🏆 Master-Strategy Report
Generiert 2026-05-25 13:08 UTC ·
1692 Runs analysiert ·
564 unterschiedliche Configs ·
25 mit ≥2 Perioden
Methodik: Wir definieren "Master-Strategy" als Config, die in ALLEN
getesteten Perioden konsistent gut performt — nicht nur in einer.
Ranking via Composite-Score = avg_sharpe × Konsistenz × (1 − worst_drawdown).
Eine Strategie, die einmal +500% und einmal −90% macht, schlägt eine, die
dreimal +50% schafft.
👑 Empfohlene Master-Strategy
Konfiguration
{
"period_start": "2024-01-01",
"period_end": "2025-01-01",
"timeframe": "1h",
"exchange": "binance",
"cache_dir": "data/cache",
"universe_size": 30,
"top": 20,
"rank_by_vol": false,
"custom_symbols": null,
"strategy_kind": "vol_target_rp",
"vol_lookback_days": 60,
"rebalance_days": 30,
"max_weight_per_coin": 0.2,
"target_total_weight": 0.95,
"trend_ma_days": 50,
"momentum_lookback_days": 30,
"momentum_top_k": 5,
"require_positive_momentum": true,
"target_portfolio_vol_annual": 0.3,
"drift_threshold": 0.2,
"min_rebalance_interval_days": 7,
"initial_capital": 10000.0,
"fee_rate": 0.001,
"slippage_bps": 5,
"include_buyhold_benchmark": false
}
Performance pro Periode
| Periode | Sharpe | Return | MaxDD |
|---|
| 2024-01-01 → 2025-01-01 | 4.64 | +95.9% | 20.9% |
| 2025-01-01 → 2026-04-27 | 0.52 | +7.1% | 22.6% |
| 2024-01-01 → 2026-04-27 | 2.37 | +85.3% | 23.5% |
Top-25 Robuste Configs
| # | Strategie | Composite |
Avg Sharpe | Avg Return | Konsistenz |
Worst DD | Perioden |
| 1 |
vol_target_rp |
1.920 |
2.51 |
+62.8% |
100% |
23% |
3 |
| 2 |
vol_target_rp |
1.903 |
2.50 |
+62.5% |
100% |
24% |
3 |
| 3 |
adaptive_rp |
1.895 |
2.73 |
+89.2% |
100% |
30% |
3 |
| 4 |
vol_target_rp |
1.877 |
2.44 |
+62.7% |
100% |
23% |
3 |
| 5 |
vol_target_rp |
1.863 |
2.33 |
+73.2% |
100% |
20% |
2 |
| 6 |
vol_target_rp |
1.793 |
2.16 |
+42.9% |
100% |
17% |
3 |
| 7 |
vol_target_rp |
1.792 |
2.70 |
+89.1% |
100% |
34% |
3 |
| 8 |
vol_target_rp |
1.789 |
2.69 |
+87.2% |
100% |
34% |
3 |
| 9 |
vol_target_rp |
1.766 |
2.48 |
+55.0% |
100% |
29% |
3 |
| 10 |
vol_target_rp |
1.766 |
2.25 |
+36.8% |
100% |
21% |
3 |
| 11 |
vol_target_rp |
1.761 |
2.12 |
+43.0% |
100% |
17% |
3 |
| 12 |
vol_target_rp |
1.754 |
2.46 |
+54.7% |
100% |
29% |
3 |
| 13 |
vol_target_rp |
1.742 |
2.44 |
+54.1% |
100% |
28% |
3 |
| 14 |
vol_target_rp |
1.739 |
2.65 |
+88.4% |
100% |
34% |
3 |
| 15 |
adaptive_rp |
1.728 |
2.57 |
+84.0% |
100% |
33% |
3 |
| 16 |
vol_target_rp |
1.721 |
2.19 |
+35.3% |
100% |
22% |
3 |
| 17 |
vol_target_rp |
1.704 |
2.35 |
+58.3% |
100% |
28% |
3 |
| 18 |
vol_target_rp |
1.664 |
2.03 |
+54.1% |
100% |
18% |
3 |
| 19 |
vol_target_rp |
1.636 |
2.55 |
+79.3% |
100% |
36% |
3 |
| 20 |
adaptive_rp |
1.628 |
2.49 |
+86.1% |
100% |
35% |
3 |
| 21 |
vol_target_rp |
1.624 |
2.06 |
+60.8% |
100% |
21% |
3 |
| 22 |
vol_target_rp |
1.598 |
2.21 |
+76.9% |
100% |
28% |
3 |
| 23 |
vol_target_rp |
1.588 |
2.52 |
+78.2% |
100% |
37% |
3 |
| 24 |
adaptive_rp |
1.586 |
2.39 |
+81.6% |
100% |
34% |
3 |
| 25 |
vol_target_rp |
1.573 |
2.43 |
+70.2% |
100% |
35% |
3 |
Beste Config pro Strategie-Familie
vol_target_rp
{
"period_start": "2024-01-01",
"period_end": "2025-01-01",
"timeframe": "1h",
"exchange": "binance",
"cache_dir": "data/cache",
"universe_size": 30,
"top": 20,
"rank_by_vol": false,
"custom_symbols": null,
"strategy_kind": "vol_target_rp",
"vol_lookback_days": 60,
"rebalance_days": 30,
"max_weight_per_coin": 0.2,
"target_total_weight": 0.95,
"trend_ma_days": 50,
"momentum_lookback_days": 30,
"momentum_top_k": 5,
"require_positive_momentum": true,
"target_portfolio_vol_annual": 0.3,
"drift_threshold": 0.2,
"min_rebalance_interval_days": 7,
"initial_capital": 10000.0,
"fee_rate": 0.001,
"slippage_bps": 5,
"include_buyhold_benchmark": false
}
adaptive_rp
{
"period_start": "2024-01-01",
"period_end": "2025-01-01",
"timeframe": "1h",
"exchange": "binance",
"cache_dir": "data/cache",
"universe_size": 30,
"top": 20,
"rank_by_vol": false,
"custom_symbols": null,
"strategy_kind": "adaptive_rp",
"vol_lookback_days": 30,
"rebalance_days": 30,
"max_weight_per_coin": 0.15,
"target_total_weight": 0.95,
"trend_ma_days": 50,
"momentum_lookback_days": 30,
"momentum_top_k": 5,
"require_positive_momentum": true,
"target_portfolio_vol_annual": 0.3,
"drift_threshold": 0.1,
"min_rebalance_interval_days": 14,
"initial_capital": 10000.0,
"fee_rate": 0.001,
"slippage_bps": 5,
"include_buyhold_benchmark": false
}
Periode-Details der Top-3
#1 (vol_target_rp)
| Periode | Sharpe | Return | MaxDD | Coins |
|---|
| 2024-01-01 → 2025-01-01 | 4.64 | +95.9% | 20.9% | 15 |
| 2025-01-01 → 2026-04-27 | 0.52 | +7.1% | 22.6% | 20 |
| 2024-01-01 → 2026-04-27 | 2.37 | +85.3% | 23.5% | 20 |
#2 (vol_target_rp)
| Periode | Sharpe | Return | MaxDD | Coins |
|---|
| 2024-01-01 → 2025-01-01 | 4.61 | +95.6% | 21.2% | 15 |
| 2024-01-01 → 2026-04-27 | 2.35 | +84.7% | 23.7% | 20 |
| 2025-01-01 → 2026-04-27 | 0.53 | +7.3% | 23.2% | 20 |
#3 (adaptive_rp)
| Periode | Sharpe | Return | MaxDD | Coins |
|---|
| 2024-01-01 → 2025-01-01 | 5.09 | +125.1% | 23.5% | 16 |
| 2024-01-01 → 2026-04-27 | 2.68 | +135.2% | 30.5% | 20 |
| 2025-01-01 → 2026-04-27 | 0.41 | +7.4% | 30.4% | 20 |
Hinweis: Backtest-Performance ist KEIN Versprechen für die Zukunft. Strategien
scheitern oft, wenn das Markt-Regime wechselt. Master-Strategy ist die *beste
Wette unter Unsicherheit*, nicht eine Garantie.