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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6.4 KiB
JSON
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6.4 KiB
JSON
{"strategy": "mean_rev", "interval": "1m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9981.4, "total_return_pct": -0.19, "pnl": -18.6, "sharpe": -30.441, "sortino": -36.026, "max_drawdown_pct": 0.61, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -17.407, "trades": [{"time": "2026-08-07 08:37:00", "side": "BUY", "asset": "BTC", "size": 0.155226, "entry_px": 64393.33, "exit_px": 64357.58, "pnl_gross": -14.5429, "pnl_net": -23.5364, "fee": 8.99347, "fee_rate_pct": 0.045, "return_pct": -0.145, "duration": ""}, {"time": "2026-08-07 08:56:00", "side": "BUY", "asset": "BTC", "size": 0.154587, "entry_px": 64565.5, "exit_px": 64492.44, "pnl_gross": -20.2716, "pnl_net": -29.2494, "fee": 8.977806, "fee_rate_pct": 0.045, "return_pct": -0.203, "duration": ""}, {"time": "2026-08-07 09:26:00", "side": "BUY", "asset": "BTC", "size": 0.154032, "entry_px": 64666.6, "exit_px": 64801.0, "pnl_gross": 16.2192, "pnl_net": 7.2453, "fee": 8.973969, "fee_rate_pct": 0.045, "return_pct": 0.163, "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": "2026-08-07T07:46:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:47:00+00:00", "v": 10000.0}, {"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": 9985.52}, {"t": "2026-08-07T08:12:00+00:00", "v": 9987.84}, {"t": "2026-08-07T08:13:00+00:00", "v": 9988.47}, {"t": "2026-08-07T08:14:00+00:00", "v": 9988.16}, {"t": "2026-08-07T08:15:00+00:00", "v": 9988.31}, {"t": "2026-08-07T08:16:00+00:00", "v": 9993.74}, {"t": "2026-08-07T08:17:00+00:00", "v": 9993.43}, {"t": "2026-08-07T08:18:00+00:00", "v": 9997.31}, {"t": "2026-08-07T08:19:00+00:00", "v": 9996.23}, {"t": "2026-08-07T08:20:00+00:00", "v": 9994.99}, {"t": "2026-08-07T08:21:00+00:00", "v": 9992.97}, {"t": "2026-08-07T08:22:00+00:00", "v": 9994.52}, {"t": "2026-08-07T08:23:00+00:00", "v": 9991.1}, {"t": "2026-08-07T08:24:00+00:00", "v": 9994.52}, {"t": "2026-08-07T08:25:00+00:00", "v": 9994.52}, {"t": "2026-08-07T08:26:00+00:00", "v": 9999.02}, {"t": "2026-08-07T08:27:00+00:00", "v": 9997.16}, {"t": "2026-08-07T08:28:00+00:00", "v": 9999.49}, {"t": "2026-08-07T08:29:00+00:00", "v": 9999.33}, {"t": "2026-08-07T08:30:00+00:00", "v": 10001.19}, {"t": "2026-08-07T08:31:00+00:00", "v": 10003.68}, {"t": "2026-08-07T08:32:00+00:00", "v": 10004.3}, {"t": "2026-08-07T08:33:00+00:00", "v": 10006.63}, {"t": "2026-08-07T08:34:00+00:00", "v": 10011.9}, {"t": "2026-08-07T08:35:00+00:00", "v": 10006.94}, {"t": "2026-08-07T08:36:00+00:00", "v": 10002.9}, {"t": "2026-08-07T08:37:00+00:00", "v": 9985.46}, {"t": "2026-08-07T08:38:00+00:00", "v": 9985.46}, {"t": "2026-08-07T08:39:00+00:00", "v": 9985.46}, {"t": "2026-08-07T08:40:00+00:00", "v": 9985.46}, {"t": "2026-08-07T08:41:00+00:00", "v": 9970.99}, {"t": "2026-08-07T08:42:00+00:00", "v": 9982.12}, {"t": "2026-08-07T08:43:00+00:00", "v": 9984.44}, {"t": "2026-08-07T08:44:00+00:00", "v": 9987.54}, {"t": "2026-08-07T08:45:00+00:00", "v": 9981.82}, {"t": "2026-08-07T08:46:00+00:00", "v": 9981.82}, {"t": "2026-08-07T08:47:00+00:00", "v": 9981.82}, {"t": "2026-08-07T08:48:00+00:00", "v": 9983.36}, {"t": "2026-08-07T08:49:00+00:00", "v": 9982.28}, {"t": "2026-08-07T08:50:00+00:00", "v": 9982.43}, {"t": "2026-08-07T08:51:00+00:00", "v": 9983.05}, {"t": "2026-08-07T08:52:00+00:00", "v": 9981.04}, {"t": "2026-08-07T08:53:00+00:00", "v": 9980.42}, {"t": "2026-08-07T08:54:00+00:00", "v": 9980.89}, {"t": "2026-08-07T08:55:00+00:00", "v": 9980.73}, {"t": "2026-08-07T08:56:00+00:00", "v": 9965.19}, {"t": "2026-08-07T08:57:00+00:00", "v": 9965.19}, {"t": "2026-08-07T08:58:00+00:00", "v": 9965.19}, {"t": "2026-08-07T08:59:00+00:00", "v": 9965.19}, {"t": "2026-08-07T09:00:00+00:00", "v": 9950.75}, {"t": "2026-08-07T09:01:00+00:00", "v": 9953.37}, {"t": "2026-08-07T09:02:00+00:00", "v": 9955.53}, {"t": "2026-08-07T09:03:00+00:00", "v": 9959.99}, {"t": "2026-08-07T09:04:00+00:00", "v": 9959.99}, {"t": "2026-08-07T09:05:00+00:00", "v": 9958.45}, {"t": "2026-08-07T09:06:00+00:00", "v": 9960.46}, {"t": "2026-08-07T09:07:00+00:00", "v": 9958.61}, {"t": "2026-08-07T09:08:00+00:00", "v": 9958.92}, {"t": "2026-08-07T09:09:00+00:00", "v": 9959.84}, {"t": "2026-08-07T09:10:00+00:00", "v": 9960.92}, {"t": "2026-08-07T09:11:00+00:00", "v": 9968.93}, {"t": "2026-08-07T09:12:00+00:00", "v": 9964.15}, {"t": "2026-08-07T09:13:00+00:00", "v": 9964.15}, {"t": "2026-08-07T09:14:00+00:00", "v": 9965.54}, {"t": "2026-08-07T09:15:00+00:00", "v": 9966.93}, {"t": "2026-08-07T09:16:00+00:00", "v": 9967.54}, {"t": "2026-08-07T09:17:00+00:00", "v": 9969.39}, {"t": "2026-08-07T09:18:00+00:00", "v": 9971.85}, {"t": "2026-08-07T09:19:00+00:00", "v": 9973.09}, {"t": "2026-08-07T09:20:00+00:00", "v": 9966.46}, {"t": "2026-08-07T09:21:00+00:00", "v": 9973.7}, {"t": "2026-08-07T09:22:00+00:00", "v": 9973.86}, {"t": "2026-08-07T09:23:00+00:00", "v": 9973.86}, {"t": "2026-08-07T09:24:00+00:00", "v": 9977.86}, {"t": "2026-08-07T09:25:00+00:00", "v": 9986.33}, {"t": "2026-08-07T09:26:00+00:00", "v": 9981.4}], "total_trades": 3, "generated_at": "2026-08-07T09:26:42.812744+00:00", "asset": "BTC"} |