rams/ftdt-quant-lab
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
131 Commits 1 Branch 0 Tags
b7c7fbb0aff1a113194db345ab79367a02b8a30d
Commit Graph

5 Commits

Author SHA1 Message Date
ramseshk 7d5b05b640 chore: archive 7 broken backtest files with no equity curves 
Archived files (backtests/results/archive/):
  as_mm_BTC_20260806-081121.json  — 506 trades, no EC, no PnL
  as_mm_ETH_20260806-081122.json  — 505 trades, no EC, no PnL
  as_mm_HYPE_20260806-081123.json — 510 trades, no EC, no PnL
  as_mm_VVV_20260806-081123.json  — 512 trades, no EC, no PnL
  hurst_vpin_BTC_20260806-071308.json — 47 trades, no EC
  spx_reversion_1h_20260806-073445.json — 38 trades, no EC
  spx_reversion_30m_20260806-073445.json — 22 trades, no EC

Remaining: 102 files with valid equity curves (720+ points)
and meaningful Sharpe ratios + trade data
 2026-08-07 15:52:04 +08:00
ramseshk 92ba6a564a chore: ignore generated VBT backtest result files 2026-08-07 12:59:34 +08:00
ramseshk f5ffe4baee 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.
 2026-08-06 17:23:49 +08:00
ramseshk ac1b33a014 gitignore: exclude Next.js build artifacts from tracking 2026-08-05 04:52:43 +00:00
ramseshk b59dcc3629 Initial project scaffold: five quant strategies for Hyperliquid Testnet 
Set up the directory structure and wrote placeholder logic for:

- Order Book Imbalance: trades on L2 bid/ask skew
- Iceberg/TWAP detection: follows whale accumulation patterns
- Funding rate arbitrage: delta-neutral carry on perp funding
- Pairs trading: BTC/ETH spread mean reversion
- Avellaneda-Stoikov market making: optimal bid/ask quoting

Also added shared risk manager, portfolio tracker, and a plain-language strategy walkthrough in docs/.
 2026-08-03 11:12:20 +00:00