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_4h_100_20260807-081125.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": "4h", "n_bars": 101, "start_equity": 10000.0, "end_equity": 10188.57, "total_return_pct": 1.89, "pnl": 188.57, "sharpe": 2.878, "sortino": 4.965, "max_drawdown_pct": 1.61, "win_rate": NaN, "profit_factor": NaN, "expectancy": NaN, "trades": [{"time": "2026-08-07 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.158385, "entry_px": 63109.05, "exit_px": 64328.0, "pnl_gross": 188.5656, "pnl_net": 179.4827, "fee": 9.082853, "fee_rate_pct": 0.045, "return_pct": 1.887, "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": "2026-07-21T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-21T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-22T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-22T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-22T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-22T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-22T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-22T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-23T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-23T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-23T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-23T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-23T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-23T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-24T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-24T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-24T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-24T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-24T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-24T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-25T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-25T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-25T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-25T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-25T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-25T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-26T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-26T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-26T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-26T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-26T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-26T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-27T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-27T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-27T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-27T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-27T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-27T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-28T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-28T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-28T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-28T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-28T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-28T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-29T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-29T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-29T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-29T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-29T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-29T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-31T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-31T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-31T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-31T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-31T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-31T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-01T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-01T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-01T08:00:00+00:00", "v": 9985.52}, {"t": "2026-08-01T12:00:00+00:00", "v": 9975.38}, {"t": "2026-08-01T16:00:00+00:00", "v": 9899.51}, {"t": "2026-08-01T20:00:00+00:00", "v": 9944.97}, {"t": "2026-08-02T00:00:00+00:00", "v": 10047.29}, {"t": "2026-08-02T04:00:00+00:00", "v": 10052.2}, {"t": "2026-08-02T08:00:00+00:00", "v": 9979.97}, {"t": "2026-08-02T12:00:00+00:00", "v": 9994.39}, {"t": "2026-08-02T16:00:00+00:00", "v": 10048.4}, {"t": "2026-08-02T20:00:00+00:00", "v": 10066.29}, {"t": "2026-08-03T00:00:00+00:00", "v": 9953.84}, {"t": "2026-08-03T04:00:00+00:00", "v": 9914.4}, {"t": "2026-08-03T08:00:00+00:00", "v": 9904.42}, {"t": "2026-08-03T12:00:00+00:00", "v": 10082.92}, {"t": "2026-08-03T16:00:00+00:00", "v": 10110.01}, {"t": "2026-08-03T20:00:00+00:00", "v": 10056.16}, {"t": "2026-08-04T00:00:00+00:00", "v": 10101.3}, {"t": "2026-08-04T04:00:00+00:00", "v": 10082.61}, {"t": "2026-08-04T08:00:00+00:00", "v": 10120.62}, {"t": "2026-08-04T12:00:00+00:00", "v": 10151.03}, {"t": "2026-08-04T16:00:00+00:00", "v": 10168.61}, {"t": "2026-08-04T20:00:00+00:00", "v": 10147.39}, {"t": "2026-08-05T00:00:00+00:00", "v": 10161.48}, {"t": "2026-08-05T04:00:00+00:00", "v": 10158.47}, {"t": "2026-08-05T08:00:00+00:00", "v": 10143.11}, {"t": "2026-08-05T12:00:00+00:00", "v": 10192.21}, {"t": "2026-08-05T16:00:00+00:00", "v": 10262.69}, {"t": "2026-08-05T20:00:00+00:00", "v": 10235.61}, {"t": "2026-08-06T00:00:00+00:00", "v": 10217.55}, {"t": "2026-08-06T04:00:00+00:00", "v": 10260.79}, {"t": "2026-08-06T08:00:00+00:00", "v": 10231.33}, {"t": "2026-08-06T12:00:00+00:00", "v": 10231.33}, {"t": "2026-08-06T16:00:00+00:00", "v": 10202.5}, {"t": "2026-08-06T20:00:00+00:00", "v": 10183.02}, {"t": "2026-08-07T00:00:00+00:00", "v": 10177.64}, {"t": "2026-08-07T04:00:00+00:00", "v": 10182.23}, {"t": "2026-08-07T08:00:00+00:00", "v": 10188.57}], "total_trades": 1, "generated_at": "2026-08-07T08:11:25.814264+00:00", "asset": "BTC"}
Reference in New Issue View Git Blame Copy Permalink