rams/ftdt-quant-lab
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
0486e8c93f9b300ad6b5dec4c80c502d185bcef1
ftdt-quant-lab/backtests/results/hurst_vpin_BTC_1m_100_20260807-092848.json
T
ramseshk 31c1fe7fbe 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
2026-08-07 17:34:55 +08:00

1 line
6.0 KiB
JSON
Raw Blame History

{"strategy": "hurst_vpin", "interval": "1m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 10021.71, "total_return_pct": 0.22, "pnl": 21.71, "sharpe": 62.059, "sortino": 85.603, "max_drawdown_pct": 0.16, "win_rate": NaN, "profit_factor": NaN, "expectancy": NaN, "trades": [{"time": "2026-08-07 09:28:00", "side": "BUY", "asset": "BTC", "size": 0.154656, "entry_px": 64630.57, "exit_px": 64800.0, "pnl_gross": 21.706, "pnl_net": 12.6983, "fee": 9.007746, "fee_rate_pct": 0.045, "return_pct": 0.217, "duration": ""}], "params": {"hurst_entry": 0.55, "hurst_exit": 0.45, "vpin_threshold": 0.25, "vpin_window": 50, "hurst_window": 64, "type": "Directional"}, "fee_info": {"entry_fee": 0.045, "exit_fee": 0.045, "total_fee": 0.09, "taker_rate_pct": 0.045, "maker_rate_pct": 0.015, "effective_rate_pct": 0.045, "vip_tier": 0, "staking_tier": "none", "fee_model": "taker", "tier_name": "Tier 0 (<$5M)", "staking_name": "No Stake"}, "equity_curve": [{"t": "2026-08-07T07:48:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:49:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:50:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:51:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:52:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:53:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:54:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:55:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:56:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:57:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:58:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:59:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:01:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:02:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:03:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:04:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:05:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:06:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:07:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:08:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:09:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:10:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:11:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:12:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:13:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:14:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:15:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:16:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:17:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:18:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:19:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:20:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:21:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:22:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:23:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:24:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:25:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:26:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:27:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:28:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:29:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:30:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:31:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:32:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:33:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:34:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:35:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:36:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:37:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:38:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:39:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:40:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:41:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:42:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:43:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:44:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:45:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:46:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:47:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:48:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:49:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:50:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:51:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:52:00+00:00", "v": 9985.52}, {"t": "2026-08-07T08:53:00+00:00", "v": 9984.9}, {"t": "2026-08-07T08:54:00+00:00", "v": 9985.36}, {"t": "2026-08-07T08:55:00+00:00", "v": 9985.21}, {"t": "2026-08-07T08:56:00+00:00", "v": 9984.12}, {"t": "2026-08-07T08:57:00+00:00", "v": 9983.97}, {"t": "2026-08-07T08:58:00+00:00", "v": 9983.82}, {"t": "2026-08-07T08:59:00+00:00", "v": 9986.14}, {"t": "2026-08-07T09:00:00+00:00", "v": 9991.08}, {"t": "2026-08-07T09:01:00+00:00", "v": 9993.71}, {"t": "2026-08-07T09:02:00+00:00", "v": 9995.88}, {"t": "2026-08-07T09:03:00+00:00", "v": 10000.36}, {"t": "2026-08-07T09:04:00+00:00", "v": 10000.36}, {"t": "2026-08-07T09:05:00+00:00", "v": 9998.82}, {"t": "2026-08-07T09:06:00+00:00", "v": 10000.83}, {"t": "2026-08-07T09:07:00+00:00", "v": 9998.97}, {"t": "2026-08-07T09:08:00+00:00", "v": 9999.28}, {"t": "2026-08-07T09:09:00+00:00", "v": 10000.21}, {"t": "2026-08-07T09:10:00+00:00", "v": 10001.29}, {"t": "2026-08-07T09:11:00+00:00", "v": 10009.33}, {"t": "2026-08-07T09:12:00+00:00", "v": 10004.54}, {"t": "2026-08-07T09:13:00+00:00", "v": 10004.54}, {"t": "2026-08-07T09:14:00+00:00", "v": 10005.93}, {"t": "2026-08-07T09:15:00+00:00", "v": 10007.32}, {"t": "2026-08-07T09:16:00+00:00", "v": 10007.94}, {"t": "2026-08-07T09:17:00+00:00", "v": 10009.8}, {"t": "2026-08-07T09:18:00+00:00", "v": 10012.27}, {"t": "2026-08-07T09:19:00+00:00", "v": 10013.51}, {"t": "2026-08-07T09:20:00+00:00", "v": 10006.86}, {"t": "2026-08-07T09:21:00+00:00", "v": 10014.13}, {"t": "2026-08-07T09:22:00+00:00", "v": 10014.28}, {"t": "2026-08-07T09:23:00+00:00", "v": 10014.28}, {"t": "2026-08-07T09:24:00+00:00", "v": 10018.3}, {"t": "2026-08-07T09:25:00+00:00", "v": 10026.81}, {"t": "2026-08-07T09:26:00+00:00", "v": 10019.85}, {"t": "2026-08-07T09:27:00+00:00", "v": 10018.3}, {"t": "2026-08-07T09:28:00+00:00", "v": 10021.71}], "total_trades": 1, "generated_at": "2026-08-07T09:28:48.916918+00:00", "asset": "BTC"}
Reference in New Issue View Git Blame Copy Permalink