 ramseshk
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31c1fe7fbe
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chore: sweep all strategies on HFT/intraday/intraweek intervals — 639 clean results
Archived all old historical/ files (zero trade prices, broken).
Removed 67 zero-trade sweep files.
Fresh sweep: 360/360 succeeded across 9 strategies
HFT (1m,5m), intraday (15m,1h,4h), intraweek (1d)
6 bar limits (100-5000), BTC + ETH for pairs
Key results by timeframe:
HFT (1m/5m, 235 files):
hurst_vpin 1m 200b S=82.05 1t +0.60%
hurst_vpin 1m 100b S=62.06 1t +0.22%
momentum 1m 100b S=31.96 2t +0.16%
NOTE: 1m results are noisy, single-trade Sharpe unreliable
INTRADAY (15m/1h/4h, 303 files):
hurst_vpin 15m 100b S=19.38 1t +0.58%
grid_mm 1h 100b S= 8.56 4t +2.50%
obi 15m 100b S= 6.95 2t +0.29%
momentum 4h 100b S= 2.91 3t +2.70%
INTRAWEEK (1d, 101 files):
hurst_vpin 1d 100b S= 1.17 1t +5.03%
grid_mm 1d 5000b S= 0.78 1t +446%*
momentum 1d 5000b S= 0.51 66t +56%
mean_rev 1d 5000b S= 0.69 111t +37%
* grid_mm 1d returns suspiciously high — likely signal artifact
VBT Dashboard: 639 results, paginated, searchable
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2026-08-07 17:34:55 +08:00 |
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