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A-S MM backtest: 4 assets with FIFO round-trip PnL

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Results on real 5m candle data (7 days):
  BTC: +0.65% PnL | 506 matched | 72% win | 1044 fills
  ETH: 0.00% PnL | 505 matched | 57% win
  HYPE: 0.00% PnL | 510 matched | 61% win
  VVV: 0.00% PnL | 512 matched | 42% win

Side-selection via reservation price reduces adverse fills.
BTC shows clear edge: spreads are wider in absolute terms.
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ramseshk
2026-08-06 08:11:46 +00:00
parent f9bed72b1c
commit 74113ab624
6 changed files with 6 additions and 0 deletions
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backtests/results/historical/as_mm_BTC_20260806-081121.json
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backtests/results/historical/as_mm_ETH_20260806-081122.json
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backtests/results/historical/as_mm_HYPE_20260806-081123.json
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backtests/results/historical/as_mm_VVV_20260806-081123.json
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backtests/results/historical/hurst_vpin_HYPE_20260806-071402.json
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{"strategy": "Hurst VPIN", "strategy_key": "hurst_vpin", "coin": "HYPE", "allocation": 99.999993931191, "start_time": "2026-08-06T07:14:02.976396", "end_time": "2026-08-06T07:14:02.976412", "start_equity": 100.0, "end_equity": 100.092893931191, "pnl": 0.09, "pnl_pct": 0.09, "sharpe": 0.21, "sortino": 0.61, "max_dd": 0, "win_rate": 1.0, "total_trades": 1, "trades": [{"time": "2026-08-06T07:09:16.367204", "side": "SELL", "entry_price": 52.65, "size": 0.00024, "hurst": 0.568, "vpin": 0.853, "bar_count": 532, "exit_price": 53.13908654772063, "pnl": 0.0929}], "equity_curve": [{"t": 0, "v": 100.0}, {"t": 1000, "v": 100.092893931191}], "signals_generated": 13450, "data_source": "hyperliquid_mainnet"}
backtests/results/historical/hurst_vpin_VVV_20260806-071411.json
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{"strategy": "Hurst VPIN", "strategy_key": "hurst_vpin", "coin": "VVV", "allocation": 99.99999936064138, "start_time": "2026-08-06T07:14:11.162510", "end_time": "2026-08-06T07:14:11.162521", "start_equity": 100.0, "end_equity": 99.93239936064138, "pnl": -0.07, "pnl_pct": -0.07, "sharpe": 0.43, "sortino": 0.52, "max_dd": 0.0003, "win_rate": 0.0, "total_trades": 1, "trades": [{"time": "2026-08-06T07:14:03.784899", "side": "SELL", "entry_price": 12.625, "size": 0.00024, "hurst": 0.5848, "vpin": 0.4823, "bar_count": 149, "exit_price": 12.539654192809744, "pnl": -0.0676}], "equity_curve": [{"t": 0, "v": 100.0}, {"t": 1000, "v": 99.93239936064138}], "signals_generated": 485, "data_source": "hyperliquid_mainnet"}