b462651f60
- Add Hurst_simulations.md with detailed performance data from Jan 2025 to Mar 2026 across 1m-1h TFs.
- Enhance backtest_engine.py:
- Add --starting_equity for memory-efficient chunked testing.
- Add Max Drawdown tracking.
- Add --interval override flag.
- Add --brake_period/--brake_interval for safety filter testing.
181 lines
7.5 KiB
Markdown
181 lines
7.5 KiB
Markdown
# Comprehensive Hurst Strategy Simulations (since 2025-01-01)
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Comparison of different Hurst Timeframes and Entry Filters.
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# Timeframe: 1m
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## Scenario: Without Filter
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| Period | Start Bal | End Equity | PnL | Trades | Max DD |
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| :--- | :--- | :--- | :--- | :--- | :--- |
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| 2025-01-01 to 2025-03-31 | $1000.00 | $3192.86 | $2192.86 | 13239 | 7.40% |
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| 2025-04-01 to 2025-06-30 | $3192.86 | $5665.00 | $2472.14 | 13242 | 3.39% |
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| 2025-07-01 to 2025-09-30 | $5665.00 | $7520.61 | $1855.61 | 13720 | 1.02% |
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| 2025-10-01 to 2025-12-31 | $7520.61 | $8891.62 | $1371.01 | 13584 | 0.56% |
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| 2026-01-01 to 2026-03-10 | $8891.62 | $10437.95 | $1546.33 | 10120 | 0.52% |
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**Final Results for 1m (Without Filter):**
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- Final Equity: **$10437.95**
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- Total ROI: **943.80%**
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- Total Trades: **63905**
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- Max Overall Drawdown: **7.40%**
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## Scenario: With 1H SMA 200 Filter
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| Period | Start Bal | End Equity | PnL | Trades | Max DD |
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| :--- | :--- | :--- | :--- | :--- | :--- |
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| 2025-01-01 to 2025-03-31 | $1000.00 | $2124.83 | $1124.83 | 10469 | 7.57% |
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| 2025-04-01 to 2025-06-30 | $2124.83 | $3729.53 | $1604.70 | 11016 | 5.09% |
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| 2025-07-01 to 2025-09-30 | $3729.53 | $4673.10 | $943.57 | 10923 | 2.25% |
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| 2025-10-01 to 2025-12-31 | $4673.10 | $5428.01 | $754.91 | 11319 | 1.49% |
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| 2026-01-01 to 2026-03-10 | $5428.01 | $6307.05 | $879.04 | 8485 | 1.24% |
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**Final Results for 1m (With 1H SMA 200 Filter):**
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- Final Equity: **$6307.05**
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- Total ROI: **530.71%**
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- Total Trades: **52212**
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- Max Overall Drawdown: **7.57%**
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# Timeframe: 3m
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## Scenario: Without Filter
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| Period | Start Bal | End Equity | PnL | Trades | Max DD |
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| :--- | :--- | :--- | :--- | :--- | :--- |
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| 2025-01-01 to 2025-03-31 | $1000.00 | $2309.37 | $1309.37 | 4233 | 8.10% |
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| 2025-04-01 to 2025-06-30 | $2309.37 | $3801.67 | $1492.30 | 4331 | 2.07% |
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| 2025-07-01 to 2025-09-30 | $3801.67 | $4988.92 | $1187.25 | 4513 | 1.60% |
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| 2025-10-01 to 2025-12-31 | $4988.92 | $5912.62 | $923.70 | 4370 | 1.05% |
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| 2026-01-01 to 2026-03-10 | $5912.62 | $6740.90 | $828.28 | 3306 | 1.01% |
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**Final Results for 3m (Without Filter):**
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- Final Equity: **$6740.90**
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- Total ROI: **574.09%**
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- Total Trades: **20753**
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- Max Overall Drawdown: **8.10%**
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## Scenario: With 1H SMA 200 Filter
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| Period | Start Bal | End Equity | PnL | Trades | Max DD |
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| :--- | :--- | :--- | :--- | :--- | :--- |
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| 2025-01-01 to 2025-03-31 | $1000.00 | $1470.40 | $470.40 | 3288 | 10.19% |
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| 2025-04-01 to 2025-06-30 | $1470.40 | $2366.47 | $896.07 | 3597 | 4.96% |
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| 2025-07-01 to 2025-09-30 | $2366.47 | $2844.79 | $478.32 | 3478 | 3.23% |
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| 2025-10-01 to 2025-12-31 | $2844.79 | $3250.87 | $406.08 | 3597 | 3.43% |
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| 2026-01-01 to 2026-03-10 | $3250.87 | $3643.24 | $392.37 | 2739 | 1.90% |
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**Final Results for 3m (With 1H SMA 200 Filter):**
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- Final Equity: **$3643.24**
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- Total ROI: **264.32%**
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- Total Trades: **16699**
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- Max Overall Drawdown: **10.19%**
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# Timeframe: 5m
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## Scenario: Without Filter
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| Period | Start Bal | End Equity | PnL | Trades | Max DD |
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| :--- | :--- | :--- | :--- | :--- | :--- |
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| 2025-01-01 to 2025-03-31 | $1000.00 | $1878.15 | $878.15 | 2482 | 14.06% |
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| 2025-04-01 to 2025-06-30 | $1878.15 | $3053.49 | $1175.34 | 2601 | 3.26% |
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| 2025-07-01 to 2025-09-30 | $3053.49 | $3944.73 | $891.24 | 2689 | 2.08% |
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| 2025-10-01 to 2025-12-31 | $3944.73 | $4578.13 | $633.40 | 2491 | 1.33% |
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| 2026-01-01 to 2026-03-10 | $4578.13 | $5122.25 | $544.12 | 1966 | 1.39% |
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**Final Results for 5m (Without Filter):**
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- Final Equity: **$5122.25**
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- Total ROI: **412.23%**
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- Total Trades: **12229**
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- Max Overall Drawdown: **14.06%**
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## Scenario: With 1H SMA 200 Filter
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| Period | Start Bal | End Equity | PnL | Trades | Max DD |
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| :--- | :--- | :--- | :--- | :--- | :--- |
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| 2025-01-01 to 2025-03-31 | $1000.00 | $1304.55 | $304.55 | 1915 | 14.36% |
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| 2025-04-01 to 2025-06-30 | $1304.55 | $1926.70 | $622.15 | 2134 | 7.03% |
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| 2025-07-01 to 2025-09-30 | $1926.70 | $2253.45 | $326.75 | 2052 | 4.25% |
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| 2025-10-01 to 2025-12-31 | $2253.45 | $2539.78 | $286.33 | 2038 | 2.83% |
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| 2026-01-01 to 2026-03-10 | $2539.78 | $2774.98 | $235.20 | 1583 | 2.75% |
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**Final Results for 5m (With 1H SMA 200 Filter):**
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- Final Equity: **$2774.98**
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- Total ROI: **177.50%**
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- Total Trades: **9722**
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- Max Overall Drawdown: **14.36%**
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# Timeframe: 15m
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## Scenario: Without Filter
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| Period | Start Bal | End Equity | PnL | Trades | Max DD |
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| :--- | :--- | :--- | :--- | :--- | :--- |
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| 2025-01-01 to 2025-03-31 | $1000.00 | $1373.61 | $373.61 | 785 | 12.40% |
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| 2025-04-01 to 2025-06-30 | $1373.61 | $1824.22 | $450.61 | 725 | 6.62% |
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| 2025-07-01 to 2025-09-30 | $1824.22 | $2212.35 | $388.13 | 807 | 2.60% |
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| 2025-10-01 to 2025-12-31 | $2212.35 | $2535.13 | $322.78 | 765 | 3.14% |
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| 2026-01-01 to 2026-03-10 | $2535.13 | $2821.05 | $285.92 | 607 | 1.92% |
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**Final Results for 15m (Without Filter):**
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- Final Equity: **$2821.05**
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- Total ROI: **182.11%**
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- Total Trades: **3689**
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- Max Overall Drawdown: **12.40%**
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## Scenario: With 1H SMA 200 Filter
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| Period | Start Bal | End Equity | PnL | Trades | Max DD |
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| :--- | :--- | :--- | :--- | :--- | :--- |
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| 2025-01-01 to 2025-03-31 | $1000.00 | $993.20 | $-6.80 | 578 | 20.65% |
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| 2025-04-01 to 2025-06-30 | $993.20 | $1127.20 | $134.00 | 559 | 10.21% |
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| 2025-07-01 to 2025-09-30 | $1127.20 | $1328.46 | $201.26 | 595 | 2.96% |
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| 2025-10-01 to 2025-12-31 | $1328.46 | $1394.87 | $66.41 | 606 | 5.36% |
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| 2026-01-01 to 2026-03-10 | $1394.87 | $1379.42 | $-15.45 | 455 | 7.15% |
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**Final Results for 15m (With 1H SMA 200 Filter):**
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- Final Equity: **$1379.42**
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- Total ROI: **37.94%**
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- Total Trades: **2793**
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- Max Overall Drawdown: **20.65%**
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# Timeframe: 37m
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## Scenario: Without Filter
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| Period | Start Bal | End Equity | PnL | Trades | Max DD |
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| :--- | :--- | :--- | :--- | :--- | :--- |
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| 2025-01-01 to 2025-03-31 | $1000.00 | $1120.15 | $120.15 | 293 | 10.05% |
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| 2025-04-01 to 2025-06-30 | $1120.15 | $1487.65 | $367.50 | 282 | 6.98% |
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| 2025-07-01 to 2025-09-30 | $1487.65 | $1520.11 | $32.46 | 289 | 4.01% |
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| 2025-10-01 to 2025-12-31 | $1520.11 | $1575.24 | $55.13 | 292 | 9.73% |
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| 2026-01-01 to 2026-03-10 | $1575.24 | $1748.85 | $173.61 | 246 | 3.27% |
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**Final Results for 37m (Without Filter):**
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- Final Equity: **$1748.85**
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- Total ROI: **74.88%**
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- Total Trades: **1402**
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- Max Overall Drawdown: **10.05%**
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## Scenario: With 1H SMA 200 Filter
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| Period | Start Bal | End Equity | PnL | Trades | Max DD |
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| :--- | :--- | :--- | :--- | :--- | :--- |
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| 2025-01-01 to 2025-03-31 | $1000.00 | $1003.56 | $3.56 | 206 | 10.69% |
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| 2025-04-01 to 2025-06-30 | $1003.56 | $1130.86 | $127.30 | 208 | 8.98% |
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| 2025-07-01 to 2025-09-30 | $1130.86 | $1154.90 | $24.04 | 202 | 2.81% |
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| 2025-10-01 to 2025-12-31 | $1154.90 | $1108.85 | $-46.05 | 224 | 9.50% |
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| 2026-01-01 to 2026-03-10 | $1108.85 | $1117.52 | $8.67 | 179 | 4.01% |
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**Final Results for 37m (With 1H SMA 200 Filter):**
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- Final Equity: **$1117.52**
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- Total ROI: **11.75%**
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- Total Trades: **1019**
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- Max Overall Drawdown: **10.69%**
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# Timeframe: 1h
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## Scenario: Without Filter
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| Period | Start Bal | End Equity | PnL | Trades | Max DD |
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| :--- | :--- | :--- | :--- | :--- | :--- |
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| 2025-01-01 to 2025-03-31 | $1000.00 | $1109.99 | $109.99 | 162 | 7.36% |
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| 2025-04-01 to 2025-06-30 | $1109.99 | $1305.05 | $195.06 | 145 | 7.26% |
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| 2025-07-01 to 2025-09-30 | $1305.05 | $1342.48 | $37.43 | 180 | 2.83% |
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| 2025-10-01 to 2025-12-31 | $1342.48 | $1448.42 | $105.94 | 166 | 6.25% |
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| 2026-01-01 to 2026-03-10 | $1448.42 | $1552.57 | $104.15 | 135 | 4.56% |
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**Final Results for 1h (Without Filter):**
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- Final Equity: **$1552.57**
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- Total ROI: **55.26%**
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- Total Trades: **788**
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- Max Overall Drawdown: **7.36%**
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