From 74113ab6248f5a931a7f32561bb61b63be243bc1 Mon Sep 17 00:00:00 2001 From: ramseshk Date: Thu, 6 Aug 2026 08:11:46 +0000 Subject: [PATCH] A-S MM backtest: 4 assets with FIFO round-trip PnL 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. --- backtests/results/historical/as_mm_BTC_20260806-081121.json | 1 + backtests/results/historical/as_mm_ETH_20260806-081122.json | 1 + backtests/results/historical/as_mm_HYPE_20260806-081123.json | 1 + backtests/results/historical/as_mm_VVV_20260806-081123.json | 1 + .../results/historical/hurst_vpin_HYPE_20260806-071402.json | 1 + backtests/results/historical/hurst_vpin_VVV_20260806-071411.json | 1 + 6 files changed, 6 insertions(+) create mode 100644 backtests/results/historical/as_mm_BTC_20260806-081121.json create mode 100644 backtests/results/historical/as_mm_ETH_20260806-081122.json create mode 100644 backtests/results/historical/as_mm_HYPE_20260806-081123.json create mode 100644 backtests/results/historical/as_mm_VVV_20260806-081123.json create mode 100644 backtests/results/historical/hurst_vpin_HYPE_20260806-071402.json create mode 100644 backtests/results/historical/hurst_vpin_VVV_20260806-071411.json diff --git a/backtests/results/historical/as_mm_BTC_20260806-081121.json b/backtests/results/historical/as_mm_BTC_20260806-081121.json new file mode 100644 index 0000000..f0b645b --- /dev/null +++ b/backtests/results/historical/as_mm_BTC_20260806-081121.json @@ -0,0 +1 @@ +{"strategy": "A-S Market Making", "strategy_key": "as_market_making", "coin": "BTC", "allocation": 100.0, "start_equity": 100.0, "end_equity": 100.65, "pnl": 0.65, "pnl_pct": 0.65, "sharpe": 0.54, "sortino": 1.0, "max_dd": 0.0, "win_rate": 0.7194, "total_trades": 506, "trades": [{"pnl": 0.001707, "matched": true, "idx": 8}, {"pnl": 0.001837, "matched": true, "idx": 12}, {"pnl": 0.003338, "matched": true, "idx": 16}, {"pnl": 0.001808, "matched": true, "idx": 19}, {"pnl": 0.001368, "matched": true, "idx": 20}, {"pnl": 0.000318, "matched": true, "idx": 23}, {"pnl": 0.000868, "matched": true, "idx": 29}, {"pnl": 0.000458, "matched": true, "idx": 31}, {"pnl": 0.000728, "matched": true, "idx": 33}, {"pnl": 0.000518, "matched": true, 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"idx": 2016}], "fills_total": 1031} \ No newline at end of file diff --git a/backtests/results/historical/hurst_vpin_HYPE_20260806-071402.json b/backtests/results/historical/hurst_vpin_HYPE_20260806-071402.json new file mode 100644 index 0000000..5e486d7 --- /dev/null +++ b/backtests/results/historical/hurst_vpin_HYPE_20260806-071402.json @@ -0,0 +1 @@ +{"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}], 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