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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7.1 KiB
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7.1 KiB
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{"strategy": "mean_rev", "interval": "1m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9856.33, "total_return_pct": -1.44, "pnl": -143.67, "sharpe": -212.973, "sortino": -215.654, "max_drawdown_pct": 1.46, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -26.335, "trades": [{"time": "2026-08-07 06:58:00", "side": "BUY", "asset": "BTC", "size": 0.155414, "entry_px": 64315.25, "exit_px": 64236.7, "pnl_gross": -21.1986, "pnl_net": -30.189, "fee": 8.990448, "fee_rate_pct": 0.045, "return_pct": -0.212, "duration": ""}, {"time": "2026-08-07 07:04:00", "side": "BUY", "asset": "BTC", "size": 0.155099, "entry_px": 64309.25, "exit_px": 64207.73, "pnl_gross": -24.715, "pnl_net": -33.6848, "fee": 8.969785, "fee_rate_pct": 0.045, "return_pct": -0.248, "duration": ""}, {"time": "2026-08-07 07:31:00", "side": "BUY", "asset": "BTC", "size": 0.154602, "entry_px": 64356.29, "exit_px": 64289.65, "pnl_gross": -19.2536, "pnl_net": -28.2036, "fee": 8.950014, "fee_rate_pct": 0.045, "return_pct": -0.194, "duration": ""}, {"time": "2026-08-07 07:37:00", "side": "BUY", "asset": "BTC", "size": 0.154073, "entry_px": 64452.39, "exit_px": 64302.63, "pnl_gross": -32.0001, "pnl_net": -40.9271, "fee": 8.926952, "fee_rate_pct": 0.045, "return_pct": -0.322, "duration": ""}, {"time": "2026-08-07 08:05:00", "side": "BUY", "asset": "BTC", "size": 0.153674, "entry_px": 64411.35, "exit_px": 64244.69, "pnl_gross": -34.5078, "pnl_net": -43.4048, "fee": 8.89699, "fee_rate_pct": 0.045, "return_pct": -0.349, "duration": ""}, {"time": "2026-08-07 08:13:00", "side": "BUY", "asset": "BTC", "size": 0.153182, "entry_px": 64393.33, "exit_px": 64344.0, "pnl_gross": -11.9951, "pnl_net": -20.8692, "fee": 8.874109, "fee_rate_pct": 0.045, "return_pct": -0.122, "duration": ""}], "params": {"vwap_window": 20, "deviation": 1.0, "type": "Reversal"}, "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": "2026-08-07T06:33:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:34:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:35:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:36:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:37:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:38:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:39:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:40:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:41:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:42:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:43:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:44:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:45:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:46:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:47:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:48:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:49:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:50:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:51:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:52:00+00:00", "v": 9985.52}, {"t": "2026-08-07T06:53:00+00:00", "v": 9985.52}, {"t": "2026-08-07T06:54:00+00:00", "v": 9989.56}, {"t": "2026-08-07T06:55:00+00:00", "v": 9990.02}, {"t": "2026-08-07T06:56:00+00:00", "v": 9991.42}, {"t": "2026-08-07T06:57:00+00:00", "v": 9991.73}, {"t": "2026-08-07T06:58:00+00:00", "v": 9978.8}, {"t": "2026-08-07T06:59:00+00:00", "v": 9978.8}, {"t": "2026-08-07T07:00:00+00:00", "v": 9964.35}, {"t": "2026-08-07T07:01:00+00:00", "v": 9962.18}, {"t": "2026-08-07T07:02:00+00:00", "v": 9962.8}, {"t": "2026-08-07T07:03:00+00:00", "v": 9965.9}, {"t": "2026-08-07T07:04:00+00:00", "v": 9954.09}, {"t": "2026-08-07T07:05:00+00:00", "v": 9954.09}, {"t": "2026-08-07T07:06:00+00:00", "v": 9954.09}, {"t": "2026-08-07T07:07:00+00:00", "v": 9939.67}, {"t": "2026-08-07T07:08:00+00:00", "v": 9942.76}, {"t": "2026-08-07T07:09:00+00:00", "v": 9945.08}, {"t": "2026-08-07T07:10:00+00:00", "v": 9947.09}, {"t": "2026-08-07T07:11:00+00:00", "v": 9944.0}, {"t": "2026-08-07T07:12:00+00:00", "v": 9944.0}, {"t": "2026-08-07T07:13:00+00:00", "v": 9944.0}, {"t": "2026-08-07T07:14:00+00:00", "v": 9942.61}, {"t": "2026-08-07T07:15:00+00:00", "v": 9942.61}, {"t": "2026-08-07T07:16:00+00:00", "v": 9944.0}, {"t": "2026-08-07T07:17:00+00:00", "v": 9942.76}, {"t": "2026-08-07T07:18:00+00:00", "v": 9944.31}, {"t": "2026-08-07T07:19:00+00:00", "v": 9944.31}, {"t": "2026-08-07T07:20:00+00:00", "v": 9943.53}, {"t": "2026-08-07T07:21:00+00:00", "v": 9954.51}, {"t": "2026-08-07T07:22:00+00:00", "v": 9949.25}, {"t": "2026-08-07T07:23:00+00:00", "v": 9947.55}, {"t": "2026-08-07T07:24:00+00:00", "v": 9954.67}, {"t": "2026-08-07T07:25:00+00:00", "v": 9954.67}, {"t": "2026-08-07T07:26:00+00:00", "v": 9952.35}, {"t": "2026-08-07T07:27:00+00:00", "v": 9952.5}, {"t": "2026-08-07T07:28:00+00:00", "v": 9954.51}, {"t": "2026-08-07T07:29:00+00:00", "v": 9952.5}, {"t": "2026-08-07T07:30:00+00:00", "v": 9952.5}, {"t": "2026-08-07T07:31:00+00:00", "v": 9934.83}, {"t": "2026-08-07T07:32:00+00:00", "v": 9934.83}, {"t": "2026-08-07T07:33:00+00:00", "v": 9934.83}, {"t": "2026-08-07T07:34:00+00:00", "v": 9934.83}, {"t": "2026-08-07T07:35:00+00:00", "v": 9920.44}, {"t": "2026-08-07T07:36:00+00:00", "v": 9917.52}, {"t": "2026-08-07T07:37:00+00:00", "v": 9902.83}, {"t": "2026-08-07T07:38:00+00:00", "v": 9902.83}, {"t": "2026-08-07T07:39:00+00:00", "v": 9902.83}, {"t": "2026-08-07T07:40:00+00:00", "v": 9888.49}, {"t": "2026-08-07T07:41:00+00:00", "v": 9889.26}, {"t": "2026-08-07T07:42:00+00:00", "v": 9887.72}, {"t": "2026-08-07T07:43:00+00:00", "v": 9887.72}, {"t": "2026-08-07T07:44:00+00:00", "v": 9887.88}, {"t": "2026-08-07T07:45:00+00:00", "v": 9887.72}, {"t": "2026-08-07T07:46:00+00:00", "v": 9887.26}, {"t": "2026-08-07T07:47:00+00:00", "v": 9887.26}, {"t": "2026-08-07T07:48:00+00:00", "v": 9887.26}, {"t": "2026-08-07T07:49:00+00:00", "v": 9887.41}, {"t": "2026-08-07T07:50:00+00:00", "v": 9887.72}, {"t": "2026-08-07T07:51:00+00:00", "v": 9887.72}, {"t": "2026-08-07T07:52:00+00:00", "v": 9888.49}, {"t": "2026-08-07T07:53:00+00:00", "v": 9887.57}, {"t": "2026-08-07T07:54:00+00:00", "v": 9887.26}, {"t": "2026-08-07T07:55:00+00:00", "v": 9885.57}, {"t": "2026-08-07T07:56:00+00:00", "v": 9883.73}, {"t": "2026-08-07T07:57:00+00:00", "v": 9881.11}, {"t": "2026-08-07T07:58:00+00:00", "v": 9880.35}, {"t": "2026-08-07T07:59:00+00:00", "v": 9879.42}, {"t": "2026-08-07T08:00:00+00:00", "v": 9876.66}, {"t": "2026-08-07T08:01:00+00:00", "v": 9876.81}, {"t": "2026-08-07T08:02:00+00:00", "v": 9878.04}, {"t": "2026-08-07T08:03:00+00:00", "v": 9878.04}, {"t": "2026-08-07T08:04:00+00:00", "v": 9880.19}, {"t": "2026-08-07T08:05:00+00:00", "v": 9868.32}, {"t": "2026-08-07T08:06:00+00:00", "v": 9868.32}, {"t": "2026-08-07T08:07:00+00:00", "v": 9868.32}, {"t": "2026-08-07T08:08:00+00:00", "v": 9868.32}, {"t": "2026-08-07T08:09:00+00:00", "v": 9868.32}, {"t": "2026-08-07T08:10:00+00:00", "v": 9868.32}, {"t": "2026-08-07T08:11:00+00:00", "v": 9854.03}, {"t": "2026-08-07T08:12:00+00:00", "v": 9856.33}, {"t": "2026-08-07T08:13:00+00:00", "v": 9856.33}], "total_trades": 6, "generated_at": "2026-08-07T08:13:19.819255+00:00", "asset": "BTC"} |