Skip to content

Commit ff7758c

Browse files
committed
Update backtest results report and make script executable
- Updated strategy comparison results from latest backtest run - Made autonomous_trading_system.sh executable
1 parent 16f3803 commit ff7758c

File tree

2 files changed

+24
-24
lines changed

2 files changed

+24
-24
lines changed

docs/strategy_comparison/router_backtest_results.md

Lines changed: 24 additions & 24 deletions
Original file line numberDiff line numberDiff line change
@@ -2,40 +2,40 @@
22

33
## Test Configuration
44
- **System**: Multi-Strategy Router with Regime Detection
5-
- **Test Date**: 2025-11-02 18:42:45
5+
- **Test Date**: 2025-12-02 01:22:17
66
- **Period**: 2024-11-01 to 2025-10-30
77
- **Symbols**: AAPL, MSFT, GOOGL
88

99
## Performance Metrics
1010

1111
| Metric | Value |
1212
|--------|-------|
13-
| Total Return | 0.00% |
14-
| Sharpe Ratio | 0.00 |
15-
| Sortino Ratio | 0.00 |
16-
| Max Drawdown | 0.00% |
17-
| Win Rate | 0.00% |
18-
| Profit Factor | 0.00 |
19-
| Calmar Ratio | 0.00 |
13+
| Total Return | 72.42% |
14+
| Sharpe Ratio | -0.21 |
15+
| Sortino Ratio | -0.20 |
16+
| Max Drawdown | 788.38% |
17+
| Win Rate | 4153.85% |
18+
| Profit Factor | 1.11 |
19+
| Calmar Ratio | 0.09 |
2020

2121
## Trade Statistics
2222

2323
| Statistic | Value |
2424
|-----------|-------|
25-
| Total Trades | 0 |
26-
| Winning Trades | 0 |
27-
| Losing Trades | 0 |
28-
| Average Win | 0.00% |
29-
| Average Loss | 0.00% |
30-
| Largest Win | 0.00% |
31-
| Largest Loss | 0.00% |
25+
| Total Trades | 65 |
26+
| Winning Trades | 27 |
27+
| Losing Trades | 38 |
28+
| Average Win | 61692.31% |
29+
| Average Loss | -39378.83% |
30+
| Largest Win | 224192.48% |
31+
| Largest Loss | -123985.82% |
3232

3333
## Strategy Routing Analysis
3434

3535
### Strategy Usage Distribution
3636
| Strategy | Usage Count |
3737
|----------|-------------|
38-
| Momentum | 0 symbols |
38+
| Momentum | 3 symbols |
3939
| Mean Reversion | 0 symbols |
4040
| Trend Following | 0 symbols |
4141

@@ -44,10 +44,10 @@
4444
|--------|-------------|
4545
| Trending | 0 |
4646
| Ranging | 0 |
47-
| Volatile | 0 |
47+
| Volatile | 3 |
4848
| Unknown | 0 |
4949

50-
**Average Routing Confidence**: 0.00%
50+
**Average Routing Confidence**: 51.82%
5151

5252
## Key Advantages of Strategy Router
5353

@@ -76,9 +76,9 @@
7676
### Total Expected Alpha: +4-6% above buy-and-hold
7777

7878
### Actual Performance
79-
- **Total Return**: 0.00%
79+
- **Total Return**: 72.42%
8080
- **Benchmark (SPY)**: ~10% annual (approximate)
81-
- **Alpha Generated**: -10.00% (vs benchmark)
81+
- **Alpha Generated**: 62.42% (vs benchmark)
8282

8383
## Risk Management
8484

@@ -99,14 +99,14 @@
9999
## Conclusions
100100

101101
### Overall Assessment
102-
**POOR**: Router system underperforming
102+
⚠️ **MODERATE**: Router system needs optimization
103103

104104
### Key Strengths
105105
1. ✅ Adaptive strategy selection based on market regime
106106
2. ✅ Multiple uncorrelated signal sources
107107
3. ✅ Comprehensive risk management
108-
4. ✅ High win rate: 0.0%
109-
5. ✅ Positive Sharpe ratio: 0.00
108+
4. ✅ High win rate: 4153.8%
109+
5. ✅ Positive Sharpe ratio: -0.21
110110

111111
### Areas for Improvement
112112
1. Monitor regime detection accuracy
@@ -121,4 +121,4 @@
121121
4. ✅ Optimize regime detection thresholds
122122

123123
---
124-
Generated: 2025-11-02 18:42:45
124+
Generated: 2025-12-02 01:22:17

scripts/autonomous_trading_system.sh

100644100755
File mode changed.

0 commit comments

Comments
 (0)