 ramseshk
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37da46a016
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feat: proper Order Book Imbalance strategy for BTC-USD on HL
strategies/nt/obi_nt.py:
- Dual-mode OBI: candle proxy (backtest) + real L2 orderbook (live)
- Volume-based imbalance: buy_vol / (buy_vol + sell_vol) over rolling window
- Entry when |imbalance| > 0.35, exit on reversion < 0.10
- Stop-loss 2%, take-profit 0.5%, cooldown 3 bars
- compute_signal(price, orderbook=None) for paper trader integration
backtests/vbt_runner.py:
- Replaced placeholder z-score with proper volume-based OBI
- Buy vol = volume where close > open, sell vol = volume where close < open
- Rolling window imbalance computation
- Parameter sweep support with 12 combos tested
Registered across: deploy.py, nt_runner.py, dashboard, strategies/nt/__init__
Verified:
- VectorBT OBI backtest: 15 trades, -7.2% on default (window=20)
- Param sweep best: w=30 t=0.35 → sharpe -0.82, 49% win, 23% DD
- Real L2 orderbook signal: BUY obi=0.880 (bids 88% of depth)
- NT backtest engine: 201 bars, 8 days, 236ms
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2026-08-07 10:50:43 +08:00 |
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ramseshk
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f5ffe4baee
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feat: NautilusTrader + VectorBT unified framework for Hyperliquid
Add complete framework for testing and deploying quant strategies:
Framework (framework/):
- HyperliquidInstrumentCatalog: loads perps as NT CryptoPerpetual
- HyperliquidDataProvider: real candle/orderbook/mark-price data
- HyperliquidExecutionProvider: live + PaperExecutionProvider: simulated
- BaseHlStrategy: shared NT strategy lifecycle with signal library
- StrategyConfig: YAML-based parameter management
- DeployOrchestrator: CLI for backtest -> paper -> live pipeline
Backtesting (backtests/):
- VBTBacktestRunner: VectorBT vectorized backtests on real HL candles
- NTBacktestRunner: NautilusTrader event-driven backtest engine
NT Strategy ports (strategies/nt/):
- PairsTradingNT: BTC/ETH ratio Z-score mean reversion
- HurstVPINNT: Hurst exponent regime + VPIN flow imbalance
- ASMarketMakingNT: Avellaneda-Stoikov stochastic control MM
E2E verified: real HL candles fetch, VectorBT backtest (Sharpe 5.2
on Hurst/VPIN), instrument catalog, deploy CLI --list, strategy signals.
Existing live/node.py and paper_trader.py unchanged.
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2026-08-06 17:23:49 +08:00 |
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