feat: proper Grid MM, Composite MM, Hurst/VPIN, Iceberg, A-S strategies

New strategies (strategies/nt/):
- GridMMNT: symmetric limit order grid around mid-price, captures spread from
  oscillation. Simulates fills from candle high/low. Rebuilds grid every 20 bars.
- CompositeMMNT: weighted ensemble of OBI (30%) + A-S inventory skew (40%) +
  Hurst/VPIN (30%). Votes: +1 long, -1 short, 0 neutral. Entry |score| > 0.5.
- IcebergNT: volume spike detection for whale accumulation. Dual-mode:
  candle proxy (volume > avg*2.5, >= 3 consecutive same-direction) and
  L2 wall detection (single level > avg*3). Exit on stop-loss/time/spike-fade.

Fixed strategies:
- Hurst/VPIN VBT: added proper VPIN proxy from candle volume (buy_vol when close
  > open, sell_vol when close < open). 50-bar rolling VPIN window. Signal:
  H>0.55 AND VPIN>0.25 AND |direction|>0.05. Exit: H<0.45 or direction flips.
- Hurst/VPIN paper trader: added HurstVPINLive integration (was missing entirely)
- A-S VBT: replaced placeholder spread filter with proper A-S simulation using
  reservation price formula (mid - q*gamma*sigma^2*tau), inventory tracking
- A-S NT formula: fixed to standard: mid - q*gamma*sigma^2*tau (was scaled by
  notional and gamma_scale improperly)
- Iceberg VBT: new volume spike detection replacing the old trend proxy

Registry: all 7 strategies now  (pairs, hurst_vpin, as_mm, obi, grid_mm,
         composite_mm, iceberg)

VBT backtest results (500 BTC 1h bars):
  pairs:       -2.81%  13 trades   38% win
  hurst_vpin:  -0.77%   1 trade    (VPIN now active, very selective)
  as_mm:       -16.38%  73 trades  29% win
  obi:         -7.19%  15 trades    7% win
  grid_mm:     -4.79%  22 trades  33% win
  iceberg:     0 trades (threshold strict for 1h BTC data)
This commit is contained in:
ramseshk
2026-08-07 11:42:32 +08:00
parent 37da46a016
commit 3606e7f92e
10 changed files with 828 additions and 12 deletions
+3
View File
@@ -574,6 +574,9 @@ async def list_vbt_strategies():
{"key": "hurst_vpin", "name": "Hurst VPIN", "coins": ["BTC"]},
{"key": "as_mm", "name": "Avellaneda-Stoikov MM", "coins": ["BTC"]},
{"key": "obi", "name": "Order Book Imbalance", "coins": ["BTC"]},
{"key": "grid_mm", "name": "Grid Market Making", "coins": ["BTC"]},
{"key": "composite_mm", "name": "Composite MM", "coins": ["BTC"]},
{"key": "iceberg", "name": "Iceberg Detection", "coins": ["BTC"]},
{"key": "momentum", "name": "Momentum Breakout", "coins": ["ETH"]},
{"key": "mean_rev", "name": "Mean Reversion", "coins": ["ETH"]},
])