ramseshk
31c1fe7fbe
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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6.7 KiB
JSON
1 line
6.7 KiB
JSON
{"strategy": "grid_mm", "interval": "1h", "n_bars": 101, "start_equity": 10000.0, "end_equity": 10250.03, "total_return_pct": 2.5, "pnl": 250.03, "sharpe": 8.563, "sortino": 16.876, "max_drawdown_pct": 1.64, "win_rate": 0.667, "profit_factor": 6.581, "expectancy": 77.505, "trades": [{"time": "2026-08-05 09:00:00", "side": "BUY", "asset": "BTC", "size": 0.159576, "entry_px": 62656.59, "exit_px": 64062.87, "pnl_gross": 221.3754, "pnl_net": 218.3422, "fee": 3.033208, "fee_rate_pct": 0.015, "return_pct": 2.214, "duration": ""}, {"time": "2026-08-06 03:00:00", "side": "BUY", "asset": "BTC", "size": 0.159446, "entry_px": 64096.03, "exit_px": 64446.49, "pnl_gross": 52.8046, "pnl_net": 49.7302, "fee": 3.074339, "fee_rate_pct": 0.015, "return_pct": 0.517, "duration": ""}, {"time": "2026-08-06 10:00:00", "side": "BUY", "asset": "BTC", "size": 0.158607, "entry_px": 64767.7, "exit_px": 64524.41, "pnl_gross": -41.6639, "pnl_net": -44.7399, "fee": 3.075995, "fee_rate_pct": 0.015, "return_pct": -0.406, "duration": ""}, {"time": "2026-08-07 09:00:00", "side": "BUY", "asset": "BTC", "size": 0.158221, "entry_px": 64662.6, "exit_px": 64783.0, "pnl_gross": 17.5155, "pnl_net": 14.4433, "fee": 3.072152, "fee_rate_pct": 0.015, "return_pct": 0.171, "duration": ""}], "params": {"grid_levels": 10, "grid_spacing_pct": 0.1, "rebalance_every": 20, "type": "Market Making"}, "fee_info": {"entry_fee": 0.015, "exit_fee": 0.015, "total_fee": 0.03, "taker_rate_pct": 0.045, "maker_rate_pct": 0.015, "effective_rate_pct": 0.015, "vip_tier": 0, "staking_tier": "none", "fee_model": "maker", "tier_name": "Tier 0 (<$5M)", "staking_name": "No Stake"}, "equity_curve": [{"t": "2026-08-03T05:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T06:00:00+00:00", "v": 9988.51}, {"t": "2026-08-03T07:00:00+00:00", "v": 9988.99}, {"t": "2026-08-03T08:00:00+00:00", "v": 9976.38}, {"t": "2026-08-03T09:00:00+00:00", "v": 10023.3}, {"t": "2026-08-03T10:00:00+00:00", "v": 10008.62}, {"t": "2026-08-03T11:00:00+00:00", "v": 9978.94}, {"t": "2026-08-03T12:00:00+00:00", "v": 10001.76}, {"t": "2026-08-03T13:00:00+00:00", "v": 10107.56}, {"t": "2026-08-03T14:00:00+00:00", "v": 10203.3}, {"t": "2026-08-03T15:00:00+00:00", "v": 10158.78}, {"t": "2026-08-03T16:00:00+00:00", "v": 10172.18}, {"t": "2026-08-03T17:00:00+00:00", "v": 10192.77}, {"t": "2026-08-03T18:00:00+00:00", "v": 10187.18}, {"t": "2026-08-03T19:00:00+00:00", "v": 10186.07}, {"t": "2026-08-03T20:00:00+00:00", "v": 10174.74}, {"t": "2026-08-03T21:00:00+00:00", "v": 10142.66}, {"t": "2026-08-03T22:00:00+00:00", "v": 10145.69}, {"t": "2026-08-03T23:00:00+00:00", "v": 10131.81}, {"t": "2026-08-04T00:00:00+00:00", "v": 10107.4}, {"t": "2026-08-04T01:00:00+00:00", "v": 10184.63}, {"t": "2026-08-04T02:00:00+00:00", "v": 10180.8}, {"t": "2026-08-04T03:00:00+00:00", "v": 10177.29}, {"t": "2026-08-04T04:00:00+00:00", "v": 10213.99}, {"t": "2026-08-04T05:00:00+00:00", "v": 10177.29}, {"t": "2026-08-04T06:00:00+00:00", "v": 10156.55}, {"t": "2026-08-04T07:00:00+00:00", "v": 10158.46}, {"t": "2026-08-04T08:00:00+00:00", "v": 10142.18}, {"t": "2026-08-04T09:00:00+00:00", "v": 10144.1}, {"t": "2026-08-04T10:00:00+00:00", "v": 10171.23}, {"t": "2026-08-04T11:00:00+00:00", "v": 10196.76}, {"t": "2026-08-04T12:00:00+00:00", "v": 10193.57}, {"t": "2026-08-04T13:00:00+00:00", "v": 10157.82}, {"t": "2026-08-04T14:00:00+00:00", "v": 10228.35}, {"t": "2026-08-04T15:00:00+00:00", "v": 10227.4}, {"t": "2026-08-04T16:00:00+00:00", "v": 10200.59}, {"t": "2026-08-04T17:00:00+00:00", "v": 10203.78}, {"t": "2026-08-04T18:00:00+00:00", "v": 10255.64}, {"t": "2026-08-04T19:00:00+00:00", "v": 10245.11}, {"t": "2026-08-04T20:00:00+00:00", "v": 10263.62}, {"t": "2026-08-04T21:00:00+00:00", "v": 10238.89}, {"t": "2026-08-04T22:00:00+00:00", "v": 10251.49}, {"t": "2026-08-04T23:00:00+00:00", "v": 10223.73}, {"t": "2026-08-05T00:00:00+00:00", "v": 10206.81}, {"t": "2026-08-05T01:00:00+00:00", "v": 10261.39}, {"t": "2026-08-05T02:00:00+00:00", "v": 10266.97}, {"t": "2026-08-05T03:00:00+00:00", "v": 10237.93}, {"t": "2026-08-05T04:00:00+00:00", "v": 10236.49}, {"t": "2026-08-05T05:00:00+00:00", "v": 10263.14}, {"t": "2026-08-05T06:00:00+00:00", "v": 10248.3}, {"t": "2026-08-05T07:00:00+00:00", "v": 10234.9}, {"t": "2026-08-05T08:00:00+00:00", "v": 10227.56}, {"t": "2026-08-05T09:00:00+00:00", "v": 10221.38}, {"t": "2026-08-05T10:00:00+00:00", "v": 10209.63}, {"t": "2026-08-05T11:00:00+00:00", "v": 10211.07}, {"t": "2026-08-05T12:00:00+00:00", "v": 10250.93}, {"t": "2026-08-05T13:00:00+00:00", "v": 10265.28}, {"t": "2026-08-05T14:00:00+00:00", "v": 10274.69}, {"t": "2026-08-05T15:00:00+00:00", "v": 10260.5}, {"t": "2026-08-05T16:00:00+00:00", "v": 10304.66}, {"t": "2026-08-05T17:00:00+00:00", "v": 10320.93}, {"t": "2026-08-05T18:00:00+00:00", "v": 10326.67}, {"t": "2026-08-05T19:00:00+00:00", "v": 10331.45}, {"t": "2026-08-05T20:00:00+00:00", "v": 10331.13}, {"t": "2026-08-05T21:00:00+00:00", "v": 10315.98}, {"t": "2026-08-05T22:00:00+00:00", "v": 10299.56}, {"t": "2026-08-05T23:00:00+00:00", "v": 10304.18}, {"t": "2026-08-06T00:00:00+00:00", "v": 10303.07}, {"t": "2026-08-06T01:00:00+00:00", "v": 10294.62}, {"t": "2026-08-06T02:00:00+00:00", "v": 10292.54}, {"t": "2026-08-06T03:00:00+00:00", "v": 10274.18}, {"t": "2026-08-06T04:00:00+00:00", "v": 10262.38}, {"t": "2026-08-06T05:00:00+00:00", "v": 10288.07}, {"t": "2026-08-06T06:00:00+00:00", "v": 10281.57}, {"t": "2026-08-06T07:00:00+00:00", "v": 10275.22}, {"t": "2026-08-06T08:00:00+00:00", "v": 10295.68}, {"t": "2026-08-06T09:00:00+00:00", "v": 10254.6}, {"t": "2026-08-06T10:00:00+00:00", "v": 10232.52}, {"t": "2026-08-06T11:00:00+00:00", "v": 10220.76}, {"t": "2026-08-06T12:00:00+00:00", "v": 10188.33}, {"t": "2026-08-06T13:00:00+00:00", "v": 10190.22}, {"t": "2026-08-06T14:00:00+00:00", "v": 10244.02}, {"t": "2026-08-06T15:00:00+00:00", "v": 10220.76}, {"t": "2026-08-06T16:00:00+00:00", "v": 10240.7}, {"t": "2026-08-06T17:00:00+00:00", "v": 10218.7}, {"t": "2026-08-06T18:00:00+00:00", "v": 10187.85}, {"t": "2026-08-06T19:00:00+00:00", "v": 10191.96}, {"t": "2026-08-06T20:00:00+00:00", "v": 10190.38}, {"t": "2026-08-06T21:00:00+00:00", "v": 10191.65}, {"t": "2026-08-06T22:00:00+00:00", "v": 10176.78}, {"t": "2026-08-06T23:00:00+00:00", "v": 10172.5}, {"t": "2026-08-07T00:00:00+00:00", "v": 10171.71}, {"t": "2026-08-07T01:00:00+00:00", "v": 10188.33}, {"t": "2026-08-07T02:00:00+00:00", "v": 10183.58}, {"t": "2026-08-07T03:00:00+00:00", "v": 10167.12}, {"t": "2026-08-07T04:00:00+00:00", "v": 10162.22}, {"t": "2026-08-07T05:00:00+00:00", "v": 10174.56}, {"t": "2026-08-07T06:00:00+00:00", "v": 10168.86}, {"t": "2026-08-07T07:00:00+00:00", "v": 10171.71}, {"t": "2026-08-07T08:00:00+00:00", "v": 10216.33}, {"t": "2026-08-07T09:00:00+00:00", "v": 10250.03}], "total_trades": 4, "generated_at": "2026-08-07T09:25:07.936403+00:00", "asset": "BTC"} |