Rank #648

ETH / USDC

Smart Money Parameter Optimization for ETH / USDC - 2024 - 2025 Backtest Results

Strategy: smart_money
Backtest period: 11/6/2024 — 11/6/2025

Total Return

-2.24%

Sharpe Ratio

-0.05

Profit Factor

0.85

Max Drawdown

+5.93%

Win Rate

+34.52%

Anomaly Detection Alerts

Automated detection of suspicious patterns and potential issues in optimization results.

High Severity

Medium Severity

Low Severity

Potential Overfitting Detected

HIGH

WFE is 19.4%, indicating poor out-of-sample performance. The strategy may be overfitted to historical data.

WFE: 19.42

Recommendations

Review high-severity anomalies before deploying to live trading.
Consider re-optimizing with different parameters or using Walk-Forward Analysis to validate results.

Overfitting Detection

Analysis of potential overfitting in the optimization results.

Overfitting Detection

Analysis of potential overfitting indicators based on WFA metrics and performance gaps.

80%

Probability

CRITICAL

High Overfitting Risk Detected

This optimization result shows significant signs of overfitting. The strategy may not perform well on new, unseen data. Consider simplifying parameters, increasing sample size, or using more robust optimization methods.

Critical Flags

Warnings

Passed Checks

Detailed Analysis

Indicator	Value	Status	Description
WFA Overfitting Score	0.0%	Passed	Direct measure of overfitting from Walk-Forward Analysis. Higher values indicate stronger overfitting.
IS vs OOS Return Gap	-119.4% (IS: -2.78%, OOS: 0.54%)	Passed	Large gap between in-sample and out-of-sample returns indicates overfitting.
Walk-Forward Efficiency (WFE)	19.4%	Failed	Low WFE indicates poor out-of-sample performance relative to in-sample.
Consistency (Profitability Rate)	100.0%	Passed	Low consistency means only few validation periods were profitable.
Sharpe Ratio Degradation	IS: -0.19, OOS: 0.07 (Δ-0.26)	Passed	Large drop in Sharpe ratio from IS to OOS indicates overfitting.
Win Rate Degradation	-12.0%	Passed	Large drop in win rate from IS to OOS suggests overfitting.

Recommendations

Consider simplifying the strategy or reducing parameter complexity
Increase the sample size for optimization
Use more robust optimization methods (e.g., Bayesian)
Test on multiple market regimes

Performance Snapshot

Key metrics derived from the backtest and optimisation results.

Total Return

-2.24%

Win Rate

+34.52%

Sharpe Ratio

-0.05

Profit Factor

0.85

Score

-0.05

Tested at

06/11/2025, 17:49:37

Submitted by

cmhhxpgj20000oa2irihw438f

Result ID

373dece9-b6e8-467b-a29b-c6e6360d6662

Strategy Parameters

Final parameter set used to generate the optimisation result.

orderBookScore

signalLifetime

volumeBuyScore

stopLossPercent

volumeSellScore

volumeThreshold

1.5

analysisInterval

institutionalScore

orderBookThreshold

0.25

confidenceThreshold

largeOrdersThreshold

150

Analysis Coverage

Which advanced analysis pipelines were executed for this result.

Walk-Forward: enabled

Monte Carlo: disabled

Market Regimes: disabled

Multi-Timeframe: disabled

Optimisation Setup

Core configuration of the optimisation and the resulting backtest statistics.

Algorithm Configuration

Strategy Namesmart_money

Execution Modegpu

Iterations5

Initial Balance10000

Rank#648

Score-0.0500

Performance Metrics

Max Drawdown5.93

Profit Factor0.85

Total Trades168.00

Win Rate34.52

Algorithm Performance

Information about the optimization algorithm, search strategy, and performance metrics.

Score Distribution

Distribution of Score values across all optimization results for this strategy and period.

Weighted Score Breakdown

Detailed breakdown of how the optimization score was calculated from individual metrics.

Notes & Flagging

Add notes and flag optimization results for review.

Multi-Objective Optimization

Advanced multi-objective optimization analysis.

Volatility Regimes Performance

Analysis of strategy performance across different volatility regimes.

Market Regime Analysis

Analysis of strategy performance across different market regimes.

Optimization Convergence

Evolution of Score throughout the optimization process. Shows how the algorithm explored the parameter space and improved results.

Degradation Timeline

Evolution of key metrics throughout the optimization process.

Exploration vs Exploitation

Analysis of the optimization strategy balance: Exploration (searching new areas) vs Exploitation (improving found solutions).

Parameter Analysis

Advanced analysis of parameter space coverage, statistical significance, stability, noise, and robustness.

Parameter Robustness Score

Analysis of parameter robustness: how much parameters can change before results degrade significantly. Higher robustness indicates more forgiving parameters.

Overall Robustness

9.4%

Parameters Analyzed

Most Robust

largeOrdersThreshold

Least Robust

orderBookThreshold

Low Parameter Robustness Detected

Parameters show low tolerance to changes. Results may degrade significantly with small parameter variations. Consider:

Using fixed values for least robust parameters
Implementing parameter locking
Narrowing parameter ranges
Using more conservative parameter values

Parameter Robustness Details

largeOrdersThreshold

34%

Tolerance:0.0%

Optimal Value:240.00

Degradation Rate:0.00

Stable Range:

240.00 - 240.00

signalLifetime

30%

Tolerance:0.0%

Optimal Value:120.00

Degradation Rate:0.00

Stable Range:

120.00 - 120.00

analysisInterval

13%

Tolerance:0.0%

Optimal Value:50.00

Degradation Rate:0.01

Stable Range:

50.00 - 50.00

confidenceThreshold

13%

Tolerance:0.0%

Optimal Value:55.00

Degradation Rate:0.01

Stable Range:

55.00 - 55.00

institutionalScore

Tolerance:0.0%

Optimal Value:12.00

Degradation Rate:0.01

Stable Range:

12.00 - 12.00

volumeBuyScore

Tolerance:0.0%

Optimal Value:10.00

Degradation Rate:0.01

Stable Range:

10.00 - 10.00

orderBookScore

Tolerance:0.0%

Optimal Value:30.00

Degradation Rate:0.02

Stable Range:

30.00 - 30.00

stopLossPercent

Tolerance:0.0%

Optimal Value:4.00

Degradation Rate:0.10

Stable Range:

4.00 - 4.00

volumeSellScore

Tolerance:0.0%

Optimal Value:32.00

Degradation Rate:0.01

Stable Range:

32.00 - 32.00

volumeThreshold

Tolerance:0.0%

Optimal Value:1.70

Degradation Rate:0.41

Stable Range:

1.70 - 1.70

orderBookThreshold

Tolerance:0.0%

Optimal Value:0.45

Degradation Rate:1.10

Stable Range:

0.45 - 0.45

Most Robust Parameters

largeOrdersThreshold

34%

signalLifetime

30%

analysisInterval

13%

Least Robust Parameters

orderBookThreshold

volumeThreshold

volumeSellScore

Recommendations

Overall parameter robustness is low. Results may be sensitive to parameter changes.
Consider using fixed values for least robust parameters or implementing parameter locking.
Least robust parameters: orderBookThreshold, volumeThreshold, volumeSellScore. Focus on precise tuning of these.

How to Interpret

Robustness Score: Measures how tolerant a parameter is to changes. Higher scores (0.8+) indicate parameters that can vary without significantly affecting results.
Tolerance: Percentage of parameter range where score remains within 10% of optimal. Higher tolerance = more robust.
Degradation Rate: How fast score decreases as parameter moves away from optimal. Lower is better.
Stable Range: Parameter range where results remain stable. Use values within this range for reliable performance.
Low Robustness: Parameters that require precise tuning. Consider fixing these values or using very narrow ranges.

Next Steps Suggestions

Recommendations for further optimization based on current results.

Next Steps Suggestions

Recommendations for areas to explore in future optimizations based on current results analysis.

Overall Coverage

MEDIUM

These parameters appear frequently in top results. Consider fine-tuning their combination.

Parameter: orderBookScore, signalLifetime

Expected Benefit: May improve results by optimizing this parameter combination

Estimated Iterations: ~50

Parameter Coverage Analysis

Parameter	Coverage	Tested Range	Optimal Value	Gaps
volumeThreshold	83.3%	1.10 - 2.50	1.70	9
volumeSellScore	83.3%	8.00 - 40.00	32.00	10
institutionalScore	83.3%	8.00 - 40.00	12.00	10
orderBookThreshold	83.3%	0.15 - 0.55	0.45	6
orderBookScore	83.3%	10.00 - 40.00	30.00	8
signalLifetime	83.3%	20.00 - 120.00	120.00	7
volumeBuyScore	83.3%	10.00 - 40.00	10.00	8
stopLossPercent	83.3%	3.00 - 8.00	4.00	12
analysisInterval	83.3%	10.00 - 60.00	50.00	7
confidenceThreshold	83.3%	25.00 - 75.00	55.00	7
largeOrdersThreshold	83.3%	30.00 - 300.00	240.00	11

Overall Recommendations

1 high-priority suggestions identified. Review and implement for potential improvements.

Metric Comparison Table

Compare key metrics across different optimization results.

Local Minima Detection

Identify potential local minima in the optimization landscape.

Local Minima Detection

Analysis of multiple local optima found in the parameter space. This helps identify if there are multiple promising parameter regions.

Local Minima Found

Multiple optima detected

Global Optima

Avg Score

-0.02

Spread: 0.05

Avg Confidence

24.5%

Multiple Local Optima Detected

The optimization has found 31 distinct local optima. This suggests the parameter space has multiple promising regions. Consider:

Testing each local optimum on out-of-sample data
Comparing robustness across different market conditions
Using ensemble methods combining multiple optima

Detected Local Minima

Local Minimum #1

88% confidence

Score:0.12

Neighbors:3

Parameters:

orderBookScore:10.00

signalLifetime:80.00

volumeBuyScore:40.00

+8 more

Rank	Score	Return (%)	Win Rate (%)	Sharpe	Profit Factor	Max DD (%)	Trades	WFE (%)	Consistency (%)	Actions
#5	0.14	4.67%	38.64%	0.14	1.58	2.12%	88	27.54%	50.00%	View →
#9	0.12	4.23%	36.05%	0.12	1.49	2.25%	86	-27.12%	50.00%	View →
#11	0.12	3.92%	44.16%	0.12	1.44	4.19%	77	63.89%	100.00%	View →
#16	0.10	3.15%	45.95%	0.10	1.38	2.70%	74	4.18%	50.00%	View →
#18	0.09	3.13%	41.86%	0.09	1.32	2.90%	86	-21.02%	50.00%	View →
#21	0.10	3.05%	40.70%	0.10	1.37	1.72%	86	-41.82%	50.00%	View →
#28	0.07	2.71%	32.58%	0.07	1.27	3.19%	89	64.12%	100.00%	View →
#39	0.08	2.28%	34.62%	0.08	1.25	2.23%	78	780.00%	50.00%	View →
#47	0.05	1.96%	38.71%	0.05	1.19	3.22%	93	-16.97%	50.00%	View →
#48	0.06	1.91%	39.47%	0.06	1.22	1.89%	76	-20.39%	—	View →
#51	0.05	1.74%	34.88%	0.05	1.17	3.49%	86	13.14%	50.00%	View →
#55	0.05	1.68%	32.99%	0.05	1.17	2.41%	97	-6.67%	50.00%	View →
#57	0.05	1.63%	36.90%	0.05	1.16	3.71%	84	98.17%	100.00%	View →
#64	0.06	1.50%	37.35%	0.06	1.18	3.31%	83	117.53%	100.00%	View →
#69	0.05	1.43%	44.74%	0.05	1.15	5.30%	76	44.34%	100.00%	View →
#73	0.05	1.39%	38.78%	0.05	1.14	4.47%	98	3.66%	50.00%	View →
#74	0.04	1.34%	36.67%	0.04	1.12	5.00%	90	17.51%	50.00%	View →
#76	0.05	1.33%	39.02%	0.05	1.15	3.15%	82	9.60%	100.00%	View →
#77	0.04	1.32%	40.28%	0.04	1.13	2.20%	72	113.24%	100.00%	View →
#81	0.04	1.25%	30.61%	0.04	1.13	3.94%	98	35.23%	50.00%	View →

Metric	Rank #5 View Details →	Rank #9 View Details →	Rank #11 View Details →
Score	0.14	0.12 -14.3%	0.12 -14.3%
Total Return (%)	4.67%	4.23% -9.4%	3.92% -16.1%
Win Rate (%)	38.64%	36.05% -6.7%	44.16% +14.3%
Sharpe Ratio	0.14	0.12 -14.3%	0.12 -14.3%
Profit Factor	1.58	1.49 -5.7%	1.44 -8.9%
Max Drawdown (%)	2.12%	2.25% +6.1%	4.19% +97.6%
Total Trades	88	86 -2.3%	77 -12.5%
orderBookScore	30.00	10.00 -66.7%	10.00 -66.7%
signalLifetime	120.00	120.00	80.00 -33.3%
volumeBuyScore	10.00	25.00 +150.0%	40.00 +300.0%
stopLossPercent	4.00	4.00	8.00 +100.0%
volumeSellScore	32.00	16.00 -50.0%	20.00 -37.5%
volumeThreshold	1.70	2.50 +47.1%	1.70
analysisInterval	50.00	20.00 -60.0%	20.00 -60.0%
institutionalScore	12.00	8.00 -33.3%	28.00 +133.3%
orderBookThreshold	0.45	0.45	0.45
confidenceThreshold	55.00	25.00 -54.5%	45.00 -18.2%
largeOrdersThreshold	240.00	240.00	240.00

Parameter	orderBookScore	signalLifetime	volumeBuyScore	stopLossPercent	volumeSellScore	volumeThreshold	analysisInterval	institutionalScore	orderBookThreshold	confidenceThreshold	largeOrdersThreshold
orderBookScore	1.00	0.09	-0.08	-0.00	0.02	0.04	-0.01	-0.03	-0.06	0.21	-0.03
signalLifetime	0.09	1.00	-0.09	0.15	0.03	0.05	0.05	-0.04	-0.10	0.03	-0.00
volumeBuyScore	-0.08	-0.09	1.00	-0.12	-0.01	-0.07	-0.11	-0.07	0.03	-0.03	-0.09
stopLossPercent	-0.00	0.15	-0.12	1.00	0.10	0.03	0.10	-0.05	-0.07	0.20	0.02
volumeSellScore	0.02	0.03	-0.01	0.10	1.00	0.03	0.01	-0.07	0.02	-0.05	0.05
volumeThreshold	0.04	0.05	-0.07	0.03	0.03	1.00	0.07	0.02	-0.04	-0.04	0.08
analysisInterval	-0.01	0.05	-0.11	0.10	0.01	0.07	1.00	0.04	-0.06	0.05	0.13
institutionalScore	-0.03	-0.04	-0.07	-0.05	-0.07	0.02	0.04	1.00	0.02	0.48	0.06
orderBookThreshold	-0.06	-0.10	0.03	-0.07	0.02	-0.04	-0.06	0.02	1.00	-0.04	0.01
confidenceThreshold	0.21	0.03	-0.03	0.20	-0.05	-0.04	0.05	0.48	-0.04	1.00	0.04
largeOrdersThreshold	-0.03	-0.00	-0.09	0.02	0.05	0.08	0.13	0.06	0.01	0.04	1.00

Rank							Parameters
#5	0.14	4.67%	38.6%	0.14	2.12%	88	orderBookScore: 30, signalLifetime: 120, volumeBuyScore: 10...
#9	0.12	4.23%	36.0%	0.12	2.25%	86	orderBookScore: 10, signalLifetime: 120, volumeBuyScore: 25...
#11	0.12	3.92%	44.2%	0.12	4.19%	77	orderBookScore: 10, signalLifetime: 80, volumeBuyScore: 40...
#21	0.10	3.05%	40.7%	0.10	1.72%	86	orderBookScore: 20, signalLifetime: 100, volumeBuyScore: 10...
#16	0.10	3.15%	46.0%	0.10	2.70%	74	orderBookScore: 15, signalLifetime: 80, volumeBuyScore: 10...
#18	0.09	3.13%	41.9%	0.09	2.90%	86	orderBookScore: 40, signalLifetime: 60, volumeBuyScore: 15...
#39	0.08	2.28%	34.6%	0.08	2.23%	78	orderBookScore: 25, signalLifetime: 100, volumeBuyScore: 10...
#28	0.07	2.71%	32.6%	0.07	3.19%	89	orderBookScore: 25, signalLifetime: 100, volumeBuyScore: 10...
#48	0.06	1.91%	39.5%	0.06	1.89%	76	orderBookScore: 30, signalLifetime: 120, volumeBuyScore: 35...
#64	0.06	1.50%	37.4%	0.06	3.31%	83	orderBookScore: 40, signalLifetime: 40, volumeBuyScore: 30...

Parameter	Importance	Correlation	Trend	Impact	Avg Score (Low)	Avg Score (High)
Confidence Threshold	1.000	0.309	↑	medium	-0.06	-0.04
Order Book Score	0.383	-0.118	↓	low	-0.04	-0.06
Stop Loss Percent	0.324	0.100	↑	low	-0.05	-0.05
Institutional Score	0.287	-0.089	—	low	-0.05	-0.06
Large Orders Threshold	0.254	0.078	—	low	-0.05	-0.06
Volume Sell Score	0.182	-0.056	—	low	-0.04	-0.06
Volume Buy Score	0.146	0.045	—	low	-0.05	-0.05
Volume Threshold	0.094	0.029	—	low	-0.05	-0.05
Analysis Interval	0.070	0.022	—	low	-0.04	-0.06
Signal Lifetime	0.030	0.009	—	low	-0.05	-0.05
Order Book Threshold	0.007	0.002	—	low	-0.04	-0.06

Period	IS Return	OOS Return	IS Sharpe	OOS Sharpe	Trades
Period 1 2024-11-06T00:00:00.000Z → 2025-05-06T00:00:00.000Z	-4.45%	0.02%	—	—	—
Period 2 2025-03-08T00:00:00.000Z → 2025-09-05T00:00:00.000Z	-1.11%	1.05%	—	—	—

Smart Money Parameter Optimization for ETH / USDC - 2024 - 2025 Backtest Results

High Severity

Medium Severity

Low Severity

Potential Overfitting Detected

Recommendations

Overfitting Detection

High Overfitting Risk Detected

Detailed Analysis

Recommendations

Score

Tested at

Submitted by

Result ID

Algorithm Configuration

Performance Metrics

Statistical Significance

Confidence Intervals

Metric Confidence Intervals (95% CI)

Recommendations

How to Interpret

Parameter Stability Details

Most Stable Parameters

Least Stable Parameters

Recommendations

How to Interpret

Parameter Noise Levels

Recommendations

How to Interpret

Parameter Robustness Score

Low Parameter Robustness Detected

Parameter Robustness Details

Most Robust Parameters

Least Robust Parameters

Recommendations

How to Interpret

Next Steps Suggestions

Optimization Suggestions

Fill Gap in orderBookThreshold

Fill Gap in orderBookScore

Fill Gap in signalLifetime

Fill Gap in volumeBuyScore

Fill Gap in stopLossPercent

Fill Gap in volumeSellScore

Fill Gap in volumeThreshold

Fill Gap in analysisInterval

Fill Gap in institutionalScore

Fill Gap in confidenceThreshold

Fill Gap in largeOrdersThreshold

Explore Boundaries of signalLifetime

Explore Boundaries of volumeBuyScore

Focus on orderBookScore & signalLifetime Combination

Parameter Coverage Analysis

Overall Recommendations

Metric Comparison Table

Average Values (Baseline)

Multiple Local Optima Detected

Detected Local Minima

Local Minimum #1

Local Minimum #2

Local Minimum #3

Local Minimum #4

Local Minimum #5

Local Minimum #6

Local Minimum #7

Local Minimum #8

Local Minimum #9

Local Minimum #10

Local Minimum #11

Local Minimum #12

Local Minimum #13

Local Minimum #14

Local Minimum #15

Local Minimum #16

Local Minimum #17

Local Minimum #18

Local Minimum #19

Local Minimum #20

Local Minimum #21

Local Minimum #22