rams/ftdt-quant-lab
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
146 Commits 1 Branch 0 Tags
0446443d36f9fe82b825d5af60d89c5e92d69fa9
Commit Graph

5 Commits

Author SHA1 Message Date
ramseshk 0446443d36 feat: creative alpha models + portfolio layer targeting Sharpe > 1.5 
New strategies:
  - Cross-Sectional Momentum: long top-N, short bottom-N across HL universe
  - Spot-Perp Basis Arbitrage: delta-neutral spot vs perp price gap trading
  - Regime-Switching Ensemble: dynamically allocates strategies by market regime
  - Portfolio Construction: risk parity, vol targeting, correlation penalty

Infrastructure:
  - DuckDBDataProvider: real tick/candle data for backtests (replaces synthetic)
  - Walk-Forward Validation: systematic IS/OOS across all 12 strategies
  - 3 Jupyter research notebooks (EDA, strategy research, portfolio)

Pipeline integration:
  - deploy.py registry, sweep_runner, vbt_runner all updated
  - fee_tiers support for new strategies
  - All modules syntax-validated and import-tested
 2026-08-12 12:26:29 +08:00
ramseshk 0162e83138 feat: Hyperliquid fee schedule — all tiers, staking, maker rebates 
config/fee_tiers.py — complete rewrite:
  - 7 perps fee tiers (T0-T6) matching HL docs:
    T0: 0.045/0.015% → T6: 0.024/0.000%
  - 7 spot fee tiers (T0-T6):
    T0: 0.070/0.040% → T6: 0.025/0.000%
  - 7 staking tiers (none → diamond):
    multiplier 1.00 → 0.60 (40% discount)
  - 3 maker rebate tiers (>0.5%, >1.5%, >3% maker ratio)
    extra -0.001% to -0.003% on positive maker rates
  - compute_trade_fees() — per-trade fee breakdown
  - fee_tier_from_volume(), staking_tier_from_hype()
  - STRATEGY_FEE_MODELS: maker/taker classification per strategy

backtests/vbt_runner.py:
  - Accept vip_tier, staking_tier, maker_rebate_tier at init
  - Auto-detect fee model per strategy (maker vs taker)
  - compute_trade_fees() for per-trade fee calculation
  - Include fee_info in result JSON

dashboard/server.py:
  - /api/vbt/run accepts fee_tier/aking_tier/maker_rebate params
  - Trade normalization uses proper HL fee schedule per strategy
  - /api/vbt/result/{filename}/recalc — recalc trades with new tiers
  - /api/vbt/fee_tiers — get full fee schedule as JSON

dashboard/static/vbt.html:
  - Fee tier selector (T0-T6) + staking tier selector
  - Auto-recalculate on tier change when a result is selected
  - Fee rate shown in trade log header (e.g. 0.045%)
 2026-08-07 15:44:43 +08:00
ramseshk 526a40b01e Rename VIP→Tier, recalculate equity curve on fee tier change 
Renamed all "VIP N" to "Tier N" in config, server, and HTML dropdowns.

Added recalc_equity_curve() that rebuilds the equity curve with new
fee rates. Previously the equity curve was passed through unchanged
when switching tiers, so the chart visually stayed identical even
though PnL numbers changed. Now each tier produces its own curve.

Example OBI historical: Tier 0 equity ends at 141.5, Tier 6 at 149.7 —
the chart visibly shifts up as fees drop from 4.5bp to 2.4bp taker.
 2026-08-04 09:12:07 +00:00
ramseshk 055da97a79 Fix fee tiers to match official Hyperliquid docs 
Perps tiers 4-6 had wrong volume thresholds, taker rates, and
incorrect negative maker rebates (HL only has rebates via staking).

Changes (matching https://hyperliquid.gitbook.io/.../trading/fees):
  Tier 4: $250M→$500M vol, taker 0.025%→0.028%
  Tier 5: $750M→$2B vol, taker 0.020%→0.026%, maker -0.002%→0.000%
  Tier 6: $2.5B→$7B vol, taker 0.015%→0.024%, maker -0.004%→0.000%

UI dropdown labels updated to match. Chart refresh enhanced with
resize+fitContent after recalc for smooth transitions.
 2026-08-04 09:04:05 +00:00
ramseshk 0c0d2124ad Add Hyperliquid fee tier selector — 7 VIP levels × 7 staking tiers 
config/fee_tiers.py: complete Hyperliquid fee schedule with perps and spot
base rates plus staking discount multipliers. effective_rate() computes
the actual fee after staking discount. get_perp_fees() returns the
effective rate for a given VIP tier, staking tier, and fee model.

Backtest runner: added --fee-tier (0-6) and --staking-tier flags.
Regenerated all 12 backtests at VIP 0 baseline. Runner now shows fee tier
info at startup.

Server: /api/backtest/{name}/recalc endpoint accepts ?fee_tier=X&staking_tier=Y
and returns recalculated PnL with the new fee structure. On-the-fly
recalculation — no need to re-run the backtest.

Dashboard: VIP tier dropdown (VIP 0-6) and staking tier dropdown
(None/Wood/Bronze/Silver/Gold/Platinum/Diamond) in backtest detail panel.
Changing either instantly recalculates PnL via the API.

Key finding: Cartea-Jaimungal goes from -5.58% net at VIP0 to +2.39% net
at VIP6+Diamond (maker rebate: exchange pays YOU -0.0024% to provide
liquidity). Fee structure completely changes strategy viability assessment.
 2026-08-04 07:26:40 +00:00