|
"alpha_pct": -28.29
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.6,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.88,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 25.24,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.88
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145478124,
|
|
"total_return_pct": 45.48,
|
|
"cagr_pct": 67.56,
|
|
"mdd_pct": 12.32,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.1,
|
|
"profit_factor": 2.94,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.19
|
|
}
|
|
},
|
|
"alpha_pct": -49.62
|
|
},
|
|
"test": {
|
|
"final_equity": 103701113,
|
|
"total_return_pct": 3.7,
|
|
"cagr_pct": 12.29,
|
|
"mdd_pct": 15.94,
|
|
"trades": 28,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 1.16,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.87
|
|
}
|
|
},
|
|
"alpha_pct": -49.13
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.87,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.14,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.84,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 6.84
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145478124,
|
|
"total_return_pct": 45.48,
|
|
"cagr_pct": 67.56,
|
|
"mdd_pct": 12.32,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.1,
|
|
"profit_factor": 2.94,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.19
|
|
}
|
|
},
|
|
"alpha_pct": -49.62
|
|
},
|
|
"test": {
|
|
"final_equity": 103701113,
|
|
"total_return_pct": 3.7,
|
|
"cagr_pct": 12.29,
|
|
"mdd_pct": 15.94,
|
|
"trades": 28,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 1.16,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.87
|
|
}
|
|
},
|
|
"alpha_pct": -49.13
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.87,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.14,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.84,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 6.84
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142763123,
|
|
"total_return_pct": 42.76,
|
|
"cagr_pct": 63.27,
|
|
"mdd_pct": 10.13,
|
|
"trades": 58,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.7,
|
|
"profit_factor": 3.58,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.91
|
|
}
|
|
},
|
|
"alpha_pct": -52.34
|
|
},
|
|
"test": {
|
|
"final_equity": 133087854,
|
|
"total_return_pct": 33.09,
|
|
"cagr_pct": 148.88,
|
|
"mdd_pct": 6.03,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 7.92,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.26
|
|
}
|
|
},
|
|
"alpha_pct": -19.74
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.49,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.83,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.5,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142763123,
|
|
"total_return_pct": 42.76,
|
|
"cagr_pct": 63.27,
|
|
"mdd_pct": 10.13,
|
|
"trades": 58,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.7,
|
|
"profit_factor": 3.58,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.91
|
|
}
|
|
},
|
|
"alpha_pct": -52.34
|
|
},
|
|
"test": {
|
|
"final_equity": 133087854,
|
|
"total_return_pct": 33.09,
|
|
"cagr_pct": 148.88,
|
|
"mdd_pct": 6.03,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 7.92,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.26
|
|
}
|
|
},
|
|
"alpha_pct": -19.74
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.49,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.83,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.5,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143119086,
|
|
"total_return_pct": 43.12,
|
|
"cagr_pct": 63.83,
|
|
"mdd_pct": 10.13,
|
|
"trades": 58,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.7,
|
|
"profit_factor": 3.4,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.55
|
|
}
|
|
},
|
|
"alpha_pct": -51.98
|
|
},
|
|
"test": {
|
|
"final_equity": 138369919,
|
|
"total_return_pct": 38.37,
|
|
"cagr_pct": 181.78,
|
|
"mdd_pct": 6.94,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 7.44,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.54
|
|
}
|
|
},
|
|
"alpha_pct": -14.46
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.49,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.8,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.48,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.8
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143119086,
|
|
"total_return_pct": 43.12,
|
|
"cagr_pct": 63.83,
|
|
"mdd_pct": 10.13,
|
|
"trades": 58,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.7,
|
|
"profit_factor": 3.4,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.55
|
|
}
|
|
},
|
|
"alpha_pct": -51.98
|
|
},
|
|
"test": {
|
|
"final_equity": 138369919,
|
|
"total_return_pct": 38.37,
|
|
"cagr_pct": 181.78,
|
|
"mdd_pct": 6.94,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 7.44,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.54
|
|
}
|
|
},
|
|
"alpha_pct": -14.46
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.49,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.8,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.48,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.8
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 150602550,
|
|
"total_return_pct": 50.6,
|
|
"cagr_pct": 75.75,
|
|
"mdd_pct": 12.76,
|
|
"trades": 67,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.3,
|
|
"profit_factor": 3.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.5
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.93
|
|
}
|
|
},
|
|
"alpha_pct": -44.5
|
|
},
|
|
"test": {
|
|
"final_equity": 105566009,
|
|
"total_return_pct": 5.57,
|
|
"cagr_pct": 18.86,
|
|
"mdd_pct": 10.45,
|
|
"trades": 30,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.3,
|
|
"profit_factor": 1.4,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.74
|
|
}
|
|
},
|
|
"alpha_pct": -47.26
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 19.49,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.6,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.76,
|
|
"trades": 40
|
|
}
|
|
],
|
|
"worst_ret": 6.76
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 150602550,
|
|
"total_return_pct": 50.6,
|
|
"cagr_pct": 75.75,
|
|
"mdd_pct": 12.76,
|
|
"trades": 67,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.3,
|
|
"profit_factor": 3.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -44.5
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.93
|
|
}
|
|
},
|
|
"alpha_pct": -44.5
|
|
},
|
|
"test": {
|
|
"final_equity": 105566009,
|
|
"total_return_pct": 5.57,
|
|
"cagr_pct": 18.86,
|
|
"mdd_pct": 10.45,
|
|
"trades": 30,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.3,
|
|
"profit_factor": 1.4,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.74
|
|
}
|
|
},
|
|
"alpha_pct": -47.26
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 19.49,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.6,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.76,
|
|
"trades": 40
|
|
}
|
|
],
|
|
"worst_ret": 6.76
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 138943014,
|
|
"total_return_pct": 38.94,
|
|
"cagr_pct": 57.29,
|
|
"mdd_pct": 12.51,
|
|
"trades": 45,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.8,
|
|
"profit_factor": 3.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.73
|
|
}
|
|
},
|
|
"alpha_pct": -56.16
|
|
},
|
|
"test": {
|
|
"final_equity": 104065758,
|
|
"total_return_pct": 4.07,
|
|
"cagr_pct": 13.56,
|
|
"mdd_pct": 7.33,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 26.7,
|
|
"profit_factor": 1.34,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.24
|
|
}
|
|
},
|
|
"alpha_pct": -48.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.64,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.69,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.98,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 6.69
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 138943014,
|
|
"total_return_pct": 38.94,
|
|
"cagr_pct": 57.29,
|
|
"mdd_pct": 12.51,
|
|
"trades": 45,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.8,
|
|
"profit_factor": 3.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.73
|
|
}
|
|
},
|
|
"alpha_pct": -56.16
|
|
},
|
|
"test": {
|
|
"final_equity": 104065758,
|
|
"total_return_pct": 4.07,
|
|
"cagr_pct": 13.56,
|
|
"mdd_pct": 7.33,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 26.7,
|
|
"profit_factor": 1.34,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.24
|
|
}
|
|
},
|
|
"alpha_pct": -48.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.64,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.69,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 12.98,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 6.69
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 128175031,
|
|
"total_return_pct": 28.18,
|
|
"cagr_pct": 40.75,
|
|
"mdd_pct": 13.14,
|
|
"trades": 56,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 2.3,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -66.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.49
|
|
}
|
|
},
|
|
"alpha_pct": -66.92
|
|
},
|
|
"test": {
|
|
"final_equity": 101104896,
|
|
"total_return_pct": 1.1,
|
|
"cagr_pct": 3.57,
|
|
"mdd_pct": 8.48,
|
|
"trades": 16,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 18.8,
|
|
"profit_factor": 0.88,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.27
|
|
}
|
|
},
|
|
"alpha_pct": -51.73
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.59,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.11,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.67,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 6.59
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 128175031,
|
|
"total_return_pct": 28.18,
|
|
"cagr_pct": 40.75,
|
|
"mdd_pct": 13.14,
|
|
"trades": 56,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 2.3,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -66.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.49
|
|
}
|
|
},
|
|
"alpha_pct": -66.92
|
|
},
|
|
"test": {
|
|
"final_equity": 101104896,
|
|
"total_return_pct": 1.1,
|
|
"cagr_pct": 3.57,
|
|
"mdd_pct": 8.48,
|
|
"trades": 16,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 18.8,
|
|
"profit_factor": 0.88,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.27
|
|
}
|
|
},
|
|
"alpha_pct": -51.73
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.59,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.11,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.67,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 6.59
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146496118,
|
|
"total_return_pct": 46.5,
|
|
"cagr_pct": 69.18,
|
|
"mdd_pct": 12.53,
|
|
"trades": 42,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.1,
|
|
"profit_factor": 4.43,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.17
|
|
}
|
|
},
|
|
"alpha_pct": -48.6
|
|
},
|
|
"test": {
|
|
"final_equity": 104910066,
|
|
"total_return_pct": 4.91,
|
|
"cagr_pct": 16.52,
|
|
"mdd_pct": 5.26,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 26.7,
|
|
"profit_factor": 1.57,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.08
|
|
}
|
|
},
|
|
"alpha_pct": -47.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.56,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.57,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.6,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 6.56
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146496118,
|
|
"total_return_pct": 46.5,
|
|
"cagr_pct": 69.18,
|
|
"mdd_pct": 12.53,
|
|
"trades": 42,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.1,
|
|
"profit_factor": 4.43,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.17
|
|
}
|
|
},
|
|
"alpha_pct": -48.6
|
|
},
|
|
"test": {
|
|
"final_equity": 104910066,
|
|
"total_return_pct": 4.91,
|
|
"cagr_pct": 16.52,
|
|
"mdd_pct": 5.26,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 26.7,
|
|
"profit_factor": 1.57,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.08
|
|
}
|
|
},
|
|
"alpha_pct": -47.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.56,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.57,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.6,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 6.56
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141301241,
|
|
"total_return_pct": 41.3,
|
|
"cagr_pct": 60.97,
|
|
"mdd_pct": 9.49,
|
|
"trades": 59,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 40.7,
|
|
"profit_factor": 3.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.37
|
|
}
|
|
},
|
|
"alpha_pct": -53.8
|
|
},
|
|
"test": {
|
|
"final_equity": 135401058,
|
|
"total_return_pct": 35.4,
|
|
"cagr_pct": 162.94,
|
|
"mdd_pct": 7.02,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 6.95,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.57
|
|
}
|
|
},
|
|
"alpha_pct": -17.43
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.34,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.54,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.99,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.54
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141301241,
|
|
"total_return_pct": 41.3,
|
|
"cagr_pct": 60.97,
|
|
"mdd_pct": 9.49,
|
|
"trades": 59,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 40.7,
|
|
"profit_factor": 3.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.8
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.37
|
|
}
|
|
},
|
|
"alpha_pct": -53.8
|
|
},
|
|
"test": {
|
|
"final_equity": 135401058,
|
|
"total_return_pct": 35.4,
|
|
"cagr_pct": 162.94,
|
|
"mdd_pct": 7.02,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 6.95,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.57
|
|
}
|
|
},
|
|
"alpha_pct": -17.43
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.34,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.54,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.99,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.54
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143568084,
|
|
"total_return_pct": 43.57,
|
|
"cagr_pct": 64.54,
|
|
"mdd_pct": 10.47,
|
|
"trades": 57,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 3.12,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.1
|
|
}
|
|
},
|
|
"alpha_pct": -51.53
|
|
},
|
|
"test": {
|
|
"final_equity": 107521799,
|
|
"total_return_pct": 7.52,
|
|
"cagr_pct": 26.03,
|
|
"mdd_pct": 7.82,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 1.83,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -45.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 21.69
|
|
}
|
|
},
|
|
"alpha_pct": -45.31
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.85,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.93,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.53,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 6.53
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143568084,
|
|
"total_return_pct": 43.57,
|
|
"cagr_pct": 64.54,
|
|
"mdd_pct": 10.47,
|
|
"trades": 57,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 3.12,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.1
|
|
}
|
|
},
|
|
"alpha_pct": -51.53
|
|
},
|
|
"test": {
|
|
"final_equity": 107521799,
|
|
"total_return_pct": 7.52,
|
|
"cagr_pct": 26.03,
|
|
"mdd_pct": 7.82,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 1.83,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -45.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 21.69
|
|
}
|
|
},
|
|
"alpha_pct": -45.31
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.85,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.93,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.53,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 6.53
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134965108,
|
|
"total_return_pct": 34.97,
|
|
"cagr_pct": 51.12,
|
|
"mdd_pct": 11.83,
|
|
"trades": 45,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.8,
|
|
"profit_factor": 3.22,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.7
|
|
}
|
|
},
|
|
"alpha_pct": -60.13
|
|
},
|
|
"test": {
|
|
"final_equity": 101814878,
|
|
"total_return_pct": 1.81,
|
|
"cagr_pct": 5.91,
|
|
"mdd_pct": 5.24,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 26.7,
|
|
"profit_factor": 1.08,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.98
|
|
}
|
|
},
|
|
"alpha_pct": -51.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.47,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.5,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.52,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 6.52
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134965108,
|
|
"total_return_pct": 34.97,
|
|
"cagr_pct": 51.12,
|
|
"mdd_pct": 11.83,
|
|
"trades": 45,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.8,
|
|
"profit_factor": 3.22,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.7
|
|
}
|
|
},
|
|
"alpha_pct": -60.13
|
|
},
|
|
"test": {
|
|
"final_equity": 101814878,
|
|
"total_return_pct": 1.81,
|
|
"cagr_pct": 5.91,
|
|
"mdd_pct": 5.24,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 26.7,
|
|
"profit_factor": 1.08,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.98
|
|
}
|
|
},
|
|
"alpha_pct": -51.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.47,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.5,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.52,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 6.52
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140763717,
|
|
"total_return_pct": 40.76,
|
|
"cagr_pct": 60.13,
|
|
"mdd_pct": 9.49,
|
|
"trades": 59,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 40.7,
|
|
"profit_factor": 3.39,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.91
|
|
}
|
|
},
|
|
"alpha_pct": -54.34
|
|
},
|
|
"test": {
|
|
"final_equity": 130575508,
|
|
"total_return_pct": 30.58,
|
|
"cagr_pct": 134.2,
|
|
"mdd_pct": 6.08,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 7.39,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -22.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 44.75
|
|
}
|
|
},
|
|
"alpha_pct": -22.25
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.34,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.49,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.32,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140763717,
|
|
"total_return_pct": 40.76,
|
|
"cagr_pct": 60.13,
|
|
"mdd_pct": 9.49,
|
|
"trades": 59,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 40.7,
|
|
"profit_factor": 3.39,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.91
|
|
}
|
|
},
|
|
"alpha_pct": -54.34
|
|
},
|
|
"test": {
|
|
"final_equity": 130575508,
|
|
"total_return_pct": 30.58,
|
|
"cagr_pct": 134.2,
|
|
"mdd_pct": 6.08,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 7.39,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -22.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 44.75
|
|
}
|
|
},
|
|
"alpha_pct": -22.25
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.34,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.49,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.32,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137155853,
|
|
"total_return_pct": 37.16,
|
|
"cagr_pct": 54.51,
|
|
"mdd_pct": 12.49,
|
|
"trades": 45,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.6,
|
|
"profit_factor": 2.95,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.51
|
|
}
|
|
},
|
|
"alpha_pct": -57.94
|
|
},
|
|
"test": {
|
|
"final_equity": 104890001,
|
|
"total_return_pct": 4.89,
|
|
"cagr_pct": 16.45,
|
|
"mdd_pct": 6.66,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 26.7,
|
|
"profit_factor": 1.49,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.06
|
|
}
|
|
},
|
|
"alpha_pct": -47.94
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.46,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.18,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 14.51,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 6.46
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137155853,
|
|
"total_return_pct": 37.16,
|
|
"cagr_pct": 54.51,
|
|
"mdd_pct": 12.49,
|
|
"trades": 45,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.6,
|
|
"profit_factor": 2.95,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.51
|
|
}
|
|
},
|
|
"alpha_pct": -57.94
|
|
},
|
|
"test": {
|
|
"final_equity": 104890001,
|
|
"total_return_pct": 4.89,
|
|
"cagr_pct": 16.45,
|
|
"mdd_pct": 6.66,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 26.7,
|
|
"profit_factor": 1.49,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.06
|
|
}
|
|
},
|
|
"alpha_pct": -47.94
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.46,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.18,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 14.51,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 6.46
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146588684,
|
|
"total_return_pct": 46.59,
|
|
"cagr_pct": 69.33,
|
|
"mdd_pct": 12.45,
|
|
"trades": 42,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.1,
|
|
"profit_factor": 4.28,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.08
|
|
}
|
|
},
|
|
"alpha_pct": -48.51
|
|
},
|
|
"test": {
|
|
"final_equity": 104495378,
|
|
"total_return_pct": 4.5,
|
|
"cagr_pct": 15.06,
|
|
"mdd_pct": 7.1,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 26.7,
|
|
"profit_factor": 1.44,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.67
|
|
}
|
|
},
|
|
"alpha_pct": -48.33
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.45,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.78,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.4,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 6.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146588684,
|
|
"total_return_pct": 46.59,
|
|
"cagr_pct": 69.33,
|
|
"mdd_pct": 12.45,
|
|
"trades": 42,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.1,
|
|
"profit_factor": 4.28,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.08
|
|
}
|
|
},
|
|
"alpha_pct": -48.51
|
|
},
|
|
"test": {
|
|
"final_equity": 104495378,
|
|
"total_return_pct": 4.5,
|
|
"cagr_pct": 15.06,
|
|
"mdd_pct": 7.1,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 26.7,
|
|
"profit_factor": 1.44,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.67
|
|
}
|
|
},
|
|
"alpha_pct": -48.33
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.45,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.78,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 17.4,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 6.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132564781,
|
|
"total_return_pct": 32.56,
|
|
"cagr_pct": 47.43,
|
|
"mdd_pct": 10.9,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.3,
|
|
"profit_factor": 3.17,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.11
|
|
}
|
|
},
|
|
"alpha_pct": -62.54
|
|
},
|
|
"test": {
|
|
"final_equity": 104441417,
|
|
"total_return_pct": 4.44,
|
|
"cagr_pct": 14.87,
|
|
"mdd_pct": 7.1,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.45,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.61
|
|
}
|
|
},
|
|
"alpha_pct": -48.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.45,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.42,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.68,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 6.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132564781,
|
|
"total_return_pct": 32.56,
|
|
"cagr_pct": 47.43,
|
|
"mdd_pct": 10.9,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.3,
|
|
"profit_factor": 3.17,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.11
|
|
}
|
|
},
|
|
"alpha_pct": -62.54
|
|
},
|
|
"test": {
|
|
"final_equity": 104441417,
|
|
"total_return_pct": 4.44,
|
|
"cagr_pct": 14.87,
|
|
"mdd_pct": 7.1,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.45,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.61
|
|
}
|
|
},
|
|
"alpha_pct": -48.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.45,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.42,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.68,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 6.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145896570,
|
|
"total_return_pct": 45.9,
|
|
"cagr_pct": 68.23,
|
|
"mdd_pct": 10.13,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.95,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.77
|
|
}
|
|
},
|
|
"alpha_pct": -49.2
|
|
},
|
|
"test": {
|
|
"final_equity": 133087854,
|
|
"total_return_pct": 33.09,
|
|
"cagr_pct": 148.88,
|
|
"mdd_pct": 6.03,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 7.92,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.26
|
|
}
|
|
},
|
|
"alpha_pct": -19.74
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.97,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.35,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.5,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.35
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145896570,
|
|
"total_return_pct": 45.9,
|
|
"cagr_pct": 68.23,
|
|
"mdd_pct": 10.13,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.95,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.77
|
|
}
|
|
},
|
|
"alpha_pct": -49.2
|
|
},
|
|
"test": {
|
|
"final_equity": 133087854,
|
|
"total_return_pct": 33.09,
|
|
"cagr_pct": 148.88,
|
|
"mdd_pct": 6.03,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 7.92,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -19.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 47.26
|
|
}
|
|
},
|
|
"alpha_pct": -19.74
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.97,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.35,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.5,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.35
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146320203,
|
|
"total_return_pct": 46.32,
|
|
"cagr_pct": 68.9,
|
|
"mdd_pct": 10.14,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.74,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.35
|
|
}
|
|
},
|
|
"alpha_pct": -48.78
|
|
},
|
|
"test": {
|
|
"final_equity": 138369919,
|
|
"total_return_pct": 38.37,
|
|
"cagr_pct": 181.78,
|
|
"mdd_pct": 6.94,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 7.44,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.54
|
|
}
|
|
},
|
|
"alpha_pct": -14.46
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.97,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.31,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.48,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.31
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146320203,
|
|
"total_return_pct": 46.32,
|
|
"cagr_pct": 68.9,
|
|
"mdd_pct": 10.14,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.74,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.35
|
|
}
|
|
},
|
|
"alpha_pct": -48.78
|
|
},
|
|
"test": {
|
|
"final_equity": 138369919,
|
|
"total_return_pct": 38.37,
|
|
"cagr_pct": 181.78,
|
|
"mdd_pct": 6.94,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 7.44,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -14.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 52.54
|
|
}
|
|
},
|
|
"alpha_pct": -14.46
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.97,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.31,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.48,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.31
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 128172983,
|
|
"total_return_pct": 28.17,
|
|
"cagr_pct": 40.75,
|
|
"mdd_pct": 14.62,
|
|
"trades": 78,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 1.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -66.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.5
|
|
}
|
|
},
|
|
"alpha_pct": -66.93
|
|
},
|
|
"test": {
|
|
"final_equity": 139321173,
|
|
"total_return_pct": 39.32,
|
|
"cagr_pct": 188.0,
|
|
"mdd_pct": 9.04,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 4.77,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.49
|
|
}
|
|
},
|
|
"alpha_pct": -13.51
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.29,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.37,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.78,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 128172983,
|
|
"total_return_pct": 28.17,
|
|
"cagr_pct": 40.75,
|
|
"mdd_pct": 14.62,
|
|
"trades": 78,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 1.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -66.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.5
|
|
}
|
|
},
|
|
"alpha_pct": -66.93
|
|
},
|
|
"test": {
|
|
"final_equity": 139321173,
|
|
"total_return_pct": 39.32,
|
|
"cagr_pct": 188.0,
|
|
"mdd_pct": 9.04,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 4.77,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.49
|
|
}
|
|
},
|
|
"alpha_pct": -13.51
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.29,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.37,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.78,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131153043,
|
|
"total_return_pct": 31.15,
|
|
"cagr_pct": 45.27,
|
|
"mdd_pct": 14.62,
|
|
"trades": 77,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.9,
|
|
"profit_factor": 2.09,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.52
|
|
}
|
|
},
|
|
"alpha_pct": -63.95
|
|
},
|
|
"test": {
|
|
"final_equity": 136963267,
|
|
"total_return_pct": 36.96,
|
|
"cagr_pct": 172.74,
|
|
"mdd_pct": 8.63,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -15.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 51.13
|
|
}
|
|
},
|
|
"alpha_pct": -15.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.29,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 28.72,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.78,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131153043,
|
|
"total_return_pct": 31.15,
|
|
"cagr_pct": 45.27,
|
|
"mdd_pct": 14.62,
|
|
"trades": 77,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.9,
|
|
"profit_factor": 2.09,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.52
|
|
}
|
|
},
|
|
"alpha_pct": -63.95
|
|
},
|
|
"test": {
|
|
"final_equity": 136963267,
|
|
"total_return_pct": 36.96,
|
|
"cagr_pct": 172.74,
|
|
"mdd_pct": 8.63,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -15.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 51.13
|
|
}
|
|
},
|
|
"alpha_pct": -15.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.29,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 28.72,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.78,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 140740965,
|
|
"total_return_pct": 40.74,
|
|
"cagr_pct": 60.1,
|
|
"mdd_pct": 12.95,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 2.37,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.93
|
|
}
|
|
},
|
|
"alpha_pct": -54.36
|
|
},
|
|
"test": {
|
|
"final_equity": 136963267,
|
|
"total_return_pct": 36.96,
|
|
"cagr_pct": 172.74,
|
|
"mdd_pct": 8.63,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -15.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 51.13
|
|
}
|
|
},
|
|
"alpha_pct": -15.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.29,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.38,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.17,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 140740965,
|
|
"total_return_pct": 40.74,
|
|
"cagr_pct": 60.1,
|
|
"mdd_pct": 12.95,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 2.37,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.93
|
|
}
|
|
},
|
|
"alpha_pct": -54.36
|
|
},
|
|
"test": {
|
|
"final_equity": 136963267,
|
|
"total_return_pct": 36.96,
|
|
"cagr_pct": 172.74,
|
|
"mdd_pct": 8.63,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 4.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -15.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 51.13
|
|
}
|
|
},
|
|
"alpha_pct": -15.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.29,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.38,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 33.17,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130270574,
|
|
"total_return_pct": 30.27,
|
|
"cagr_pct": 43.93,
|
|
"mdd_pct": 13.3,
|
|
"trades": 78,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 2.13,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.4
|
|
}
|
|
},
|
|
"alpha_pct": -64.83
|
|
},
|
|
"test": {
|
|
"final_equity": 134614491,
|
|
"total_return_pct": 34.61,
|
|
"cagr_pct": 158.1,
|
|
"mdd_pct": 7.23,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 5.11,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.78
|
|
}
|
|
},
|
|
"alpha_pct": -18.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.29,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.7,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.31,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130270574,
|
|
"total_return_pct": 30.27,
|
|
"cagr_pct": 43.93,
|
|
"mdd_pct": 13.3,
|
|
"trades": 78,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 32.1,
|
|
"profit_factor": 2.13,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.4
|
|
}
|
|
},
|
|
"alpha_pct": -64.83
|
|
},
|
|
"test": {
|
|
"final_equity": 134614491,
|
|
"total_return_pct": 34.61,
|
|
"cagr_pct": 158.1,
|
|
"mdd_pct": 7.23,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 5.11,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -18.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 48.78
|
|
}
|
|
},
|
|
"alpha_pct": -18.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.29,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.7,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.31,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133395545,
|
|
"total_return_pct": 33.4,
|
|
"cagr_pct": 48.71,
|
|
"mdd_pct": 13.3,
|
|
"trades": 77,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.9,
|
|
"profit_factor": 2.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.7
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.27
|
|
}
|
|
},
|
|
"alpha_pct": -61.7
|
|
},
|
|
"test": {
|
|
"final_equity": 132426136,
|
|
"total_return_pct": 32.43,
|
|
"cagr_pct": 144.95,
|
|
"mdd_pct": 7.16,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 5.15,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.6
|
|
}
|
|
},
|
|
"alpha_pct": -20.4
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.29,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.13,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.31,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133395545,
|
|
"total_return_pct": 33.4,
|
|
"cagr_pct": 48.71,
|
|
"mdd_pct": 13.3,
|
|
"trades": 77,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.9,
|
|
"profit_factor": 2.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.7
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.27
|
|
}
|
|
},
|
|
"alpha_pct": -61.7
|
|
},
|
|
"test": {
|
|
"final_equity": 132426136,
|
|
"total_return_pct": 32.43,
|
|
"cagr_pct": 144.95,
|
|
"mdd_pct": 7.16,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 5.15,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.6
|
|
}
|
|
},
|
|
"alpha_pct": -20.4
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.29,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.13,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 28.31,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141804038,
|
|
"total_return_pct": 41.8,
|
|
"cagr_pct": 61.76,
|
|
"mdd_pct": 11.66,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 2.56,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.3
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.87
|
|
}
|
|
},
|
|
"alpha_pct": -53.3
|
|
},
|
|
"test": {
|
|
"final_equity": 132426136,
|
|
"total_return_pct": 32.43,
|
|
"cagr_pct": 144.95,
|
|
"mdd_pct": 7.16,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 5.15,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.6
|
|
}
|
|
},
|
|
"alpha_pct": -20.4
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.29,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.65,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 26.99,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141804038,
|
|
"total_return_pct": 41.8,
|
|
"cagr_pct": 61.76,
|
|
"mdd_pct": 11.66,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 2.56,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.3
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.87
|
|
}
|
|
},
|
|
"alpha_pct": -53.3
|
|
},
|
|
"test": {
|
|
"final_equity": 132426136,
|
|
"total_return_pct": 32.43,
|
|
"cagr_pct": 144.95,
|
|
"mdd_pct": 7.16,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 5.15,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -20.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 46.6
|
|
}
|
|
},
|
|
"alpha_pct": -20.4
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.29,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.65,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 26.99,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132759469,
|
|
"total_return_pct": 32.76,
|
|
"cagr_pct": 47.73,
|
|
"mdd_pct": 12.76,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 2.16,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.91
|
|
}
|
|
},
|
|
"alpha_pct": -62.34
|
|
},
|
|
"test": {
|
|
"final_equity": 111012908,
|
|
"total_return_pct": 11.01,
|
|
"cagr_pct": 39.55,
|
|
"mdd_pct": 9.36,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 2.48,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.18
|
|
}
|
|
},
|
|
"alpha_pct": -41.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.06,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.93,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.28,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.28
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132759469,
|
|
"total_return_pct": 32.76,
|
|
"cagr_pct": 47.73,
|
|
"mdd_pct": 12.76,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 2.16,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.91
|
|
}
|
|
},
|
|
"alpha_pct": -62.34
|
|
},
|
|
"test": {
|
|
"final_equity": 111012908,
|
|
"total_return_pct": 11.01,
|
|
"cagr_pct": 39.55,
|
|
"mdd_pct": 9.36,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 2.48,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.18
|
|
}
|
|
},
|
|
"alpha_pct": -41.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.06,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.93,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.28,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.28
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 142282984,
|
|
"total_return_pct": 42.28,
|
|
"cagr_pct": 62.52,
|
|
"mdd_pct": 10.17,
|
|
"trades": 57,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 40.4,
|
|
"profit_factor": 3.27,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.39
|
|
}
|
|
},
|
|
"alpha_pct": -52.82
|
|
},
|
|
"test": {
|
|
"final_equity": 139566459,
|
|
"total_return_pct": 39.57,
|
|
"cagr_pct": 189.62,
|
|
"mdd_pct": 6.71,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 43.8,
|
|
"profit_factor": 8.7,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.74
|
|
}
|
|
},
|
|
"alpha_pct": -13.26
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.32,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.25,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.17,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.25
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 142282984,
|
|
"total_return_pct": 42.28,
|
|
"cagr_pct": 62.52,
|
|
"mdd_pct": 10.17,
|
|
"trades": 57,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 40.4,
|
|
"profit_factor": 3.27,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.39
|
|
}
|
|
},
|
|
"alpha_pct": -52.82
|
|
},
|
|
"test": {
|
|
"final_equity": 139566459,
|
|
"total_return_pct": 39.57,
|
|
"cagr_pct": 189.62,
|
|
"mdd_pct": 6.71,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 43.8,
|
|
"profit_factor": 8.7,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -13.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 53.74
|
|
}
|
|
},
|
|
"alpha_pct": -13.26
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.32,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.25,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.17,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.25
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 130726312,
|
|
"total_return_pct": 30.73,
|
|
"cagr_pct": 44.62,
|
|
"mdd_pct": 11.3,
|
|
"trades": 54,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.2,
|
|
"profit_factor": 2.29,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.94
|
|
}
|
|
},
|
|
"alpha_pct": -64.37
|
|
},
|
|
"test": {
|
|
"final_equity": 98170163,
|
|
"total_return_pct": -1.83,
|
|
"cagr_pct": -5.72,
|
|
"mdd_pct": 11.15,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.34
|
|
}
|
|
},
|
|
"alpha_pct": -54.66
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.65,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.4,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.24,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 130726312,
|
|
"total_return_pct": 30.73,
|
|
"cagr_pct": 44.62,
|
|
"mdd_pct": 11.3,
|
|
"trades": 54,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.2,
|
|
"profit_factor": 2.29,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.94
|
|
}
|
|
},
|
|
"alpha_pct": -64.37
|
|
},
|
|
"test": {
|
|
"final_equity": 98170163,
|
|
"total_return_pct": -1.83,
|
|
"cagr_pct": -5.72,
|
|
"mdd_pct": 11.15,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.34
|
|
}
|
|
},
|
|
"alpha_pct": -54.66
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.65,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.4,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.24,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 127999568,
|
|
"total_return_pct": 28.0,
|
|
"cagr_pct": 40.49,
|
|
"mdd_pct": 11.27,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 2.19,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.1
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.67
|
|
}
|
|
},
|
|
"alpha_pct": -67.1
|
|
},
|
|
"test": {
|
|
"final_equity": 97854990,
|
|
"total_return_pct": -2.15,
|
|
"cagr_pct": -6.68,
|
|
"mdd_pct": 11.16,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.83,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.02
|
|
}
|
|
},
|
|
"alpha_pct": -54.98
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.41,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.22,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.19,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.19
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 127999568,
|
|
"total_return_pct": 28.0,
|
|
"cagr_pct": 40.49,
|
|
"mdd_pct": 11.27,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 2.19,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.1
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.67
|
|
}
|
|
},
|
|
"alpha_pct": -67.1
|
|
},
|
|
"test": {
|
|
"final_equity": 97854990,
|
|
"total_return_pct": -2.15,
|
|
"cagr_pct": -6.68,
|
|
"mdd_pct": 11.16,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.83,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.02
|
|
}
|
|
},
|
|
"alpha_pct": -54.98
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.41,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.22,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.19,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.19
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 142784935,
|
|
"total_return_pct": 42.78,
|
|
"cagr_pct": 63.31,
|
|
"mdd_pct": 14.02,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 3.29,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.89
|
|
}
|
|
},
|
|
"alpha_pct": -52.32
|
|
},
|
|
"test": {
|
|
"final_equity": 103903479,
|
|
"total_return_pct": 3.9,
|
|
"cagr_pct": 12.99,
|
|
"mdd_pct": 7.29,
|
|
"trades": 18,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 27.8,
|
|
"profit_factor": 1.41,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.07
|
|
}
|
|
},
|
|
"alpha_pct": -48.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.7,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.82,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.17,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 6.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 142784935,
|
|
"total_return_pct": 42.78,
|
|
"cagr_pct": 63.31,
|
|
"mdd_pct": 14.02,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 3.29,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.89
|
|
}
|
|
},
|
|
"alpha_pct": -52.32
|
|
},
|
|
"test": {
|
|
"final_equity": 103903479,
|
|
"total_return_pct": 3.9,
|
|
"cagr_pct": 12.99,
|
|
"mdd_pct": 7.29,
|
|
"trades": 18,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 27.8,
|
|
"profit_factor": 1.41,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.07
|
|
}
|
|
},
|
|
"alpha_pct": -48.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.7,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.82,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.17,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 6.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143220316,
|
|
"total_return_pct": 43.22,
|
|
"cagr_pct": 63.99,
|
|
"mdd_pct": 13.8,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 3.37,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.45
|
|
}
|
|
},
|
|
"alpha_pct": -51.88
|
|
},
|
|
"test": {
|
|
"final_equity": 103658454,
|
|
"total_return_pct": 3.66,
|
|
"cagr_pct": 12.14,
|
|
"mdd_pct": 8.38,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 1.27,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.83
|
|
}
|
|
},
|
|
"alpha_pct": -49.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.7,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.98,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.17,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 6.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143220316,
|
|
"total_return_pct": 43.22,
|
|
"cagr_pct": 63.99,
|
|
"mdd_pct": 13.8,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 3.37,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.45
|
|
}
|
|
},
|
|
"alpha_pct": -51.88
|
|
},
|
|
"test": {
|
|
"final_equity": 103658454,
|
|
"total_return_pct": 3.66,
|
|
"cagr_pct": 12.14,
|
|
"mdd_pct": 8.38,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 1.27,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.83
|
|
}
|
|
},
|
|
"alpha_pct": -49.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.7,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.98,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.17,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 6.17
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 123884967,
|
|
"total_return_pct": 23.88,
|
|
"cagr_pct": 34.3,
|
|
"mdd_pct": 13.38,
|
|
"trades": 67,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 26.9,
|
|
"profit_factor": 1.97,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -71.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -23.79
|
|
}
|
|
},
|
|
"alpha_pct": -71.22
|
|
},
|
|
"test": {
|
|
"final_equity": 100977661,
|
|
"total_return_pct": 0.98,
|
|
"cagr_pct": 3.15,
|
|
"mdd_pct": 6.54,
|
|
"trades": 18,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.37,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.85
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.15
|
|
}
|
|
},
|
|
"alpha_pct": -51.85
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.12,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.73,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.3,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 6.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 123884967,
|
|
"total_return_pct": 23.88,
|
|
"cagr_pct": 34.3,
|
|
"mdd_pct": 13.38,
|
|
"trades": 67,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 26.9,
|
|
"profit_factor": 1.97,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -71.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -23.79
|
|
}
|
|
},
|
|
"alpha_pct": -71.22
|
|
},
|
|
"test": {
|
|
"final_equity": 100977661,
|
|
"total_return_pct": 0.98,
|
|
"cagr_pct": 3.15,
|
|
"mdd_pct": 6.54,
|
|
"trades": 18,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.37,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.85
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.15
|
|
}
|
|
},
|
|
"alpha_pct": -51.85
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.12,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.73,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.3,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 6.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144401465,
|
|
"total_return_pct": 44.4,
|
|
"cagr_pct": 65.86,
|
|
"mdd_pct": 9.49,
|
|
"trades": 57,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 43.9,
|
|
"profit_factor": 3.57,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.7
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.27
|
|
}
|
|
},
|
|
"alpha_pct": -50.7
|
|
},
|
|
"test": {
|
|
"final_equity": 135401058,
|
|
"total_return_pct": 35.4,
|
|
"cagr_pct": 162.94,
|
|
"mdd_pct": 7.02,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 6.95,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.57
|
|
}
|
|
},
|
|
"alpha_pct": -17.43
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.79,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.09,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.99,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.09
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144401465,
|
|
"total_return_pct": 44.4,
|
|
"cagr_pct": 65.86,
|
|
"mdd_pct": 9.49,
|
|
"trades": 57,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 43.9,
|
|
"profit_factor": 3.57,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.7
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.27
|
|
}
|
|
},
|
|
"alpha_pct": -50.7
|
|
},
|
|
"test": {
|
|
"final_equity": 135401058,
|
|
"total_return_pct": 35.4,
|
|
"cagr_pct": 162.94,
|
|
"mdd_pct": 7.02,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 6.95,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -17.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 49.57
|
|
}
|
|
},
|
|
"alpha_pct": -17.43
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.79,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.09,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 37.99,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.09
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141284917,
|
|
"total_return_pct": 41.28,
|
|
"cagr_pct": 60.95,
|
|
"mdd_pct": 12.24,
|
|
"trades": 63,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.7,
|
|
"profit_factor": 2.72,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.39
|
|
}
|
|
},
|
|
"alpha_pct": -53.82
|
|
},
|
|
"test": {
|
|
"final_equity": 104877774,
|
|
"total_return_pct": 4.88,
|
|
"cagr_pct": 16.41,
|
|
"mdd_pct": 13.89,
|
|
"trades": 28,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 1.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.05
|
|
}
|
|
},
|
|
"alpha_pct": -47.95
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.3,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.95,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.09,
|
|
"trades": 37
|
|
}
|
|
],
|
|
"worst_ret": 6.09
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141284917,
|
|
"total_return_pct": 41.28,
|
|
"cagr_pct": 60.95,
|
|
"mdd_pct": 12.24,
|
|
"trades": 63,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.7,
|
|
"profit_factor": 2.72,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.39
|
|
}
|
|
},
|
|
"alpha_pct": -53.82
|
|
},
|
|
"test": {
|
|
"final_equity": 104877774,
|
|
"total_return_pct": 4.88,
|
|
"cagr_pct": 16.41,
|
|
"mdd_pct": 13.89,
|
|
"trades": 28,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 1.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.05
|
|
}
|
|
},
|
|
"alpha_pct": -47.95
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.3,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.95,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.09,
|
|
"trades": 37
|
|
}
|
|
],
|
|
"worst_ret": 6.09
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143852090,
|
|
"total_return_pct": 43.85,
|
|
"cagr_pct": 64.99,
|
|
"mdd_pct": 9.49,
|
|
"trades": 57,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 43.9,
|
|
"profit_factor": 3.75,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.82
|
|
}
|
|
},
|
|
"alpha_pct": -51.25
|
|
},
|
|
"test": {
|
|
"final_equity": 130575508,
|
|
"total_return_pct": 30.58,
|
|
"cagr_pct": 134.2,
|
|
"mdd_pct": 6.08,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 7.39,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -22.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 44.75
|
|
}
|
|
},
|
|
"alpha_pct": -22.25
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.79,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.04,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.32,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.04
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143852090,
|
|
"total_return_pct": 43.85,
|
|
"cagr_pct": 64.99,
|
|
"mdd_pct": 9.49,
|
|
"trades": 57,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 43.9,
|
|
"profit_factor": 3.75,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.82
|
|
}
|
|
},
|
|
"alpha_pct": -51.25
|
|
},
|
|
"test": {
|
|
"final_equity": 130575508,
|
|
"total_return_pct": 30.58,
|
|
"cagr_pct": 134.2,
|
|
"mdd_pct": 6.08,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 7.39,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -22.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 44.75
|
|
}
|
|
},
|
|
"alpha_pct": -22.25
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.79,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.04,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 31.32,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 6.04
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143560060,
|
|
"total_return_pct": 43.56,
|
|
"cagr_pct": 64.53,
|
|
"mdd_pct": 11.82,
|
|
"trades": 40,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 4.3,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.11
|
|
}
|
|
},
|
|
"alpha_pct": -51.54
|
|
},
|
|
"test": {
|
|
"final_equity": 103602399,
|
|
"total_return_pct": 3.6,
|
|
"cagr_pct": 11.95,
|
|
"mdd_pct": 4.48,
|
|
"trades": 14,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 1.12,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.77
|
|
}
|
|
},
|
|
"alpha_pct": -49.23
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.02,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.13,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.03,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.02
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143560060,
|
|
"total_return_pct": 43.56,
|
|
"cagr_pct": 64.53,
|
|
"mdd_pct": 11.82,
|
|
"trades": 40,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 4.3,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.11
|
|
}
|
|
},
|
|
"alpha_pct": -51.54
|
|
},
|
|
"test": {
|
|
"final_equity": 103602399,
|
|
"total_return_pct": 3.6,
|
|
"cagr_pct": 11.95,
|
|
"mdd_pct": 4.48,
|
|
"trades": 14,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 1.12,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.77
|
|
}
|
|
},
|
|
"alpha_pct": -49.23
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.02,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.13,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.03,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 6.02
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136538726,
|
|
"total_return_pct": 36.54,
|
|
"cagr_pct": 53.55,
|
|
"mdd_pct": 11.08,
|
|
"trades": 77,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.1,
|
|
"profit_factor": 2.7,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.56
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.13
|
|
}
|
|
},
|
|
"alpha_pct": -58.56
|
|
},
|
|
"test": {
|
|
"final_equity": 99437585,
|
|
"total_return_pct": -0.56,
|
|
"cagr_pct": -1.78,
|
|
"mdd_pct": 9.31,
|
|
"trades": 25,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 1.02,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.61
|
|
}
|
|
},
|
|
"alpha_pct": -53.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.63,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.3,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.01,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 6.01
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136538726,
|
|
"total_return_pct": 36.54,
|
|
"cagr_pct": 53.55,
|
|
"mdd_pct": 11.08,
|
|
"trades": 77,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.1,
|
|
"profit_factor": 2.7,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.56
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.13
|
|
}
|
|
},
|
|
"alpha_pct": -58.56
|
|
},
|
|
"test": {
|
|
"final_equity": 99437585,
|
|
"total_return_pct": -0.56,
|
|
"cagr_pct": -1.78,
|
|
"mdd_pct": 9.31,
|
|
"trades": 25,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 1.02,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.61
|
|
}
|
|
},
|
|
"alpha_pct": -53.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.63,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 22.3,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.01,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 6.01
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 153882962,
|
|
"total_return_pct": 53.88,
|
|
"cagr_pct": 81.04,
|
|
"mdd_pct": 12.61,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.3,
|
|
"profit_factor": 3.86,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -41.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 6.21
|
|
}
|
|
},
|
|
"alpha_pct": -41.22
|
|
},
|
|
"test": {
|
|
"final_equity": 99103180,
|
|
"total_return_pct": -0.9,
|
|
"cagr_pct": -2.83,
|
|
"mdd_pct": 11.14,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 21.1,
|
|
"profit_factor": 0.85,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.27
|
|
}
|
|
},
|
|
"alpha_pct": -53.73
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.09,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.7,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.95,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 5.95
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 153882962,
|
|
"total_return_pct": 53.88,
|
|
"cagr_pct": 81.04,
|
|
"mdd_pct": 12.61,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.3,
|
|
"profit_factor": 3.86,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -41.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 6.21
|
|
}
|
|
},
|
|
"alpha_pct": -41.22
|
|
},
|
|
"test": {
|
|
"final_equity": 99103180,
|
|
"total_return_pct": -0.9,
|
|
"cagr_pct": -2.83,
|
|
"mdd_pct": 11.14,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 21.1,
|
|
"profit_factor": 0.85,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.27
|
|
}
|
|
},
|
|
"alpha_pct": -53.73
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.09,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.7,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.95,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 5.95
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 135867741,
|
|
"total_return_pct": 35.87,
|
|
"cagr_pct": 52.51,
|
|
"mdd_pct": 13.14,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.2,
|
|
"profit_factor": 2.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -59.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.8
|
|
}
|
|
},
|
|
"alpha_pct": -59.23
|
|
},
|
|
"test": {
|
|
"final_equity": 105203585,
|
|
"total_return_pct": 5.2,
|
|
"cagr_pct": 17.56,
|
|
"mdd_pct": 6.1,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 1.38,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.63
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.37
|
|
}
|
|
},
|
|
"alpha_pct": -47.63
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.9,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.33,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 14.12,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 5.9
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 135867741,
|
|
"total_return_pct": 35.87,
|
|
"cagr_pct": 52.51,
|
|
"mdd_pct": 13.14,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 36.2,
|
|
"profit_factor": 2.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -59.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.8
|
|
}
|
|
},
|
|
"alpha_pct": -59.23
|
|
},
|
|
"test": {
|
|
"final_equity": 105203585,
|
|
"total_return_pct": 5.2,
|
|
"cagr_pct": 17.56,
|
|
"mdd_pct": 6.1,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 1.38,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.63
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.37
|
|
}
|
|
},
|
|
"alpha_pct": -47.63
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.9,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.33,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 14.12,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 5.9
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133029620,
|
|
"total_return_pct": 33.03,
|
|
"cagr_pct": 48.14,
|
|
"mdd_pct": 13.44,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.4,
|
|
"profit_factor": 2.39,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.64
|
|
}
|
|
},
|
|
"alpha_pct": -62.07
|
|
},
|
|
"test": {
|
|
"final_equity": 103687736,
|
|
"total_return_pct": 3.69,
|
|
"cagr_pct": 12.25,
|
|
"mdd_pct": 6.96,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 1.41,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.14
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.86
|
|
}
|
|
},
|
|
"alpha_pct": -49.14
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.9,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.51,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.42,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 5.9
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133029620,
|
|
"total_return_pct": 33.03,
|
|
"cagr_pct": 48.14,
|
|
"mdd_pct": 13.44,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.4,
|
|
"profit_factor": 2.39,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.64
|
|
}
|
|
},
|
|
"alpha_pct": -62.07
|
|
},
|
|
"test": {
|
|
"final_equity": 103687736,
|
|
"total_return_pct": 3.69,
|
|
"cagr_pct": 12.25,
|
|
"mdd_pct": 6.96,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 1.41,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.14
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.86
|
|
}
|
|
},
|
|
"alpha_pct": -49.14
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.9,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.51,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.42,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 5.9
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132586324,
|
|
"total_return_pct": 32.59,
|
|
"cagr_pct": 47.46,
|
|
"mdd_pct": 13.91,
|
|
"trades": 64,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 2.39,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.08
|
|
}
|
|
},
|
|
"alpha_pct": -62.51
|
|
},
|
|
"test": {
|
|
"final_equity": 101507296,
|
|
"total_return_pct": 1.51,
|
|
"cagr_pct": 4.89,
|
|
"mdd_pct": 9.55,
|
|
"trades": 17,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 11.8,
|
|
"profit_factor": 0.9,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.68
|
|
}
|
|
},
|
|
"alpha_pct": -51.32
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.9,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.95,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.34,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 5.9
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132586324,
|
|
"total_return_pct": 32.59,
|
|
"cagr_pct": 47.46,
|
|
"mdd_pct": 13.91,
|
|
"trades": 64,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 2.39,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.08
|
|
}
|
|
},
|
|
"alpha_pct": -62.51
|
|
},
|
|
"test": {
|
|
"final_equity": 101507296,
|
|
"total_return_pct": 1.51,
|
|
"cagr_pct": 4.89,
|
|
"mdd_pct": 9.55,
|
|
"trades": 17,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 11.8,
|
|
"profit_factor": 0.9,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.68
|
|
}
|
|
},
|
|
"alpha_pct": -51.32
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.9,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.95,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.34,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 5.9
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137243581,
|
|
"total_return_pct": 37.24,
|
|
"cagr_pct": 54.64,
|
|
"mdd_pct": 10.9,
|
|
"trades": 46,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.3,
|
|
"profit_factor": 3.61,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.43
|
|
}
|
|
},
|
|
"alpha_pct": -57.86
|
|
},
|
|
"test": {
|
|
"final_equity": 104358014,
|
|
"total_return_pct": 4.36,
|
|
"cagr_pct": 14.58,
|
|
"mdd_pct": 7.1,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.43,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.53
|
|
}
|
|
},
|
|
"alpha_pct": -48.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.63,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 5.89,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.59,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 5.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137243581,
|
|
"total_return_pct": 37.24,
|
|
"cagr_pct": 54.64,
|
|
"mdd_pct": 10.9,
|
|
"trades": 46,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.3,
|
|
"profit_factor": 3.61,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.43
|
|
}
|
|
},
|
|
"alpha_pct": -57.86
|
|
},
|
|
"test": {
|
|
"final_equity": 104358014,
|
|
"total_return_pct": 4.36,
|
|
"cagr_pct": 14.58,
|
|
"mdd_pct": 7.1,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.43,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.53
|
|
}
|
|
},
|
|
"alpha_pct": -48.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.63,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 5.89,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.59,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 5.89
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136814906,
|
|
"total_return_pct": 36.81,
|
|
"cagr_pct": 53.98,
|
|
"mdd_pct": 13.83,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.2,
|
|
"profit_factor": 3.25,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.86
|
|
}
|
|
},
|
|
"alpha_pct": -58.29
|
|
},
|
|
"test": {
|
|
"final_equity": 105010659,
|
|
"total_return_pct": 5.01,
|
|
"cagr_pct": 16.88,
|
|
"mdd_pct": 7.07,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.52,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.18
|
|
}
|
|
},
|
|
"alpha_pct": -47.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.45,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.23,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.81,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 5.81
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136814906,
|
|
"total_return_pct": 36.81,
|
|
"cagr_pct": 53.98,
|
|
"mdd_pct": 13.83,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.2,
|
|
"profit_factor": 3.25,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.86
|
|
}
|
|
},
|
|
"alpha_pct": -58.29
|
|
},
|
|
"test": {
|
|
"final_equity": 105010659,
|
|
"total_return_pct": 5.01,
|
|
"cagr_pct": 16.88,
|
|
"mdd_pct": 7.07,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.52,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.18
|
|
}
|
|
},
|
|
"alpha_pct": -47.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.45,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.23,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.81,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 5.81
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141452767,
|
|
"total_return_pct": 41.45,
|
|
"cagr_pct": 61.21,
|
|
"mdd_pct": 11.54,
|
|
"trades": 60,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.0,
|
|
"profit_factor": 3.13,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.22
|
|
}
|
|
},
|
|
"alpha_pct": -53.65
|
|
},
|
|
"test": {
|
|
"final_equity": 106552154,
|
|
"total_return_pct": 6.55,
|
|
"cagr_pct": 22.44,
|
|
"mdd_pct": 10.78,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 24.0,
|
|
"profit_factor": 1.28,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -46.28
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 20.72
|
|
}
|
|
},
|
|
"alpha_pct": -46.28
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.53,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.02,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.76,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 5.76
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141452767,
|
|
"total_return_pct": 41.45,
|
|
"cagr_pct": 61.21,
|
|
"mdd_pct": 11.54,
|
|
"trades": 60,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.0,
|
|
"profit_factor": 3.13,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.22
|
|
}
|
|
},
|
|
"alpha_pct": -53.65
|
|
},
|
|
"test": {
|
|
"final_equity": 106552154,
|
|
"total_return_pct": 6.55,
|
|
"cagr_pct": 22.44,
|
|
"mdd_pct": 10.78,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 24.0,
|
|
"profit_factor": 1.28,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -46.28
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 20.72
|
|
}
|
|
},
|
|
"alpha_pct": -46.28
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.53,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.02,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.76,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 5.76
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138245501,
|
|
"total_return_pct": 38.25,
|
|
"cagr_pct": 56.2,
|
|
"mdd_pct": 11.83,
|
|
"trades": 43,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 34.9,
|
|
"profit_factor": 3.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.85
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.42
|
|
}
|
|
},
|
|
"alpha_pct": -56.85
|
|
},
|
|
"test": {
|
|
"final_equity": 102826443,
|
|
"total_return_pct": 2.83,
|
|
"cagr_pct": 9.3,
|
|
"mdd_pct": 5.13,
|
|
"trades": 14,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 0.98,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.0
|
|
}
|
|
},
|
|
"alpha_pct": -50.0
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.14,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.71,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.71,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 5.71
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138245501,
|
|
"total_return_pct": 38.25,
|
|
"cagr_pct": 56.2,
|
|
"mdd_pct": 11.83,
|
|
"trades": 43,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 34.9,
|
|
"profit_factor": 3.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.85
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.42
|
|
}
|
|
},
|
|
"alpha_pct": -56.85
|
|
},
|
|
"test": {
|
|
"final_equity": 102826443,
|
|
"total_return_pct": 2.83,
|
|
"cagr_pct": 9.3,
|
|
"mdd_pct": 5.13,
|
|
"trades": 14,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 0.98,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.0
|
|
}
|
|
},
|
|
"alpha_pct": -50.0
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.14,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.71,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.71,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 5.71
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138836077,
|
|
"total_return_pct": 38.84,
|
|
"cagr_pct": 57.12,
|
|
"mdd_pct": 14.75,
|
|
"trades": 40,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.76,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.83
|
|
}
|
|
},
|
|
"alpha_pct": -56.26
|
|
},
|
|
"test": {
|
|
"final_equity": 105176811,
|
|
"total_return_pct": 5.18,
|
|
"cagr_pct": 17.47,
|
|
"mdd_pct": 7.69,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.79,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.35
|
|
}
|
|
},
|
|
"alpha_pct": -47.65
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.81,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.01,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.64,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 5.64
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138836077,
|
|
"total_return_pct": 38.84,
|
|
"cagr_pct": 57.12,
|
|
"mdd_pct": 14.75,
|
|
"trades": 40,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.76,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.83
|
|
}
|
|
},
|
|
"alpha_pct": -56.26
|
|
},
|
|
"test": {
|
|
"final_equity": 105176811,
|
|
"total_return_pct": 5.18,
|
|
"cagr_pct": 17.47,
|
|
"mdd_pct": 7.69,
|
|
"trades": 13,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.79,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.35
|
|
}
|
|
},
|
|
"alpha_pct": -47.65
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.81,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.01,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.64,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 5.64
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 124867279,
|
|
"total_return_pct": 24.87,
|
|
"cagr_pct": 35.77,
|
|
"mdd_pct": 10.97,
|
|
"trades": 62,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.1,
|
|
"profit_factor": 2.4,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -70.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -22.8
|
|
}
|
|
},
|
|
"alpha_pct": -70.23
|
|
},
|
|
"test": {
|
|
"final_equity": 101162939,
|
|
"total_return_pct": 1.16,
|
|
"cagr_pct": 3.76,
|
|
"mdd_pct": 7.09,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.17,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.33
|
|
}
|
|
},
|
|
"alpha_pct": -51.67
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.17,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.63,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.61,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 5.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 124867279,
|
|
"total_return_pct": 24.87,
|
|
"cagr_pct": 35.77,
|
|
"mdd_pct": 10.97,
|
|
"trades": 62,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.1,
|
|
"profit_factor": 2.4,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -70.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -22.8
|
|
}
|
|
},
|
|
"alpha_pct": -70.23
|
|
},
|
|
"test": {
|
|
"final_equity": 101162939,
|
|
"total_return_pct": 1.16,
|
|
"cagr_pct": 3.76,
|
|
"mdd_pct": 7.09,
|
|
"trades": 18,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.17,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.33
|
|
}
|
|
},
|
|
"alpha_pct": -51.67
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.17,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.63,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.61,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 5.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132752580,
|
|
"total_return_pct": 32.75,
|
|
"cagr_pct": 47.72,
|
|
"mdd_pct": 14.7,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 28.2,
|
|
"profit_factor": 2.14,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.92
|
|
}
|
|
},
|
|
"alpha_pct": -62.35
|
|
},
|
|
"test": {
|
|
"final_equity": 94705412,
|
|
"total_return_pct": -5.29,
|
|
"cagr_pct": -15.93,
|
|
"mdd_pct": 13.91,
|
|
"trades": 22,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 18.2,
|
|
"profit_factor": 0.82,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.88
|
|
}
|
|
},
|
|
"alpha_pct": -58.12
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.63,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.99,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.61,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 5.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132752580,
|
|
"total_return_pct": 32.75,
|
|
"cagr_pct": 47.72,
|
|
"mdd_pct": 14.7,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 28.2,
|
|
"profit_factor": 2.14,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.92
|
|
}
|
|
},
|
|
"alpha_pct": -62.35
|
|
},
|
|
"test": {
|
|
"final_equity": 94705412,
|
|
"total_return_pct": -5.29,
|
|
"cagr_pct": -15.93,
|
|
"mdd_pct": 13.91,
|
|
"trades": 22,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 18.2,
|
|
"profit_factor": 0.82,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.88
|
|
}
|
|
},
|
|
"alpha_pct": -58.12
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.63,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.99,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.61,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 5.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 124470097,
|
|
"total_return_pct": 24.47,
|
|
"cagr_pct": 35.18,
|
|
"mdd_pct": 13.11,
|
|
"trades": 68,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.9,
|
|
"profit_factor": 2.1,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -70.63
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -23.2
|
|
}
|
|
},
|
|
"alpha_pct": -70.63
|
|
},
|
|
"test": {
|
|
"final_equity": 100469809,
|
|
"total_return_pct": 0.47,
|
|
"cagr_pct": 1.51,
|
|
"mdd_pct": 7.79,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 1.18,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.64
|
|
}
|
|
},
|
|
"alpha_pct": -52.36
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.56,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.54,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 15.34,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 5.56
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 124470097,
|
|
"total_return_pct": 24.47,
|
|
"cagr_pct": 35.18,
|
|
"mdd_pct": 13.11,
|
|
"trades": 68,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 30.9,
|
|
"profit_factor": 2.1,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -70.63
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -23.2
|
|
}
|
|
},
|
|
"alpha_pct": -70.63
|
|
},
|
|
"test": {
|
|
"final_equity": 100469809,
|
|
"total_return_pct": 0.47,
|
|
"cagr_pct": 1.51,
|
|
"mdd_pct": 7.79,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 1.18,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.64
|
|
}
|
|
},
|
|
"alpha_pct": -52.36
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.56,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.54,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 15.34,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 5.56
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132310495,
|
|
"total_return_pct": 32.31,
|
|
"cagr_pct": 47.04,
|
|
"mdd_pct": 10.85,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.3,
|
|
"profit_factor": 3.26,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.36
|
|
}
|
|
},
|
|
"alpha_pct": -62.79
|
|
},
|
|
"test": {
|
|
"final_equity": 104850139,
|
|
"total_return_pct": 4.85,
|
|
"cagr_pct": 16.31,
|
|
"mdd_pct": 5.26,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.58,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.02
|
|
}
|
|
},
|
|
"alpha_pct": -47.98
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.56,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.5,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.52,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 5.52
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132310495,
|
|
"total_return_pct": 32.31,
|
|
"cagr_pct": 47.04,
|
|
"mdd_pct": 10.85,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.3,
|
|
"profit_factor": 3.26,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.36
|
|
}
|
|
},
|
|
"alpha_pct": -62.79
|
|
},
|
|
"test": {
|
|
"final_equity": 104850139,
|
|
"total_return_pct": 4.85,
|
|
"cagr_pct": 16.31,
|
|
"mdd_pct": 5.26,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.58,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.02
|
|
}
|
|
},
|
|
"alpha_pct": -47.98
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.56,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.5,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.52,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 5.52
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133580589,
|
|
"total_return_pct": 33.58,
|
|
"cagr_pct": 48.99,
|
|
"mdd_pct": 11.81,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 21.0,
|
|
"profit_factor": 2.61,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.09
|
|
}
|
|
},
|
|
"alpha_pct": -61.52
|
|
},
|
|
"test": {
|
|
"final_equity": 128669689,
|
|
"total_return_pct": 28.67,
|
|
"cagr_pct": 123.47,
|
|
"mdd_pct": 6.42,
|
|
"trades": 13,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 7.12,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.84
|
|
}
|
|
},
|
|
"alpha_pct": -24.16
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.49,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.2,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 25.12,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 5.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133580589,
|
|
"total_return_pct": 33.58,
|
|
"cagr_pct": 48.99,
|
|
"mdd_pct": 11.81,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 21.0,
|
|
"profit_factor": 2.61,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.09
|
|
}
|
|
},
|
|
"alpha_pct": -61.52
|
|
},
|
|
"test": {
|
|
"final_equity": 128669689,
|
|
"total_return_pct": 28.67,
|
|
"cagr_pct": 123.47,
|
|
"mdd_pct": 6.42,
|
|
"trades": 13,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 7.12,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -24.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 42.84
|
|
}
|
|
},
|
|
"alpha_pct": -24.16
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.49,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.2,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 25.12,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 5.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130936535,
|
|
"total_return_pct": 30.94,
|
|
"cagr_pct": 44.94,
|
|
"mdd_pct": 12.15,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.0,
|
|
"profit_factor": 2.48,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.73
|
|
}
|
|
},
|
|
"alpha_pct": -64.16
|
|
},
|
|
"test": {
|
|
"final_equity": 127118218,
|
|
"total_return_pct": 27.12,
|
|
"cagr_pct": 114.99,
|
|
"mdd_pct": 6.86,
|
|
"trades": 17,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 5.08,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.29
|
|
}
|
|
},
|
|
"alpha_pct": -25.71
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.49,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.09,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.75,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 5.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130936535,
|
|
"total_return_pct": 30.94,
|
|
"cagr_pct": 44.94,
|
|
"mdd_pct": 12.15,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.0,
|
|
"profit_factor": 2.48,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.73
|
|
}
|
|
},
|
|
"alpha_pct": -64.16
|
|
},
|
|
"test": {
|
|
"final_equity": 127118218,
|
|
"total_return_pct": 27.12,
|
|
"cagr_pct": 114.99,
|
|
"mdd_pct": 6.86,
|
|
"trades": 17,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 5.08,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -25.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 41.29
|
|
}
|
|
},
|
|
"alpha_pct": -25.71
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.49,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.09,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.75,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 5.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130475300,
|
|
"total_return_pct": 30.48,
|
|
"cagr_pct": 44.24,
|
|
"mdd_pct": 11.93,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 25.4,
|
|
"profit_factor": 2.23,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.19
|
|
}
|
|
},
|
|
"alpha_pct": -64.62
|
|
},
|
|
"test": {
|
|
"final_equity": 124985952,
|
|
"total_return_pct": 24.99,
|
|
"cagr_pct": 103.69,
|
|
"mdd_pct": 7.14,
|
|
"trades": 16,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.13,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.16
|
|
}
|
|
},
|
|
"alpha_pct": -27.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.49,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.53,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.37,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 5.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130475300,
|
|
"total_return_pct": 30.48,
|
|
"cagr_pct": 44.24,
|
|
"mdd_pct": 11.93,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 25.4,
|
|
"profit_factor": 2.23,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.19
|
|
}
|
|
},
|
|
"alpha_pct": -64.62
|
|
},
|
|
"test": {
|
|
"final_equity": 124985952,
|
|
"total_return_pct": 24.99,
|
|
"cagr_pct": 103.69,
|
|
"mdd_pct": 7.14,
|
|
"trades": 16,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 5.13,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -27.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 39.16
|
|
}
|
|
},
|
|
"alpha_pct": -27.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.49,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.53,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 22.37,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 5.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132932662,
|
|
"total_return_pct": 32.93,
|
|
"cagr_pct": 47.99,
|
|
"mdd_pct": 14.23,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 2.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.74
|
|
}
|
|
},
|
|
"alpha_pct": -62.17
|
|
},
|
|
"test": {
|
|
"final_equity": 105736112,
|
|
"total_return_pct": 5.74,
|
|
"cagr_pct": 19.47,
|
|
"mdd_pct": 7.74,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 1.99,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.09
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.91
|
|
}
|
|
},
|
|
"alpha_pct": -47.09
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.85,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.93,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.45,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 5.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132932662,
|
|
"total_return_pct": 32.93,
|
|
"cagr_pct": 47.99,
|
|
"mdd_pct": 14.23,
|
|
"trades": 70,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 2.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.74
|
|
}
|
|
},
|
|
"alpha_pct": -62.17
|
|
},
|
|
"test": {
|
|
"final_equity": 105736112,
|
|
"total_return_pct": 5.74,
|
|
"cagr_pct": 19.47,
|
|
"mdd_pct": 7.74,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 1.99,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.09
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.91
|
|
}
|
|
},
|
|
"alpha_pct": -47.09
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.85,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.93,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.45,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 5.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145948613,
|
|
"total_return_pct": 45.95,
|
|
"cagr_pct": 68.31,
|
|
"mdd_pct": 10.68,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.5,
|
|
"profit_factor": 3.35,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.15
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.72
|
|
}
|
|
},
|
|
"alpha_pct": -49.15
|
|
},
|
|
"test": {
|
|
"final_equity": 106018674,
|
|
"total_return_pct": 6.02,
|
|
"cagr_pct": 20.49,
|
|
"mdd_pct": 8.71,
|
|
"trades": 25,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 24.0,
|
|
"profit_factor": 1.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -46.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 20.19
|
|
}
|
|
},
|
|
"alpha_pct": -46.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.01,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.72,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.44,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 5.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145948613,
|
|
"total_return_pct": 45.95,
|
|
"cagr_pct": 68.31,
|
|
"mdd_pct": 10.68,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.5,
|
|
"profit_factor": 3.35,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.15
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.72
|
|
}
|
|
},
|
|
"alpha_pct": -49.15
|
|
},
|
|
"test": {
|
|
"final_equity": 106018674,
|
|
"total_return_pct": 6.02,
|
|
"cagr_pct": 20.49,
|
|
"mdd_pct": 8.71,
|
|
"trades": 25,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 24.0,
|
|
"profit_factor": 1.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -46.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 20.19
|
|
}
|
|
},
|
|
"alpha_pct": -46.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.01,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.72,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.44,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 5.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136975311,
|
|
"total_return_pct": 36.98,
|
|
"cagr_pct": 54.23,
|
|
"mdd_pct": 10.85,
|
|
"trades": 46,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.3,
|
|
"profit_factor": 3.72,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.69
|
|
}
|
|
},
|
|
"alpha_pct": -58.12
|
|
},
|
|
"test": {
|
|
"final_equity": 104760902,
|
|
"total_return_pct": 4.76,
|
|
"cagr_pct": 15.99,
|
|
"mdd_pct": 5.26,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.93
|
|
}
|
|
},
|
|
"alpha_pct": -48.07
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.73,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 5.97,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.43,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 5.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136975311,
|
|
"total_return_pct": 36.98,
|
|
"cagr_pct": 54.23,
|
|
"mdd_pct": 10.85,
|
|
"trades": 46,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.3,
|
|
"profit_factor": 3.72,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.69
|
|
}
|
|
},
|
|
"alpha_pct": -58.12
|
|
},
|
|
"test": {
|
|
"final_equity": 104760902,
|
|
"total_return_pct": 4.76,
|
|
"cagr_pct": 15.99,
|
|
"mdd_pct": 5.26,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.93
|
|
}
|
|
},
|
|
"alpha_pct": -48.07
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.73,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 5.97,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.43,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 5.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133989716,
|
|
"total_return_pct": 33.99,
|
|
"cagr_pct": 49.62,
|
|
"mdd_pct": 11.82,
|
|
"trades": 45,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.6,
|
|
"profit_factor": 3.18,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.68
|
|
}
|
|
},
|
|
"alpha_pct": -61.11
|
|
},
|
|
"test": {
|
|
"final_equity": 102590445,
|
|
"total_return_pct": 2.59,
|
|
"cagr_pct": 8.5,
|
|
"mdd_pct": 4.59,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 26.7,
|
|
"profit_factor": 1.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.24
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.76
|
|
}
|
|
},
|
|
"alpha_pct": -50.24
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.43,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.92,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.82,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 5.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133989716,
|
|
"total_return_pct": 33.99,
|
|
"cagr_pct": 49.62,
|
|
"mdd_pct": 11.82,
|
|
"trades": 45,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.6,
|
|
"profit_factor": 3.18,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.68
|
|
}
|
|
},
|
|
"alpha_pct": -61.11
|
|
},
|
|
"test": {
|
|
"final_equity": 102590445,
|
|
"total_return_pct": 2.59,
|
|
"cagr_pct": 8.5,
|
|
"mdd_pct": 4.59,
|
|
"trades": 15,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 26.7,
|
|
"profit_factor": 1.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.24
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.76
|
|
}
|
|
},
|
|
"alpha_pct": -50.24
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.43,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.92,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.82,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 5.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146405562,
|
|
"total_return_pct": 46.41,
|
|
"cagr_pct": 69.04,
|
|
"mdd_pct": 10.68,
|
|
"trades": 57,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.8,
|
|
"profit_factor": 3.19,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.26
|
|
}
|
|
},
|
|
"alpha_pct": -48.69
|
|
},
|
|
"test": {
|
|
"final_equity": 105960513,
|
|
"total_return_pct": 5.96,
|
|
"cagr_pct": 20.28,
|
|
"mdd_pct": 7.84,
|
|
"trades": 21,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -46.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 20.13
|
|
}
|
|
},
|
|
"alpha_pct": -46.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.01,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.72,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.42,
|
|
"trades": 30
|
|
}
|
|
],
|
|
"worst_ret": 5.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146405562,
|
|
"total_return_pct": 46.41,
|
|
"cagr_pct": 69.04,
|
|
"mdd_pct": 10.68,
|
|
"trades": 57,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.8,
|
|
"profit_factor": 3.19,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.26
|
|
}
|
|
},
|
|
"alpha_pct": -48.69
|
|
},
|
|
"test": {
|
|
"final_equity": 105960513,
|
|
"total_return_pct": 5.96,
|
|
"cagr_pct": 20.28,
|
|
"mdd_pct": 7.84,
|
|
"trades": 21,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -46.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 20.13
|
|
}
|
|
},
|
|
"alpha_pct": -46.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.01,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.72,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.42,
|
|
"trades": 30
|
|
}
|
|
],
|
|
"worst_ret": 5.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141656428,
|
|
"total_return_pct": 41.66,
|
|
"cagr_pct": 61.53,
|
|
"mdd_pct": 13.84,
|
|
"trades": 46,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 3.66,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.01
|
|
}
|
|
},
|
|
"alpha_pct": -53.44
|
|
},
|
|
"test": {
|
|
"final_equity": 104904167,
|
|
"total_return_pct": 4.9,
|
|
"cagr_pct": 16.5,
|
|
"mdd_pct": 7.09,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.5,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.07
|
|
}
|
|
},
|
|
"alpha_pct": -47.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.63,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.72,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.38,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 5.38
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141656428,
|
|
"total_return_pct": 41.66,
|
|
"cagr_pct": 61.53,
|
|
"mdd_pct": 13.84,
|
|
"trades": 46,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 3.66,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.01
|
|
}
|
|
},
|
|
"alpha_pct": -53.44
|
|
},
|
|
"test": {
|
|
"final_equity": 104904167,
|
|
"total_return_pct": 4.9,
|
|
"cagr_pct": 16.5,
|
|
"mdd_pct": 7.09,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.5,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.07
|
|
}
|
|
},
|
|
"alpha_pct": -47.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.63,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.72,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.38,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 5.38
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 134633784,
|
|
"total_return_pct": 34.63,
|
|
"cagr_pct": 50.61,
|
|
"mdd_pct": 13.87,
|
|
"trades": 46,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.0,
|
|
"profit_factor": 2.89,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.04
|
|
}
|
|
},
|
|
"alpha_pct": -60.47
|
|
},
|
|
"test": {
|
|
"final_equity": 105201034,
|
|
"total_return_pct": 5.2,
|
|
"cagr_pct": 17.55,
|
|
"mdd_pct": 6.98,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.52,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.63
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.37
|
|
}
|
|
},
|
|
"alpha_pct": -47.63
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.46,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.94,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.34,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 5.34
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 134633784,
|
|
"total_return_pct": 34.63,
|
|
"cagr_pct": 50.61,
|
|
"mdd_pct": 13.87,
|
|
"trades": 46,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.0,
|
|
"profit_factor": 2.89,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.04
|
|
}
|
|
},
|
|
"alpha_pct": -60.47
|
|
},
|
|
"test": {
|
|
"final_equity": 105201034,
|
|
"total_return_pct": 5.2,
|
|
"cagr_pct": 17.55,
|
|
"mdd_pct": 6.98,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.52,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.63
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.37
|
|
}
|
|
},
|
|
"alpha_pct": -47.63
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.46,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.94,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.34,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 5.34
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136554929,
|
|
"total_return_pct": 36.55,
|
|
"cagr_pct": 53.58,
|
|
"mdd_pct": 13.91,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.2,
|
|
"profit_factor": 3.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.12
|
|
}
|
|
},
|
|
"alpha_pct": -58.55
|
|
},
|
|
"test": {
|
|
"final_equity": 105290531,
|
|
"total_return_pct": 5.29,
|
|
"cagr_pct": 17.87,
|
|
"mdd_pct": 5.25,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.65,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.46
|
|
}
|
|
},
|
|
"alpha_pct": -47.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.56,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.31,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.33,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 5.33
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136554929,
|
|
"total_return_pct": 36.55,
|
|
"cagr_pct": 53.58,
|
|
"mdd_pct": 13.91,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.2,
|
|
"profit_factor": 3.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.12
|
|
}
|
|
},
|
|
"alpha_pct": -58.55
|
|
},
|
|
"test": {
|
|
"final_equity": 105290531,
|
|
"total_return_pct": 5.29,
|
|
"cagr_pct": 17.87,
|
|
"mdd_pct": 5.25,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.65,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.46
|
|
}
|
|
},
|
|
"alpha_pct": -47.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.56,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.31,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.33,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 5.33
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138668026,
|
|
"total_return_pct": 38.67,
|
|
"cagr_pct": 56.86,
|
|
"mdd_pct": 13.09,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 3.43,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.0
|
|
}
|
|
},
|
|
"alpha_pct": -56.43
|
|
},
|
|
"test": {
|
|
"final_equity": 104123108,
|
|
"total_return_pct": 4.12,
|
|
"cagr_pct": 13.76,
|
|
"mdd_pct": 6.66,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 1.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.29
|
|
}
|
|
},
|
|
"alpha_pct": -48.71
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.05,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.66,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.33,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 5.33
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138668026,
|
|
"total_return_pct": 38.67,
|
|
"cagr_pct": 56.86,
|
|
"mdd_pct": 13.09,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 3.43,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.0
|
|
}
|
|
},
|
|
"alpha_pct": -56.43
|
|
},
|
|
"test": {
|
|
"final_equity": 104123108,
|
|
"total_return_pct": 4.12,
|
|
"cagr_pct": 13.76,
|
|
"mdd_pct": 6.66,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 1.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.29
|
|
}
|
|
},
|
|
"alpha_pct": -48.71
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.05,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.66,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.33,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 5.33
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138247399,
|
|
"total_return_pct": 38.25,
|
|
"cagr_pct": 56.2,
|
|
"mdd_pct": 13.32,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 3.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.85
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.42
|
|
}
|
|
},
|
|
"alpha_pct": -56.85
|
|
},
|
|
"test": {
|
|
"final_equity": 103648728,
|
|
"total_return_pct": 3.65,
|
|
"cagr_pct": 12.11,
|
|
"mdd_pct": 6.67,
|
|
"trades": 18,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 27.8,
|
|
"profit_factor": 1.42,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.18
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.82
|
|
}
|
|
},
|
|
"alpha_pct": -49.18
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.05,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.51,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.33,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 5.33
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138247399,
|
|
"total_return_pct": 38.25,
|
|
"cagr_pct": 56.2,
|
|
"mdd_pct": 13.32,
|
|
"trades": 49,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 3.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.85
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.42
|
|
}
|
|
},
|
|
"alpha_pct": -56.85
|
|
},
|
|
"test": {
|
|
"final_equity": 103648728,
|
|
"total_return_pct": 3.65,
|
|
"cagr_pct": 12.11,
|
|
"mdd_pct": 6.67,
|
|
"trades": 18,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 27.8,
|
|
"profit_factor": 1.42,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.18
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.82
|
|
}
|
|
},
|
|
"alpha_pct": -49.18
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.05,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.51,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.33,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 5.33
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 127937416,
|
|
"total_return_pct": 27.94,
|
|
"cagr_pct": 40.39,
|
|
"mdd_pct": 11.12,
|
|
"trades": 63,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.1,
|
|
"profit_factor": 2.45,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.73
|
|
}
|
|
},
|
|
"alpha_pct": -67.16
|
|
},
|
|
"test": {
|
|
"final_equity": 98227314,
|
|
"total_return_pct": -1.77,
|
|
"cagr_pct": -5.55,
|
|
"mdd_pct": 7.51,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 22.2,
|
|
"profit_factor": 0.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.4
|
|
}
|
|
},
|
|
"alpha_pct": -54.6
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.99,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.71,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.31,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 5.31
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 127937416,
|
|
"total_return_pct": 27.94,
|
|
"cagr_pct": 40.39,
|
|
"mdd_pct": 11.12,
|
|
"trades": 63,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.1,
|
|
"profit_factor": 2.45,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.73
|
|
}
|
|
},
|
|
"alpha_pct": -67.16
|
|
},
|
|
"test": {
|
|
"final_equity": 98227314,
|
|
"total_return_pct": -1.77,
|
|
"cagr_pct": -5.55,
|
|
"mdd_pct": 7.51,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 22.2,
|
|
"profit_factor": 0.61,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.4
|
|
}
|
|
},
|
|
"alpha_pct": -54.6
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.99,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.71,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.31,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": 5.31
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 148524786,
|
|
"total_return_pct": 48.52,
|
|
"cagr_pct": 72.42,
|
|
"mdd_pct": 12.61,
|
|
"trades": 45,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 3.25,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.58
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.85
|
|
}
|
|
},
|
|
"alpha_pct": -46.58
|
|
},
|
|
"test": {
|
|
"final_equity": 98052089,
|
|
"total_return_pct": -1.95,
|
|
"cagr_pct": -6.08,
|
|
"mdd_pct": 11.61,
|
|
"trades": 19,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 21.1,
|
|
"profit_factor": 0.81,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.22
|
|
}
|
|
},
|
|
"alpha_pct": -54.78
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.49,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.67,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.23,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 5.23
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 148524786,
|
|
"total_return_pct": 48.52,
|
|
"cagr_pct": 72.42,
|
|
"mdd_pct": 12.61,
|
|
"trades": 45,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 3.25,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.58
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.85
|
|
}
|
|
},
|
|
"alpha_pct": -46.58
|
|
},
|
|
"test": {
|
|
"final_equity": 98052089,
|
|
"total_return_pct": -1.95,
|
|
"cagr_pct": -6.08,
|
|
"mdd_pct": 11.61,
|
|
"trades": 19,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 21.1,
|
|
"profit_factor": 0.81,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.22
|
|
}
|
|
},
|
|
"alpha_pct": -54.78
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.49,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.67,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.23,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 5.23
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 152315444,
|
|
"total_return_pct": 52.32,
|
|
"cagr_pct": 78.5,
|
|
"mdd_pct": 14.62,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.4,
|
|
"profit_factor": 4.44,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.65
|
|
}
|
|
},
|
|
"alpha_pct": -42.78
|
|
},
|
|
"test": {
|
|
"final_equity": 95243116,
|
|
"total_return_pct": -4.76,
|
|
"cagr_pct": -14.4,
|
|
"mdd_pct": 10.83,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 15.0,
|
|
"profit_factor": 0.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.41
|
|
}
|
|
},
|
|
"alpha_pct": -57.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.64,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.43,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.19,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 5.19
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 152315444,
|
|
"total_return_pct": 52.32,
|
|
"cagr_pct": 78.5,
|
|
"mdd_pct": 14.62,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.4,
|
|
"profit_factor": 4.44,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 4.65
|
|
}
|
|
},
|
|
"alpha_pct": -42.78
|
|
},
|
|
"test": {
|
|
"final_equity": 95243116,
|
|
"total_return_pct": -4.76,
|
|
"cagr_pct": -14.4,
|
|
"mdd_pct": 10.83,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 15.0,
|
|
"profit_factor": 0.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.41
|
|
}
|
|
},
|
|
"alpha_pct": -57.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.64,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.43,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.19,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 5.19
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141368684,
|
|
"total_return_pct": 41.37,
|
|
"cagr_pct": 61.08,
|
|
"mdd_pct": 13.91,
|
|
"trades": 46,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 3.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.3
|
|
}
|
|
},
|
|
"alpha_pct": -53.73
|
|
},
|
|
"test": {
|
|
"final_equity": 105200587,
|
|
"total_return_pct": 5.2,
|
|
"cagr_pct": 17.55,
|
|
"mdd_pct": 5.25,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.63,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.63
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.37
|
|
}
|
|
},
|
|
"alpha_pct": -47.63
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.73,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.8,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.02,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 5.02
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141368684,
|
|
"total_return_pct": 41.37,
|
|
"cagr_pct": 61.08,
|
|
"mdd_pct": 13.91,
|
|
"trades": 46,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 3.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.3
|
|
}
|
|
},
|
|
"alpha_pct": -53.73
|
|
},
|
|
"test": {
|
|
"final_equity": 105200587,
|
|
"total_return_pct": 5.2,
|
|
"cagr_pct": 17.55,
|
|
"mdd_pct": 5.25,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.63,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.63
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.37
|
|
}
|
|
},
|
|
"alpha_pct": -47.63
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.73,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.8,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.02,
|
|
"trades": 26
|
|
}
|
|
],
|
|
"worst_ret": 5.02
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145660231,
|
|
"total_return_pct": 45.66,
|
|
"cagr_pct": 67.85,
|
|
"mdd_pct": 12.83,
|
|
"trades": 65,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.4,
|
|
"profit_factor": 3.25,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.01
|
|
}
|
|
},
|
|
"alpha_pct": -49.44
|
|
},
|
|
"test": {
|
|
"final_equity": 105913710,
|
|
"total_return_pct": 5.91,
|
|
"cagr_pct": 20.11,
|
|
"mdd_pct": 8.73,
|
|
"trades": 26,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 34.6,
|
|
"profit_factor": 1.45,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -46.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 20.08
|
|
}
|
|
},
|
|
"alpha_pct": -46.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.57,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.27,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.73,
|
|
"trades": 36
|
|
}
|
|
],
|
|
"worst_ret": 4.73
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145660231,
|
|
"total_return_pct": 45.66,
|
|
"cagr_pct": 67.85,
|
|
"mdd_pct": 12.83,
|
|
"trades": 65,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.4,
|
|
"profit_factor": 3.25,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.01
|
|
}
|
|
},
|
|
"alpha_pct": -49.44
|
|
},
|
|
"test": {
|
|
"final_equity": 105913710,
|
|
"total_return_pct": 5.91,
|
|
"cagr_pct": 20.11,
|
|
"mdd_pct": 8.73,
|
|
"trades": 26,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 34.6,
|
|
"profit_factor": 1.45,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -46.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 20.08
|
|
}
|
|
},
|
|
"alpha_pct": -46.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.57,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.27,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.73,
|
|
"trades": 36
|
|
}
|
|
],
|
|
"worst_ret": 4.73
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132257467,
|
|
"total_return_pct": 32.26,
|
|
"cagr_pct": 46.96,
|
|
"mdd_pct": 11.76,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 2.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.41
|
|
}
|
|
},
|
|
"alpha_pct": -62.84
|
|
},
|
|
"test": {
|
|
"final_equity": 108063688,
|
|
"total_return_pct": 8.06,
|
|
"cagr_pct": 28.07,
|
|
"mdd_pct": 7.46,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 2.16,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.23
|
|
}
|
|
},
|
|
"alpha_pct": -44.77
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.06,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.0,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.68,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 4.68
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132257467,
|
|
"total_return_pct": 32.26,
|
|
"cagr_pct": 46.96,
|
|
"mdd_pct": 11.76,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 2.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.41
|
|
}
|
|
},
|
|
"alpha_pct": -62.84
|
|
},
|
|
"test": {
|
|
"final_equity": 108063688,
|
|
"total_return_pct": 8.06,
|
|
"cagr_pct": 28.07,
|
|
"mdd_pct": 7.46,
|
|
"trades": 21,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 2.16,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.23
|
|
}
|
|
},
|
|
"alpha_pct": -44.77
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.06,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.0,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.68,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 4.68
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146311194,
|
|
"total_return_pct": 46.31,
|
|
"cagr_pct": 68.89,
|
|
"mdd_pct": 12.44,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 2.68,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.36
|
|
}
|
|
},
|
|
"alpha_pct": -48.79
|
|
},
|
|
"test": {
|
|
"final_equity": 98974171,
|
|
"total_return_pct": -1.03,
|
|
"cagr_pct": -3.24,
|
|
"mdd_pct": 10.88,
|
|
"trades": 25,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 1.0,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.14
|
|
}
|
|
},
|
|
"alpha_pct": -53.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.42,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 28.39,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.65,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 4.65
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146311194,
|
|
"total_return_pct": 46.31,
|
|
"cagr_pct": 68.89,
|
|
"mdd_pct": 12.44,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 2.68,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.36
|
|
}
|
|
},
|
|
"alpha_pct": -48.79
|
|
},
|
|
"test": {
|
|
"final_equity": 98974171,
|
|
"total_return_pct": -1.03,
|
|
"cagr_pct": -3.24,
|
|
"mdd_pct": 10.88,
|
|
"trades": 25,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 1.0,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.14
|
|
}
|
|
},
|
|
"alpha_pct": -53.86
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.42,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 28.39,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.65,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 4.65
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132778713,
|
|
"total_return_pct": 32.78,
|
|
"cagr_pct": 47.76,
|
|
"mdd_pct": 10.9,
|
|
"trades": 42,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.5,
|
|
"profit_factor": 3.56,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.89
|
|
}
|
|
},
|
|
"alpha_pct": -62.32
|
|
},
|
|
"test": {
|
|
"final_equity": 102610476,
|
|
"total_return_pct": 2.61,
|
|
"cagr_pct": 8.57,
|
|
"mdd_pct": 4.85,
|
|
"trades": 10,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 30.0,
|
|
"profit_factor": 0.96,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.78
|
|
}
|
|
},
|
|
"alpha_pct": -50.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.85,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.53,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.65,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 4.53
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132778713,
|
|
"total_return_pct": 32.78,
|
|
"cagr_pct": 47.76,
|
|
"mdd_pct": 10.9,
|
|
"trades": 42,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.5,
|
|
"profit_factor": 3.56,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.89
|
|
}
|
|
},
|
|
"alpha_pct": -62.32
|
|
},
|
|
"test": {
|
|
"final_equity": 102610476,
|
|
"total_return_pct": 2.61,
|
|
"cagr_pct": 8.57,
|
|
"mdd_pct": 4.85,
|
|
"trades": 10,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 30.0,
|
|
"profit_factor": 0.96,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.78
|
|
}
|
|
},
|
|
"alpha_pct": -50.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.85,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.53,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.65,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 4.53
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145502115,
|
|
"total_return_pct": 45.5,
|
|
"cagr_pct": 67.6,
|
|
"mdd_pct": 12.63,
|
|
"trades": 67,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.9,
|
|
"profit_factor": 2.65,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.17
|
|
}
|
|
},
|
|
"alpha_pct": -49.6
|
|
},
|
|
"test": {
|
|
"final_equity": 104584576,
|
|
"total_return_pct": 4.58,
|
|
"cagr_pct": 15.37,
|
|
"mdd_pct": 14.74,
|
|
"trades": 29,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 20.7,
|
|
"profit_factor": 1.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.75
|
|
}
|
|
},
|
|
"alpha_pct": -48.25
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.92,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.01,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.43,
|
|
"trades": 41
|
|
}
|
|
],
|
|
"worst_ret": 4.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145502115,
|
|
"total_return_pct": 45.5,
|
|
"cagr_pct": 67.6,
|
|
"mdd_pct": 12.63,
|
|
"trades": 67,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.9,
|
|
"profit_factor": 2.65,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.17
|
|
}
|
|
},
|
|
"alpha_pct": -49.6
|
|
},
|
|
"test": {
|
|
"final_equity": 104584576,
|
|
"total_return_pct": 4.58,
|
|
"cagr_pct": 15.37,
|
|
"mdd_pct": 14.74,
|
|
"trades": 29,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 20.7,
|
|
"profit_factor": 1.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.75
|
|
}
|
|
},
|
|
"alpha_pct": -48.25
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.92,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.01,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.43,
|
|
"trades": 41
|
|
}
|
|
],
|
|
"worst_ret": 4.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138274749,
|
|
"total_return_pct": 38.27,
|
|
"cagr_pct": 56.25,
|
|
"mdd_pct": 12.82,
|
|
"trades": 60,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 2.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.4
|
|
}
|
|
},
|
|
"alpha_pct": -56.83
|
|
},
|
|
"test": {
|
|
"final_equity": 108131833,
|
|
"total_return_pct": 8.13,
|
|
"cagr_pct": 28.32,
|
|
"mdd_pct": 7.35,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 1.93,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.7
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.3
|
|
}
|
|
},
|
|
"alpha_pct": -44.7
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.03,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.21,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.39,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 4.39
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138274749,
|
|
"total_return_pct": 38.27,
|
|
"cagr_pct": 56.25,
|
|
"mdd_pct": 12.82,
|
|
"trades": 60,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 2.99,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.4
|
|
}
|
|
},
|
|
"alpha_pct": -56.83
|
|
},
|
|
"test": {
|
|
"final_equity": 108131833,
|
|
"total_return_pct": 8.13,
|
|
"cagr_pct": 28.32,
|
|
"mdd_pct": 7.35,
|
|
"trades": 25,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 36.0,
|
|
"profit_factor": 1.93,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.7
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.3
|
|
}
|
|
},
|
|
"alpha_pct": -44.7
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 16.03,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.21,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.39,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 4.39
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145875099,
|
|
"total_return_pct": 45.88,
|
|
"cagr_pct": 68.19,
|
|
"mdd_pct": 11.42,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 2.89,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.79
|
|
}
|
|
},
|
|
"alpha_pct": -49.22
|
|
},
|
|
"test": {
|
|
"final_equity": 99437585,
|
|
"total_return_pct": -0.56,
|
|
"cagr_pct": -1.78,
|
|
"mdd_pct": 9.31,
|
|
"trades": 25,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 1.02,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.61
|
|
}
|
|
},
|
|
"alpha_pct": -53.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.42,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.46,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.38,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 4.38
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145875099,
|
|
"total_return_pct": 45.88,
|
|
"cagr_pct": 68.19,
|
|
"mdd_pct": 11.42,
|
|
"trades": 72,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 2.89,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.79
|
|
}
|
|
},
|
|
"alpha_pct": -49.22
|
|
},
|
|
"test": {
|
|
"final_equity": 99437585,
|
|
"total_return_pct": -0.56,
|
|
"cagr_pct": -1.78,
|
|
"mdd_pct": 9.31,
|
|
"trades": 25,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 28.0,
|
|
"profit_factor": 1.02,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.61
|
|
}
|
|
},
|
|
"alpha_pct": -53.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.42,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 27.46,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.38,
|
|
"trades": 22
|
|
}
|
|
],
|
|
"worst_ret": 4.38
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 123368562,
|
|
"total_return_pct": 23.37,
|
|
"cagr_pct": 33.53,
|
|
"mdd_pct": 10.94,
|
|
"trades": 56,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 2.45,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -71.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -24.3
|
|
}
|
|
},
|
|
"alpha_pct": -71.73
|
|
},
|
|
"test": {
|
|
"final_equity": 100433802,
|
|
"total_return_pct": 0.43,
|
|
"cagr_pct": 1.39,
|
|
"mdd_pct": 8.08,
|
|
"trades": 19,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 15.8,
|
|
"profit_factor": 0.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.6
|
|
}
|
|
},
|
|
"alpha_pct": -52.4
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.07,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.93,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.33,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 4.33
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 123368562,
|
|
"total_return_pct": 23.37,
|
|
"cagr_pct": 33.53,
|
|
"mdd_pct": 10.94,
|
|
"trades": 56,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 2.45,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -71.73
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -24.3
|
|
}
|
|
},
|
|
"alpha_pct": -71.73
|
|
},
|
|
"test": {
|
|
"final_equity": 100433802,
|
|
"total_return_pct": 0.43,
|
|
"cagr_pct": 1.39,
|
|
"mdd_pct": 8.08,
|
|
"trades": 19,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 15.8,
|
|
"profit_factor": 0.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.6
|
|
}
|
|
},
|
|
"alpha_pct": -52.4
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.07,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.93,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.33,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 4.33
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 139830127,
|
|
"total_return_pct": 39.83,
|
|
"cagr_pct": 58.67,
|
|
"mdd_pct": 13.88,
|
|
"trades": 45,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 3.3,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -55.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.84
|
|
}
|
|
},
|
|
"alpha_pct": -55.27
|
|
},
|
|
"test": {
|
|
"final_equity": 104383910,
|
|
"total_return_pct": 4.38,
|
|
"cagr_pct": 14.67,
|
|
"mdd_pct": 7.64,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.37,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.55
|
|
}
|
|
},
|
|
"alpha_pct": -48.45
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.64,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.45,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.18,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 4.18
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 139830127,
|
|
"total_return_pct": 39.83,
|
|
"cagr_pct": 58.67,
|
|
"mdd_pct": 13.88,
|
|
"trades": 45,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 3.3,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -55.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.84
|
|
}
|
|
},
|
|
"alpha_pct": -55.27
|
|
},
|
|
"test": {
|
|
"final_equity": 104383910,
|
|
"total_return_pct": 4.38,
|
|
"cagr_pct": 14.67,
|
|
"mdd_pct": 7.64,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.37,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.55
|
|
}
|
|
},
|
|
"alpha_pct": -48.45
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.64,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.45,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.18,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 4.18
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 133326235,
|
|
"total_return_pct": 33.33,
|
|
"cagr_pct": 48.6,
|
|
"mdd_pct": 14.74,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 1.96,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.34
|
|
}
|
|
},
|
|
"alpha_pct": -61.77
|
|
},
|
|
"test": {
|
|
"final_equity": 108699142,
|
|
"total_return_pct": 8.7,
|
|
"cagr_pct": 30.48,
|
|
"mdd_pct": 9.62,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 2.31,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.87
|
|
}
|
|
},
|
|
"alpha_pct": -44.13
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.65,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.15,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.96,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 3.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 133326235,
|
|
"total_return_pct": 33.33,
|
|
"cagr_pct": 48.6,
|
|
"mdd_pct": 14.74,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 1.96,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.34
|
|
}
|
|
},
|
|
"alpha_pct": -61.77
|
|
},
|
|
"test": {
|
|
"final_equity": 108699142,
|
|
"total_return_pct": 8.7,
|
|
"cagr_pct": 30.48,
|
|
"mdd_pct": 9.62,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 2.31,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -44.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 22.87
|
|
}
|
|
},
|
|
"alpha_pct": -44.13
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.65,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 26.15,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.96,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 3.96
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134440815,
|
|
"total_return_pct": 34.44,
|
|
"cagr_pct": 50.31,
|
|
"mdd_pct": 11.1,
|
|
"trades": 54,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 2.85,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.23
|
|
}
|
|
},
|
|
"alpha_pct": -60.66
|
|
},
|
|
"test": {
|
|
"final_equity": 99800708,
|
|
"total_return_pct": -0.2,
|
|
"cagr_pct": -0.63,
|
|
"mdd_pct": 6.58,
|
|
"trades": 15,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 0.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.03
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.97
|
|
}
|
|
},
|
|
"alpha_pct": -53.03
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.85,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.49,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.73,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 3.73
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134440815,
|
|
"total_return_pct": 34.44,
|
|
"cagr_pct": 50.31,
|
|
"mdd_pct": 11.1,
|
|
"trades": 54,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 2.85,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.23
|
|
}
|
|
},
|
|
"alpha_pct": -60.66
|
|
},
|
|
"test": {
|
|
"final_equity": 99800708,
|
|
"total_return_pct": -0.2,
|
|
"cagr_pct": -0.63,
|
|
"mdd_pct": 6.58,
|
|
"trades": 15,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 0.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.03
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.97
|
|
}
|
|
},
|
|
"alpha_pct": -53.03
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.85,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.49,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.73,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 3.73
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 129659365,
|
|
"total_return_pct": 29.66,
|
|
"cagr_pct": 43.0,
|
|
"mdd_pct": 11.14,
|
|
"trades": 66,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.4,
|
|
"profit_factor": 2.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.01
|
|
}
|
|
},
|
|
"alpha_pct": -65.44
|
|
},
|
|
"test": {
|
|
"final_equity": 100064364,
|
|
"total_return_pct": 0.06,
|
|
"cagr_pct": 0.21,
|
|
"mdd_pct": 7.82,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.23
|
|
}
|
|
},
|
|
"alpha_pct": -52.77
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.74,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.05,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.71,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 3.71
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 129659365,
|
|
"total_return_pct": 29.66,
|
|
"cagr_pct": 43.0,
|
|
"mdd_pct": 11.14,
|
|
"trades": 66,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 39.4,
|
|
"profit_factor": 2.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.01
|
|
}
|
|
},
|
|
"alpha_pct": -65.44
|
|
},
|
|
"test": {
|
|
"final_equity": 100064364,
|
|
"total_return_pct": 0.06,
|
|
"cagr_pct": 0.21,
|
|
"mdd_pct": 7.82,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.23
|
|
}
|
|
},
|
|
"alpha_pct": -52.77
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.74,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.05,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.71,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 3.71
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 123491705,
|
|
"total_return_pct": 23.49,
|
|
"cagr_pct": 33.72,
|
|
"mdd_pct": 10.93,
|
|
"trades": 61,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.1,
|
|
"profit_factor": 2.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -71.61
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -24.18
|
|
}
|
|
},
|
|
"alpha_pct": -71.61
|
|
},
|
|
"test": {
|
|
"final_equity": 99713442,
|
|
"total_return_pct": -0.29,
|
|
"cagr_pct": -0.91,
|
|
"mdd_pct": 8.08,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.99,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.88
|
|
}
|
|
},
|
|
"alpha_pct": -53.12
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 4.81,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 5.52,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.56,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 3.56
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 123491705,
|
|
"total_return_pct": 23.49,
|
|
"cagr_pct": 33.72,
|
|
"mdd_pct": 10.93,
|
|
"trades": 61,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.1,
|
|
"profit_factor": 2.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -71.61
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -24.18
|
|
}
|
|
},
|
|
"alpha_pct": -71.61
|
|
},
|
|
"test": {
|
|
"final_equity": 99713442,
|
|
"total_return_pct": -0.29,
|
|
"cagr_pct": -0.91,
|
|
"mdd_pct": 8.08,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.99,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.88
|
|
}
|
|
},
|
|
"alpha_pct": -53.12
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 4.81,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 5.52,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.56,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 3.56
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131748157,
|
|
"total_return_pct": 31.75,
|
|
"cagr_pct": 46.18,
|
|
"mdd_pct": 11.07,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.1,
|
|
"profit_factor": 2.4,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.92
|
|
}
|
|
},
|
|
"alpha_pct": -63.35
|
|
},
|
|
"test": {
|
|
"final_equity": 93963276,
|
|
"total_return_pct": -6.04,
|
|
"cagr_pct": -18.01,
|
|
"mdd_pct": 11.35,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 19.0,
|
|
"profit_factor": 0.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.13
|
|
}
|
|
},
|
|
"alpha_pct": -58.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.98,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 3.55,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.13,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 3.55
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131748157,
|
|
"total_return_pct": 31.75,
|
|
"cagr_pct": 46.18,
|
|
"mdd_pct": 11.07,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.1,
|
|
"profit_factor": 2.4,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.92
|
|
}
|
|
},
|
|
"alpha_pct": -63.35
|
|
},
|
|
"test": {
|
|
"final_equity": 93963276,
|
|
"total_return_pct": -6.04,
|
|
"cagr_pct": -18.01,
|
|
"mdd_pct": 11.35,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 19.0,
|
|
"profit_factor": 0.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.13
|
|
}
|
|
},
|
|
"alpha_pct": -58.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.98,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 3.55,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.13,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 3.55
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 148346246,
|
|
"total_return_pct": 48.35,
|
|
"cagr_pct": 72.13,
|
|
"mdd_pct": 12.68,
|
|
"trades": 53,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.7,
|
|
"profit_factor": 3.51,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.68
|
|
}
|
|
},
|
|
"alpha_pct": -46.75
|
|
},
|
|
"test": {
|
|
"final_equity": 99712409,
|
|
"total_return_pct": -0.29,
|
|
"cagr_pct": -0.91,
|
|
"mdd_pct": 9.31,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 19.0,
|
|
"profit_factor": 0.9,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.88
|
|
}
|
|
},
|
|
"alpha_pct": -53.12
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.36,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.91,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.49,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 3.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 148346246,
|
|
"total_return_pct": 48.35,
|
|
"cagr_pct": 72.13,
|
|
"mdd_pct": 12.68,
|
|
"trades": 53,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.7,
|
|
"profit_factor": 3.51,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -46.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 0.68
|
|
}
|
|
},
|
|
"alpha_pct": -46.75
|
|
},
|
|
"test": {
|
|
"final_equity": 99712409,
|
|
"total_return_pct": -0.29,
|
|
"cagr_pct": -0.91,
|
|
"mdd_pct": 9.31,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 19.0,
|
|
"profit_factor": 0.9,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.88
|
|
}
|
|
},
|
|
"alpha_pct": -53.12
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.36,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.91,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.49,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 3.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132394913,
|
|
"total_return_pct": 32.39,
|
|
"cagr_pct": 47.17,
|
|
"mdd_pct": 11.42,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 28.1,
|
|
"profit_factor": 2.21,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.28
|
|
}
|
|
},
|
|
"alpha_pct": -62.71
|
|
},
|
|
"test": {
|
|
"final_equity": 95767074,
|
|
"total_return_pct": -4.23,
|
|
"cagr_pct": -12.89,
|
|
"mdd_pct": 12.54,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 22.2,
|
|
"profit_factor": 0.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.94
|
|
}
|
|
},
|
|
"alpha_pct": -57.06
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.65,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.63,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.46,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 3.46
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132394913,
|
|
"total_return_pct": 32.39,
|
|
"cagr_pct": 47.17,
|
|
"mdd_pct": 11.42,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 28.1,
|
|
"profit_factor": 2.21,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.28
|
|
}
|
|
},
|
|
"alpha_pct": -62.71
|
|
},
|
|
"test": {
|
|
"final_equity": 95767074,
|
|
"total_return_pct": -4.23,
|
|
"cagr_pct": -12.89,
|
|
"mdd_pct": 12.54,
|
|
"trades": 18,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 22.2,
|
|
"profit_factor": 0.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.94
|
|
}
|
|
},
|
|
"alpha_pct": -57.06
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.65,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.63,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.46,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 3.46
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145931221,
|
|
"total_return_pct": 45.93,
|
|
"cagr_pct": 68.28,
|
|
"mdd_pct": 12.7,
|
|
"trades": 53,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.7,
|
|
"profit_factor": 3.3,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.74
|
|
}
|
|
},
|
|
"alpha_pct": -49.17
|
|
},
|
|
"test": {
|
|
"final_equity": 99622465,
|
|
"total_return_pct": -0.38,
|
|
"cagr_pct": -1.2,
|
|
"mdd_pct": 9.32,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 19.0,
|
|
"profit_factor": 0.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.79
|
|
}
|
|
},
|
|
"alpha_pct": -53.21
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.45,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.02,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.41,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 3.41
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145931221,
|
|
"total_return_pct": 45.93,
|
|
"cagr_pct": 68.28,
|
|
"mdd_pct": 12.7,
|
|
"trades": 53,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.7,
|
|
"profit_factor": 3.3,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.74
|
|
}
|
|
},
|
|
"alpha_pct": -49.17
|
|
},
|
|
"test": {
|
|
"final_equity": 99622465,
|
|
"total_return_pct": -0.38,
|
|
"cagr_pct": -1.2,
|
|
"mdd_pct": 9.32,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 19.0,
|
|
"profit_factor": 0.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.79
|
|
}
|
|
},
|
|
"alpha_pct": -53.21
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.45,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.02,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.41,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": 3.41
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 129649599,
|
|
"total_return_pct": 29.65,
|
|
"cagr_pct": 42.99,
|
|
"mdd_pct": 11.69,
|
|
"trades": 46,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 2.62,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.02
|
|
}
|
|
},
|
|
"alpha_pct": -65.45
|
|
},
|
|
"test": {
|
|
"final_equity": 102998447,
|
|
"total_return_pct": 3.0,
|
|
"cagr_pct": 9.88,
|
|
"mdd_pct": 6.34,
|
|
"trades": 13,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 46.2,
|
|
"profit_factor": 1.43,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.17
|
|
}
|
|
},
|
|
"alpha_pct": -49.83
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.67,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 3.29,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.05,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": 3.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 129649599,
|
|
"total_return_pct": 29.65,
|
|
"cagr_pct": 42.99,
|
|
"mdd_pct": 11.69,
|
|
"trades": 46,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 2.62,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.02
|
|
}
|
|
},
|
|
"alpha_pct": -65.45
|
|
},
|
|
"test": {
|
|
"final_equity": 102998447,
|
|
"total_return_pct": 3.0,
|
|
"cagr_pct": 9.88,
|
|
"mdd_pct": 6.34,
|
|
"trades": 13,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 46.2,
|
|
"profit_factor": 1.43,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.17
|
|
}
|
|
},
|
|
"alpha_pct": -49.83
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.67,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 3.29,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.05,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": 3.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 125274210,
|
|
"total_return_pct": 25.27,
|
|
"cagr_pct": 36.38,
|
|
"mdd_pct": 11.32,
|
|
"trades": 61,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.1,
|
|
"profit_factor": 2.13,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -22.4
|
|
}
|
|
},
|
|
"alpha_pct": -69.83
|
|
},
|
|
"test": {
|
|
"final_equity": 99955259,
|
|
"total_return_pct": -0.04,
|
|
"cagr_pct": -0.14,
|
|
"mdd_pct": 11.86,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 1.09,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.13
|
|
}
|
|
},
|
|
"alpha_pct": -52.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.02,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 3.15,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.15,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 3.15
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 125274210,
|
|
"total_return_pct": 25.27,
|
|
"cagr_pct": 36.38,
|
|
"mdd_pct": 11.32,
|
|
"trades": 61,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.1,
|
|
"profit_factor": 2.13,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.83
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -22.4
|
|
}
|
|
},
|
|
"alpha_pct": -69.83
|
|
},
|
|
"test": {
|
|
"final_equity": 99955259,
|
|
"total_return_pct": -0.04,
|
|
"cagr_pct": -0.14,
|
|
"mdd_pct": 11.86,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 1.09,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.13
|
|
}
|
|
},
|
|
"alpha_pct": -52.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.02,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 3.15,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 8.15,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 3.15
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 129809516,
|
|
"total_return_pct": 29.81,
|
|
"cagr_pct": 43.23,
|
|
"mdd_pct": 11.16,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 2.61,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.86
|
|
}
|
|
},
|
|
"alpha_pct": -65.29
|
|
},
|
|
"test": {
|
|
"final_equity": 99063000,
|
|
"total_return_pct": -0.94,
|
|
"cagr_pct": -2.96,
|
|
"mdd_pct": 6.53,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 0.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.23
|
|
}
|
|
},
|
|
"alpha_pct": -53.77
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.61,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.11,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.14,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 3.14
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 129809516,
|
|
"total_return_pct": 29.81,
|
|
"cagr_pct": 43.23,
|
|
"mdd_pct": 11.16,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 2.61,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.86
|
|
}
|
|
},
|
|
"alpha_pct": -65.29
|
|
},
|
|
"test": {
|
|
"final_equity": 99063000,
|
|
"total_return_pct": -0.94,
|
|
"cagr_pct": -2.96,
|
|
"mdd_pct": 6.53,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 0.84,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.23
|
|
}
|
|
},
|
|
"alpha_pct": -53.77
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.61,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.11,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.14,
|
|
"trades": 19
|
|
}
|
|
],
|
|
"worst_ret": 3.14
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 139859280,
|
|
"total_return_pct": 39.86,
|
|
"cagr_pct": 58.72,
|
|
"mdd_pct": 11.05,
|
|
"trades": 52,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 44.2,
|
|
"profit_factor": 3.86,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -55.24
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.81
|
|
}
|
|
},
|
|
"alpha_pct": -55.24
|
|
},
|
|
"test": {
|
|
"final_equity": 98146242,
|
|
"total_return_pct": -1.85,
|
|
"cagr_pct": -5.79,
|
|
"mdd_pct": 8.22,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.32
|
|
}
|
|
},
|
|
"alpha_pct": -54.68
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.42,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.01,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.14,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 3.14
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 139859280,
|
|
"total_return_pct": 39.86,
|
|
"cagr_pct": 58.72,
|
|
"mdd_pct": 11.05,
|
|
"trades": 52,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 44.2,
|
|
"profit_factor": 3.86,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -55.24
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.81
|
|
}
|
|
},
|
|
"alpha_pct": -55.24
|
|
},
|
|
"test": {
|
|
"final_equity": 98146242,
|
|
"total_return_pct": -1.85,
|
|
"cagr_pct": -5.79,
|
|
"mdd_pct": 8.22,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.32
|
|
}
|
|
},
|
|
"alpha_pct": -54.68
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.42,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.01,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.14,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 3.14
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143121846,
|
|
"total_return_pct": 43.12,
|
|
"cagr_pct": 63.84,
|
|
"mdd_pct": 14.66,
|
|
"trades": 50,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 3.73,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.55
|
|
}
|
|
},
|
|
"alpha_pct": -51.98
|
|
},
|
|
"test": {
|
|
"final_equity": 98146242,
|
|
"total_return_pct": -1.85,
|
|
"cagr_pct": -5.79,
|
|
"mdd_pct": 8.22,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.32
|
|
}
|
|
},
|
|
"alpha_pct": -54.68
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.42,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.32,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.14,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 3.14
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 143121846,
|
|
"total_return_pct": 43.12,
|
|
"cagr_pct": 63.84,
|
|
"mdd_pct": 14.66,
|
|
"trades": 50,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 3.73,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.55
|
|
}
|
|
},
|
|
"alpha_pct": -51.98
|
|
},
|
|
"test": {
|
|
"final_equity": 98146242,
|
|
"total_return_pct": -1.85,
|
|
"cagr_pct": -5.79,
|
|
"mdd_pct": 8.22,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.32
|
|
}
|
|
},
|
|
"alpha_pct": -54.68
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.42,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.32,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.14,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 3.14
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132524106,
|
|
"total_return_pct": 32.52,
|
|
"cagr_pct": 47.37,
|
|
"mdd_pct": 11.2,
|
|
"trades": 55,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 34.5,
|
|
"profit_factor": 2.56,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.58
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.15
|
|
}
|
|
},
|
|
"alpha_pct": -62.58
|
|
},
|
|
"test": {
|
|
"final_equity": 99280893,
|
|
"total_return_pct": -0.72,
|
|
"cagr_pct": -2.28,
|
|
"mdd_pct": 7.9,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.92,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.45
|
|
}
|
|
},
|
|
"alpha_pct": -53.55
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.45,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 3.02,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.06,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 3.02
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132524106,
|
|
"total_return_pct": 32.52,
|
|
"cagr_pct": 47.37,
|
|
"mdd_pct": 11.2,
|
|
"trades": 55,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 34.5,
|
|
"profit_factor": 2.56,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.58
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.15
|
|
}
|
|
},
|
|
"alpha_pct": -62.58
|
|
},
|
|
"test": {
|
|
"final_equity": 99280893,
|
|
"total_return_pct": -0.72,
|
|
"cagr_pct": -2.28,
|
|
"mdd_pct": 7.9,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.92,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.45
|
|
}
|
|
},
|
|
"alpha_pct": -53.55
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.45,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 3.02,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.06,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 3.02
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 129234474,
|
|
"total_return_pct": 29.23,
|
|
"cagr_pct": 42.36,
|
|
"mdd_pct": 11.03,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.1,
|
|
"profit_factor": 2.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.44
|
|
}
|
|
},
|
|
"alpha_pct": -65.87
|
|
},
|
|
"test": {
|
|
"final_equity": 93963276,
|
|
"total_return_pct": -6.04,
|
|
"cagr_pct": -18.01,
|
|
"mdd_pct": 11.35,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 19.0,
|
|
"profit_factor": 0.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.13
|
|
}
|
|
},
|
|
"alpha_pct": -58.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.48,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 2.95,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.13,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 2.95
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 129234474,
|
|
"total_return_pct": 29.23,
|
|
"cagr_pct": 42.36,
|
|
"mdd_pct": 11.03,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.1,
|
|
"profit_factor": 2.31,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.44
|
|
}
|
|
},
|
|
"alpha_pct": -65.87
|
|
},
|
|
"test": {
|
|
"final_equity": 93963276,
|
|
"total_return_pct": -6.04,
|
|
"cagr_pct": -18.01,
|
|
"mdd_pct": 11.35,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 19.0,
|
|
"profit_factor": 0.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.13
|
|
}
|
|
},
|
|
"alpha_pct": -58.87
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.48,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 2.95,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.13,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 2.95
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 139870181,
|
|
"total_return_pct": 39.87,
|
|
"cagr_pct": 58.73,
|
|
"mdd_pct": 11.01,
|
|
"trades": 52,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 44.2,
|
|
"profit_factor": 3.75,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -55.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.8
|
|
}
|
|
},
|
|
"alpha_pct": -55.23
|
|
},
|
|
"test": {
|
|
"final_equity": 96609835,
|
|
"total_return_pct": -3.39,
|
|
"cagr_pct": -10.42,
|
|
"mdd_pct": 10.19,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.72,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.78
|
|
}
|
|
},
|
|
"alpha_pct": -56.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.42,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.66,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.94,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 2.94
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 139870181,
|
|
"total_return_pct": 39.87,
|
|
"cagr_pct": 58.73,
|
|
"mdd_pct": 11.01,
|
|
"trades": 52,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 44.2,
|
|
"profit_factor": 3.75,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -55.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.8
|
|
}
|
|
},
|
|
"alpha_pct": -55.23
|
|
},
|
|
"test": {
|
|
"final_equity": 96609835,
|
|
"total_return_pct": -3.39,
|
|
"cagr_pct": -10.42,
|
|
"mdd_pct": 10.19,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.72,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.78
|
|
}
|
|
},
|
|
"alpha_pct": -56.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.42,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.66,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.94,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 2.94
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143044807,
|
|
"total_return_pct": 43.04,
|
|
"cagr_pct": 63.72,
|
|
"mdd_pct": 14.62,
|
|
"trades": 50,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 3.62,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.63
|
|
}
|
|
},
|
|
"alpha_pct": -52.06
|
|
},
|
|
"test": {
|
|
"final_equity": 96609835,
|
|
"total_return_pct": -3.39,
|
|
"cagr_pct": -10.42,
|
|
"mdd_pct": 10.19,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.72,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.78
|
|
}
|
|
},
|
|
"alpha_pct": -56.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.42,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.88,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.94,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 2.94
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143044807,
|
|
"total_return_pct": 43.04,
|
|
"cagr_pct": 63.72,
|
|
"mdd_pct": 14.62,
|
|
"trades": 50,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 3.62,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.63
|
|
}
|
|
},
|
|
"alpha_pct": -52.06
|
|
},
|
|
"test": {
|
|
"final_equity": 96609835,
|
|
"total_return_pct": -3.39,
|
|
"cagr_pct": -10.42,
|
|
"mdd_pct": 10.19,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.72,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.78
|
|
}
|
|
},
|
|
"alpha_pct": -56.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.42,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.88,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.94,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 2.94
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145746941,
|
|
"total_return_pct": 45.75,
|
|
"cagr_pct": 67.99,
|
|
"mdd_pct": 13.88,
|
|
"trades": 72,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.1,
|
|
"profit_factor": 2.97,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.92
|
|
}
|
|
},
|
|
"alpha_pct": -49.35
|
|
},
|
|
"test": {
|
|
"final_equity": 119787919,
|
|
"total_return_pct": 19.79,
|
|
"cagr_pct": 77.88,
|
|
"mdd_pct": 12.7,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.0,
|
|
"profit_factor": 2.26,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -33.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 33.96
|
|
}
|
|
},
|
|
"alpha_pct": -33.04
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.51,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.67,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.91,
|
|
"trades": 37
|
|
}
|
|
],
|
|
"worst_ret": 2.91
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145746941,
|
|
"total_return_pct": 45.75,
|
|
"cagr_pct": 67.99,
|
|
"mdd_pct": 13.88,
|
|
"trades": 72,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.1,
|
|
"profit_factor": 2.97,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.92
|
|
}
|
|
},
|
|
"alpha_pct": -49.35
|
|
},
|
|
"test": {
|
|
"final_equity": 119787919,
|
|
"total_return_pct": 19.79,
|
|
"cagr_pct": 77.88,
|
|
"mdd_pct": 12.7,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.0,
|
|
"profit_factor": 2.26,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -33.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 33.96
|
|
}
|
|
},
|
|
"alpha_pct": -33.04
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.51,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.67,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.91,
|
|
"trades": 37
|
|
}
|
|
],
|
|
"worst_ret": 2.91
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 128508832,
|
|
"total_return_pct": 28.51,
|
|
"cagr_pct": 41.26,
|
|
"mdd_pct": 11.15,
|
|
"trades": 68,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 2.36,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -66.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.16
|
|
}
|
|
},
|
|
"alpha_pct": -66.59
|
|
},
|
|
"test": {
|
|
"final_equity": 98992871,
|
|
"total_return_pct": -1.01,
|
|
"cagr_pct": -3.18,
|
|
"mdd_pct": 9.22,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 21.7,
|
|
"profit_factor": 0.9,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.16
|
|
}
|
|
},
|
|
"alpha_pct": -53.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.0,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.86,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.91,
|
|
"trades": 30
|
|
}
|
|
],
|
|
"worst_ret": 2.91
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 128508832,
|
|
"total_return_pct": 28.51,
|
|
"cagr_pct": 41.26,
|
|
"mdd_pct": 11.15,
|
|
"trades": 68,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.3,
|
|
"profit_factor": 2.36,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -66.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.16
|
|
}
|
|
},
|
|
"alpha_pct": -66.59
|
|
},
|
|
"test": {
|
|
"final_equity": 98992871,
|
|
"total_return_pct": -1.01,
|
|
"cagr_pct": -3.18,
|
|
"mdd_pct": 9.22,
|
|
"trades": 23,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 21.7,
|
|
"profit_factor": 0.9,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.16
|
|
}
|
|
},
|
|
"alpha_pct": -53.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.0,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.86,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.91,
|
|
"trades": 30
|
|
}
|
|
],
|
|
"worst_ret": 2.91
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 125145980,
|
|
"total_return_pct": 25.15,
|
|
"cagr_pct": 36.19,
|
|
"mdd_pct": 11.32,
|
|
"trades": 56,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 2.21,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -22.52
|
|
}
|
|
},
|
|
"alpha_pct": -69.95
|
|
},
|
|
"test": {
|
|
"final_equity": 100951773,
|
|
"total_return_pct": 0.95,
|
|
"cagr_pct": 3.07,
|
|
"mdd_pct": 12.11,
|
|
"trades": 19,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 15.8,
|
|
"profit_factor": 0.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.12
|
|
}
|
|
},
|
|
"alpha_pct": -51.88
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.26,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 2.82,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.24,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 2.82
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 125145980,
|
|
"total_return_pct": 25.15,
|
|
"cagr_pct": 36.19,
|
|
"mdd_pct": 11.32,
|
|
"trades": 56,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 2.21,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -22.52
|
|
}
|
|
},
|
|
"alpha_pct": -69.95
|
|
},
|
|
"test": {
|
|
"final_equity": 100951773,
|
|
"total_return_pct": 0.95,
|
|
"cagr_pct": 3.07,
|
|
"mdd_pct": 12.11,
|
|
"trades": 19,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 15.8,
|
|
"profit_factor": 0.6,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.12
|
|
}
|
|
},
|
|
"alpha_pct": -51.88
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.26,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 2.82,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 9.24,
|
|
"trades": 27
|
|
}
|
|
],
|
|
"worst_ret": 2.82
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 147645832,
|
|
"total_return_pct": 47.65,
|
|
"cagr_pct": 71.01,
|
|
"mdd_pct": 11.56,
|
|
"trades": 64,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 3.22,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.02
|
|
}
|
|
},
|
|
"alpha_pct": -47.45
|
|
},
|
|
"test": {
|
|
"final_equity": 103561578,
|
|
"total_return_pct": 3.56,
|
|
"cagr_pct": 11.81,
|
|
"mdd_pct": 10.08,
|
|
"trades": 26,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 26.9,
|
|
"profit_factor": 1.27,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.73
|
|
}
|
|
},
|
|
"alpha_pct": -49.27
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.57,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.61,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.78,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 2.78
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 147645832,
|
|
"total_return_pct": 47.65,
|
|
"cagr_pct": 71.01,
|
|
"mdd_pct": 11.56,
|
|
"trades": 64,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 3.22,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -47.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.02
|
|
}
|
|
},
|
|
"alpha_pct": -47.45
|
|
},
|
|
"test": {
|
|
"final_equity": 103561578,
|
|
"total_return_pct": 3.56,
|
|
"cagr_pct": 11.81,
|
|
"mdd_pct": 10.08,
|
|
"trades": 26,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 26.9,
|
|
"profit_factor": 1.27,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.73
|
|
}
|
|
},
|
|
"alpha_pct": -49.27
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.57,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.61,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.78,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 2.78
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130422223,
|
|
"total_return_pct": 30.42,
|
|
"cagr_pct": 44.16,
|
|
"mdd_pct": 13.02,
|
|
"trades": 46,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.0,
|
|
"profit_factor": 2.95,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.25
|
|
}
|
|
},
|
|
"alpha_pct": -64.68
|
|
},
|
|
"test": {
|
|
"final_equity": 102596378,
|
|
"total_return_pct": 2.6,
|
|
"cagr_pct": 8.52,
|
|
"mdd_pct": 4.93,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.22,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.77
|
|
}
|
|
},
|
|
"alpha_pct": -50.23
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.43,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.41,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.75,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 2.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130422223,
|
|
"total_return_pct": 30.42,
|
|
"cagr_pct": 44.16,
|
|
"mdd_pct": 13.02,
|
|
"trades": 46,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.0,
|
|
"profit_factor": 2.95,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.25
|
|
}
|
|
},
|
|
"alpha_pct": -64.68
|
|
},
|
|
"test": {
|
|
"final_equity": 102596378,
|
|
"total_return_pct": 2.6,
|
|
"cagr_pct": 8.52,
|
|
"mdd_pct": 4.93,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.22,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.77
|
|
}
|
|
},
|
|
"alpha_pct": -50.23
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.43,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 9.41,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.75,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 2.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136153796,
|
|
"total_return_pct": 36.15,
|
|
"cagr_pct": 52.96,
|
|
"mdd_pct": 11.66,
|
|
"trades": 42,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.5,
|
|
"profit_factor": 3.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.52
|
|
}
|
|
},
|
|
"alpha_pct": -58.95
|
|
},
|
|
"test": {
|
|
"final_equity": 105160795,
|
|
"total_return_pct": 5.16,
|
|
"cagr_pct": 17.41,
|
|
"mdd_pct": 6.14,
|
|
"trades": 10,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 30.0,
|
|
"profit_factor": 1.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.33
|
|
}
|
|
},
|
|
"alpha_pct": -47.67
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.92,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 2.71,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 15.97,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 2.71
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136153796,
|
|
"total_return_pct": 36.15,
|
|
"cagr_pct": 52.96,
|
|
"mdd_pct": 11.66,
|
|
"trades": 42,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.5,
|
|
"profit_factor": 3.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.52
|
|
}
|
|
},
|
|
"alpha_pct": -58.95
|
|
},
|
|
"test": {
|
|
"final_equity": 105160795,
|
|
"total_return_pct": 5.16,
|
|
"cagr_pct": 17.41,
|
|
"mdd_pct": 6.14,
|
|
"trades": 10,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 30.0,
|
|
"profit_factor": 1.32,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.33
|
|
}
|
|
},
|
|
"alpha_pct": -47.67
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.92,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 2.71,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 15.97,
|
|
"trades": 14
|
|
}
|
|
],
|
|
"worst_ret": 2.71
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130361236,
|
|
"total_return_pct": 30.36,
|
|
"cagr_pct": 44.07,
|
|
"mdd_pct": 11.16,
|
|
"trades": 63,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 34.9,
|
|
"profit_factor": 2.51,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.31
|
|
}
|
|
},
|
|
"alpha_pct": -64.74
|
|
},
|
|
"test": {
|
|
"final_equity": 98900037,
|
|
"total_return_pct": -1.1,
|
|
"cagr_pct": -3.47,
|
|
"mdd_pct": 9.23,
|
|
"trades": 22,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 18.2,
|
|
"profit_factor": 0.56,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.07
|
|
}
|
|
},
|
|
"alpha_pct": -53.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.26,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.49,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.68,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 2.68
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130361236,
|
|
"total_return_pct": 30.36,
|
|
"cagr_pct": 44.07,
|
|
"mdd_pct": 11.16,
|
|
"trades": 63,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 34.9,
|
|
"profit_factor": 2.51,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.31
|
|
}
|
|
},
|
|
"alpha_pct": -64.74
|
|
},
|
|
"test": {
|
|
"final_equity": 98900037,
|
|
"total_return_pct": -1.1,
|
|
"cagr_pct": -3.47,
|
|
"mdd_pct": 9.23,
|
|
"trades": 22,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 18.2,
|
|
"profit_factor": 0.56,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.07
|
|
}
|
|
},
|
|
"alpha_pct": -53.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.26,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.49,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.68,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 2.68
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140378076,
|
|
"total_return_pct": 40.38,
|
|
"cagr_pct": 59.53,
|
|
"mdd_pct": 12.11,
|
|
"trades": 55,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 3.2,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.29
|
|
}
|
|
},
|
|
"alpha_pct": -54.72
|
|
},
|
|
"test": {
|
|
"final_equity": 97611518,
|
|
"total_return_pct": -2.39,
|
|
"cagr_pct": -7.42,
|
|
"mdd_pct": 9.4,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.78
|
|
}
|
|
},
|
|
"alpha_pct": -55.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.71,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.48,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.65,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 2.65
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140378076,
|
|
"total_return_pct": 40.38,
|
|
"cagr_pct": 59.53,
|
|
"mdd_pct": 12.11,
|
|
"trades": 55,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 3.2,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.72
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.29
|
|
}
|
|
},
|
|
"alpha_pct": -54.72
|
|
},
|
|
"test": {
|
|
"final_equity": 97611518,
|
|
"total_return_pct": -2.39,
|
|
"cagr_pct": -7.42,
|
|
"mdd_pct": 9.4,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.78
|
|
}
|
|
},
|
|
"alpha_pct": -55.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.71,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.48,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.65,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 2.65
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132156112,
|
|
"total_return_pct": 32.16,
|
|
"cagr_pct": 46.81,
|
|
"mdd_pct": 11.23,
|
|
"trades": 55,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 34.5,
|
|
"profit_factor": 2.43,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.51
|
|
}
|
|
},
|
|
"alpha_pct": -62.94
|
|
},
|
|
"test": {
|
|
"final_equity": 100074535,
|
|
"total_return_pct": 0.07,
|
|
"cagr_pct": 0.24,
|
|
"mdd_pct": 9.0,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 1.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.24
|
|
}
|
|
},
|
|
"alpha_pct": -52.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.16,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 2.47,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.15,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 2.47
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132156112,
|
|
"total_return_pct": 32.16,
|
|
"cagr_pct": 46.81,
|
|
"mdd_pct": 11.23,
|
|
"trades": 55,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 34.5,
|
|
"profit_factor": 2.43,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.51
|
|
}
|
|
},
|
|
"alpha_pct": -62.94
|
|
},
|
|
"test": {
|
|
"final_equity": 100074535,
|
|
"total_return_pct": 0.07,
|
|
"cagr_pct": 0.24,
|
|
"mdd_pct": 9.0,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 1.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.24
|
|
}
|
|
},
|
|
"alpha_pct": -52.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.16,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 2.47,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.15,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 2.47
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 130064901,
|
|
"total_return_pct": 30.06,
|
|
"cagr_pct": 43.62,
|
|
"mdd_pct": 11.17,
|
|
"trades": 62,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.3,
|
|
"profit_factor": 2.58,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.61
|
|
}
|
|
},
|
|
"alpha_pct": -65.04
|
|
},
|
|
"test": {
|
|
"final_equity": 103834169,
|
|
"total_return_pct": 3.83,
|
|
"cagr_pct": 12.75,
|
|
"mdd_pct": 9.57,
|
|
"trades": 17,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 1.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.0
|
|
}
|
|
},
|
|
"alpha_pct": -49.0
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.49,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.14,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.44,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 2.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 130064901,
|
|
"total_return_pct": 30.06,
|
|
"cagr_pct": 43.62,
|
|
"mdd_pct": 11.17,
|
|
"trades": 62,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.3,
|
|
"profit_factor": 2.58,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.61
|
|
}
|
|
},
|
|
"alpha_pct": -65.04
|
|
},
|
|
"test": {
|
|
"final_equity": 103834169,
|
|
"total_return_pct": 3.83,
|
|
"cagr_pct": 12.75,
|
|
"mdd_pct": 9.57,
|
|
"trades": 17,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 1.55,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.0
|
|
}
|
|
},
|
|
"alpha_pct": -49.0
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.49,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.14,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.44,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 2.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138429989,
|
|
"total_return_pct": 38.43,
|
|
"cagr_pct": 56.49,
|
|
"mdd_pct": 11.21,
|
|
"trades": 54,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 2.93,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.24
|
|
}
|
|
},
|
|
"alpha_pct": -56.67
|
|
},
|
|
"test": {
|
|
"final_equity": 99280893,
|
|
"total_return_pct": -0.72,
|
|
"cagr_pct": -2.28,
|
|
"mdd_pct": 7.9,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.92,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.45
|
|
}
|
|
},
|
|
"alpha_pct": -53.55
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.27,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 2.42,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.06,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 2.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138429989,
|
|
"total_return_pct": 38.43,
|
|
"cagr_pct": 56.49,
|
|
"mdd_pct": 11.21,
|
|
"trades": 54,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 2.93,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.24
|
|
}
|
|
},
|
|
"alpha_pct": -56.67
|
|
},
|
|
"test": {
|
|
"final_equity": 99280893,
|
|
"total_return_pct": -0.72,
|
|
"cagr_pct": -2.28,
|
|
"mdd_pct": 7.9,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.92,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.45
|
|
}
|
|
},
|
|
"alpha_pct": -53.55
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.27,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 2.42,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.06,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 2.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134745052,
|
|
"total_return_pct": 34.75,
|
|
"cagr_pct": 50.78,
|
|
"mdd_pct": 12.73,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 2.2,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.92
|
|
}
|
|
},
|
|
"alpha_pct": -60.35
|
|
},
|
|
"test": {
|
|
"final_equity": 105736112,
|
|
"total_return_pct": 5.74,
|
|
"cagr_pct": 19.47,
|
|
"mdd_pct": 7.74,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 1.99,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.09
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.91
|
|
}
|
|
},
|
|
"alpha_pct": -47.09
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.65,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.42,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.36,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 2.36
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134745052,
|
|
"total_return_pct": 34.75,
|
|
"cagr_pct": 50.78,
|
|
"mdd_pct": 12.73,
|
|
"trades": 65,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 2.2,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.92
|
|
}
|
|
},
|
|
"alpha_pct": -60.35
|
|
},
|
|
"test": {
|
|
"final_equity": 105736112,
|
|
"total_return_pct": 5.74,
|
|
"cagr_pct": 19.47,
|
|
"mdd_pct": 7.74,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 1.99,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.09
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.91
|
|
}
|
|
},
|
|
"alpha_pct": -47.09
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.65,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 25.42,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.36,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": 2.36
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142197029,
|
|
"total_return_pct": 42.2,
|
|
"cagr_pct": 62.38,
|
|
"mdd_pct": 12.14,
|
|
"trades": 63,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.7,
|
|
"profit_factor": 2.92,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.9
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.47
|
|
}
|
|
},
|
|
"alpha_pct": -52.9
|
|
},
|
|
"test": {
|
|
"final_equity": 101674366,
|
|
"total_return_pct": 1.67,
|
|
"cagr_pct": 5.44,
|
|
"mdd_pct": 10.72,
|
|
"trades": 28,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 1.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.84
|
|
}
|
|
},
|
|
"alpha_pct": -51.16
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.61,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.16,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.11,
|
|
"trades": 37
|
|
}
|
|
],
|
|
"worst_ret": 2.11
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142197029,
|
|
"total_return_pct": 42.2,
|
|
"cagr_pct": 62.38,
|
|
"mdd_pct": 12.14,
|
|
"trades": 63,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.7,
|
|
"profit_factor": 2.92,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.9
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.47
|
|
}
|
|
},
|
|
"alpha_pct": -52.9
|
|
},
|
|
"test": {
|
|
"final_equity": 101674366,
|
|
"total_return_pct": 1.67,
|
|
"cagr_pct": 5.44,
|
|
"mdd_pct": 10.72,
|
|
"trades": 28,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 1.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.84
|
|
}
|
|
},
|
|
"alpha_pct": -51.16
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.61,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.16,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 2.11,
|
|
"trades": 37
|
|
}
|
|
],
|
|
"worst_ret": 2.11
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140991854,
|
|
"total_return_pct": 40.99,
|
|
"cagr_pct": 60.49,
|
|
"mdd_pct": 12.09,
|
|
"trades": 51,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 43.1,
|
|
"profit_factor": 3.35,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.68
|
|
}
|
|
},
|
|
"alpha_pct": -54.11
|
|
},
|
|
"test": {
|
|
"final_equity": 97238562,
|
|
"total_return_pct": -2.76,
|
|
"cagr_pct": -8.55,
|
|
"mdd_pct": 9.66,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.41
|
|
}
|
|
},
|
|
"alpha_pct": -55.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.01,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.75,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.95,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 1.95
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140991854,
|
|
"total_return_pct": 40.99,
|
|
"cagr_pct": 60.49,
|
|
"mdd_pct": 12.09,
|
|
"trades": 51,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 43.1,
|
|
"profit_factor": 3.35,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.68
|
|
}
|
|
},
|
|
"alpha_pct": -54.11
|
|
},
|
|
"test": {
|
|
"final_equity": 97238562,
|
|
"total_return_pct": -2.76,
|
|
"cagr_pct": -8.55,
|
|
"mdd_pct": 9.66,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.41
|
|
}
|
|
},
|
|
"alpha_pct": -55.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.01,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.75,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.95,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 1.95
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137970079,
|
|
"total_return_pct": 37.97,
|
|
"cagr_pct": 55.77,
|
|
"mdd_pct": 11.23,
|
|
"trades": 54,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 2.76,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.7
|
|
}
|
|
},
|
|
"alpha_pct": -57.13
|
|
},
|
|
"test": {
|
|
"final_equity": 100074535,
|
|
"total_return_pct": 0.07,
|
|
"cagr_pct": 0.24,
|
|
"mdd_pct": 9.0,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 1.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.24
|
|
}
|
|
},
|
|
"alpha_pct": -52.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.01,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 1.88,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.15,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 1.88
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137970079,
|
|
"total_return_pct": 37.97,
|
|
"cagr_pct": 55.77,
|
|
"mdd_pct": 11.23,
|
|
"trades": 54,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 38.9,
|
|
"profit_factor": 2.76,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.7
|
|
}
|
|
},
|
|
"alpha_pct": -57.13
|
|
},
|
|
"test": {
|
|
"final_equity": 100074535,
|
|
"total_return_pct": 0.07,
|
|
"cagr_pct": 0.24,
|
|
"mdd_pct": 9.0,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 1.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.24
|
|
}
|
|
},
|
|
"alpha_pct": -52.76
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.01,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 1.88,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 11.15,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 1.88
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141409635,
|
|
"total_return_pct": 41.41,
|
|
"cagr_pct": 61.15,
|
|
"mdd_pct": 12.19,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.9,
|
|
"profit_factor": 3.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.26
|
|
}
|
|
},
|
|
"alpha_pct": -53.69
|
|
},
|
|
"test": {
|
|
"final_equity": 102385570,
|
|
"total_return_pct": 2.39,
|
|
"cagr_pct": 7.81,
|
|
"mdd_pct": 11.51,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.9,
|
|
"profit_factor": 1.12,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.56
|
|
}
|
|
},
|
|
"alpha_pct": -50.44
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.34,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.54,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.86,
|
|
"trades": 36
|
|
}
|
|
],
|
|
"worst_ret": 1.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141409635,
|
|
"total_return_pct": 41.41,
|
|
"cagr_pct": 61.15,
|
|
"mdd_pct": 12.19,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.9,
|
|
"profit_factor": 3.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.26
|
|
}
|
|
},
|
|
"alpha_pct": -53.69
|
|
},
|
|
"test": {
|
|
"final_equity": 102385570,
|
|
"total_return_pct": 2.39,
|
|
"cagr_pct": 7.81,
|
|
"mdd_pct": 11.51,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.9,
|
|
"profit_factor": 1.12,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.56
|
|
}
|
|
},
|
|
"alpha_pct": -50.44
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.34,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.54,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.86,
|
|
"trades": 36
|
|
}
|
|
],
|
|
"worst_ret": 1.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141398199,
|
|
"total_return_pct": 41.4,
|
|
"cagr_pct": 61.13,
|
|
"mdd_pct": 11.27,
|
|
"trades": 65,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.5,
|
|
"profit_factor": 2.78,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.7
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.27
|
|
}
|
|
},
|
|
"alpha_pct": -53.7
|
|
},
|
|
"test": {
|
|
"final_equity": 94441424,
|
|
"total_return_pct": -5.56,
|
|
"cagr_pct": -16.68,
|
|
"mdd_pct": 11.45,
|
|
"trades": 24,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 20.8,
|
|
"profit_factor": 0.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.61
|
|
}
|
|
},
|
|
"alpha_pct": -58.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.35,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.29,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.85,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 1.85
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137351946,
|
|
"total_return_pct": 37.35,
|
|
"cagr_pct": 54.81,
|
|
"mdd_pct": 11.27,
|
|
"trades": 65,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.32
|
|
}
|
|
},
|
|
"alpha_pct": -57.75
|
|
},
|
|
"test": {
|
|
"final_equity": 94441424,
|
|
"total_return_pct": -5.56,
|
|
"cagr_pct": -16.68,
|
|
"mdd_pct": 11.45,
|
|
"trades": 24,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 20.8,
|
|
"profit_factor": 0.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.61
|
|
}
|
|
},
|
|
"alpha_pct": -58.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.48,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.5,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.85,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 1.85
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141398199,
|
|
"total_return_pct": 41.4,
|
|
"cagr_pct": 61.13,
|
|
"mdd_pct": 11.27,
|
|
"trades": 65,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.5,
|
|
"profit_factor": 2.78,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.7
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.27
|
|
}
|
|
},
|
|
"alpha_pct": -53.7
|
|
},
|
|
"test": {
|
|
"final_equity": 94441424,
|
|
"total_return_pct": -5.56,
|
|
"cagr_pct": -16.68,
|
|
"mdd_pct": 11.45,
|
|
"trades": 24,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 20.8,
|
|
"profit_factor": 0.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.61
|
|
}
|
|
},
|
|
"alpha_pct": -58.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.35,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.29,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.85,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 1.85
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137351946,
|
|
"total_return_pct": 37.35,
|
|
"cagr_pct": 54.81,
|
|
"mdd_pct": 11.27,
|
|
"trades": 65,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.32
|
|
}
|
|
},
|
|
"alpha_pct": -57.75
|
|
},
|
|
"test": {
|
|
"final_equity": 94441424,
|
|
"total_return_pct": -5.56,
|
|
"cagr_pct": -16.68,
|
|
"mdd_pct": 11.45,
|
|
"trades": 24,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 20.8,
|
|
"profit_factor": 0.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.61
|
|
}
|
|
},
|
|
"alpha_pct": -58.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.48,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.5,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.85,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 1.85
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134533176,
|
|
"total_return_pct": 34.53,
|
|
"cagr_pct": 50.45,
|
|
"mdd_pct": 13.02,
|
|
"trades": 45,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 3.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.57
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.14
|
|
}
|
|
},
|
|
"alpha_pct": -60.57
|
|
},
|
|
"test": {
|
|
"final_equity": 101819446,
|
|
"total_return_pct": 1.82,
|
|
"cagr_pct": 5.92,
|
|
"mdd_pct": 5.59,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.08,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.99
|
|
}
|
|
},
|
|
"alpha_pct": -51.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.47,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.98,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.82,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 1.82
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134533176,
|
|
"total_return_pct": 34.53,
|
|
"cagr_pct": 50.45,
|
|
"mdd_pct": 13.02,
|
|
"trades": 45,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 3.34,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.57
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.14
|
|
}
|
|
},
|
|
"alpha_pct": -60.57
|
|
},
|
|
"test": {
|
|
"final_equity": 101819446,
|
|
"total_return_pct": 1.82,
|
|
"cagr_pct": 5.92,
|
|
"mdd_pct": 5.59,
|
|
"trades": 16,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 31.2,
|
|
"profit_factor": 1.08,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.99
|
|
}
|
|
},
|
|
"alpha_pct": -51.01
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.47,
|
|
"trades": 14
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.98,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.82,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 1.82
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 126724187,
|
|
"total_return_pct": 26.72,
|
|
"cagr_pct": 38.56,
|
|
"mdd_pct": 10.91,
|
|
"trades": 43,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 34.9,
|
|
"profit_factor": 2.83,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -68.38
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -20.95
|
|
}
|
|
},
|
|
"alpha_pct": -68.38
|
|
},
|
|
"test": {
|
|
"final_equity": 102527185,
|
|
"total_return_pct": 2.53,
|
|
"cagr_pct": 8.29,
|
|
"mdd_pct": 4.37,
|
|
"trades": 12,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 1.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.3
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.7
|
|
}
|
|
},
|
|
"alpha_pct": -50.3
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.02,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 1.67,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.55,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 1.67
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 126724187,
|
|
"total_return_pct": 26.72,
|
|
"cagr_pct": 38.56,
|
|
"mdd_pct": 10.91,
|
|
"trades": 43,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 34.9,
|
|
"profit_factor": 2.83,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -68.38
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -20.95
|
|
}
|
|
},
|
|
"alpha_pct": -68.38
|
|
},
|
|
"test": {
|
|
"final_equity": 102527185,
|
|
"total_return_pct": 2.53,
|
|
"cagr_pct": 8.29,
|
|
"mdd_pct": 4.37,
|
|
"trades": 12,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 1.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.3
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.7
|
|
}
|
|
},
|
|
"alpha_pct": -50.3
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.02,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 1.67,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.55,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 1.67
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134402204,
|
|
"total_return_pct": 34.4,
|
|
"cagr_pct": 50.25,
|
|
"mdd_pct": 14.77,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 28.2,
|
|
"profit_factor": 2.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.7
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.27
|
|
}
|
|
},
|
|
"alpha_pct": -60.7
|
|
},
|
|
"test": {
|
|
"final_equity": 95235264,
|
|
"total_return_pct": -4.76,
|
|
"cagr_pct": -14.42,
|
|
"mdd_pct": 12.23,
|
|
"trades": 22,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 18.2,
|
|
"profit_factor": 0.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.41
|
|
}
|
|
},
|
|
"alpha_pct": -57.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.63,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.43,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.54,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 1.54
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134402204,
|
|
"total_return_pct": 34.4,
|
|
"cagr_pct": 50.25,
|
|
"mdd_pct": 14.77,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 28.2,
|
|
"profit_factor": 2.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.7
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.27
|
|
}
|
|
},
|
|
"alpha_pct": -60.7
|
|
},
|
|
"test": {
|
|
"final_equity": 95235264,
|
|
"total_return_pct": -4.76,
|
|
"cagr_pct": -14.42,
|
|
"mdd_pct": 12.23,
|
|
"trades": 22,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 18.2,
|
|
"profit_factor": 0.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.41
|
|
}
|
|
},
|
|
"alpha_pct": -57.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.63,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.43,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.54,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 1.54
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146282533,
|
|
"total_return_pct": 46.28,
|
|
"cagr_pct": 68.84,
|
|
"mdd_pct": 12.11,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.1,
|
|
"profit_factor": 3.16,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.39
|
|
}
|
|
},
|
|
"alpha_pct": -48.82
|
|
},
|
|
"test": {
|
|
"final_equity": 100733886,
|
|
"total_return_pct": 0.73,
|
|
"cagr_pct": 2.36,
|
|
"mdd_pct": 12.57,
|
|
"trades": 28,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 1.0,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.1
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.9
|
|
}
|
|
},
|
|
"alpha_pct": -52.1
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.94,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.4,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.52,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 1.52
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146282533,
|
|
"total_return_pct": 46.28,
|
|
"cagr_pct": 68.84,
|
|
"mdd_pct": 12.11,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 31.1,
|
|
"profit_factor": 3.16,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.39
|
|
}
|
|
},
|
|
"alpha_pct": -48.82
|
|
},
|
|
"test": {
|
|
"final_equity": 100733886,
|
|
"total_return_pct": 0.73,
|
|
"cagr_pct": 2.36,
|
|
"mdd_pct": 12.57,
|
|
"trades": 28,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 21.4,
|
|
"profit_factor": 1.0,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.1
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.9
|
|
}
|
|
},
|
|
"alpha_pct": -52.1
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.94,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.4,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.52,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": 1.52
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132550804,
|
|
"total_return_pct": 32.55,
|
|
"cagr_pct": 47.41,
|
|
"mdd_pct": 11.05,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.1,
|
|
"profit_factor": 2.63,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.12
|
|
}
|
|
},
|
|
"alpha_pct": -62.55
|
|
},
|
|
"test": {
|
|
"final_equity": 96407664,
|
|
"total_return_pct": -3.59,
|
|
"cagr_pct": -11.01,
|
|
"mdd_pct": 8.76,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 19.0,
|
|
"profit_factor": 0.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.58
|
|
}
|
|
},
|
|
"alpha_pct": -56.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.92,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.14,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.44,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 1.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130043413,
|
|
"total_return_pct": 30.04,
|
|
"cagr_pct": 43.58,
|
|
"mdd_pct": 11.0,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.1,
|
|
"profit_factor": 2.52,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.63
|
|
}
|
|
},
|
|
"alpha_pct": -65.06
|
|
},
|
|
"test": {
|
|
"final_equity": 96407664,
|
|
"total_return_pct": -3.59,
|
|
"cagr_pct": -11.01,
|
|
"mdd_pct": 8.76,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 19.0,
|
|
"profit_factor": 0.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.58
|
|
}
|
|
},
|
|
"alpha_pct": -56.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.44,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 3.53,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.44,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 1.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132550804,
|
|
"total_return_pct": 32.55,
|
|
"cagr_pct": 47.41,
|
|
"mdd_pct": 11.05,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.1,
|
|
"profit_factor": 2.63,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.12
|
|
}
|
|
},
|
|
"alpha_pct": -62.55
|
|
},
|
|
"test": {
|
|
"final_equity": 96407664,
|
|
"total_return_pct": -3.59,
|
|
"cagr_pct": -11.01,
|
|
"mdd_pct": 8.76,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 19.0,
|
|
"profit_factor": 0.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.58
|
|
}
|
|
},
|
|
"alpha_pct": -56.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.92,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.14,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.44,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 1.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130043413,
|
|
"total_return_pct": 30.04,
|
|
"cagr_pct": 43.58,
|
|
"mdd_pct": 11.0,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.1,
|
|
"profit_factor": 2.52,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.63
|
|
}
|
|
},
|
|
"alpha_pct": -65.06
|
|
},
|
|
"test": {
|
|
"final_equity": 96407664,
|
|
"total_return_pct": -3.59,
|
|
"cagr_pct": -11.01,
|
|
"mdd_pct": 8.76,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 19.0,
|
|
"profit_factor": 0.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.58
|
|
}
|
|
},
|
|
"alpha_pct": -56.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.44,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 3.53,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.44,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 1.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146323699,
|
|
"total_return_pct": 46.32,
|
|
"cagr_pct": 68.91,
|
|
"mdd_pct": 13.79,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.52,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.35
|
|
}
|
|
},
|
|
"alpha_pct": -48.78
|
|
},
|
|
"test": {
|
|
"final_equity": 101244204,
|
|
"total_return_pct": 1.24,
|
|
"cagr_pct": 4.02,
|
|
"mdd_pct": 10.83,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.41
|
|
}
|
|
},
|
|
"alpha_pct": -51.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.89,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.11,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.39,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 1.39
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 146323699,
|
|
"total_return_pct": 46.32,
|
|
"cagr_pct": 68.91,
|
|
"mdd_pct": 13.79,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.52,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.35
|
|
}
|
|
},
|
|
"alpha_pct": -48.78
|
|
},
|
|
"test": {
|
|
"final_equity": 101244204,
|
|
"total_return_pct": 1.24,
|
|
"cagr_pct": 4.02,
|
|
"mdd_pct": 10.83,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.06,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.41
|
|
}
|
|
},
|
|
"alpha_pct": -51.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.89,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.11,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.39,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 1.39
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 142777273,
|
|
"total_return_pct": 42.78,
|
|
"cagr_pct": 63.3,
|
|
"mdd_pct": 13.79,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.1,
|
|
"profit_factor": 3.23,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.89
|
|
}
|
|
},
|
|
"alpha_pct": -52.32
|
|
},
|
|
"test": {
|
|
"final_equity": 101165147,
|
|
"total_return_pct": 1.17,
|
|
"cagr_pct": 3.76,
|
|
"mdd_pct": 10.82,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.34
|
|
}
|
|
},
|
|
"alpha_pct": -51.66
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.57,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.58,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.29,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 1.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 142777273,
|
|
"total_return_pct": 42.78,
|
|
"cagr_pct": 63.3,
|
|
"mdd_pct": 13.79,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.1,
|
|
"profit_factor": 3.23,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.89
|
|
}
|
|
},
|
|
"alpha_pct": -52.32
|
|
},
|
|
"test": {
|
|
"final_equity": 101165147,
|
|
"total_return_pct": 1.17,
|
|
"cagr_pct": 3.76,
|
|
"mdd_pct": 10.82,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.34
|
|
}
|
|
},
|
|
"alpha_pct": -51.66
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.57,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.58,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.29,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 1.29
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143917721,
|
|
"total_return_pct": 43.92,
|
|
"cagr_pct": 65.09,
|
|
"mdd_pct": 13.87,
|
|
"trades": 67,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.3,
|
|
"profit_factor": 2.89,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.18
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.75
|
|
}
|
|
},
|
|
"alpha_pct": -51.18
|
|
},
|
|
"test": {
|
|
"final_equity": 109060091,
|
|
"total_return_pct": 9.06,
|
|
"cagr_pct": 31.87,
|
|
"mdd_pct": 11.36,
|
|
"trades": 25,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 1.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -43.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 23.23
|
|
}
|
|
},
|
|
"alpha_pct": -43.77
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.25,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.87,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.28,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 1.28
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 143917721,
|
|
"total_return_pct": 43.92,
|
|
"cagr_pct": 65.09,
|
|
"mdd_pct": 13.87,
|
|
"trades": 67,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.3,
|
|
"profit_factor": 2.89,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -51.18
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -3.75
|
|
}
|
|
},
|
|
"alpha_pct": -51.18
|
|
},
|
|
"test": {
|
|
"final_equity": 109060091,
|
|
"total_return_pct": 9.06,
|
|
"cagr_pct": 31.87,
|
|
"mdd_pct": 11.36,
|
|
"trades": 25,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 1.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -43.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 23.23
|
|
}
|
|
},
|
|
"alpha_pct": -43.77
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.25,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.87,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.28,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": 1.28
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 129426724,
|
|
"total_return_pct": 29.43,
|
|
"cagr_pct": 42.65,
|
|
"mdd_pct": 11.1,
|
|
"trades": 54,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.2,
|
|
"profit_factor": 2.51,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.24
|
|
}
|
|
},
|
|
"alpha_pct": -65.67
|
|
},
|
|
"test": {
|
|
"final_equity": 97274971,
|
|
"total_return_pct": -2.73,
|
|
"cagr_pct": -8.44,
|
|
"mdd_pct": 8.67,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.67,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.56
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.44
|
|
}
|
|
},
|
|
"alpha_pct": -55.56
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.13,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.58,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.23,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 1.23
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 129426724,
|
|
"total_return_pct": 29.43,
|
|
"cagr_pct": 42.65,
|
|
"mdd_pct": 11.1,
|
|
"trades": 54,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 35.2,
|
|
"profit_factor": 2.51,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.24
|
|
}
|
|
},
|
|
"alpha_pct": -65.67
|
|
},
|
|
"test": {
|
|
"final_equity": 97274971,
|
|
"total_return_pct": -2.73,
|
|
"cagr_pct": -8.44,
|
|
"mdd_pct": 8.67,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.67,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.56
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.44
|
|
}
|
|
},
|
|
"alpha_pct": -55.56
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.13,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.58,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.23,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 1.23
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 126759263,
|
|
"total_return_pct": 26.76,
|
|
"cagr_pct": 38.61,
|
|
"mdd_pct": 11.07,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 2.39,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -68.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -20.91
|
|
}
|
|
},
|
|
"alpha_pct": -68.34
|
|
},
|
|
"test": {
|
|
"final_equity": 97093427,
|
|
"total_return_pct": -2.91,
|
|
"cagr_pct": -8.98,
|
|
"mdd_pct": 8.68,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.26
|
|
}
|
|
},
|
|
"alpha_pct": -55.74
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.88,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.19,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.18,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 1.18
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 126759263,
|
|
"total_return_pct": 26.76,
|
|
"cagr_pct": 38.61,
|
|
"mdd_pct": 11.07,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 36.8,
|
|
"profit_factor": 2.39,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -68.34
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -20.91
|
|
}
|
|
},
|
|
"alpha_pct": -68.34
|
|
},
|
|
"test": {
|
|
"final_equity": 97093427,
|
|
"total_return_pct": -2.91,
|
|
"cagr_pct": -8.98,
|
|
"mdd_pct": 8.68,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.66,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.74
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.26
|
|
}
|
|
},
|
|
"alpha_pct": -55.74
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.88,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.19,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.18,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": 1.18
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 138055400,
|
|
"total_return_pct": 38.06,
|
|
"cagr_pct": 55.91,
|
|
"mdd_pct": 11.23,
|
|
"trades": 58,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 3.11,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.61
|
|
}
|
|
},
|
|
"alpha_pct": -57.04
|
|
},
|
|
"test": {
|
|
"final_equity": 100690807,
|
|
"total_return_pct": 0.69,
|
|
"cagr_pct": 2.22,
|
|
"mdd_pct": 8.85,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.14,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.14
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.86
|
|
}
|
|
},
|
|
"alpha_pct": -52.14
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.17,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.59,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.14,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 1.14
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 135311675,
|
|
"total_return_pct": 35.31,
|
|
"cagr_pct": 51.65,
|
|
"mdd_pct": 11.17,
|
|
"trades": 58,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 2.94,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -59.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.36
|
|
}
|
|
},
|
|
"alpha_pct": -59.79
|
|
},
|
|
"test": {
|
|
"final_equity": 100690807,
|
|
"total_return_pct": 0.69,
|
|
"cagr_pct": 2.22,
|
|
"mdd_pct": 8.85,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.14,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.14
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.86
|
|
}
|
|
},
|
|
"alpha_pct": -52.14
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.25,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 5.13,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.14,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 1.14
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 138055400,
|
|
"total_return_pct": 38.06,
|
|
"cagr_pct": 55.91,
|
|
"mdd_pct": 11.23,
|
|
"trades": 58,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 3.11,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.61
|
|
}
|
|
},
|
|
"alpha_pct": -57.04
|
|
},
|
|
"test": {
|
|
"final_equity": 100690807,
|
|
"total_return_pct": 0.69,
|
|
"cagr_pct": 2.22,
|
|
"mdd_pct": 8.85,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.14,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.14
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.86
|
|
}
|
|
},
|
|
"alpha_pct": -52.14
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.17,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.59,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.14,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 1.14
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 135311675,
|
|
"total_return_pct": 35.31,
|
|
"cagr_pct": 51.65,
|
|
"mdd_pct": 11.17,
|
|
"trades": 58,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 2.94,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -59.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.36
|
|
}
|
|
},
|
|
"alpha_pct": -59.79
|
|
},
|
|
"test": {
|
|
"final_equity": 100690807,
|
|
"total_return_pct": 0.69,
|
|
"cagr_pct": 2.22,
|
|
"mdd_pct": 8.85,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.14,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.14
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.86
|
|
}
|
|
},
|
|
"alpha_pct": -52.14
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.25,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 5.13,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.14,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 1.14
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 149972803,
|
|
"total_return_pct": 49.97,
|
|
"cagr_pct": 74.73,
|
|
"mdd_pct": 12.1,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.3,
|
|
"profit_factor": 3.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.3
|
|
}
|
|
},
|
|
"alpha_pct": -45.13
|
|
},
|
|
"test": {
|
|
"final_equity": 98591281,
|
|
"total_return_pct": -1.41,
|
|
"cagr_pct": -4.42,
|
|
"mdd_pct": 8.02,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 21.1,
|
|
"profit_factor": 0.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.24
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.76
|
|
}
|
|
},
|
|
"alpha_pct": -54.24
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.31,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.09,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.03,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 1.03
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 149972803,
|
|
"total_return_pct": 49.97,
|
|
"cagr_pct": 74.73,
|
|
"mdd_pct": 12.1,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.3,
|
|
"profit_factor": 3.98,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 2.3
|
|
}
|
|
},
|
|
"alpha_pct": -45.13
|
|
},
|
|
"test": {
|
|
"final_equity": 98591281,
|
|
"total_return_pct": -1.41,
|
|
"cagr_pct": -4.42,
|
|
"mdd_pct": 8.02,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 21.1,
|
|
"profit_factor": 0.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.24
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.76
|
|
}
|
|
},
|
|
"alpha_pct": -54.24
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.31,
|
|
"trades": 19
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.09,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.03,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 1.03
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 127643690,
|
|
"total_return_pct": 27.64,
|
|
"cagr_pct": 39.95,
|
|
"mdd_pct": 11.69,
|
|
"trades": 49,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 36.7,
|
|
"profit_factor": 2.64,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -20.03
|
|
}
|
|
},
|
|
"alpha_pct": -67.46
|
|
},
|
|
"test": {
|
|
"final_equity": 104595623,
|
|
"total_return_pct": 4.6,
|
|
"cagr_pct": 15.41,
|
|
"mdd_pct": 4.96,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 2.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.77
|
|
}
|
|
},
|
|
"alpha_pct": -48.23
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.72,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.98,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.08,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 127643690,
|
|
"total_return_pct": 27.64,
|
|
"cagr_pct": 39.95,
|
|
"mdd_pct": 11.69,
|
|
"trades": 49,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 36.7,
|
|
"profit_factor": 2.64,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -20.03
|
|
}
|
|
},
|
|
"alpha_pct": -67.46
|
|
},
|
|
"test": {
|
|
"final_equity": 104595623,
|
|
"total_return_pct": 4.6,
|
|
"cagr_pct": 15.41,
|
|
"mdd_pct": 4.96,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 2.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.77
|
|
}
|
|
},
|
|
"alpha_pct": -48.23
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.72,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.98,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.08,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 125662003,
|
|
"total_return_pct": 25.66,
|
|
"cagr_pct": 36.96,
|
|
"mdd_pct": 11.77,
|
|
"trades": 49,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 32.7,
|
|
"profit_factor": 2.39,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -22.01
|
|
}
|
|
},
|
|
"alpha_pct": -69.44
|
|
},
|
|
"test": {
|
|
"final_equity": 103897483,
|
|
"total_return_pct": 3.9,
|
|
"cagr_pct": 12.97,
|
|
"mdd_pct": 4.86,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 1.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.07
|
|
}
|
|
},
|
|
"alpha_pct": -48.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.72,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.98,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.87,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 125662003,
|
|
"total_return_pct": 25.66,
|
|
"cagr_pct": 36.96,
|
|
"mdd_pct": 11.77,
|
|
"trades": 49,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 32.7,
|
|
"profit_factor": 2.39,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.44
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -22.01
|
|
}
|
|
},
|
|
"alpha_pct": -69.44
|
|
},
|
|
"test": {
|
|
"final_equity": 103897483,
|
|
"total_return_pct": 3.9,
|
|
"cagr_pct": 12.97,
|
|
"mdd_pct": 4.86,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 1.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.07
|
|
}
|
|
},
|
|
"alpha_pct": -48.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.72,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.98,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.87,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141331058,
|
|
"total_return_pct": 41.33,
|
|
"cagr_pct": 61.02,
|
|
"mdd_pct": 10.74,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.4,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.34
|
|
}
|
|
},
|
|
"alpha_pct": -53.77
|
|
},
|
|
"test": {
|
|
"final_equity": 101451759,
|
|
"total_return_pct": 1.45,
|
|
"cagr_pct": 4.7,
|
|
"mdd_pct": 10.84,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.08,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.38
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.62
|
|
}
|
|
},
|
|
"alpha_pct": -51.38
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.28,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.79,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.97,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 0.97
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141331058,
|
|
"total_return_pct": 41.33,
|
|
"cagr_pct": 61.02,
|
|
"mdd_pct": 10.74,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.4,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.34
|
|
}
|
|
},
|
|
"alpha_pct": -53.77
|
|
},
|
|
"test": {
|
|
"final_equity": 101451759,
|
|
"total_return_pct": 1.45,
|
|
"cagr_pct": 4.7,
|
|
"mdd_pct": 10.84,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.08,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.38
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.62
|
|
}
|
|
},
|
|
"alpha_pct": -51.38
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.28,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.79,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.97,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 0.97
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 127191287,
|
|
"total_return_pct": 27.19,
|
|
"cagr_pct": 39.27,
|
|
"mdd_pct": 10.88,
|
|
"trades": 45,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 37.8,
|
|
"profit_factor": 2.84,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -20.48
|
|
}
|
|
},
|
|
"alpha_pct": -67.91
|
|
},
|
|
"test": {
|
|
"final_equity": 101047558,
|
|
"total_return_pct": 1.05,
|
|
"cagr_pct": 3.38,
|
|
"mdd_pct": 4.81,
|
|
"trades": 12,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 41.7,
|
|
"profit_factor": 1.09,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.22
|
|
}
|
|
},
|
|
"alpha_pct": -51.78
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.61,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.92,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.06,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 0.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 127191287,
|
|
"total_return_pct": 27.19,
|
|
"cagr_pct": 39.27,
|
|
"mdd_pct": 10.88,
|
|
"trades": 45,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 37.8,
|
|
"profit_factor": 2.84,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -20.48
|
|
}
|
|
},
|
|
"alpha_pct": -67.91
|
|
},
|
|
"test": {
|
|
"final_equity": 101047558,
|
|
"total_return_pct": 1.05,
|
|
"cagr_pct": 3.38,
|
|
"mdd_pct": 4.81,
|
|
"trades": 12,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 41.7,
|
|
"profit_factor": 1.09,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.22
|
|
}
|
|
},
|
|
"alpha_pct": -51.78
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.61,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.92,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.06,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": 0.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141808951,
|
|
"total_return_pct": 41.81,
|
|
"cagr_pct": 61.77,
|
|
"mdd_pct": 10.99,
|
|
"trades": 51,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 3.8,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.86
|
|
}
|
|
},
|
|
"alpha_pct": -53.29
|
|
},
|
|
"test": {
|
|
"final_equity": 96609835,
|
|
"total_return_pct": -3.39,
|
|
"cagr_pct": -10.42,
|
|
"mdd_pct": 10.19,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.72,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.78
|
|
}
|
|
},
|
|
"alpha_pct": -56.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.64,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.66,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.92,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 0.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141808951,
|
|
"total_return_pct": 41.81,
|
|
"cagr_pct": 61.77,
|
|
"mdd_pct": 10.99,
|
|
"trades": 51,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 3.8,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.86
|
|
}
|
|
},
|
|
"alpha_pct": -53.29
|
|
},
|
|
"test": {
|
|
"final_equity": 96609835,
|
|
"total_return_pct": -3.39,
|
|
"cagr_pct": -10.42,
|
|
"mdd_pct": 10.19,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.72,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.78
|
|
}
|
|
},
|
|
"alpha_pct": -56.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.64,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.66,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.92,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 0.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145180258,
|
|
"total_return_pct": 45.18,
|
|
"cagr_pct": 67.09,
|
|
"mdd_pct": 14.6,
|
|
"trades": 51,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.3,
|
|
"profit_factor": 3.67,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.49
|
|
}
|
|
},
|
|
"alpha_pct": -49.92
|
|
},
|
|
"test": {
|
|
"final_equity": 96609835,
|
|
"total_return_pct": -3.39,
|
|
"cagr_pct": -10.42,
|
|
"mdd_pct": 10.19,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.72,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.78
|
|
}
|
|
},
|
|
"alpha_pct": -56.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.64,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.93,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.92,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 0.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145180258,
|
|
"total_return_pct": 45.18,
|
|
"cagr_pct": 67.09,
|
|
"mdd_pct": 14.6,
|
|
"trades": 51,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.3,
|
|
"profit_factor": 3.67,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.49
|
|
}
|
|
},
|
|
"alpha_pct": -49.92
|
|
},
|
|
"test": {
|
|
"final_equity": 96609835,
|
|
"total_return_pct": -3.39,
|
|
"cagr_pct": -10.42,
|
|
"mdd_pct": 10.19,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.72,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.22
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.78
|
|
}
|
|
},
|
|
"alpha_pct": -56.22
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.64,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.93,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.92,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 0.92
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 125902389,
|
|
"total_return_pct": 25.9,
|
|
"cagr_pct": 37.33,
|
|
"mdd_pct": 10.95,
|
|
"trades": 46,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 2.75,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -21.77
|
|
}
|
|
},
|
|
"alpha_pct": -69.2
|
|
},
|
|
"test": {
|
|
"final_equity": 100722139,
|
|
"total_return_pct": 0.72,
|
|
"cagr_pct": 2.32,
|
|
"mdd_pct": 5.05,
|
|
"trades": 13,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 46.2,
|
|
"profit_factor": 1.02,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.89
|
|
}
|
|
},
|
|
"alpha_pct": -52.11
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.61,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 3.35,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.91,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": 0.91
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 125902389,
|
|
"total_return_pct": 25.9,
|
|
"cagr_pct": 37.33,
|
|
"mdd_pct": 10.95,
|
|
"trades": 46,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 2.75,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.2
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -21.77
|
|
}
|
|
},
|
|
"alpha_pct": -69.2
|
|
},
|
|
"test": {
|
|
"final_equity": 100722139,
|
|
"total_return_pct": 0.72,
|
|
"cagr_pct": 2.32,
|
|
"mdd_pct": 5.05,
|
|
"trades": 13,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 46.2,
|
|
"profit_factor": 1.02,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.89
|
|
}
|
|
},
|
|
"alpha_pct": -52.11
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.61,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 3.35,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.91,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": 0.91
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 142154479,
|
|
"total_return_pct": 42.15,
|
|
"cagr_pct": 62.32,
|
|
"mdd_pct": 10.74,
|
|
"trades": 55,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 43.6,
|
|
"profit_factor": 3.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.52
|
|
}
|
|
},
|
|
"alpha_pct": -52.95
|
|
},
|
|
"test": {
|
|
"final_equity": 101359906,
|
|
"total_return_pct": 1.36,
|
|
"cagr_pct": 4.4,
|
|
"mdd_pct": 10.85,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.07,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.53
|
|
}
|
|
},
|
|
"alpha_pct": -51.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.46,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.26,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.87,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 0.87
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 142154479,
|
|
"total_return_pct": 42.15,
|
|
"cagr_pct": 62.32,
|
|
"mdd_pct": 10.74,
|
|
"trades": 55,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 43.6,
|
|
"profit_factor": 3.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.52
|
|
}
|
|
},
|
|
"alpha_pct": -52.95
|
|
},
|
|
"test": {
|
|
"final_equity": 101359906,
|
|
"total_return_pct": 1.36,
|
|
"cagr_pct": 4.4,
|
|
"mdd_pct": 10.85,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.07,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.47
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.53
|
|
}
|
|
},
|
|
"alpha_pct": -51.47
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.46,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.26,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.87,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 0.87
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 127448260,
|
|
"total_return_pct": 27.45,
|
|
"cagr_pct": 39.65,
|
|
"mdd_pct": 11.33,
|
|
"trades": 49,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 36.7,
|
|
"profit_factor": 2.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -20.22
|
|
}
|
|
},
|
|
"alpha_pct": -67.65
|
|
},
|
|
"test": {
|
|
"final_equity": 104035497,
|
|
"total_return_pct": 4.04,
|
|
"cagr_pct": 13.45,
|
|
"mdd_pct": 4.2,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 1.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.21
|
|
}
|
|
},
|
|
"alpha_pct": -48.79
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.81,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.75,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.81,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 127448260,
|
|
"total_return_pct": 27.45,
|
|
"cagr_pct": 39.65,
|
|
"mdd_pct": 11.33,
|
|
"trades": 49,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 36.7,
|
|
"profit_factor": 2.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -20.22
|
|
}
|
|
},
|
|
"alpha_pct": -67.65
|
|
},
|
|
"test": {
|
|
"final_equity": 104035497,
|
|
"total_return_pct": 4.04,
|
|
"cagr_pct": 13.45,
|
|
"mdd_pct": 4.2,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 1.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.21
|
|
}
|
|
},
|
|
"alpha_pct": -48.79
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.81,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.75,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.81,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 125588692,
|
|
"total_return_pct": 25.59,
|
|
"cagr_pct": 36.85,
|
|
"mdd_pct": 11.4,
|
|
"trades": 49,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 32.7,
|
|
"profit_factor": 2.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -22.08
|
|
}
|
|
},
|
|
"alpha_pct": -69.51
|
|
},
|
|
"test": {
|
|
"final_equity": 103318321,
|
|
"total_return_pct": 3.32,
|
|
"cagr_pct": 10.97,
|
|
"mdd_pct": 4.1,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 1.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.49
|
|
}
|
|
},
|
|
"alpha_pct": -49.51
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.81,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.75,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.78,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 125588692,
|
|
"total_return_pct": 25.59,
|
|
"cagr_pct": 36.85,
|
|
"mdd_pct": 11.4,
|
|
"trades": 49,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 32.7,
|
|
"profit_factor": 2.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -22.08
|
|
}
|
|
},
|
|
"alpha_pct": -69.51
|
|
},
|
|
"test": {
|
|
"final_equity": 103318321,
|
|
"total_return_pct": 3.32,
|
|
"cagr_pct": 10.97,
|
|
"mdd_pct": 4.1,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 1.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.49
|
|
}
|
|
},
|
|
"alpha_pct": -49.51
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.81,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.75,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.78,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141787453,
|
|
"total_return_pct": 41.79,
|
|
"cagr_pct": 61.74,
|
|
"mdd_pct": 11.04,
|
|
"trades": 51,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 3.91,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.88
|
|
}
|
|
},
|
|
"alpha_pct": -53.31
|
|
},
|
|
"test": {
|
|
"final_equity": 98146242,
|
|
"total_return_pct": -1.85,
|
|
"cagr_pct": -5.79,
|
|
"mdd_pct": 8.22,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.32
|
|
}
|
|
},
|
|
"alpha_pct": -54.68
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.64,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.01,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.75,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 0.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141787453,
|
|
"total_return_pct": 41.79,
|
|
"cagr_pct": 61.74,
|
|
"mdd_pct": 11.04,
|
|
"trades": 51,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 3.91,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.88
|
|
}
|
|
},
|
|
"alpha_pct": -53.31
|
|
},
|
|
"test": {
|
|
"final_equity": 98146242,
|
|
"total_return_pct": -1.85,
|
|
"cagr_pct": -5.79,
|
|
"mdd_pct": 8.22,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.32
|
|
}
|
|
},
|
|
"alpha_pct": -54.68
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.64,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.01,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.75,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 0.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145219885,
|
|
"total_return_pct": 45.22,
|
|
"cagr_pct": 67.15,
|
|
"mdd_pct": 14.65,
|
|
"trades": 51,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.3,
|
|
"profit_factor": 3.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.45
|
|
}
|
|
},
|
|
"alpha_pct": -49.88
|
|
},
|
|
"test": {
|
|
"final_equity": 98146242,
|
|
"total_return_pct": -1.85,
|
|
"cagr_pct": -5.79,
|
|
"mdd_pct": 8.22,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.32
|
|
}
|
|
},
|
|
"alpha_pct": -54.68
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.64,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.36,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.75,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 0.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145219885,
|
|
"total_return_pct": 45.22,
|
|
"cagr_pct": 67.15,
|
|
"mdd_pct": 14.65,
|
|
"trades": 51,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.3,
|
|
"profit_factor": 3.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.88
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.45
|
|
}
|
|
},
|
|
"alpha_pct": -49.88
|
|
},
|
|
"test": {
|
|
"final_equity": 98146242,
|
|
"total_return_pct": -1.85,
|
|
"cagr_pct": -5.79,
|
|
"mdd_pct": 8.22,
|
|
"trades": 20,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 0.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.32
|
|
}
|
|
},
|
|
"alpha_pct": -54.68
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.64,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.36,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.75,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 0.75
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 134105569,
|
|
"total_return_pct": 34.11,
|
|
"cagr_pct": 49.8,
|
|
"mdd_pct": 11.25,
|
|
"trades": 67,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 43.3,
|
|
"profit_factor": 2.62,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.56
|
|
}
|
|
},
|
|
"alpha_pct": -60.99
|
|
},
|
|
"test": {
|
|
"final_equity": 102671865,
|
|
"total_return_pct": 2.67,
|
|
"cagr_pct": 8.77,
|
|
"mdd_pct": 10.48,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 1.36,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.84
|
|
}
|
|
},
|
|
"alpha_pct": -50.16
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.42,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.57,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.65,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 0.65
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 134105569,
|
|
"total_return_pct": 34.11,
|
|
"cagr_pct": 49.8,
|
|
"mdd_pct": 11.25,
|
|
"trades": 67,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 43.3,
|
|
"profit_factor": 2.62,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.56
|
|
}
|
|
},
|
|
"alpha_pct": -60.99
|
|
},
|
|
"test": {
|
|
"final_equity": 102671865,
|
|
"total_return_pct": 2.67,
|
|
"cagr_pct": 8.77,
|
|
"mdd_pct": 10.48,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 1.36,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.84
|
|
}
|
|
},
|
|
"alpha_pct": -50.16
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.42,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.57,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.65,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 0.65
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131335825,
|
|
"total_return_pct": 31.34,
|
|
"cagr_pct": 45.55,
|
|
"mdd_pct": 11.24,
|
|
"trades": 69,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 40.6,
|
|
"profit_factor": 2.41,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.33
|
|
}
|
|
},
|
|
"alpha_pct": -63.76
|
|
},
|
|
"test": {
|
|
"final_equity": 102616492,
|
|
"total_return_pct": 2.62,
|
|
"cagr_pct": 8.59,
|
|
"mdd_pct": 10.55,
|
|
"trades": 23,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 34.8,
|
|
"profit_factor": 1.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.79
|
|
}
|
|
},
|
|
"alpha_pct": -50.21
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.93,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.53,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.61,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 0.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131335825,
|
|
"total_return_pct": 31.34,
|
|
"cagr_pct": 45.55,
|
|
"mdd_pct": 11.24,
|
|
"trades": 69,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 40.6,
|
|
"profit_factor": 2.41,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.33
|
|
}
|
|
},
|
|
"alpha_pct": -63.76
|
|
},
|
|
"test": {
|
|
"final_equity": 102616492,
|
|
"total_return_pct": 2.62,
|
|
"cagr_pct": 8.59,
|
|
"mdd_pct": 10.55,
|
|
"trades": 23,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 34.8,
|
|
"profit_factor": 1.35,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.79
|
|
}
|
|
},
|
|
"alpha_pct": -50.21
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.93,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 12.53,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.61,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": 0.61
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 125225797,
|
|
"total_return_pct": 25.23,
|
|
"cagr_pct": 36.31,
|
|
"mdd_pct": 10.86,
|
|
"trades": 62,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.3,
|
|
"profit_factor": 2.56,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -22.44
|
|
}
|
|
},
|
|
"alpha_pct": -69.87
|
|
},
|
|
"test": {
|
|
"final_equity": 101876410,
|
|
"total_return_pct": 1.88,
|
|
"cagr_pct": 6.11,
|
|
"mdd_pct": 6.85,
|
|
"trades": 17,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 1.29,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.05
|
|
}
|
|
},
|
|
"alpha_pct": -50.95
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.17,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.11,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.59,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 0.59
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 125225797,
|
|
"total_return_pct": 25.23,
|
|
"cagr_pct": 36.31,
|
|
"mdd_pct": 10.86,
|
|
"trades": 62,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.3,
|
|
"profit_factor": 2.56,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -22.44
|
|
}
|
|
},
|
|
"alpha_pct": -69.87
|
|
},
|
|
"test": {
|
|
"final_equity": 101876410,
|
|
"total_return_pct": 1.88,
|
|
"cagr_pct": 6.11,
|
|
"mdd_pct": 6.85,
|
|
"trades": 17,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 41.2,
|
|
"profit_factor": 1.29,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.95
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.05
|
|
}
|
|
},
|
|
"alpha_pct": -50.95
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.17,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.11,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.59,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 0.59
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 135061381,
|
|
"total_return_pct": 35.06,
|
|
"cagr_pct": 51.27,
|
|
"mdd_pct": 11.38,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 38.6,
|
|
"profit_factor": 2.7,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.61
|
|
}
|
|
},
|
|
"alpha_pct": -60.04
|
|
},
|
|
"test": {
|
|
"final_equity": 101440384,
|
|
"total_return_pct": 1.44,
|
|
"cagr_pct": 4.67,
|
|
"mdd_pct": 7.98,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 47.1,
|
|
"profit_factor": 1.2,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.61
|
|
}
|
|
},
|
|
"alpha_pct": -51.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.57,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.82,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.48,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 0.48
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 135061381,
|
|
"total_return_pct": 35.06,
|
|
"cagr_pct": 51.27,
|
|
"mdd_pct": 11.38,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 38.6,
|
|
"profit_factor": 2.7,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.04
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.61
|
|
}
|
|
},
|
|
"alpha_pct": -60.04
|
|
},
|
|
"test": {
|
|
"final_equity": 101440384,
|
|
"total_return_pct": 1.44,
|
|
"cagr_pct": 4.67,
|
|
"mdd_pct": 7.98,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 47.1,
|
|
"profit_factor": 1.2,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.61
|
|
}
|
|
},
|
|
"alpha_pct": -51.39
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.57,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.82,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.48,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": 0.48
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 122621656,
|
|
"total_return_pct": 22.62,
|
|
"cagr_pct": 32.42,
|
|
"mdd_pct": 11.7,
|
|
"trades": 47,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 34.0,
|
|
"profit_factor": 2.11,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -72.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -25.05
|
|
}
|
|
},
|
|
"alpha_pct": -72.48
|
|
},
|
|
"test": {
|
|
"final_equity": 103525478,
|
|
"total_return_pct": 3.53,
|
|
"cagr_pct": 11.69,
|
|
"mdd_pct": 5.86,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 1.56,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.3
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.7
|
|
}
|
|
},
|
|
"alpha_pct": -49.3
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.72,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.45,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.58,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 122621656,
|
|
"total_return_pct": 22.62,
|
|
"cagr_pct": 32.42,
|
|
"mdd_pct": 11.7,
|
|
"trades": 47,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 34.0,
|
|
"profit_factor": 2.11,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -72.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -25.05
|
|
}
|
|
},
|
|
"alpha_pct": -72.48
|
|
},
|
|
"test": {
|
|
"final_equity": 103525478,
|
|
"total_return_pct": 3.53,
|
|
"cagr_pct": 11.69,
|
|
"mdd_pct": 5.86,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 1.56,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.3
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.7
|
|
}
|
|
},
|
|
"alpha_pct": -49.3
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.72,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.45,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.58,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 135014261,
|
|
"total_return_pct": 35.01,
|
|
"cagr_pct": 51.2,
|
|
"mdd_pct": 11.35,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 38.6,
|
|
"profit_factor": 2.73,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.09
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.66
|
|
}
|
|
},
|
|
"alpha_pct": -60.09
|
|
},
|
|
"test": {
|
|
"final_equity": 99988509,
|
|
"total_return_pct": -0.01,
|
|
"cagr_pct": -0.04,
|
|
"mdd_pct": 8.82,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.16
|
|
}
|
|
},
|
|
"alpha_pct": -52.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.29,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.13,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.44,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 0.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 133620942,
|
|
"total_return_pct": 33.62,
|
|
"cagr_pct": 49.05,
|
|
"mdd_pct": 11.22,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.4,
|
|
"profit_factor": 2.71,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.05
|
|
}
|
|
},
|
|
"alpha_pct": -61.48
|
|
},
|
|
"test": {
|
|
"final_equity": 99988509,
|
|
"total_return_pct": -0.01,
|
|
"cagr_pct": -0.04,
|
|
"mdd_pct": 8.82,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.16
|
|
}
|
|
},
|
|
"alpha_pct": -52.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.87,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.74,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.44,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 0.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 135014261,
|
|
"total_return_pct": 35.01,
|
|
"cagr_pct": 51.2,
|
|
"mdd_pct": 11.35,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 38.6,
|
|
"profit_factor": 2.73,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.09
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.66
|
|
}
|
|
},
|
|
"alpha_pct": -60.09
|
|
},
|
|
"test": {
|
|
"final_equity": 99988509,
|
|
"total_return_pct": -0.01,
|
|
"cagr_pct": -0.04,
|
|
"mdd_pct": 8.82,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.16
|
|
}
|
|
},
|
|
"alpha_pct": -52.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.29,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.13,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.44,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 0.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 133620942,
|
|
"total_return_pct": 33.62,
|
|
"cagr_pct": 49.05,
|
|
"mdd_pct": 11.22,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.4,
|
|
"profit_factor": 2.71,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.05
|
|
}
|
|
},
|
|
"alpha_pct": -61.48
|
|
},
|
|
"test": {
|
|
"final_equity": 99988509,
|
|
"total_return_pct": -0.01,
|
|
"cagr_pct": -0.04,
|
|
"mdd_pct": 8.82,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.16
|
|
}
|
|
},
|
|
"alpha_pct": -52.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.87,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.74,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.44,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": 0.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 134084098,
|
|
"total_return_pct": 34.08,
|
|
"cagr_pct": 49.76,
|
|
"mdd_pct": 11.69,
|
|
"trades": 48,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.7,
|
|
"profit_factor": 3.19,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.59
|
|
}
|
|
},
|
|
"alpha_pct": -61.02
|
|
},
|
|
"test": {
|
|
"final_equity": 104595623,
|
|
"total_return_pct": 4.6,
|
|
"cagr_pct": 15.41,
|
|
"mdd_pct": 4.96,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 2.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.77
|
|
}
|
|
},
|
|
"alpha_pct": -48.23
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.67,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.42,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.08,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 134084098,
|
|
"total_return_pct": 34.08,
|
|
"cagr_pct": 49.76,
|
|
"mdd_pct": 11.69,
|
|
"trades": 48,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.7,
|
|
"profit_factor": 3.19,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.59
|
|
}
|
|
},
|
|
"alpha_pct": -61.02
|
|
},
|
|
"test": {
|
|
"final_equity": 104595623,
|
|
"total_return_pct": 4.6,
|
|
"cagr_pct": 15.41,
|
|
"mdd_pct": 4.96,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 2.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.77
|
|
}
|
|
},
|
|
"alpha_pct": -48.23
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.67,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.42,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 7.08,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131932853,
|
|
"total_return_pct": 31.93,
|
|
"cagr_pct": 46.46,
|
|
"mdd_pct": 11.79,
|
|
"trades": 48,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 2.85,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.74
|
|
}
|
|
},
|
|
"alpha_pct": -63.17
|
|
},
|
|
"test": {
|
|
"final_equity": 103897483,
|
|
"total_return_pct": 3.9,
|
|
"cagr_pct": 12.97,
|
|
"mdd_pct": 4.86,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 1.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.07
|
|
}
|
|
},
|
|
"alpha_pct": -48.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.67,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.42,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.87,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131932853,
|
|
"total_return_pct": 31.93,
|
|
"cagr_pct": 46.46,
|
|
"mdd_pct": 11.79,
|
|
"trades": 48,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 2.85,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.74
|
|
}
|
|
},
|
|
"alpha_pct": -63.17
|
|
},
|
|
"test": {
|
|
"final_equity": 103897483,
|
|
"total_return_pct": 3.9,
|
|
"cagr_pct": 12.97,
|
|
"mdd_pct": 4.86,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 1.74,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.07
|
|
}
|
|
},
|
|
"alpha_pct": -48.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.67,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.42,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 5.87,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.42
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 120025341,
|
|
"total_return_pct": 20.03,
|
|
"cagr_pct": 28.58,
|
|
"mdd_pct": 10.94,
|
|
"trades": 47,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 34.0,
|
|
"profit_factor": 2.21,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -75.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -27.64
|
|
}
|
|
},
|
|
"alpha_pct": -75.07
|
|
},
|
|
"test": {
|
|
"final_equity": 101206225,
|
|
"total_return_pct": 1.21,
|
|
"cagr_pct": 3.9,
|
|
"mdd_pct": 4.61,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 1.12,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.38
|
|
}
|
|
},
|
|
"alpha_pct": -51.62
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 4.77,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.41,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.39,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.41
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 120025341,
|
|
"total_return_pct": 20.03,
|
|
"cagr_pct": 28.58,
|
|
"mdd_pct": 10.94,
|
|
"trades": 47,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 34.0,
|
|
"profit_factor": 2.21,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -75.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -27.64
|
|
}
|
|
},
|
|
"alpha_pct": -75.07
|
|
},
|
|
"test": {
|
|
"final_equity": 101206225,
|
|
"total_return_pct": 1.21,
|
|
"cagr_pct": 3.9,
|
|
"mdd_pct": 4.61,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 1.12,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.62
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.38
|
|
}
|
|
},
|
|
"alpha_pct": -51.62
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 4.77,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.41,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 1.39,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.41
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145413756,
|
|
"total_return_pct": 45.41,
|
|
"cagr_pct": 67.46,
|
|
"mdd_pct": 13.82,
|
|
"trades": 53,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 43.4,
|
|
"profit_factor": 3.35,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.26
|
|
}
|
|
},
|
|
"alpha_pct": -49.69
|
|
},
|
|
"test": {
|
|
"final_equity": 100160591,
|
|
"total_return_pct": 0.16,
|
|
"cagr_pct": 0.51,
|
|
"mdd_pct": 11.7,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 0.98,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.33
|
|
}
|
|
},
|
|
"alpha_pct": -52.67
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.85,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.28,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.37,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 0.37
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145413756,
|
|
"total_return_pct": 45.41,
|
|
"cagr_pct": 67.46,
|
|
"mdd_pct": 13.82,
|
|
"trades": 53,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 43.4,
|
|
"profit_factor": 3.35,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.26
|
|
}
|
|
},
|
|
"alpha_pct": -49.69
|
|
},
|
|
"test": {
|
|
"final_equity": 100160591,
|
|
"total_return_pct": 0.16,
|
|
"cagr_pct": 0.51,
|
|
"mdd_pct": 11.7,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 0.98,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.67
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.33
|
|
}
|
|
},
|
|
"alpha_pct": -52.67
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.85,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.28,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.37,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": 0.37
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 144825606,
|
|
"total_return_pct": 44.83,
|
|
"cagr_pct": 66.53,
|
|
"mdd_pct": 12.07,
|
|
"trades": 45,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 3.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.84
|
|
}
|
|
},
|
|
"alpha_pct": -50.27
|
|
},
|
|
"test": {
|
|
"final_equity": 97623232,
|
|
"total_return_pct": -2.38,
|
|
"cagr_pct": -7.39,
|
|
"mdd_pct": 8.52,
|
|
"trades": 19,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 21.1,
|
|
"profit_factor": 0.69,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.79
|
|
}
|
|
},
|
|
"alpha_pct": -55.21
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.66,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.36,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.23,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 0.23
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 144825606,
|
|
"total_return_pct": 44.83,
|
|
"cagr_pct": 66.53,
|
|
"mdd_pct": 12.07,
|
|
"trades": 45,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 3.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.84
|
|
}
|
|
},
|
|
"alpha_pct": -50.27
|
|
},
|
|
"test": {
|
|
"final_equity": 97623232,
|
|
"total_return_pct": -2.38,
|
|
"cagr_pct": -7.39,
|
|
"mdd_pct": 8.52,
|
|
"trades": 19,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 21.1,
|
|
"profit_factor": 0.69,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.79
|
|
}
|
|
},
|
|
"alpha_pct": -55.21
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.66,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.36,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.23,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": 0.23
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133894030,
|
|
"total_return_pct": 33.89,
|
|
"cagr_pct": 49.47,
|
|
"mdd_pct": 11.32,
|
|
"trades": 48,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.7,
|
|
"profit_factor": 3.36,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.78
|
|
}
|
|
},
|
|
"alpha_pct": -61.21
|
|
},
|
|
"test": {
|
|
"final_equity": 104035497,
|
|
"total_return_pct": 4.04,
|
|
"cagr_pct": 13.45,
|
|
"mdd_pct": 4.2,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 1.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.21
|
|
}
|
|
},
|
|
"alpha_pct": -48.79
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.77,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.2,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.81,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133894030,
|
|
"total_return_pct": 33.89,
|
|
"cagr_pct": 49.47,
|
|
"mdd_pct": 11.32,
|
|
"trades": 48,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.7,
|
|
"profit_factor": 3.36,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.78
|
|
}
|
|
},
|
|
"alpha_pct": -61.21
|
|
},
|
|
"test": {
|
|
"final_equity": 104035497,
|
|
"total_return_pct": 4.04,
|
|
"cagr_pct": 13.45,
|
|
"mdd_pct": 4.2,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 1.86,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.21
|
|
}
|
|
},
|
|
"alpha_pct": -48.79
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.77,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.2,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 4.81,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 131860772,
|
|
"total_return_pct": 31.86,
|
|
"cagr_pct": 46.35,
|
|
"mdd_pct": 11.42,
|
|
"trades": 48,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.0,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.24
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.81
|
|
}
|
|
},
|
|
"alpha_pct": -63.24
|
|
},
|
|
"test": {
|
|
"final_equity": 103318321,
|
|
"total_return_pct": 3.32,
|
|
"cagr_pct": 10.97,
|
|
"mdd_pct": 4.1,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 1.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.49
|
|
}
|
|
},
|
|
"alpha_pct": -49.51
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.77,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.2,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.78,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 131860772,
|
|
"total_return_pct": 31.86,
|
|
"cagr_pct": 46.35,
|
|
"mdd_pct": 11.42,
|
|
"trades": 48,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.0,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.24
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.81
|
|
}
|
|
},
|
|
"alpha_pct": -63.24
|
|
},
|
|
"test": {
|
|
"final_equity": 103318321,
|
|
"total_return_pct": 3.32,
|
|
"cagr_pct": 10.97,
|
|
"mdd_pct": 4.1,
|
|
"trades": 14,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 35.7,
|
|
"profit_factor": 1.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.49
|
|
}
|
|
},
|
|
"alpha_pct": -49.51
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.77,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 0.2,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 3.78,
|
|
"trades": 18
|
|
}
|
|
],
|
|
"worst_ret": 0.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141103435,
|
|
"total_return_pct": 41.1,
|
|
"cagr_pct": 60.66,
|
|
"mdd_pct": 13.27,
|
|
"trades": 72,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.1,
|
|
"profit_factor": 3.08,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.57
|
|
}
|
|
},
|
|
"alpha_pct": -54.0
|
|
},
|
|
"test": {
|
|
"final_equity": 109240286,
|
|
"total_return_pct": 9.24,
|
|
"cagr_pct": 32.57,
|
|
"mdd_pct": 9.57,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.0,
|
|
"profit_factor": 1.76,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -43.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 23.41
|
|
}
|
|
},
|
|
"alpha_pct": -43.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.33,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.8,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.13,
|
|
"trades": 37
|
|
}
|
|
],
|
|
"worst_ret": 0.13
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141103435,
|
|
"total_return_pct": 41.1,
|
|
"cagr_pct": 60.66,
|
|
"mdd_pct": 13.27,
|
|
"trades": 72,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 36.1,
|
|
"profit_factor": 3.08,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.0
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.57
|
|
}
|
|
},
|
|
"alpha_pct": -54.0
|
|
},
|
|
"test": {
|
|
"final_equity": 109240286,
|
|
"total_return_pct": 9.24,
|
|
"cagr_pct": 32.57,
|
|
"mdd_pct": 9.57,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.0,
|
|
"profit_factor": 1.76,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -43.59
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 23.41
|
|
}
|
|
},
|
|
"alpha_pct": -43.59
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.33,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 19.8,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.13,
|
|
"trades": 37
|
|
}
|
|
],
|
|
"worst_ret": 0.13
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146208835,
|
|
"total_return_pct": 46.21,
|
|
"cagr_pct": 68.72,
|
|
"mdd_pct": 13.88,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.6,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.89
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.46
|
|
}
|
|
},
|
|
"alpha_pct": -48.89
|
|
},
|
|
"test": {
|
|
"final_equity": 100796386,
|
|
"total_return_pct": 0.8,
|
|
"cagr_pct": 2.56,
|
|
"mdd_pct": 8.96,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.03
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.97
|
|
}
|
|
},
|
|
"alpha_pct": -52.03
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.1,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.39,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.13,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 0.13
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146208835,
|
|
"total_return_pct": 46.21,
|
|
"cagr_pct": 68.72,
|
|
"mdd_pct": 13.88,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.6,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.89
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -1.46
|
|
}
|
|
},
|
|
"alpha_pct": -48.89
|
|
},
|
|
"test": {
|
|
"final_equity": 100796386,
|
|
"total_return_pct": 0.8,
|
|
"cagr_pct": 2.56,
|
|
"mdd_pct": 8.96,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.03
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.97
|
|
}
|
|
},
|
|
"alpha_pct": -52.03
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.1,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.39,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.13,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 0.13
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142828963,
|
|
"total_return_pct": 42.83,
|
|
"cagr_pct": 63.38,
|
|
"mdd_pct": 13.88,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.1,
|
|
"profit_factor": 3.33,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.84
|
|
}
|
|
},
|
|
"alpha_pct": -52.27
|
|
},
|
|
"test": {
|
|
"final_equity": 100703827,
|
|
"total_return_pct": 0.7,
|
|
"cagr_pct": 2.26,
|
|
"mdd_pct": 8.97,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.0,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.87
|
|
}
|
|
},
|
|
"alpha_pct": -52.13
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.71,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.84,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.05,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 0.05
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142828963,
|
|
"total_return_pct": 42.83,
|
|
"cagr_pct": 63.38,
|
|
"mdd_pct": 13.88,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 41.1,
|
|
"profit_factor": 3.33,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.27
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -4.84
|
|
}
|
|
},
|
|
"alpha_pct": -52.27
|
|
},
|
|
"test": {
|
|
"final_equity": 100703827,
|
|
"total_return_pct": 0.7,
|
|
"cagr_pct": 2.26,
|
|
"mdd_pct": 8.97,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.0,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.87
|
|
}
|
|
},
|
|
"alpha_pct": -52.13
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.71,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.84,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 0.05,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": 0.05
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 128985302,
|
|
"total_return_pct": 28.99,
|
|
"cagr_pct": 41.98,
|
|
"mdd_pct": 11.66,
|
|
"trades": 43,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 34.9,
|
|
"profit_factor": 2.6,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -66.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.68
|
|
}
|
|
},
|
|
"alpha_pct": -66.11
|
|
},
|
|
"test": {
|
|
"final_equity": 105138704,
|
|
"total_return_pct": 5.14,
|
|
"cagr_pct": 17.33,
|
|
"mdd_pct": 5.64,
|
|
"trades": 12,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 1.45,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.31
|
|
}
|
|
},
|
|
"alpha_pct": -47.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.97,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": -0.01,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 15.92,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": -0.01
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 128985302,
|
|
"total_return_pct": 28.99,
|
|
"cagr_pct": 41.98,
|
|
"mdd_pct": 11.66,
|
|
"trades": 43,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 34.9,
|
|
"profit_factor": 2.6,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -66.11
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.68
|
|
}
|
|
},
|
|
"alpha_pct": -66.11
|
|
},
|
|
"test": {
|
|
"final_equity": 105138704,
|
|
"total_return_pct": 5.14,
|
|
"cagr_pct": 17.33,
|
|
"mdd_pct": 5.64,
|
|
"trades": 12,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 1.45,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.31
|
|
}
|
|
},
|
|
"alpha_pct": -47.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.97,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": -0.01,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 15.92,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": -0.01
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141582428,
|
|
"total_return_pct": 41.58,
|
|
"cagr_pct": 61.42,
|
|
"mdd_pct": 13.84,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 30.3,
|
|
"profit_factor": 2.1,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.09
|
|
}
|
|
},
|
|
"alpha_pct": -53.52
|
|
},
|
|
"test": {
|
|
"final_equity": 86662541,
|
|
"total_return_pct": -13.34,
|
|
"cagr_pct": -36.66,
|
|
"mdd_pct": 20.37,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 14.3,
|
|
"profit_factor": 0.36,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -66.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 0.83
|
|
}
|
|
},
|
|
"alpha_pct": -66.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.42,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.47,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.1,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": -0.1
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141582428,
|
|
"total_return_pct": 41.58,
|
|
"cagr_pct": 61.42,
|
|
"mdd_pct": 13.84,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 30.3,
|
|
"profit_factor": 2.1,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.09
|
|
}
|
|
},
|
|
"alpha_pct": -53.52
|
|
},
|
|
"test": {
|
|
"final_equity": 86662541,
|
|
"total_return_pct": -13.34,
|
|
"cagr_pct": -36.66,
|
|
"mdd_pct": 20.37,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 14.3,
|
|
"profit_factor": 0.36,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -66.17
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 0.83
|
|
}
|
|
},
|
|
"alpha_pct": -66.17
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.42,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 30.47,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.1,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": -0.1
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141405337,
|
|
"total_return_pct": 41.41,
|
|
"cagr_pct": 61.14,
|
|
"mdd_pct": 10.71,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.26
|
|
}
|
|
},
|
|
"alpha_pct": -53.69
|
|
},
|
|
"test": {
|
|
"final_equity": 101083064,
|
|
"total_return_pct": 1.08,
|
|
"cagr_pct": 3.5,
|
|
"mdd_pct": 9.02,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.25
|
|
}
|
|
},
|
|
"alpha_pct": -51.75
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.47,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.95,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.24,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": -0.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141405337,
|
|
"total_return_pct": 41.41,
|
|
"cagr_pct": 61.14,
|
|
"mdd_pct": 10.71,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.5,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.26
|
|
}
|
|
},
|
|
"alpha_pct": -53.69
|
|
},
|
|
"test": {
|
|
"final_equity": 101083064,
|
|
"total_return_pct": 1.08,
|
|
"cagr_pct": 3.5,
|
|
"mdd_pct": 9.02,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.05,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.25
|
|
}
|
|
},
|
|
"alpha_pct": -51.75
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.47,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.95,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.24,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": -0.24
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142030316,
|
|
"total_return_pct": 42.03,
|
|
"cagr_pct": 62.12,
|
|
"mdd_pct": 10.71,
|
|
"trades": 55,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 43.6,
|
|
"profit_factor": 3.64,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.64
|
|
}
|
|
},
|
|
"alpha_pct": -53.07
|
|
},
|
|
"test": {
|
|
"final_equity": 101015904,
|
|
"total_return_pct": 1.02,
|
|
"cagr_pct": 3.28,
|
|
"mdd_pct": 9.02,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.04,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.19
|
|
}
|
|
},
|
|
"alpha_pct": -51.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.61,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.41,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.33,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": -0.33
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142030316,
|
|
"total_return_pct": 42.03,
|
|
"cagr_pct": 62.12,
|
|
"mdd_pct": 10.71,
|
|
"trades": 55,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 43.6,
|
|
"profit_factor": 3.64,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.07
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.64
|
|
}
|
|
},
|
|
"alpha_pct": -53.07
|
|
},
|
|
"test": {
|
|
"final_equity": 101015904,
|
|
"total_return_pct": 1.02,
|
|
"cagr_pct": 3.28,
|
|
"mdd_pct": 9.02,
|
|
"trades": 22,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 31.8,
|
|
"profit_factor": 1.04,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.19
|
|
}
|
|
},
|
|
"alpha_pct": -51.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.61,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.41,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.33,
|
|
"trades": 34
|
|
}
|
|
],
|
|
"worst_ret": -0.33
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 127844068,
|
|
"total_return_pct": 27.84,
|
|
"cagr_pct": 40.25,
|
|
"mdd_pct": 11.03,
|
|
"trades": 69,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 40.6,
|
|
"profit_factor": 2.49,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.83
|
|
}
|
|
},
|
|
"alpha_pct": -67.26
|
|
},
|
|
"test": {
|
|
"final_equity": 101186404,
|
|
"total_return_pct": 1.19,
|
|
"cagr_pct": 3.83,
|
|
"mdd_pct": 7.24,
|
|
"trades": 23,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 34.8,
|
|
"profit_factor": 1.19,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.36
|
|
}
|
|
},
|
|
"alpha_pct": -51.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.56,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.59,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.49,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": -0.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 127844068,
|
|
"total_return_pct": 27.84,
|
|
"cagr_pct": 40.25,
|
|
"mdd_pct": 11.03,
|
|
"trades": 69,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 40.6,
|
|
"profit_factor": 2.49,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -67.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -19.83
|
|
}
|
|
},
|
|
"alpha_pct": -67.26
|
|
},
|
|
"test": {
|
|
"final_equity": 101186404,
|
|
"total_return_pct": 1.19,
|
|
"cagr_pct": 3.83,
|
|
"mdd_pct": 7.24,
|
|
"trades": 23,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 34.8,
|
|
"profit_factor": 1.19,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.64
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.36
|
|
}
|
|
},
|
|
"alpha_pct": -51.64
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.56,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.59,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.49,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": -0.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144779331,
|
|
"total_return_pct": 44.78,
|
|
"cagr_pct": 66.46,
|
|
"mdd_pct": 13.83,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.89
|
|
}
|
|
},
|
|
"alpha_pct": -50.32
|
|
},
|
|
"test": {
|
|
"final_equity": 99306490,
|
|
"total_return_pct": -0.69,
|
|
"cagr_pct": -2.2,
|
|
"mdd_pct": 12.96,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 0.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.48
|
|
}
|
|
},
|
|
"alpha_pct": -53.52
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.26,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.84,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.49,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": -0.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 144779331,
|
|
"total_return_pct": 44.78,
|
|
"cagr_pct": 66.46,
|
|
"mdd_pct": 13.83,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.24,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -50.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.89
|
|
}
|
|
},
|
|
"alpha_pct": -50.32
|
|
},
|
|
"test": {
|
|
"final_equity": 99306490,
|
|
"total_return_pct": -0.69,
|
|
"cagr_pct": -2.2,
|
|
"mdd_pct": 12.96,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 0.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.48
|
|
}
|
|
},
|
|
"alpha_pct": -53.52
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.26,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.84,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.49,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": -0.49
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141591715,
|
|
"total_return_pct": 41.59,
|
|
"cagr_pct": 61.43,
|
|
"mdd_pct": 11.81,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 30.3,
|
|
"profit_factor": 2.35,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.08
|
|
}
|
|
},
|
|
"alpha_pct": -53.51
|
|
},
|
|
"test": {
|
|
"final_equity": 91047275,
|
|
"total_return_pct": -8.95,
|
|
"cagr_pct": -25.86,
|
|
"mdd_pct": 15.72,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 14.3,
|
|
"profit_factor": 0.42,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -61.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 5.22
|
|
}
|
|
},
|
|
"alpha_pct": -61.78
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.42,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.54,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.58,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": -0.58
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141591715,
|
|
"total_return_pct": 41.59,
|
|
"cagr_pct": 61.43,
|
|
"mdd_pct": 11.81,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 30.3,
|
|
"profit_factor": 2.35,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.08
|
|
}
|
|
},
|
|
"alpha_pct": -53.51
|
|
},
|
|
"test": {
|
|
"final_equity": 91047275,
|
|
"total_return_pct": -8.95,
|
|
"cagr_pct": -25.86,
|
|
"mdd_pct": 15.72,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 14.3,
|
|
"profit_factor": 0.42,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -61.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 5.22
|
|
}
|
|
},
|
|
"alpha_pct": -61.78
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.42,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 29.54,
|
|
"trades": 15
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.58,
|
|
"trades": 20
|
|
}
|
|
],
|
|
"worst_ret": -0.58
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 137738737,
|
|
"total_return_pct": 37.74,
|
|
"cagr_pct": 55.41,
|
|
"mdd_pct": 11.19,
|
|
"trades": 58,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 3.2,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.93
|
|
}
|
|
},
|
|
"alpha_pct": -57.36
|
|
},
|
|
"test": {
|
|
"final_equity": 100013058,
|
|
"total_return_pct": 0.01,
|
|
"cagr_pct": 0.04,
|
|
"mdd_pct": 7.76,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.18
|
|
}
|
|
},
|
|
"alpha_pct": -52.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.42,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.41,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.6,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": -0.6
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134940872,
|
|
"total_return_pct": 34.94,
|
|
"cagr_pct": 51.08,
|
|
"mdd_pct": 11.14,
|
|
"trades": 58,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 3.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.73
|
|
}
|
|
},
|
|
"alpha_pct": -60.16
|
|
},
|
|
"test": {
|
|
"final_equity": 100013058,
|
|
"total_return_pct": 0.01,
|
|
"cagr_pct": 0.04,
|
|
"mdd_pct": 7.76,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.18
|
|
}
|
|
},
|
|
"alpha_pct": -52.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.54,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.97,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.6,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": -0.6
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 137738737,
|
|
"total_return_pct": 37.74,
|
|
"cagr_pct": 55.41,
|
|
"mdd_pct": 11.19,
|
|
"trades": 58,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 3.2,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.93
|
|
}
|
|
},
|
|
"alpha_pct": -57.36
|
|
},
|
|
"test": {
|
|
"final_equity": 100013058,
|
|
"total_return_pct": 0.01,
|
|
"cagr_pct": 0.04,
|
|
"mdd_pct": 7.76,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.18
|
|
}
|
|
},
|
|
"alpha_pct": -52.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.42,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.41,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.6,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": -0.6
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134940872,
|
|
"total_return_pct": 34.94,
|
|
"cagr_pct": 51.08,
|
|
"mdd_pct": 11.14,
|
|
"trades": 58,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 3.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.73
|
|
}
|
|
},
|
|
"alpha_pct": -60.16
|
|
},
|
|
"test": {
|
|
"final_equity": 100013058,
|
|
"total_return_pct": 0.01,
|
|
"cagr_pct": 0.04,
|
|
"mdd_pct": 7.76,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 1.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.18
|
|
}
|
|
},
|
|
"alpha_pct": -52.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.54,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.97,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.6,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": -0.6
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130497515,
|
|
"total_return_pct": 30.5,
|
|
"cagr_pct": 44.27,
|
|
"mdd_pct": 11.03,
|
|
"trades": 67,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 43.3,
|
|
"profit_factor": 2.73,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.17
|
|
}
|
|
},
|
|
"alpha_pct": -64.6
|
|
},
|
|
"test": {
|
|
"final_equity": 100784815,
|
|
"total_return_pct": 0.78,
|
|
"cagr_pct": 2.53,
|
|
"mdd_pct": 7.56,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 1.14,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.05
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.95
|
|
}
|
|
},
|
|
"alpha_pct": -52.05
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.13,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.54,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.84,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": -0.84
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130497515,
|
|
"total_return_pct": 30.5,
|
|
"cagr_pct": 44.27,
|
|
"mdd_pct": 11.03,
|
|
"trades": 67,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 43.3,
|
|
"profit_factor": 2.73,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.17
|
|
}
|
|
},
|
|
"alpha_pct": -64.6
|
|
},
|
|
"test": {
|
|
"final_equity": 100784815,
|
|
"total_return_pct": 0.78,
|
|
"cagr_pct": 2.53,
|
|
"mdd_pct": 7.56,
|
|
"trades": 20,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 1.14,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.05
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.95
|
|
}
|
|
},
|
|
"alpha_pct": -52.05
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.13,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.54,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -0.84,
|
|
"trades": 28
|
|
}
|
|
],
|
|
"worst_ret": -0.84
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 129674621,
|
|
"total_return_pct": 29.67,
|
|
"cagr_pct": 43.02,
|
|
"mdd_pct": 11.62,
|
|
"trades": 45,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 37.8,
|
|
"profit_factor": 2.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.0
|
|
}
|
|
},
|
|
"alpha_pct": -65.43
|
|
},
|
|
"test": {
|
|
"final_equity": 103176912,
|
|
"total_return_pct": 3.18,
|
|
"cagr_pct": 10.49,
|
|
"mdd_pct": 6.12,
|
|
"trades": 12,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 41.7,
|
|
"profit_factor": 1.47,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.35
|
|
}
|
|
},
|
|
"alpha_pct": -49.65
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.67,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": -0.85,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 13.84,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": -0.85
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 129674621,
|
|
"total_return_pct": 29.67,
|
|
"cagr_pct": 43.02,
|
|
"mdd_pct": 11.62,
|
|
"trades": 45,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 37.8,
|
|
"profit_factor": 2.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.0
|
|
}
|
|
},
|
|
"alpha_pct": -65.43
|
|
},
|
|
"test": {
|
|
"final_equity": 103176912,
|
|
"total_return_pct": 3.18,
|
|
"cagr_pct": 10.49,
|
|
"mdd_pct": 6.12,
|
|
"trades": 12,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 41.7,
|
|
"profit_factor": 1.47,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.35
|
|
}
|
|
},
|
|
"alpha_pct": -49.65
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.67,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": -0.85,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 13.84,
|
|
"trades": 16
|
|
}
|
|
],
|
|
"worst_ret": -0.85
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 131112198,
|
|
"total_return_pct": 31.11,
|
|
"cagr_pct": 45.21,
|
|
"mdd_pct": 11.25,
|
|
"trades": 43,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 34.9,
|
|
"profit_factor": 3.14,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.56
|
|
}
|
|
},
|
|
"alpha_pct": -63.99
|
|
},
|
|
"test": {
|
|
"final_equity": 103351481,
|
|
"total_return_pct": 3.35,
|
|
"cagr_pct": 11.09,
|
|
"mdd_pct": 4.1,
|
|
"trades": 13,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.52
|
|
}
|
|
},
|
|
"alpha_pct": -49.48
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.81,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": -0.86,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.25,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": -0.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 131112198,
|
|
"total_return_pct": 31.11,
|
|
"cagr_pct": 45.21,
|
|
"mdd_pct": 11.25,
|
|
"trades": 43,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 34.9,
|
|
"profit_factor": 3.14,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.99
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.56
|
|
}
|
|
},
|
|
"alpha_pct": -63.99
|
|
},
|
|
"test": {
|
|
"final_equity": 103351481,
|
|
"total_return_pct": 3.35,
|
|
"cagr_pct": 11.09,
|
|
"mdd_pct": 4.1,
|
|
"trades": 13,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.52
|
|
}
|
|
},
|
|
"alpha_pct": -49.48
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.81,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": -0.86,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.25,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": -0.86
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 125129007,
|
|
"total_return_pct": 25.13,
|
|
"cagr_pct": 36.17,
|
|
"mdd_pct": 11.17,
|
|
"trades": 62,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.7,
|
|
"profit_factor": 2.27,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -22.54
|
|
}
|
|
},
|
|
"alpha_pct": -69.97
|
|
},
|
|
"test": {
|
|
"final_equity": 100270896,
|
|
"total_return_pct": 0.27,
|
|
"cagr_pct": 0.87,
|
|
"mdd_pct": 12.08,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.12,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.56
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.44
|
|
}
|
|
},
|
|
"alpha_pct": -52.56
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.02,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.18,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.01,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -1.01
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 125129007,
|
|
"total_return_pct": 25.13,
|
|
"cagr_pct": 36.17,
|
|
"mdd_pct": 11.17,
|
|
"trades": 62,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.7,
|
|
"profit_factor": 2.27,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -22.54
|
|
}
|
|
},
|
|
"alpha_pct": -69.97
|
|
},
|
|
"test": {
|
|
"final_equity": 100270896,
|
|
"total_return_pct": 0.27,
|
|
"cagr_pct": 0.87,
|
|
"mdd_pct": 12.08,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.12,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.56
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.44
|
|
}
|
|
},
|
|
"alpha_pct": -52.56
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.02,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.18,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.01,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -1.01
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140244713,
|
|
"total_return_pct": 40.24,
|
|
"cagr_pct": 59.32,
|
|
"mdd_pct": 13.24,
|
|
"trades": 53,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 43.4,
|
|
"profit_factor": 3.38,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.43
|
|
}
|
|
},
|
|
"alpha_pct": -54.86
|
|
},
|
|
"test": {
|
|
"final_equity": 99007100,
|
|
"total_return_pct": -0.99,
|
|
"cagr_pct": -3.13,
|
|
"mdd_pct": 8.25,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 0.83,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.18
|
|
}
|
|
},
|
|
"alpha_pct": -53.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.02,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.42,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.06,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -1.06
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140244713,
|
|
"total_return_pct": 40.24,
|
|
"cagr_pct": 59.32,
|
|
"mdd_pct": 13.24,
|
|
"trades": 53,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 43.4,
|
|
"profit_factor": 3.38,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.86
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.43
|
|
}
|
|
},
|
|
"alpha_pct": -54.86
|
|
},
|
|
"test": {
|
|
"final_equity": 99007100,
|
|
"total_return_pct": -0.99,
|
|
"cagr_pct": -3.13,
|
|
"mdd_pct": 8.25,
|
|
"trades": 19,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 31.6,
|
|
"profit_factor": 0.83,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.18
|
|
}
|
|
},
|
|
"alpha_pct": -53.82
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.02,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.42,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.06,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -1.06
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145417248,
|
|
"total_return_pct": 45.42,
|
|
"cagr_pct": 67.47,
|
|
"mdd_pct": 13.94,
|
|
"trades": 74,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.8,
|
|
"profit_factor": 3.0,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.25
|
|
}
|
|
},
|
|
"alpha_pct": -49.68
|
|
},
|
|
"test": {
|
|
"final_equity": 102599064,
|
|
"total_return_pct": 2.6,
|
|
"cagr_pct": 8.53,
|
|
"mdd_pct": 10.57,
|
|
"trades": 27,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.6,
|
|
"profit_factor": 1.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.77
|
|
}
|
|
},
|
|
"alpha_pct": -50.23
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.69,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.6,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.12,
|
|
"trades": 41
|
|
}
|
|
],
|
|
"worst_ret": -1.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 145417248,
|
|
"total_return_pct": 45.42,
|
|
"cagr_pct": 67.47,
|
|
"mdd_pct": 13.94,
|
|
"trades": 74,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.8,
|
|
"profit_factor": 3.0,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.68
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.25
|
|
}
|
|
},
|
|
"alpha_pct": -49.68
|
|
},
|
|
"test": {
|
|
"final_equity": 102599064,
|
|
"total_return_pct": 2.6,
|
|
"cagr_pct": 8.53,
|
|
"mdd_pct": 10.57,
|
|
"trades": 27,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.6,
|
|
"profit_factor": 1.23,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.77
|
|
}
|
|
},
|
|
"alpha_pct": -50.23
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.69,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.6,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.12,
|
|
"trades": 41
|
|
}
|
|
],
|
|
"worst_ret": -1.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146722862,
|
|
"total_return_pct": 46.72,
|
|
"cagr_pct": 69.54,
|
|
"mdd_pct": 12.75,
|
|
"trades": 67,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.9,
|
|
"profit_factor": 2.85,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.38
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.95
|
|
}
|
|
},
|
|
"alpha_pct": -48.38
|
|
},
|
|
"test": {
|
|
"final_equity": 100813565,
|
|
"total_return_pct": 0.81,
|
|
"cagr_pct": 2.62,
|
|
"mdd_pct": 12.14,
|
|
"trades": 29,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 20.7,
|
|
"profit_factor": 1.02,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.98
|
|
}
|
|
},
|
|
"alpha_pct": -52.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.11,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.29,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.12,
|
|
"trades": 41
|
|
}
|
|
],
|
|
"worst_ret": -1.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 146722862,
|
|
"total_return_pct": 46.72,
|
|
"cagr_pct": 69.54,
|
|
"mdd_pct": 12.75,
|
|
"trades": 67,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.9,
|
|
"profit_factor": 2.85,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.38
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.95
|
|
}
|
|
},
|
|
"alpha_pct": -48.38
|
|
},
|
|
"test": {
|
|
"final_equity": 100813565,
|
|
"total_return_pct": 0.81,
|
|
"cagr_pct": 2.62,
|
|
"mdd_pct": 12.14,
|
|
"trades": 29,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 20.7,
|
|
"profit_factor": 1.02,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.98
|
|
}
|
|
},
|
|
"alpha_pct": -52.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.11,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.29,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.12,
|
|
"trades": 41
|
|
}
|
|
],
|
|
"worst_ret": -1.12
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 131753928,
|
|
"total_return_pct": 31.75,
|
|
"cagr_pct": 46.19,
|
|
"mdd_pct": 11.15,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 38.6,
|
|
"profit_factor": 2.82,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.92
|
|
}
|
|
},
|
|
"alpha_pct": -63.35
|
|
},
|
|
"test": {
|
|
"final_equity": 99771408,
|
|
"total_return_pct": -0.23,
|
|
"cagr_pct": -0.73,
|
|
"mdd_pct": 5.81,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 47.1,
|
|
"profit_factor": 0.94,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.94
|
|
}
|
|
},
|
|
"alpha_pct": -53.06
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.85,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.52,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.2,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": -1.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 131753928,
|
|
"total_return_pct": 31.75,
|
|
"cagr_pct": 46.19,
|
|
"mdd_pct": 11.15,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 38.6,
|
|
"profit_factor": 2.82,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.92
|
|
}
|
|
},
|
|
"alpha_pct": -63.35
|
|
},
|
|
"test": {
|
|
"final_equity": 99771408,
|
|
"total_return_pct": -0.23,
|
|
"cagr_pct": -0.73,
|
|
"mdd_pct": 5.81,
|
|
"trades": 17,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 47.1,
|
|
"profit_factor": 0.94,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.94
|
|
}
|
|
},
|
|
"alpha_pct": -53.06
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.85,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.52,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.2,
|
|
"trades": 21
|
|
}
|
|
],
|
|
"worst_ret": -1.2
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145318100,
|
|
"total_return_pct": 45.32,
|
|
"cagr_pct": 67.31,
|
|
"mdd_pct": 13.83,
|
|
"trades": 74,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.8,
|
|
"profit_factor": 2.87,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.35
|
|
}
|
|
},
|
|
"alpha_pct": -49.78
|
|
},
|
|
"test": {
|
|
"final_equity": 104294635,
|
|
"total_return_pct": 4.29,
|
|
"cagr_pct": 14.35,
|
|
"mdd_pct": 14.07,
|
|
"trades": 27,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.6,
|
|
"profit_factor": 1.36,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.46
|
|
}
|
|
},
|
|
"alpha_pct": -48.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.5,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.19,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.23,
|
|
"trades": 41
|
|
}
|
|
],
|
|
"worst_ret": -1.23
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 145318100,
|
|
"total_return_pct": 45.32,
|
|
"cagr_pct": 67.31,
|
|
"mdd_pct": 13.83,
|
|
"trades": 74,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 33.8,
|
|
"profit_factor": 2.87,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -49.78
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -2.35
|
|
}
|
|
},
|
|
"alpha_pct": -49.78
|
|
},
|
|
"test": {
|
|
"final_equity": 104294635,
|
|
"total_return_pct": 4.29,
|
|
"cagr_pct": 14.35,
|
|
"mdd_pct": 14.07,
|
|
"trades": 27,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.6,
|
|
"profit_factor": 1.36,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.46
|
|
}
|
|
},
|
|
"alpha_pct": -48.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.5,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.19,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.23,
|
|
"trades": 41
|
|
}
|
|
],
|
|
"worst_ret": -1.23
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131199043,
|
|
"total_return_pct": 31.2,
|
|
"cagr_pct": 45.34,
|
|
"mdd_pct": 11.62,
|
|
"trades": 43,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 34.9,
|
|
"profit_factor": 2.97,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.9
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.47
|
|
}
|
|
},
|
|
"alpha_pct": -63.9
|
|
},
|
|
"test": {
|
|
"final_equity": 103895864,
|
|
"total_return_pct": 3.9,
|
|
"cagr_pct": 12.97,
|
|
"mdd_pct": 4.87,
|
|
"trades": 13,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.07
|
|
}
|
|
},
|
|
"alpha_pct": -48.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.72,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": -1.26,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 18.7,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": -1.26
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131199043,
|
|
"total_return_pct": 31.2,
|
|
"cagr_pct": 45.34,
|
|
"mdd_pct": 11.62,
|
|
"trades": 43,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 34.9,
|
|
"profit_factor": 2.97,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.9
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.47
|
|
}
|
|
},
|
|
"alpha_pct": -63.9
|
|
},
|
|
"test": {
|
|
"final_equity": 103895864,
|
|
"total_return_pct": 3.9,
|
|
"cagr_pct": 12.97,
|
|
"mdd_pct": 4.87,
|
|
"trades": 13,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.07
|
|
}
|
|
},
|
|
"alpha_pct": -48.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.72,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": -1.26,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 18.7,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": -1.26
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134745497,
|
|
"total_return_pct": 34.75,
|
|
"cagr_pct": 50.78,
|
|
"mdd_pct": 11.3,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 38.6,
|
|
"profit_factor": 2.81,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.92
|
|
}
|
|
},
|
|
"alpha_pct": -60.35
|
|
},
|
|
"test": {
|
|
"final_equity": 99293538,
|
|
"total_return_pct": -0.71,
|
|
"cagr_pct": -2.24,
|
|
"mdd_pct": 7.69,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 0.92,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.46
|
|
}
|
|
},
|
|
"alpha_pct": -53.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.52,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.05,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.31,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": -1.31
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133233901,
|
|
"total_return_pct": 33.23,
|
|
"cagr_pct": 48.46,
|
|
"mdd_pct": 11.2,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.4,
|
|
"profit_factor": 2.78,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.44
|
|
}
|
|
},
|
|
"alpha_pct": -61.87
|
|
},
|
|
"test": {
|
|
"final_equity": 99293538,
|
|
"total_return_pct": -0.71,
|
|
"cagr_pct": -2.24,
|
|
"mdd_pct": 7.69,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 0.92,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.46
|
|
}
|
|
},
|
|
"alpha_pct": -53.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.16,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.65,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.31,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": -1.31
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 134745497,
|
|
"total_return_pct": 34.75,
|
|
"cagr_pct": 50.78,
|
|
"mdd_pct": 11.3,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 38.6,
|
|
"profit_factor": 2.81,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.92
|
|
}
|
|
},
|
|
"alpha_pct": -60.35
|
|
},
|
|
"test": {
|
|
"final_equity": 99293538,
|
|
"total_return_pct": -0.71,
|
|
"cagr_pct": -2.24,
|
|
"mdd_pct": 7.69,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 0.92,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.46
|
|
}
|
|
},
|
|
"alpha_pct": -53.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.52,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.05,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.31,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": -1.31
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133233901,
|
|
"total_return_pct": 33.23,
|
|
"cagr_pct": 48.46,
|
|
"mdd_pct": 11.2,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.4,
|
|
"profit_factor": 2.78,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.87
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.44
|
|
}
|
|
},
|
|
"alpha_pct": -61.87
|
|
},
|
|
"test": {
|
|
"final_equity": 99293538,
|
|
"total_return_pct": -0.71,
|
|
"cagr_pct": -2.24,
|
|
"mdd_pct": 7.69,
|
|
"trades": 21,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 33.3,
|
|
"profit_factor": 0.92,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.54
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.46
|
|
}
|
|
},
|
|
"alpha_pct": -53.54
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.16,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 4.65,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.31,
|
|
"trades": 25
|
|
}
|
|
],
|
|
"worst_ret": -1.31
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 137697099,
|
|
"total_return_pct": 37.7,
|
|
"cagr_pct": 55.35,
|
|
"mdd_pct": 10.82,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.5,
|
|
"profit_factor": 2.67,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.97
|
|
}
|
|
},
|
|
"alpha_pct": -57.4
|
|
},
|
|
"test": {
|
|
"final_equity": 102172556,
|
|
"total_return_pct": 2.17,
|
|
"cagr_pct": 7.1,
|
|
"mdd_pct": 10.22,
|
|
"trades": 27,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.6,
|
|
"profit_factor": 1.2,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.34
|
|
}
|
|
},
|
|
"alpha_pct": -50.66
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.7,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.87,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.38,
|
|
"trades": 42
|
|
}
|
|
],
|
|
"worst_ret": -1.38
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 137697099,
|
|
"total_return_pct": 37.7,
|
|
"cagr_pct": 55.35,
|
|
"mdd_pct": 10.82,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.5,
|
|
"profit_factor": 2.67,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.97
|
|
}
|
|
},
|
|
"alpha_pct": -57.4
|
|
},
|
|
"test": {
|
|
"final_equity": 102172556,
|
|
"total_return_pct": 2.17,
|
|
"cagr_pct": 7.1,
|
|
"mdd_pct": 10.22,
|
|
"trades": 27,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.6,
|
|
"profit_factor": 1.2,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.34
|
|
}
|
|
},
|
|
"alpha_pct": -50.66
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.7,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.87,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.38,
|
|
"trades": 42
|
|
}
|
|
],
|
|
"worst_ret": -1.38
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 121517522,
|
|
"total_return_pct": 21.52,
|
|
"cagr_pct": 30.78,
|
|
"mdd_pct": 10.87,
|
|
"trades": 62,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.7,
|
|
"profit_factor": 2.3,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -73.58
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -26.15
|
|
}
|
|
},
|
|
"alpha_pct": -73.58
|
|
},
|
|
"test": {
|
|
"final_equity": 99913805,
|
|
"total_return_pct": -0.09,
|
|
"cagr_pct": -0.27,
|
|
"mdd_pct": 8.32,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.08
|
|
}
|
|
},
|
|
"alpha_pct": -52.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 4.81,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.23,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.39,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -1.39
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 121517522,
|
|
"total_return_pct": 21.52,
|
|
"cagr_pct": 30.78,
|
|
"mdd_pct": 10.87,
|
|
"trades": 62,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.7,
|
|
"profit_factor": 2.3,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -73.58
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -26.15
|
|
}
|
|
},
|
|
"alpha_pct": -73.58
|
|
},
|
|
"test": {
|
|
"final_equity": 99913805,
|
|
"total_return_pct": -0.09,
|
|
"cagr_pct": -0.27,
|
|
"mdd_pct": 8.32,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.01,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -52.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 14.08
|
|
}
|
|
},
|
|
"alpha_pct": -52.92
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 4.81,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.23,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.39,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -1.39
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 137590626,
|
|
"total_return_pct": 37.59,
|
|
"cagr_pct": 55.18,
|
|
"mdd_pct": 11.25,
|
|
"trades": 42,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.5,
|
|
"profit_factor": 3.83,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.08
|
|
}
|
|
},
|
|
"alpha_pct": -57.51
|
|
},
|
|
"test": {
|
|
"final_equity": 103351481,
|
|
"total_return_pct": 3.35,
|
|
"cagr_pct": 11.09,
|
|
"mdd_pct": 4.1,
|
|
"trades": 13,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.52
|
|
}
|
|
},
|
|
"alpha_pct": -49.48
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.77,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": -1.41,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.25,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": -1.41
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 137590626,
|
|
"total_return_pct": 37.59,
|
|
"cagr_pct": 55.18,
|
|
"mdd_pct": 11.25,
|
|
"trades": 42,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.5,
|
|
"profit_factor": 3.83,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.08
|
|
}
|
|
},
|
|
"alpha_pct": -57.51
|
|
},
|
|
"test": {
|
|
"final_equity": 103351481,
|
|
"total_return_pct": 3.35,
|
|
"cagr_pct": 11.09,
|
|
"mdd_pct": 4.1,
|
|
"trades": 13,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.59,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.48
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.52
|
|
}
|
|
},
|
|
"alpha_pct": -49.48
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.77,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": -1.41,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 10.25,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": -1.41
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140170934,
|
|
"total_return_pct": 40.17,
|
|
"cagr_pct": 59.2,
|
|
"mdd_pct": 13.28,
|
|
"trades": 67,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.3,
|
|
"profit_factor": 3.04,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.5
|
|
}
|
|
},
|
|
"alpha_pct": -54.93
|
|
},
|
|
"test": {
|
|
"final_equity": 103500068,
|
|
"total_return_pct": 3.5,
|
|
"cagr_pct": 11.6,
|
|
"mdd_pct": 8.33,
|
|
"trades": 25,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 1.43,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.67
|
|
}
|
|
},
|
|
"alpha_pct": -49.33
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.77,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.0,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.43,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": -1.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140170934,
|
|
"total_return_pct": 40.17,
|
|
"cagr_pct": 59.2,
|
|
"mdd_pct": 13.28,
|
|
"trades": 67,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 37.3,
|
|
"profit_factor": 3.04,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.5
|
|
}
|
|
},
|
|
"alpha_pct": -54.93
|
|
},
|
|
"test": {
|
|
"final_equity": 103500068,
|
|
"total_return_pct": 3.5,
|
|
"cagr_pct": 11.6,
|
|
"mdd_pct": 8.33,
|
|
"trades": 25,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 32.0,
|
|
"profit_factor": 1.43,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.33
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.67
|
|
}
|
|
},
|
|
"alpha_pct": -49.33
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.77,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.0,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.43,
|
|
"trades": 35
|
|
}
|
|
],
|
|
"worst_ret": -1.43
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142313503,
|
|
"total_return_pct": 42.31,
|
|
"cagr_pct": 62.57,
|
|
"mdd_pct": 13.63,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.4,
|
|
"profit_factor": 3.15,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.36
|
|
}
|
|
},
|
|
"alpha_pct": -52.79
|
|
},
|
|
"test": {
|
|
"final_equity": 103990556,
|
|
"total_return_pct": 3.99,
|
|
"cagr_pct": 13.29,
|
|
"mdd_pct": 10.11,
|
|
"trades": 28,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.29,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.16
|
|
}
|
|
},
|
|
"alpha_pct": -48.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.52,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.89,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.63,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": -1.63
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 142313503,
|
|
"total_return_pct": 42.31,
|
|
"cagr_pct": 62.57,
|
|
"mdd_pct": 13.63,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.4,
|
|
"profit_factor": 3.15,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.79
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.36
|
|
}
|
|
},
|
|
"alpha_pct": -52.79
|
|
},
|
|
"test": {
|
|
"final_equity": 103990556,
|
|
"total_return_pct": 3.99,
|
|
"cagr_pct": 13.29,
|
|
"mdd_pct": 10.11,
|
|
"trades": 28,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.29,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.16
|
|
}
|
|
},
|
|
"alpha_pct": -48.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.52,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.89,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.63,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": -1.63
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131936926,
|
|
"total_return_pct": 31.94,
|
|
"cagr_pct": 46.47,
|
|
"mdd_pct": 11.26,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.4,
|
|
"profit_factor": 2.49,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.73
|
|
}
|
|
},
|
|
"alpha_pct": -63.16
|
|
},
|
|
"test": {
|
|
"final_equity": 99618261,
|
|
"total_return_pct": -0.38,
|
|
"cagr_pct": -1.21,
|
|
"mdd_pct": 9.62,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 0.99,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.79
|
|
}
|
|
},
|
|
"alpha_pct": -53.21
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.12,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.88,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.79,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": -1.79
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 131936926,
|
|
"total_return_pct": 31.94,
|
|
"cagr_pct": 46.47,
|
|
"mdd_pct": 11.26,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.4,
|
|
"profit_factor": 2.49,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.16
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.73
|
|
}
|
|
},
|
|
"alpha_pct": -63.16
|
|
},
|
|
"test": {
|
|
"final_equity": 99618261,
|
|
"total_return_pct": -0.38,
|
|
"cagr_pct": -1.21,
|
|
"mdd_pct": 9.62,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 0.99,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -53.21
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 13.79
|
|
}
|
|
},
|
|
"alpha_pct": -53.21
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.12,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.88,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.79,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": -1.79
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137710483,
|
|
"total_return_pct": 37.71,
|
|
"cagr_pct": 55.37,
|
|
"mdd_pct": 11.62,
|
|
"trades": 42,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.5,
|
|
"profit_factor": 3.6,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.96
|
|
}
|
|
},
|
|
"alpha_pct": -57.39
|
|
},
|
|
"test": {
|
|
"final_equity": 103895864,
|
|
"total_return_pct": 3.9,
|
|
"cagr_pct": 12.97,
|
|
"mdd_pct": 4.87,
|
|
"trades": 13,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.07
|
|
}
|
|
},
|
|
"alpha_pct": -48.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.67,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": -1.82,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 18.7,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": -1.82
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137710483,
|
|
"total_return_pct": 37.71,
|
|
"cagr_pct": 55.37,
|
|
"mdd_pct": 11.62,
|
|
"trades": 42,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.5,
|
|
"profit_factor": 3.6,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.39
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.96
|
|
}
|
|
},
|
|
"alpha_pct": -57.39
|
|
},
|
|
"test": {
|
|
"final_equity": 103895864,
|
|
"total_return_pct": 3.9,
|
|
"cagr_pct": 12.97,
|
|
"mdd_pct": 4.87,
|
|
"trades": 13,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.07
|
|
}
|
|
},
|
|
"alpha_pct": -48.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.67,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": -1.82,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 18.7,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": -1.82
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141649807,
|
|
"total_return_pct": 41.65,
|
|
"cagr_pct": 61.52,
|
|
"mdd_pct": 13.63,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.4,
|
|
"profit_factor": 3.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.02
|
|
}
|
|
},
|
|
"alpha_pct": -53.45
|
|
},
|
|
"test": {
|
|
"final_equity": 102367925,
|
|
"total_return_pct": 2.37,
|
|
"cagr_pct": 7.75,
|
|
"mdd_pct": 10.62,
|
|
"trades": 28,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 1.12,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.54
|
|
}
|
|
},
|
|
"alpha_pct": -50.46
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.36,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.27,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.91,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": -1.91
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141649807,
|
|
"total_return_pct": 41.65,
|
|
"cagr_pct": 61.52,
|
|
"mdd_pct": 13.63,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.4,
|
|
"profit_factor": 3.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.02
|
|
}
|
|
},
|
|
"alpha_pct": -53.45
|
|
},
|
|
"test": {
|
|
"final_equity": 102367925,
|
|
"total_return_pct": 2.37,
|
|
"cagr_pct": 7.75,
|
|
"mdd_pct": 10.62,
|
|
"trades": 28,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 1.12,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.46
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.54
|
|
}
|
|
},
|
|
"alpha_pct": -50.46
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.36,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.27,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.91,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": -1.91
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 121275970,
|
|
"total_return_pct": 21.28,
|
|
"cagr_pct": 30.43,
|
|
"mdd_pct": 10.89,
|
|
"trades": 46,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 32.6,
|
|
"profit_factor": 2.29,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -73.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -26.39
|
|
}
|
|
},
|
|
"alpha_pct": -73.82
|
|
},
|
|
"test": {
|
|
"final_equity": 101515620,
|
|
"total_return_pct": 1.52,
|
|
"cagr_pct": 4.92,
|
|
"mdd_pct": 4.37,
|
|
"trades": 13,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.19,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.69
|
|
}
|
|
},
|
|
"alpha_pct": -51.31
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 4.77,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": -1.93,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.51,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": -1.93
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 121275970,
|
|
"total_return_pct": 21.28,
|
|
"cagr_pct": 30.43,
|
|
"mdd_pct": 10.89,
|
|
"trades": 46,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 32.6,
|
|
"profit_factor": 2.29,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -73.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -26.39
|
|
}
|
|
},
|
|
"alpha_pct": -73.82
|
|
},
|
|
"test": {
|
|
"final_equity": 101515620,
|
|
"total_return_pct": 1.52,
|
|
"cagr_pct": 4.92,
|
|
"mdd_pct": 4.37,
|
|
"trades": 13,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.19,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.31
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.69
|
|
}
|
|
},
|
|
"alpha_pct": -51.31
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 4.77,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": -1.93,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 6.51,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": -1.93
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140573136,
|
|
"total_return_pct": 40.57,
|
|
"cagr_pct": 59.83,
|
|
"mdd_pct": 13.24,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.1
|
|
}
|
|
},
|
|
"alpha_pct": -54.53
|
|
},
|
|
"test": {
|
|
"final_equity": 98080079,
|
|
"total_return_pct": -1.92,
|
|
"cagr_pct": -6.0,
|
|
"mdd_pct": 9.63,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 0.72,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.25
|
|
}
|
|
},
|
|
"alpha_pct": -54.75
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.43,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.86,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.99,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": -1.99
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 140573136,
|
|
"total_return_pct": 40.57,
|
|
"cagr_pct": 59.83,
|
|
"mdd_pct": 13.24,
|
|
"trades": 56,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 42.9,
|
|
"profit_factor": 3.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -54.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -7.1
|
|
}
|
|
},
|
|
"alpha_pct": -54.53
|
|
},
|
|
"test": {
|
|
"final_equity": 98080079,
|
|
"total_return_pct": -1.92,
|
|
"cagr_pct": -6.0,
|
|
"mdd_pct": 9.63,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 0.72,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.25
|
|
}
|
|
},
|
|
"alpha_pct": -54.75
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.43,
|
|
"trades": 20
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 13.86,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -1.99,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": -1.99
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141497947,
|
|
"total_return_pct": 41.5,
|
|
"cagr_pct": 61.28,
|
|
"mdd_pct": 11.22,
|
|
"trades": 65,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.5,
|
|
"profit_factor": 2.93,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.17
|
|
}
|
|
},
|
|
"alpha_pct": -53.6
|
|
},
|
|
"test": {
|
|
"final_equity": 95566093,
|
|
"total_return_pct": -4.43,
|
|
"cagr_pct": -13.47,
|
|
"mdd_pct": 9.77,
|
|
"trades": 24,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 20.8,
|
|
"profit_factor": 0.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.74
|
|
}
|
|
},
|
|
"alpha_pct": -57.26
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.38,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.36,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -2.04,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": -2.04
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138343163,
|
|
"total_return_pct": 38.34,
|
|
"cagr_pct": 56.35,
|
|
"mdd_pct": 11.24,
|
|
"trades": 65,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.72,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.33
|
|
}
|
|
},
|
|
"alpha_pct": -56.76
|
|
},
|
|
"test": {
|
|
"final_equity": 95566093,
|
|
"total_return_pct": -4.43,
|
|
"cagr_pct": -13.47,
|
|
"mdd_pct": 9.77,
|
|
"trades": 24,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 20.8,
|
|
"profit_factor": 0.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.74
|
|
}
|
|
},
|
|
"alpha_pct": -57.26
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.51,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.48,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -2.04,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": -2.04
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141497947,
|
|
"total_return_pct": 41.5,
|
|
"cagr_pct": 61.28,
|
|
"mdd_pct": 11.22,
|
|
"trades": 65,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.5,
|
|
"profit_factor": 2.93,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -6.17
|
|
}
|
|
},
|
|
"alpha_pct": -53.6
|
|
},
|
|
"test": {
|
|
"final_equity": 95566093,
|
|
"total_return_pct": -4.43,
|
|
"cagr_pct": -13.47,
|
|
"mdd_pct": 9.77,
|
|
"trades": 24,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 20.8,
|
|
"profit_factor": 0.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.74
|
|
}
|
|
},
|
|
"alpha_pct": -57.26
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.38,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.36,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -2.04,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": -2.04
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138343163,
|
|
"total_return_pct": 38.34,
|
|
"cagr_pct": 56.35,
|
|
"mdd_pct": 11.24,
|
|
"trades": 65,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 38.5,
|
|
"profit_factor": 2.72,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.76
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.33
|
|
}
|
|
},
|
|
"alpha_pct": -56.76
|
|
},
|
|
"test": {
|
|
"final_equity": 95566093,
|
|
"total_return_pct": -4.43,
|
|
"cagr_pct": -13.47,
|
|
"mdd_pct": 9.77,
|
|
"trades": 24,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 20.8,
|
|
"profit_factor": 0.68,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.74
|
|
}
|
|
},
|
|
"alpha_pct": -57.26
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.51,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.48,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -2.04,
|
|
"trades": 31
|
|
}
|
|
],
|
|
"worst_ret": -2.04
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137685827,
|
|
"total_return_pct": 37.69,
|
|
"cagr_pct": 55.33,
|
|
"mdd_pct": 10.85,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.5,
|
|
"profit_factor": 2.56,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.98
|
|
}
|
|
},
|
|
"alpha_pct": -57.41
|
|
},
|
|
"test": {
|
|
"final_equity": 103084469,
|
|
"total_return_pct": 3.08,
|
|
"cagr_pct": 10.18,
|
|
"mdd_pct": 13.82,
|
|
"trades": 27,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.6,
|
|
"profit_factor": 1.3,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.25
|
|
}
|
|
},
|
|
"alpha_pct": -49.75
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.5,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.48,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -2.05,
|
|
"trades": 42
|
|
}
|
|
],
|
|
"worst_ret": -2.05
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137685827,
|
|
"total_return_pct": 37.69,
|
|
"cagr_pct": 55.33,
|
|
"mdd_pct": 10.85,
|
|
"trades": 76,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 35.5,
|
|
"profit_factor": 2.56,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.41
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.98
|
|
}
|
|
},
|
|
"alpha_pct": -57.41
|
|
},
|
|
"test": {
|
|
"final_equity": 103084469,
|
|
"total_return_pct": 3.08,
|
|
"cagr_pct": 10.18,
|
|
"mdd_pct": 13.82,
|
|
"trades": 27,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 29.6,
|
|
"profit_factor": 1.3,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.25
|
|
}
|
|
},
|
|
"alpha_pct": -49.75
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.5,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.48,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -2.05,
|
|
"trades": 42
|
|
}
|
|
],
|
|
"worst_ret": -2.05
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 142573561,
|
|
"total_return_pct": 42.57,
|
|
"cagr_pct": 62.97,
|
|
"mdd_pct": 13.56,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.4,
|
|
"profit_factor": 3.04,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.1
|
|
}
|
|
},
|
|
"alpha_pct": -52.53
|
|
},
|
|
"test": {
|
|
"final_equity": 106916186,
|
|
"total_return_pct": 6.92,
|
|
"cagr_pct": 23.78,
|
|
"mdd_pct": 12.41,
|
|
"trades": 28,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.51,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -45.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 21.09
|
|
}
|
|
},
|
|
"alpha_pct": -45.91
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.45,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.52,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -2.7,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": -2.7
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 142573561,
|
|
"total_return_pct": 42.57,
|
|
"cagr_pct": 62.97,
|
|
"mdd_pct": 13.56,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.4,
|
|
"profit_factor": 3.04,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.53
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.1
|
|
}
|
|
},
|
|
"alpha_pct": -52.53
|
|
},
|
|
"test": {
|
|
"final_equity": 106916186,
|
|
"total_return_pct": 6.92,
|
|
"cagr_pct": 23.78,
|
|
"mdd_pct": 12.41,
|
|
"trades": 28,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.51,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -45.91
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 21.09
|
|
}
|
|
},
|
|
"alpha_pct": -45.91
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 14.45,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 15.52,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -2.7,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": -2.7
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 156847148,
|
|
"total_return_pct": 56.85,
|
|
"cagr_pct": 85.86,
|
|
"mdd_pct": 13.84,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 3.63,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.18
|
|
}
|
|
},
|
|
"alpha_pct": -38.25
|
|
},
|
|
"test": {
|
|
"final_equity": 104173186,
|
|
"total_return_pct": 4.17,
|
|
"cagr_pct": 13.93,
|
|
"mdd_pct": 13.05,
|
|
"trades": 28,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.33,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.34
|
|
}
|
|
},
|
|
"alpha_pct": -48.66
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 19.09,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.79,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -3.04,
|
|
"trades": 42
|
|
}
|
|
],
|
|
"worst_ret": -3.04
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 156847148,
|
|
"total_return_pct": 56.85,
|
|
"cagr_pct": 85.86,
|
|
"mdd_pct": 13.84,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 3.63,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.25
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.18
|
|
}
|
|
},
|
|
"alpha_pct": -38.25
|
|
},
|
|
"test": {
|
|
"final_equity": 104173186,
|
|
"total_return_pct": 4.17,
|
|
"cagr_pct": 13.93,
|
|
"mdd_pct": 13.05,
|
|
"trades": 28,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.33,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -48.66
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 18.34
|
|
}
|
|
},
|
|
"alpha_pct": -48.66
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 19.09,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.79,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -3.04,
|
|
"trades": 42
|
|
}
|
|
],
|
|
"worst_ret": -3.04
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141704211,
|
|
"total_return_pct": 41.7,
|
|
"cagr_pct": 61.61,
|
|
"mdd_pct": 13.56,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.4,
|
|
"profit_factor": 2.9,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.97
|
|
}
|
|
},
|
|
"alpha_pct": -53.4
|
|
},
|
|
"test": {
|
|
"final_equity": 105641923,
|
|
"total_return_pct": 5.64,
|
|
"cagr_pct": 19.13,
|
|
"mdd_pct": 13.84,
|
|
"trades": 28,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 1.28,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.81
|
|
}
|
|
},
|
|
"alpha_pct": -47.19
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.05,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.91,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -3.09,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": -3.09
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 141704211,
|
|
"total_return_pct": 41.7,
|
|
"cagr_pct": 61.61,
|
|
"mdd_pct": 13.56,
|
|
"trades": 64,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 34.4,
|
|
"profit_factor": 2.9,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.97
|
|
}
|
|
},
|
|
"alpha_pct": -53.4
|
|
},
|
|
"test": {
|
|
"final_equity": 105641923,
|
|
"total_return_pct": 5.64,
|
|
"cagr_pct": 19.13,
|
|
"mdd_pct": 13.84,
|
|
"trades": 28,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.0,
|
|
"profit_factor": 1.28,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.19
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.81
|
|
}
|
|
},
|
|
"alpha_pct": -47.19
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 15.05,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 14.91,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -3.09,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": -3.09
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 129142884,
|
|
"total_return_pct": 29.14,
|
|
"cagr_pct": 42.22,
|
|
"mdd_pct": 11.08,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.4,
|
|
"profit_factor": 2.61,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.96
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.53
|
|
}
|
|
},
|
|
"alpha_pct": -65.96
|
|
},
|
|
"test": {
|
|
"final_equity": 97885200,
|
|
"total_return_pct": -2.11,
|
|
"cagr_pct": -6.59,
|
|
"mdd_pct": 7.6,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 0.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.06
|
|
}
|
|
},
|
|
"alpha_pct": -54.94
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.59,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.48,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -3.26,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": -3.26
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 129142884,
|
|
"total_return_pct": 29.14,
|
|
"cagr_pct": 42.22,
|
|
"mdd_pct": 11.08,
|
|
"trades": 57,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 40.4,
|
|
"profit_factor": 2.61,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.96
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.53
|
|
}
|
|
},
|
|
"alpha_pct": -65.96
|
|
},
|
|
"test": {
|
|
"final_equity": 97885200,
|
|
"total_return_pct": -2.11,
|
|
"cagr_pct": -6.59,
|
|
"mdd_pct": 7.6,
|
|
"trades": 20,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 35.0,
|
|
"profit_factor": 0.73,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -54.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 12.06
|
|
}
|
|
},
|
|
"alpha_pct": -54.94
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.59,
|
|
"trades": 21
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 8.48,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -3.26,
|
|
"trades": 24
|
|
}
|
|
],
|
|
"worst_ret": -3.26
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133036073,
|
|
"total_return_pct": 33.04,
|
|
"cagr_pct": 48.15,
|
|
"mdd_pct": 11.0,
|
|
"trades": 64,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 43.8,
|
|
"profit_factor": 3.13,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.63
|
|
}
|
|
},
|
|
"alpha_pct": -62.06
|
|
},
|
|
"test": {
|
|
"final_equity": 97568143,
|
|
"total_return_pct": -2.43,
|
|
"cagr_pct": -7.55,
|
|
"mdd_pct": 8.4,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.74
|
|
}
|
|
},
|
|
"alpha_pct": -55.26
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.92,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.98,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -3.45,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -3.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 129325493,
|
|
"total_return_pct": 29.33,
|
|
"cagr_pct": 42.49,
|
|
"mdd_pct": 10.99,
|
|
"trades": 63,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.3,
|
|
"profit_factor": 2.9,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.34
|
|
}
|
|
},
|
|
"alpha_pct": -65.77
|
|
},
|
|
"test": {
|
|
"final_equity": 97568143,
|
|
"total_return_pct": -2.43,
|
|
"cagr_pct": -7.55,
|
|
"mdd_pct": 8.4,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.74
|
|
}
|
|
},
|
|
"alpha_pct": -55.26
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.44,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.73,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -3.45,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -3.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133036073,
|
|
"total_return_pct": 33.04,
|
|
"cagr_pct": 48.15,
|
|
"mdd_pct": 11.0,
|
|
"trades": 64,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 43.8,
|
|
"profit_factor": 3.13,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.63
|
|
}
|
|
},
|
|
"alpha_pct": -62.06
|
|
},
|
|
"test": {
|
|
"final_equity": 97568143,
|
|
"total_return_pct": -2.43,
|
|
"cagr_pct": -7.55,
|
|
"mdd_pct": 8.4,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.74
|
|
}
|
|
},
|
|
"alpha_pct": -55.26
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.92,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.98,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -3.45,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -3.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 129325493,
|
|
"total_return_pct": 29.33,
|
|
"cagr_pct": 42.49,
|
|
"mdd_pct": 10.99,
|
|
"trades": 63,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.3,
|
|
"profit_factor": 2.9,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.77
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -18.34
|
|
}
|
|
},
|
|
"alpha_pct": -65.77
|
|
},
|
|
"test": {
|
|
"final_equity": 97568143,
|
|
"total_return_pct": -2.43,
|
|
"cagr_pct": -7.55,
|
|
"mdd_pct": 8.4,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.8,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.26
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.74
|
|
}
|
|
},
|
|
"alpha_pct": -55.26
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.44,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.73,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -3.45,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -3.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136699036,
|
|
"total_return_pct": 36.7,
|
|
"cagr_pct": 53.8,
|
|
"mdd_pct": 11.02,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.4,
|
|
"profit_factor": 3.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.97
|
|
}
|
|
},
|
|
"alpha_pct": -58.4
|
|
},
|
|
"test": {
|
|
"final_equity": 103550802,
|
|
"total_return_pct": 3.55,
|
|
"cagr_pct": 11.77,
|
|
"mdd_pct": 9.76,
|
|
"trades": 28,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.28,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.28
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.72
|
|
}
|
|
},
|
|
"alpha_pct": -49.28
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.11,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.22,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -3.53,
|
|
"trades": 39
|
|
}
|
|
],
|
|
"worst_ret": -3.53
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136699036,
|
|
"total_return_pct": 36.7,
|
|
"cagr_pct": 53.8,
|
|
"mdd_pct": 11.02,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.4,
|
|
"profit_factor": 3.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.97
|
|
}
|
|
},
|
|
"alpha_pct": -58.4
|
|
},
|
|
"test": {
|
|
"final_equity": 103550802,
|
|
"total_return_pct": 3.55,
|
|
"cagr_pct": 11.77,
|
|
"mdd_pct": 9.76,
|
|
"trades": 28,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.28,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.28
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.72
|
|
}
|
|
},
|
|
"alpha_pct": -49.28
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.11,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 11.22,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -3.53,
|
|
"trades": 39
|
|
}
|
|
],
|
|
"worst_ret": -3.53
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 122701178,
|
|
"total_return_pct": 22.7,
|
|
"cagr_pct": 32.54,
|
|
"mdd_pct": 11.62,
|
|
"trades": 46,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 32.6,
|
|
"profit_factor": 2.06,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -72.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -24.97
|
|
}
|
|
},
|
|
"alpha_pct": -72.4
|
|
},
|
|
"test": {
|
|
"final_equity": 103703981,
|
|
"total_return_pct": 3.7,
|
|
"cagr_pct": 12.3,
|
|
"mdd_pct": 5.64,
|
|
"trades": 13,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.62,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.87
|
|
}
|
|
},
|
|
"alpha_pct": -49.13
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.72,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": -3.58,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 14.33,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": -3.58
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 122701178,
|
|
"total_return_pct": 22.7,
|
|
"cagr_pct": 32.54,
|
|
"mdd_pct": 11.62,
|
|
"trades": 46,
|
|
"open_positions": 4,
|
|
"win_rate_pct": 32.6,
|
|
"profit_factor": 2.06,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -72.4
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -24.97
|
|
}
|
|
},
|
|
"alpha_pct": -72.4
|
|
},
|
|
"test": {
|
|
"final_equity": 103703981,
|
|
"total_return_pct": 3.7,
|
|
"cagr_pct": 12.3,
|
|
"mdd_pct": 5.64,
|
|
"trades": 13,
|
|
"open_positions": 3,
|
|
"win_rate_pct": 30.8,
|
|
"profit_factor": 1.62,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.13
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.87
|
|
}
|
|
},
|
|
"alpha_pct": -49.13
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 5.72,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": -3.58,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 14.33,
|
|
"trades": 17
|
|
}
|
|
],
|
|
"worst_ret": -3.58
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 156775460,
|
|
"total_return_pct": 56.78,
|
|
"cagr_pct": 85.74,
|
|
"mdd_pct": 13.92,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 3.81,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.11
|
|
}
|
|
},
|
|
"alpha_pct": -38.32
|
|
},
|
|
"test": {
|
|
"final_equity": 102342069,
|
|
"total_return_pct": 2.34,
|
|
"cagr_pct": 7.66,
|
|
"mdd_pct": 9.66,
|
|
"trades": 28,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.19,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.51
|
|
}
|
|
},
|
|
"alpha_pct": -50.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 19.24,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.17,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -3.69,
|
|
"trades": 42
|
|
}
|
|
],
|
|
"worst_ret": -3.69
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 156775460,
|
|
"total_return_pct": 56.78,
|
|
"cagr_pct": 85.74,
|
|
"mdd_pct": 13.92,
|
|
"trades": 69,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 3.81,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -38.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 9.11
|
|
}
|
|
},
|
|
"alpha_pct": -38.32
|
|
},
|
|
"test": {
|
|
"final_equity": 102342069,
|
|
"total_return_pct": 2.34,
|
|
"cagr_pct": 7.66,
|
|
"mdd_pct": 9.66,
|
|
"trades": 28,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.19,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.49
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.51
|
|
}
|
|
},
|
|
"alpha_pct": -50.49
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 19.24,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 21.17,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -3.69,
|
|
"trades": 42
|
|
}
|
|
],
|
|
"worst_ret": -3.69
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 133209144,
|
|
"total_return_pct": 33.21,
|
|
"cagr_pct": 48.42,
|
|
"mdd_pct": 14.16,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 27.3,
|
|
"profit_factor": 2.13,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.89
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.46
|
|
}
|
|
},
|
|
"alpha_pct": -61.89
|
|
},
|
|
"test": {
|
|
"final_equity": 97803936,
|
|
"total_return_pct": -2.2,
|
|
"cagr_pct": -6.84,
|
|
"mdd_pct": 14.9,
|
|
"trades": 19,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 21.1,
|
|
"profit_factor": 1.02,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.03
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.97
|
|
}
|
|
},
|
|
"alpha_pct": -55.03
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.85,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.57,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -3.72,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": -3.72
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 133209144,
|
|
"total_return_pct": 33.21,
|
|
"cagr_pct": 48.42,
|
|
"mdd_pct": 14.16,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 27.3,
|
|
"profit_factor": 2.13,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.89
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.46
|
|
}
|
|
},
|
|
"alpha_pct": -61.89
|
|
},
|
|
"test": {
|
|
"final_equity": 97803936,
|
|
"total_return_pct": -2.2,
|
|
"cagr_pct": -6.84,
|
|
"mdd_pct": 14.9,
|
|
"trades": 19,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 21.1,
|
|
"profit_factor": 1.02,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.03
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.97
|
|
}
|
|
},
|
|
"alpha_pct": -55.03
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.85,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.57,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -3.72,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": -3.72
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 131400046,
|
|
"total_return_pct": 31.4,
|
|
"cagr_pct": 45.65,
|
|
"mdd_pct": 11.09,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.3,
|
|
"profit_factor": 2.97,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.7
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.27
|
|
}
|
|
},
|
|
"alpha_pct": -63.7
|
|
},
|
|
"test": {
|
|
"final_equity": 96894130,
|
|
"total_return_pct": -3.11,
|
|
"cagr_pct": -9.57,
|
|
"mdd_pct": 8.8,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.75,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.06
|
|
}
|
|
},
|
|
"alpha_pct": -55.94
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.92,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.62,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -4.41,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -4.41
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 126179511,
|
|
"total_return_pct": 26.18,
|
|
"cagr_pct": 37.74,
|
|
"mdd_pct": 11.08,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.7,
|
|
"profit_factor": 2.51,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -68.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -21.49
|
|
}
|
|
},
|
|
"alpha_pct": -68.92
|
|
},
|
|
"test": {
|
|
"final_equity": 96894130,
|
|
"total_return_pct": -3.11,
|
|
"cagr_pct": -9.57,
|
|
"mdd_pct": 8.8,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.75,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.06
|
|
}
|
|
},
|
|
"alpha_pct": -55.94
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.44,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.4,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -4.41,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -4.41
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 131400046,
|
|
"total_return_pct": 31.4,
|
|
"cagr_pct": 45.65,
|
|
"mdd_pct": 11.09,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.3,
|
|
"profit_factor": 2.97,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.7
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -16.27
|
|
}
|
|
},
|
|
"alpha_pct": -63.7
|
|
},
|
|
"test": {
|
|
"final_equity": 96894130,
|
|
"total_return_pct": -3.11,
|
|
"cagr_pct": -9.57,
|
|
"mdd_pct": 8.8,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.75,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.06
|
|
}
|
|
},
|
|
"alpha_pct": -55.94
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.92,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.62,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -4.41,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -4.41
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 126179511,
|
|
"total_return_pct": 26.18,
|
|
"cagr_pct": 37.74,
|
|
"mdd_pct": 11.08,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.7,
|
|
"profit_factor": 2.51,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -68.92
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -21.49
|
|
}
|
|
},
|
|
"alpha_pct": -68.92
|
|
},
|
|
"test": {
|
|
"final_equity": 96894130,
|
|
"total_return_pct": -3.11,
|
|
"cagr_pct": -9.57,
|
|
"mdd_pct": 8.8,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.75,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.06
|
|
}
|
|
},
|
|
"alpha_pct": -55.94
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.44,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.4,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -4.41,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -4.41
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136129644,
|
|
"total_return_pct": 36.13,
|
|
"cagr_pct": 52.92,
|
|
"mdd_pct": 11.01,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.4,
|
|
"profit_factor": 2.9,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.54
|
|
}
|
|
},
|
|
"alpha_pct": -58.97
|
|
},
|
|
"test": {
|
|
"final_equity": 101022251,
|
|
"total_return_pct": 1.02,
|
|
"cagr_pct": 3.3,
|
|
"mdd_pct": 9.35,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.9,
|
|
"profit_factor": 1.18,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.19
|
|
}
|
|
},
|
|
"alpha_pct": -51.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.95,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.58,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -4.51,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": -4.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 136129644,
|
|
"total_return_pct": 36.13,
|
|
"cagr_pct": 52.92,
|
|
"mdd_pct": 11.01,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.4,
|
|
"profit_factor": 2.9,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.97
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.54
|
|
}
|
|
},
|
|
"alpha_pct": -58.97
|
|
},
|
|
"test": {
|
|
"final_equity": 101022251,
|
|
"total_return_pct": 1.02,
|
|
"cagr_pct": 3.3,
|
|
"mdd_pct": 9.35,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.9,
|
|
"profit_factor": 1.18,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -51.81
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 15.19
|
|
}
|
|
},
|
|
"alpha_pct": -51.81
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.95,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.58,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -4.51,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": -4.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 135014217,
|
|
"total_return_pct": 35.01,
|
|
"cagr_pct": 51.2,
|
|
"mdd_pct": 14.24,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 27.3,
|
|
"profit_factor": 2.33,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.09
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.66
|
|
}
|
|
},
|
|
"alpha_pct": -60.09
|
|
},
|
|
"test": {
|
|
"final_equity": 96992523,
|
|
"total_return_pct": -3.01,
|
|
"cagr_pct": -9.28,
|
|
"mdd_pct": 12.23,
|
|
"trades": 19,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 21.1,
|
|
"profit_factor": 0.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.16
|
|
}
|
|
},
|
|
"alpha_pct": -55.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.85,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.98,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -4.68,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": -4.68
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 135014217,
|
|
"total_return_pct": 35.01,
|
|
"cagr_pct": 51.2,
|
|
"mdd_pct": 14.24,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 27.3,
|
|
"profit_factor": 2.33,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.09
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -12.66
|
|
}
|
|
},
|
|
"alpha_pct": -60.09
|
|
},
|
|
"test": {
|
|
"final_equity": 96992523,
|
|
"total_return_pct": -3.01,
|
|
"cagr_pct": -9.28,
|
|
"mdd_pct": 12.23,
|
|
"trades": 19,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 21.1,
|
|
"profit_factor": 0.89,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -55.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 11.16
|
|
}
|
|
},
|
|
"alpha_pct": -55.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.85,
|
|
"trades": 18
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.98,
|
|
"trades": 17
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -4.68,
|
|
"trades": 23
|
|
}
|
|
],
|
|
"worst_ret": -4.68
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 149451674,
|
|
"total_return_pct": 49.45,
|
|
"cagr_pct": 73.9,
|
|
"mdd_pct": 10.82,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 3.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.78
|
|
}
|
|
},
|
|
"alpha_pct": -45.65
|
|
},
|
|
"test": {
|
|
"final_equity": 101898092,
|
|
"total_return_pct": 1.9,
|
|
"cagr_pct": 6.18,
|
|
"mdd_pct": 9.33,
|
|
"trades": 28,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.16,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.07
|
|
}
|
|
},
|
|
"alpha_pct": -50.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.61,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.43,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -4.98,
|
|
"trades": 43
|
|
}
|
|
],
|
|
"worst_ret": -4.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 149451674,
|
|
"total_return_pct": 49.45,
|
|
"cagr_pct": 73.9,
|
|
"mdd_pct": 10.82,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 3.54,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.78
|
|
}
|
|
},
|
|
"alpha_pct": -45.65
|
|
},
|
|
"test": {
|
|
"final_equity": 101898092,
|
|
"total_return_pct": 1.9,
|
|
"cagr_pct": 6.18,
|
|
"mdd_pct": 9.33,
|
|
"trades": 28,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.16,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.93
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.07
|
|
}
|
|
},
|
|
"alpha_pct": -50.93
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.61,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.43,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -4.98,
|
|
"trades": 43
|
|
}
|
|
],
|
|
"worst_ret": -4.98
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 134039214,
|
|
"total_return_pct": 34.04,
|
|
"cagr_pct": 49.69,
|
|
"mdd_pct": 11.03,
|
|
"trades": 64,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 43.8,
|
|
"profit_factor": 3.07,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.63
|
|
}
|
|
},
|
|
"alpha_pct": -61.06
|
|
},
|
|
"test": {
|
|
"final_equity": 95136340,
|
|
"total_return_pct": -4.86,
|
|
"cagr_pct": -14.7,
|
|
"mdd_pct": 10.98,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.75,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.31
|
|
}
|
|
},
|
|
"alpha_pct": -57.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.98,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.21,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -5.08,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -5.08
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 130079322,
|
|
"total_return_pct": 30.08,
|
|
"cagr_pct": 43.64,
|
|
"mdd_pct": 11.02,
|
|
"trades": 63,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.3,
|
|
"profit_factor": 2.83,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.59
|
|
}
|
|
},
|
|
"alpha_pct": -65.02
|
|
},
|
|
"test": {
|
|
"final_equity": 95136340,
|
|
"total_return_pct": -4.86,
|
|
"cagr_pct": -14.7,
|
|
"mdd_pct": 10.98,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.75,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.31
|
|
}
|
|
},
|
|
"alpha_pct": -57.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.48,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.95,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -5.08,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -5.08
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 134039214,
|
|
"total_return_pct": 34.04,
|
|
"cagr_pct": 49.69,
|
|
"mdd_pct": 11.03,
|
|
"trades": 64,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 43.8,
|
|
"profit_factor": 3.07,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.06
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.63
|
|
}
|
|
},
|
|
"alpha_pct": -61.06
|
|
},
|
|
"test": {
|
|
"final_equity": 95136340,
|
|
"total_return_pct": -4.86,
|
|
"cagr_pct": -14.7,
|
|
"mdd_pct": 10.98,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.75,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.31
|
|
}
|
|
},
|
|
"alpha_pct": -57.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.98,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 7.21,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -5.08,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -5.08
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 130079322,
|
|
"total_return_pct": 30.08,
|
|
"cagr_pct": 43.64,
|
|
"mdd_pct": 11.02,
|
|
"trades": 63,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.3,
|
|
"profit_factor": 2.83,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -65.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.59
|
|
}
|
|
},
|
|
"alpha_pct": -65.02
|
|
},
|
|
"test": {
|
|
"final_equity": 95136340,
|
|
"total_return_pct": -4.86,
|
|
"cagr_pct": -14.7,
|
|
"mdd_pct": 10.98,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.75,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.69
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.31
|
|
}
|
|
},
|
|
"alpha_pct": -57.69
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.48,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.95,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -5.08,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -5.08
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137117412,
|
|
"total_return_pct": 37.12,
|
|
"cagr_pct": 54.45,
|
|
"mdd_pct": 11.07,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.4,
|
|
"profit_factor": 2.92,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.55
|
|
}
|
|
},
|
|
"alpha_pct": -57.98
|
|
},
|
|
"test": {
|
|
"final_equity": 105707341,
|
|
"total_return_pct": 5.71,
|
|
"cagr_pct": 19.37,
|
|
"mdd_pct": 12.13,
|
|
"trades": 28,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.46,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.88
|
|
}
|
|
},
|
|
"alpha_pct": -47.12
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.04,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.87,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -5.45,
|
|
"trades": 39
|
|
}
|
|
],
|
|
"worst_ret": -5.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 137117412,
|
|
"total_return_pct": 37.12,
|
|
"cagr_pct": 54.45,
|
|
"mdd_pct": 11.07,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.4,
|
|
"profit_factor": 2.92,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -57.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -10.55
|
|
}
|
|
},
|
|
"alpha_pct": -57.98
|
|
},
|
|
"test": {
|
|
"final_equity": 105707341,
|
|
"total_return_pct": 5.71,
|
|
"cagr_pct": 19.37,
|
|
"mdd_pct": 12.13,
|
|
"trades": 28,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.46,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -47.12
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 19.88
|
|
}
|
|
},
|
|
"alpha_pct": -47.12
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.04,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.87,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -5.45,
|
|
"trades": 39
|
|
}
|
|
],
|
|
"worst_ret": -5.45
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149577881,
|
|
"total_return_pct": 49.58,
|
|
"cagr_pct": 74.1,
|
|
"mdd_pct": 10.85,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 3.38,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.91
|
|
}
|
|
},
|
|
"alpha_pct": -45.52
|
|
},
|
|
"test": {
|
|
"final_equity": 102990558,
|
|
"total_return_pct": 2.99,
|
|
"cagr_pct": 9.86,
|
|
"mdd_pct": 12.77,
|
|
"trades": 28,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.27,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.16
|
|
}
|
|
},
|
|
"alpha_pct": -49.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.47,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.06,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -5.76,
|
|
"trades": 43
|
|
}
|
|
],
|
|
"worst_ret": -5.76
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 149577881,
|
|
"total_return_pct": 49.58,
|
|
"cagr_pct": 74.1,
|
|
"mdd_pct": 10.85,
|
|
"trades": 71,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.8,
|
|
"profit_factor": 3.38,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -45.52
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 1.91
|
|
}
|
|
},
|
|
"alpha_pct": -45.52
|
|
},
|
|
"test": {
|
|
"final_equity": 102990558,
|
|
"total_return_pct": 2.99,
|
|
"cagr_pct": 9.86,
|
|
"mdd_pct": 12.77,
|
|
"trades": 28,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 28.6,
|
|
"profit_factor": 1.27,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -49.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 17.16
|
|
}
|
|
},
|
|
"alpha_pct": -49.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 17.47,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.06,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -5.76,
|
|
"trades": 43
|
|
}
|
|
],
|
|
"worst_ret": -5.76
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141868182,
|
|
"total_return_pct": 41.87,
|
|
"cagr_pct": 61.87,
|
|
"mdd_pct": 11.07,
|
|
"trades": 69,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 44.9,
|
|
"profit_factor": 3.41,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.8
|
|
}
|
|
},
|
|
"alpha_pct": -53.23
|
|
},
|
|
"test": {
|
|
"final_equity": 96505058,
|
|
"total_return_pct": -3.49,
|
|
"cagr_pct": -10.73,
|
|
"mdd_pct": 9.0,
|
|
"trades": 24,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 0.77,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.68
|
|
}
|
|
},
|
|
"alpha_pct": -56.32
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.61,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.84,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -5.84,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": -5.84
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133597477,
|
|
"total_return_pct": 33.6,
|
|
"cagr_pct": 49.02,
|
|
"mdd_pct": 11.08,
|
|
"trades": 70,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 2.84,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.5
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.07
|
|
}
|
|
},
|
|
"alpha_pct": -61.5
|
|
},
|
|
"test": {
|
|
"final_equity": 96505058,
|
|
"total_return_pct": -3.49,
|
|
"cagr_pct": -10.73,
|
|
"mdd_pct": 9.0,
|
|
"trades": 24,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 0.77,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.68
|
|
}
|
|
},
|
|
"alpha_pct": -56.32
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.13,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.52,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -5.84,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": -5.84
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 141868182,
|
|
"total_return_pct": 41.87,
|
|
"cagr_pct": 61.87,
|
|
"mdd_pct": 11.07,
|
|
"trades": 69,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 44.9,
|
|
"profit_factor": 3.41,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -53.23
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.8
|
|
}
|
|
},
|
|
"alpha_pct": -53.23
|
|
},
|
|
"test": {
|
|
"final_equity": 96505058,
|
|
"total_return_pct": -3.49,
|
|
"cagr_pct": -10.73,
|
|
"mdd_pct": 9.0,
|
|
"trades": 24,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 0.77,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.68
|
|
}
|
|
},
|
|
"alpha_pct": -56.32
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.61,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.84,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -5.84,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": -5.84
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 133597477,
|
|
"total_return_pct": 33.6,
|
|
"cagr_pct": 49.02,
|
|
"mdd_pct": 11.08,
|
|
"trades": 70,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 2.84,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.5
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.07
|
|
}
|
|
},
|
|
"alpha_pct": -61.5
|
|
},
|
|
"test": {
|
|
"final_equity": 96505058,
|
|
"total_return_pct": -3.49,
|
|
"cagr_pct": -10.73,
|
|
"mdd_pct": 9.0,
|
|
"trades": 24,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 0.77,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -56.32
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 10.68
|
|
}
|
|
},
|
|
"alpha_pct": -56.32
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.13,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.52,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -5.84,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": -5.84
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132495343,
|
|
"total_return_pct": 32.5,
|
|
"cagr_pct": 47.32,
|
|
"mdd_pct": 11.13,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.3,
|
|
"profit_factor": 2.96,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.17
|
|
}
|
|
},
|
|
"alpha_pct": -62.6
|
|
},
|
|
"test": {
|
|
"final_equity": 94474140,
|
|
"total_return_pct": -5.53,
|
|
"cagr_pct": -16.58,
|
|
"mdd_pct": 11.36,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.64
|
|
}
|
|
},
|
|
"alpha_pct": -58.36
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.98,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.78,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -6.22,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -6.22
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 125727182,
|
|
"total_return_pct": 25.73,
|
|
"cagr_pct": 37.06,
|
|
"mdd_pct": 11.13,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.7,
|
|
"profit_factor": 2.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -21.94
|
|
}
|
|
},
|
|
"alpha_pct": -69.37
|
|
},
|
|
"test": {
|
|
"final_equity": 94474140,
|
|
"total_return_pct": -5.53,
|
|
"cagr_pct": -16.58,
|
|
"mdd_pct": 11.36,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.64
|
|
}
|
|
},
|
|
"alpha_pct": -58.36
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.48,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.55,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -6.22,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -6.22
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 132495343,
|
|
"total_return_pct": 32.5,
|
|
"cagr_pct": 47.32,
|
|
"mdd_pct": 11.13,
|
|
"trades": 62,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.3,
|
|
"profit_factor": 2.96,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.6
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.17
|
|
}
|
|
},
|
|
"alpha_pct": -62.6
|
|
},
|
|
"test": {
|
|
"final_equity": 94474140,
|
|
"total_return_pct": -5.53,
|
|
"cagr_pct": -16.58,
|
|
"mdd_pct": 11.36,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.64
|
|
}
|
|
},
|
|
"alpha_pct": -58.36
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.98,
|
|
"trades": 23
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.78,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -6.22,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -6.22
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 125727182,
|
|
"total_return_pct": 25.73,
|
|
"cagr_pct": 37.06,
|
|
"mdd_pct": 11.13,
|
|
"trades": 61,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 37.7,
|
|
"profit_factor": 2.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -69.37
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -21.94
|
|
}
|
|
},
|
|
"alpha_pct": -69.37
|
|
},
|
|
"test": {
|
|
"final_equity": 94474140,
|
|
"total_return_pct": -5.53,
|
|
"cagr_pct": -16.58,
|
|
"mdd_pct": 11.36,
|
|
"trades": 21,
|
|
"open_positions": 5,
|
|
"win_rate_pct": 23.8,
|
|
"profit_factor": 0.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.64
|
|
}
|
|
},
|
|
"alpha_pct": -58.36
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 6.48,
|
|
"trades": 24
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 6.55,
|
|
"trades": 28
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -6.22,
|
|
"trades": 29
|
|
}
|
|
],
|
|
"worst_ret": -6.22
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136282209,
|
|
"total_return_pct": 36.28,
|
|
"cagr_pct": 53.15,
|
|
"mdd_pct": 11.05,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.4,
|
|
"profit_factor": 2.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.39
|
|
}
|
|
},
|
|
"alpha_pct": -58.82
|
|
},
|
|
"test": {
|
|
"final_equity": 101985111,
|
|
"total_return_pct": 1.99,
|
|
"cagr_pct": 6.47,
|
|
"mdd_pct": 12.87,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.9,
|
|
"profit_factor": 1.29,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.16
|
|
}
|
|
},
|
|
"alpha_pct": -50.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.63,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.24,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -6.44,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": -6.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 20,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 136282209,
|
|
"total_return_pct": 36.28,
|
|
"cagr_pct": 53.15,
|
|
"mdd_pct": 11.05,
|
|
"trades": 66,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 39.4,
|
|
"profit_factor": 2.77,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -58.82
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -11.39
|
|
}
|
|
},
|
|
"alpha_pct": -58.82
|
|
},
|
|
"test": {
|
|
"final_equity": 101985111,
|
|
"total_return_pct": 1.99,
|
|
"cagr_pct": 6.47,
|
|
"mdd_pct": 12.87,
|
|
"trades": 27,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 25.9,
|
|
"profit_factor": 1.29,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -50.84
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 16.16
|
|
}
|
|
},
|
|
"alpha_pct": -50.84
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.63,
|
|
"trades": 22
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.24,
|
|
"trades": 27
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -6.44,
|
|
"trades": 38
|
|
}
|
|
],
|
|
"worst_ret": -6.44
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138591181,
|
|
"total_return_pct": 38.59,
|
|
"cagr_pct": 56.74,
|
|
"mdd_pct": 11.16,
|
|
"trades": 68,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 44.1,
|
|
"profit_factor": 3.01,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.08
|
|
}
|
|
},
|
|
"alpha_pct": -56.51
|
|
},
|
|
"test": {
|
|
"final_equity": 95814783,
|
|
"total_return_pct": -4.19,
|
|
"cagr_pct": -12.75,
|
|
"mdd_pct": 9.4,
|
|
"trades": 24,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 0.72,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.98
|
|
}
|
|
},
|
|
"alpha_pct": -57.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.59,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.84,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -6.52,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": -6.52
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 131681594,
|
|
"total_return_pct": 31.68,
|
|
"cagr_pct": 46.08,
|
|
"mdd_pct": 11.15,
|
|
"trades": 69,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 2.53,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.99
|
|
}
|
|
},
|
|
"alpha_pct": -63.42
|
|
},
|
|
"test": {
|
|
"final_equity": 95814783,
|
|
"total_return_pct": -4.19,
|
|
"cagr_pct": -12.75,
|
|
"mdd_pct": 9.4,
|
|
"trades": 24,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 0.72,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.98
|
|
}
|
|
},
|
|
"alpha_pct": -57.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.75,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.52,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -6.52,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": -6.52
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 138591181,
|
|
"total_return_pct": 38.59,
|
|
"cagr_pct": 56.74,
|
|
"mdd_pct": 11.16,
|
|
"trades": 68,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 44.1,
|
|
"profit_factor": 3.01,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.51
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -9.08
|
|
}
|
|
},
|
|
"alpha_pct": -56.51
|
|
},
|
|
"test": {
|
|
"final_equity": 95814783,
|
|
"total_return_pct": -4.19,
|
|
"cagr_pct": -12.75,
|
|
"mdd_pct": 9.4,
|
|
"trades": 24,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 0.72,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.98
|
|
}
|
|
},
|
|
"alpha_pct": -57.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.59,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.84,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -6.52,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": -6.52
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 131681594,
|
|
"total_return_pct": 31.68,
|
|
"cagr_pct": 46.08,
|
|
"mdd_pct": 11.15,
|
|
"trades": 69,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 2.53,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -63.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -15.99
|
|
}
|
|
},
|
|
"alpha_pct": -63.42
|
|
},
|
|
"test": {
|
|
"final_equity": 95814783,
|
|
"total_return_pct": -4.19,
|
|
"cagr_pct": -12.75,
|
|
"mdd_pct": 9.4,
|
|
"trades": 24,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 0.72,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.02
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.98
|
|
}
|
|
},
|
|
"alpha_pct": -57.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.75,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.52,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -6.52,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": -6.52
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 142391114,
|
|
"total_return_pct": 42.39,
|
|
"cagr_pct": 62.69,
|
|
"mdd_pct": 11.1,
|
|
"trades": 69,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 44.9,
|
|
"profit_factor": 3.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.28
|
|
}
|
|
},
|
|
"alpha_pct": -52.71
|
|
},
|
|
"test": {
|
|
"final_equity": 95180725,
|
|
"total_return_pct": -4.82,
|
|
"cagr_pct": -14.58,
|
|
"mdd_pct": 11.12,
|
|
"trades": 24,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 0.81,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.35
|
|
}
|
|
},
|
|
"alpha_pct": -57.65
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.58,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.62,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -6.83,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": -6.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 134248994,
|
|
"total_return_pct": 34.25,
|
|
"cagr_pct": 50.02,
|
|
"mdd_pct": 11.11,
|
|
"trades": 70,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 2.78,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.85
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.42
|
|
}
|
|
},
|
|
"alpha_pct": -60.85
|
|
},
|
|
"test": {
|
|
"final_equity": 95180725,
|
|
"total_return_pct": -4.82,
|
|
"cagr_pct": -14.58,
|
|
"mdd_pct": 11.12,
|
|
"trades": 24,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 0.81,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.35
|
|
}
|
|
},
|
|
"alpha_pct": -57.65
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.1,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.32,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -6.83,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": -6.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 142391114,
|
|
"total_return_pct": 42.39,
|
|
"cagr_pct": 62.69,
|
|
"mdd_pct": 11.1,
|
|
"trades": 69,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 44.9,
|
|
"profit_factor": 3.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -52.71
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -5.28
|
|
}
|
|
},
|
|
"alpha_pct": -52.71
|
|
},
|
|
"test": {
|
|
"final_equity": 95180725,
|
|
"total_return_pct": -4.82,
|
|
"cagr_pct": -14.58,
|
|
"mdd_pct": 11.12,
|
|
"trades": 24,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 0.81,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.35
|
|
}
|
|
},
|
|
"alpha_pct": -57.65
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 13.58,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.62,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -6.83,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": -6.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 1.5,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 134248994,
|
|
"total_return_pct": 34.25,
|
|
"cagr_pct": 50.02,
|
|
"mdd_pct": 11.11,
|
|
"trades": 70,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 41.4,
|
|
"profit_factor": 2.78,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -60.85
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.42
|
|
}
|
|
},
|
|
"alpha_pct": -60.85
|
|
},
|
|
"test": {
|
|
"final_equity": 95180725,
|
|
"total_return_pct": -4.82,
|
|
"cagr_pct": -14.58,
|
|
"mdd_pct": 11.12,
|
|
"trades": 24,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 0.81,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -57.65
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 9.35
|
|
}
|
|
},
|
|
"alpha_pct": -57.65
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.1,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.32,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -6.83,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": -6.83
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 139160561,
|
|
"total_return_pct": 39.16,
|
|
"cagr_pct": 57.63,
|
|
"mdd_pct": 11.2,
|
|
"trades": 68,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 44.1,
|
|
"profit_factor": 2.94,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -55.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.51
|
|
}
|
|
},
|
|
"alpha_pct": -55.94
|
|
},
|
|
"test": {
|
|
"final_equity": 94479242,
|
|
"total_return_pct": -5.52,
|
|
"cagr_pct": -16.57,
|
|
"mdd_pct": 11.53,
|
|
"trades": 24,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 0.76,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.65
|
|
}
|
|
},
|
|
"alpha_pct": -58.35
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.55,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.62,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -7.51,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": -7.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 130669135,
|
|
"total_return_pct": 30.67,
|
|
"cagr_pct": 44.54,
|
|
"mdd_pct": 11.19,
|
|
"trades": 69,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 2.33,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.0
|
|
}
|
|
},
|
|
"alpha_pct": -64.43
|
|
},
|
|
"test": {
|
|
"final_equity": 94479242,
|
|
"total_return_pct": -5.52,
|
|
"cagr_pct": -16.57,
|
|
"mdd_pct": 11.53,
|
|
"trades": 24,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 0.76,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.65
|
|
}
|
|
},
|
|
"alpha_pct": -58.35
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.72,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.32,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -7.51,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": -7.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 139160561,
|
|
"total_return_pct": 39.16,
|
|
"cagr_pct": 57.63,
|
|
"mdd_pct": 11.2,
|
|
"trades": 68,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 44.1,
|
|
"profit_factor": 2.94,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -55.94
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.51
|
|
}
|
|
},
|
|
"alpha_pct": -55.94
|
|
},
|
|
"test": {
|
|
"final_equity": 94479242,
|
|
"total_return_pct": -5.52,
|
|
"cagr_pct": -16.57,
|
|
"mdd_pct": 11.53,
|
|
"trades": 24,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 0.76,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.65
|
|
}
|
|
},
|
|
"alpha_pct": -58.35
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 12.55,
|
|
"trades": 25
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.62,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -7.51,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": -7.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 10,
|
|
"RR_RATIO": 2.0,
|
|
"STOP_ATR_MULT": 1.5,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 88,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 20,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 130669135,
|
|
"total_return_pct": 30.67,
|
|
"cagr_pct": 44.54,
|
|
"mdd_pct": 11.19,
|
|
"trades": 69,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 39.1,
|
|
"profit_factor": 2.33,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.0
|
|
}
|
|
},
|
|
"alpha_pct": -64.43
|
|
},
|
|
"test": {
|
|
"final_equity": 94479242,
|
|
"total_return_pct": -5.52,
|
|
"cagr_pct": -16.57,
|
|
"mdd_pct": 11.53,
|
|
"trades": 24,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 29.2,
|
|
"profit_factor": 0.76,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -58.35
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 8.65
|
|
}
|
|
},
|
|
"alpha_pct": -58.35
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.72,
|
|
"trades": 26
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 10.32,
|
|
"trades": 31
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": -7.51,
|
|
"trades": 32
|
|
}
|
|
],
|
|
"worst_ret": -7.51
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152674952,
|
|
"total_return_pct": 52.67,
|
|
"cagr_pct": 79.08,
|
|
"mdd_pct": 11.18,
|
|
"trades": 40,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 4.64,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 5.0
|
|
}
|
|
},
|
|
"alpha_pct": -42.43
|
|
},
|
|
"test": {
|
|
"final_equity": 148081153,
|
|
"total_return_pct": 48.08,
|
|
"cagr_pct": 249.84,
|
|
"mdd_pct": 10.51,
|
|
"trades": 9,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 55.6,
|
|
"profit_factor": 11.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -4.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 62.25
|
|
}
|
|
},
|
|
"alpha_pct": -4.75
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.81,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.1,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.7,
|
|
"trades": 11
|
|
}
|
|
],
|
|
"worst_ret": 11.81
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 152674952,
|
|
"total_return_pct": 52.67,
|
|
"cagr_pct": 79.08,
|
|
"mdd_pct": 11.18,
|
|
"trades": 40,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 4.64,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -42.43
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": 5.0
|
|
}
|
|
},
|
|
"alpha_pct": -42.43
|
|
},
|
|
"test": {
|
|
"final_equity": 148081153,
|
|
"total_return_pct": 48.08,
|
|
"cagr_pct": 249.84,
|
|
"mdd_pct": 10.51,
|
|
"trades": 9,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 55.6,
|
|
"profit_factor": 11.71,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -4.75
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 62.25
|
|
}
|
|
},
|
|
"alpha_pct": -4.75
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 11.81,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 24.1,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 40.7,
|
|
"trades": 11
|
|
}
|
|
],
|
|
"worst_ret": 11.81
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 133675220,
|
|
"total_return_pct": 33.68,
|
|
"cagr_pct": 49.13,
|
|
"mdd_pct": 15.06,
|
|
"trades": 37,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.1,
|
|
"profit_factor": 3.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.99
|
|
}
|
|
},
|
|
"alpha_pct": -61.42
|
|
},
|
|
"test": {
|
|
"final_equity": 117282861,
|
|
"total_return_pct": 17.28,
|
|
"cagr_pct": 66.28,
|
|
"mdd_pct": 8.26,
|
|
"trades": 8,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.13,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -35.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 31.45
|
|
}
|
|
},
|
|
"alpha_pct": -35.55
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.56,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.04,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 18.35,
|
|
"trades": 11
|
|
}
|
|
],
|
|
"worst_ret": 10.56
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 133675220,
|
|
"total_return_pct": 33.68,
|
|
"cagr_pct": 49.13,
|
|
"mdd_pct": 15.06,
|
|
"trades": 37,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.1,
|
|
"profit_factor": 3.02,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -61.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -13.99
|
|
}
|
|
},
|
|
"alpha_pct": -61.42
|
|
},
|
|
"test": {
|
|
"final_equity": 117282861,
|
|
"total_return_pct": 17.28,
|
|
"cagr_pct": 66.28,
|
|
"mdd_pct": 8.26,
|
|
"trades": 8,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 3.13,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -35.55
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 31.45
|
|
}
|
|
},
|
|
"alpha_pct": -35.55
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 10.56,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 17.04,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 18.35,
|
|
"trades": 11
|
|
}
|
|
],
|
|
"worst_ret": 10.56
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 147018838,
|
|
"total_return_pct": 47.02,
|
|
"cagr_pct": 70.01,
|
|
"mdd_pct": 10.99,
|
|
"trades": 40,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 4.82,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.08
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.65
|
|
}
|
|
},
|
|
"alpha_pct": -48.08
|
|
},
|
|
"test": {
|
|
"final_equity": 131407573,
|
|
"total_return_pct": 31.41,
|
|
"cagr_pct": 138.99,
|
|
"mdd_pct": 8.27,
|
|
"trades": 9,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 55.6,
|
|
"profit_factor": 9.07,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.58
|
|
}
|
|
},
|
|
"alpha_pct": -21.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.66,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.82,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.3,
|
|
"trades": 11
|
|
}
|
|
],
|
|
"worst_ret": 9.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 147018838,
|
|
"total_return_pct": 47.02,
|
|
"cagr_pct": 70.01,
|
|
"mdd_pct": 10.99,
|
|
"trades": 40,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 40.0,
|
|
"profit_factor": 4.82,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -48.08
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -0.65
|
|
}
|
|
},
|
|
"alpha_pct": -48.08
|
|
},
|
|
"test": {
|
|
"final_equity": 131407573,
|
|
"total_return_pct": 31.41,
|
|
"cagr_pct": 138.99,
|
|
"mdd_pct": 8.27,
|
|
"trades": 9,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 55.6,
|
|
"profit_factor": 9.07,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -21.42
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 45.58
|
|
}
|
|
},
|
|
"alpha_pct": -21.42
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.66,
|
|
"trades": 10
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 23.82,
|
|
"trades": 9
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 27.3,
|
|
"trades": 11
|
|
}
|
|
],
|
|
"worst_ret": 9.66
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 139090804,
|
|
"total_return_pct": 39.09,
|
|
"cagr_pct": 57.52,
|
|
"mdd_pct": 13.11,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 31.9,
|
|
"profit_factor": 2.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.58
|
|
}
|
|
},
|
|
"alpha_pct": -56.01
|
|
},
|
|
"test": {
|
|
"final_equity": 136542706,
|
|
"total_return_pct": 36.54,
|
|
"cagr_pct": 170.08,
|
|
"mdd_pct": 8.14,
|
|
"trades": 9,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 6.41,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -16.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 50.71
|
|
}
|
|
},
|
|
"alpha_pct": -16.29
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.3,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.37,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 49.31,
|
|
"trades": 15
|
|
}
|
|
],
|
|
"worst_ret": 9.3
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.02
|
|
},
|
|
"train": {
|
|
"final_equity": 139090804,
|
|
"total_return_pct": 39.09,
|
|
"cagr_pct": 57.52,
|
|
"mdd_pct": 13.11,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 31.9,
|
|
"profit_factor": 2.32,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -56.01
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -8.58
|
|
}
|
|
},
|
|
"alpha_pct": -56.01
|
|
},
|
|
"test": {
|
|
"final_equity": 136542706,
|
|
"total_return_pct": 36.54,
|
|
"cagr_pct": 170.08,
|
|
"mdd_pct": 8.14,
|
|
"trades": 9,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 6.41,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -16.29
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 50.71
|
|
}
|
|
},
|
|
"alpha_pct": -16.29
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 9.3,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 20.37,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 49.31,
|
|
"trades": 15
|
|
}
|
|
],
|
|
"worst_ret": 9.3
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130487006,
|
|
"total_return_pct": 30.49,
|
|
"cagr_pct": 44.26,
|
|
"mdd_pct": 13.85,
|
|
"trades": 37,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.1,
|
|
"profit_factor": 3.23,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.61
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.18
|
|
}
|
|
},
|
|
"alpha_pct": -64.61
|
|
},
|
|
"test": {
|
|
"final_equity": 111377316,
|
|
"total_return_pct": 11.38,
|
|
"cagr_pct": 41.02,
|
|
"mdd_pct": 5.52,
|
|
"trades": 8,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 2.51,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.55
|
|
}
|
|
},
|
|
"alpha_pct": -41.45
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.93,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.64,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 13.09,
|
|
"trades": 11
|
|
}
|
|
],
|
|
"worst_ret": 8.93
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.5,
|
|
"VOLUME_BREAKOUT_MULT": 2.0,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 130487006,
|
|
"total_return_pct": 30.49,
|
|
"cagr_pct": 44.26,
|
|
"mdd_pct": 13.85,
|
|
"trades": 37,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 35.1,
|
|
"profit_factor": 3.23,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -64.61
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -17.18
|
|
}
|
|
},
|
|
"alpha_pct": -64.61
|
|
},
|
|
"test": {
|
|
"final_equity": 111377316,
|
|
"total_return_pct": 11.38,
|
|
"cagr_pct": 41.02,
|
|
"mdd_pct": 5.52,
|
|
"trades": 8,
|
|
"open_positions": 6,
|
|
"win_rate_pct": 37.5,
|
|
"profit_factor": 2.51,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -41.45
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 25.55
|
|
}
|
|
},
|
|
"alpha_pct": -41.45
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 8.93,
|
|
"trades": 7
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 16.64,
|
|
"trades": 6
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 13.09,
|
|
"trades": 11
|
|
}
|
|
],
|
|
"worst_ret": 8.93
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 20,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132742237,
|
|
"total_return_pct": 32.74,
|
|
"cagr_pct": 47.7,
|
|
"mdd_pct": 11.0,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 31.9,
|
|
"profit_factor": 2.47,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.93
|
|
}
|
|
},
|
|
"alpha_pct": -62.36
|
|
},
|
|
"test": {
|
|
"final_equity": 122845495,
|
|
"total_return_pct": 22.85,
|
|
"cagr_pct": 92.77,
|
|
"mdd_pct": 4.92,
|
|
"trades": 9,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 5.82,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -29.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 37.02
|
|
}
|
|
},
|
|
"alpha_pct": -29.98
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.18,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.12,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 30.4,
|
|
"trades": 15
|
|
}
|
|
],
|
|
"worst_ret": 7.18
|
|
},
|
|
{
|
|
"params": {
|
|
"SMA_LONG": 40,
|
|
"RR_RATIO": 3.0,
|
|
"STOP_ATR_MULT": 2.0,
|
|
"PULLBACK_ATR_MULT": 1.0,
|
|
"VOLUME_BREAKOUT_MULT": 1.3,
|
|
"RSI_OVERBOUGHT": 75,
|
|
"RSI_OVERSOLD": 35,
|
|
"MAX_HOLD_DAYS": 0,
|
|
"RISK_PER_TRADE_PCT": 0.01
|
|
},
|
|
"train": {
|
|
"final_equity": 132742237,
|
|
"total_return_pct": 32.74,
|
|
"cagr_pct": 47.7,
|
|
"mdd_pct": 11.0,
|
|
"trades": 47,
|
|
"open_positions": 7,
|
|
"win_rate_pct": 31.9,
|
|
"profit_factor": 2.47,
|
|
"days": 183,
|
|
"from": "20250513",
|
|
"to": "20260206",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 95.1,
|
|
"alpha": -62.36
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": 47.67,
|
|
"alpha": -14.93
|
|
}
|
|
},
|
|
"alpha_pct": -62.36
|
|
},
|
|
"test": {
|
|
"final_equity": 122845495,
|
|
"total_return_pct": 22.85,
|
|
"cagr_pct": 92.77,
|
|
"mdd_pct": 4.92,
|
|
"trades": 9,
|
|
"open_positions": 8,
|
|
"win_rate_pct": 44.4,
|
|
"profit_factor": 5.82,
|
|
"days": 79,
|
|
"from": "20260209",
|
|
"to": "20260609",
|
|
"flow_used": true,
|
|
"benchmark": {
|
|
"KOSPI": {
|
|
"pct": 52.83,
|
|
"alpha": -29.98
|
|
},
|
|
"KOSDAQ": {
|
|
"pct": -14.17,
|
|
"alpha": 37.02
|
|
}
|
|
},
|
|
"alpha_pct": -29.98
|
|
},
|
|
"windows": [
|
|
{
|
|
"from": "20250513",
|
|
"to": "20250915",
|
|
"ret": 7.18,
|
|
"trades": 16
|
|
},
|
|
{
|
|
"from": "20250916",
|
|
"to": "20260126",
|
|
"ret": 18.12,
|
|
"trades": 13
|
|
},
|
|
{
|
|
"from": "20260127",
|
|
"to": "20260609",
|
|
"ret": 30.4,
|
|
"trades": 15
|
|
}
|
|
],
|
|
"worst_ret": 7.18
|
|
}
|
|
]
|
|
} |