 ramseshk
|
78a170a42b
|
feat: VBT sweep runner — batch backtest all strategy/interval/limit/coin combos
backtests/sweep_runner.py:
- Generates all valid strategy x interval x limit x coin combinations
(9 strategies, 6 intervals, 6 bar limits, 2 coins = 360 combos)
- Sequential mode with configurable rate-limiting delay
- Multi-process parallel mode (ProcessPoolExecutor)
- Progress logging, ETA, summary stats
- --dry-run flag to preview without executing
- CLI: python -m backtests.sweep_runner --workers 2 --delay 1.0
Results from initial sweep (262/360 succeeded):
Best performers:
grid_mm 1h 100b S=5.08 ret=1.45% 4 trades
composite_mm 4h S=3.50 ret=1.50% 1 trade
momentum 4h 200b S=3.12 ret=5.94% 7 trades
hurst_vpin 4h 100b S=2.88 ret=1.89% 1 trade
Regime issues found:
- 1m interval: universally extreme negative Sharpe
(VBT can't model sub-minute HFT dynamics)
- iceberg: generated 0 trades across all 28 runs (signal bug)
- as_mm: many combos with 'no results' (A-S in low vol)
- mean_rev: consistent negative across all combos
Archived 67 old broken files, kept 310 clean sweep results
|
2026-08-07 16:14:13 +08:00 |
|