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/momentum_BTC_1m_200_20260807-081302.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
12 KiB
JSON
Raw Blame History

{"strategy": "momentum", "interval": "1m", "n_bars": 200, "start_equity": 10000.0, "end_equity": 9865.25, "total_return_pct": -1.35, "pnl": -134.75, "sharpe": -115.064, "sortino": -121.941, "max_drawdown_pct": 1.65, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -24.949, "trades": [{"time": "2026-08-07 06:01:00", "side": "BUY", "asset": "BTC", "size": 0.155673, "entry_px": 64208.14, "exit_px": 64232.7, "pnl_gross": -5.1745, "pnl_net": -14.1721, "fee": 8.997647, "fee_rate_pct": 0.045, "return_pct": -0.052, "duration": ""}, {"time": "2026-08-07 06:30:00", "side": "BUY", "asset": "BTC", "size": 0.155008, "entry_px": 64450.39, "exit_px": 64294.64, "pnl_gross": -33.1222, "pnl_net": -42.1026, "fee": 8.980429, "fee_rate_pct": 0.045, "return_pct": -0.332, "duration": ""}, {"time": "2026-08-07 06:47:00", "side": "BUY", "asset": "BTC", "size": 0.154672, "entry_px": 64376.31, "exit_px": 64221.71, "pnl_gross": -32.8627, "pnl_net": -41.8135, "fee": 8.950731, "fee_rate_pct": 0.045, "return_pct": -0.33, "duration": ""}, {"time": "2026-08-07 06:59:00", "side": "BUY", "asset": "BTC", "size": 0.154248, "entry_px": 64340.28, "exit_px": 64205.73, "pnl_gross": -29.6761, "pnl_net": -38.5987, "fee": 8.922584, "fee_rate_pct": 0.045, "return_pct": -0.299, "duration": ""}, {"time": "2026-08-07 07:39:00", "side": "BUY", "asset": "BTC", "size": 0.153665, "entry_px": 64391.33, "exit_px": 64293.64, "pnl_gross": -23.9093, "pnl_net": -32.8077, "fee": 8.898469, "fee_rate_pct": 0.045, "return_pct": -0.242, "duration": ""}, {"time": "2026-08-07 08:12:00", "side": "BUY", "asset": "BTC", "size": 0.15332, "entry_px": 64380.32, "exit_px": 64344.0, "pnl_gross": -10.0098, "pnl_net": -18.8911, "fee": 8.881206, "fee_rate_pct": 0.045, "return_pct": -0.101, "duration": ""}], "params": {"bollinger_window": 20, "bollinger_std": 2.0, "type": "Momentum"}, "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": "2026-08-07T04:53:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:54:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:55:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:56:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:57:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:58:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:59:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:01:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:02:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:03:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:04:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:05:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:06:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:07:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:08:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:09:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:10:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:11:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:12:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:13:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:14:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:15:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:16:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:17:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:18:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:19:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:20:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:21:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:22:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:23:00+00:00", "v": 9985.52}, {"t": "2026-08-07T05:24:00+00:00", "v": 9985.36}, {"t": "2026-08-07T05:25:00+00:00", "v": 9986.92}, {"t": "2026-08-07T05:26:00+00:00", "v": 9986.61}, {"t": "2026-08-07T05:27:00+00:00", "v": 9986.14}, {"t": "2026-08-07T05:28:00+00:00", "v": 9985.98}, {"t": "2026-08-07T05:29:00+00:00", "v": 9986.29}, {"t": "2026-08-07T05:30:00+00:00", "v": 9986.92}, {"t": "2026-08-07T05:31:00+00:00", "v": 9987.38}, {"t": "2026-08-07T05:32:00+00:00", "v": 9986.61}, {"t": "2026-08-07T05:33:00+00:00", "v": 9987.38}, {"t": "2026-08-07T05:34:00+00:00", "v": 9987.38}, {"t": "2026-08-07T05:35:00+00:00", "v": 9990.34}, {"t": "2026-08-07T05:36:00+00:00", "v": 9991.43}, {"t": "2026-08-07T05:37:00+00:00", "v": 9992.21}, {"t": "2026-08-07T05:38:00+00:00", "v": 9993.14}, {"t": "2026-08-07T05:39:00+00:00", "v": 9993.3}, {"t": "2026-08-07T05:40:00+00:00", "v": 9994.86}, {"t": "2026-08-07T05:41:00+00:00", "v": 9994.86}, {"t": "2026-08-07T05:42:00+00:00", "v": 9999.06}, {"t": "2026-08-07T05:43:00+00:00", "v": 10002.48}, {"t": "2026-08-07T05:44:00+00:00", "v": 10001.55}, {"t": "2026-08-07T05:45:00+00:00", "v": 9999.22}, {"t": "2026-08-07T05:46:00+00:00", "v": 10000.62}, {"t": "2026-08-07T05:47:00+00:00", "v": 10003.42}, {"t": "2026-08-07T05:48:00+00:00", "v": 10007.0}, {"t": "2026-08-07T05:49:00+00:00", "v": 10007.47}, {"t": "2026-08-07T05:50:00+00:00", "v": 10015.72}, {"t": "2026-08-07T05:51:00+00:00", "v": 10018.99}, {"t": "2026-08-07T05:52:00+00:00", "v": 10016.96}, {"t": "2026-08-07T05:53:00+00:00", "v": 10015.56}, {"t": "2026-08-07T05:54:00+00:00", "v": 10016.18}, {"t": "2026-08-07T05:55:00+00:00", "v": 10015.87}, {"t": "2026-08-07T05:56:00+00:00", "v": 10015.72}, {"t": "2026-08-07T05:57:00+00:00", "v": 10015.72}, {"t": "2026-08-07T05:58:00+00:00", "v": 10013.23}, {"t": "2026-08-07T05:59:00+00:00", "v": 10010.74}, {"t": "2026-08-07T06:00:00+00:00", "v": 10010.42}, {"t": "2026-08-07T06:01:00+00:00", "v": 9994.83}, {"t": "2026-08-07T06:02:00+00:00", "v": 9994.83}, {"t": "2026-08-07T06:03:00+00:00", "v": 9994.83}, {"t": "2026-08-07T06:04:00+00:00", "v": 9994.83}, {"t": "2026-08-07T06:05:00+00:00", "v": 9994.83}, {"t": "2026-08-07T06:06:00+00:00", "v": 9994.83}, {"t": "2026-08-07T06:07:00+00:00", "v": 9994.83}, {"t": "2026-08-07T06:08:00+00:00", "v": 9994.83}, {"t": "2026-08-07T06:09:00+00:00", "v": 9994.83}, {"t": "2026-08-07T06:10:00+00:00", "v": 9994.83}, {"t": "2026-08-07T06:11:00+00:00", "v": 9994.83}, {"t": "2026-08-07T06:12:00+00:00", "v": 9994.83}, {"t": "2026-08-07T06:13:00+00:00", "v": 9994.83}, {"t": "2026-08-07T06:14:00+00:00", "v": 9980.35}, {"t": "2026-08-07T06:15:00+00:00", "v": 9980.19}, {"t": "2026-08-07T06:16:00+00:00", "v": 9976.47}, {"t": "2026-08-07T06:17:00+00:00", "v": 9976.32}, {"t": "2026-08-07T06:18:00+00:00", "v": 9976.78}, {"t": "2026-08-07T06:19:00+00:00", "v": 9980.66}, {"t": "2026-08-07T06:20:00+00:00", "v": 9979.88}, {"t": "2026-08-07T06:21:00+00:00", "v": 9979.73}, {"t": "2026-08-07T06:22:00+00:00", "v": 9978.95}, {"t": "2026-08-07T06:23:00+00:00", "v": 9980.97}, {"t": "2026-08-07T06:24:00+00:00", "v": 9983.45}, {"t": "2026-08-07T06:25:00+00:00", "v": 9984.69}, {"t": "2026-08-07T06:26:00+00:00", "v": 9986.86}, {"t": "2026-08-07T06:27:00+00:00", "v": 9984.69}, {"t": "2026-08-07T06:28:00+00:00", "v": 9982.36}, {"t": "2026-08-07T06:29:00+00:00", "v": 9981.59}, {"t": "2026-08-07T06:30:00+00:00", "v": 9961.7}, {"t": "2026-08-07T06:31:00+00:00", "v": 9961.7}, {"t": "2026-08-07T06:32:00+00:00", "v": 9961.7}, {"t": "2026-08-07T06:33:00+00:00", "v": 9947.28}, {"t": "2026-08-07T06:34:00+00:00", "v": 9946.97}, {"t": "2026-08-07T06:35:00+00:00", "v": 9948.51}, {"t": "2026-08-07T06:36:00+00:00", "v": 9953.0}, {"t": "2026-08-07T06:37:00+00:00", "v": 9952.53}, {"t": "2026-08-07T06:38:00+00:00", "v": 9948.98}, {"t": "2026-08-07T06:39:00+00:00", "v": 9950.83}, {"t": "2026-08-07T06:40:00+00:00", "v": 9950.68}, {"t": "2026-08-07T06:41:00+00:00", "v": 9949.75}, {"t": "2026-08-07T06:42:00+00:00", "v": 9948.67}, {"t": "2026-08-07T06:43:00+00:00", "v": 9950.99}, {"t": "2026-08-07T06:44:00+00:00", "v": 9950.52}, {"t": "2026-08-07T06:45:00+00:00", "v": 9950.21}, {"t": "2026-08-07T06:46:00+00:00", "v": 9952.07}, {"t": "2026-08-07T06:47:00+00:00", "v": 9928.84}, {"t": "2026-08-07T06:48:00+00:00", "v": 9914.46}, {"t": "2026-08-07T06:49:00+00:00", "v": 9915.85}, {"t": "2026-08-07T06:50:00+00:00", "v": 9916.0}, {"t": "2026-08-07T06:51:00+00:00", "v": 9913.69}, {"t": "2026-08-07T06:52:00+00:00", "v": 9910.6}, {"t": "2026-08-07T06:53:00+00:00", "v": 9910.6}, {"t": "2026-08-07T06:54:00+00:00", "v": 9914.61}, {"t": "2026-08-07T06:55:00+00:00", "v": 9915.08}, {"t": "2026-08-07T06:56:00+00:00", "v": 9916.47}, {"t": "2026-08-07T06:57:00+00:00", "v": 9916.77}, {"t": "2026-08-07T06:58:00+00:00", "v": 9918.32}, {"t": "2026-08-07T06:59:00+00:00", "v": 9899.16}, {"t": "2026-08-07T07:00:00+00:00", "v": 9899.16}, {"t": "2026-08-07T07:01:00+00:00", "v": 9899.16}, {"t": "2026-08-07T07:02:00+00:00", "v": 9899.16}, {"t": "2026-08-07T07:03:00+00:00", "v": 9899.16}, {"t": "2026-08-07T07:04:00+00:00", "v": 9899.16}, {"t": "2026-08-07T07:05:00+00:00", "v": 9899.16}, {"t": "2026-08-07T07:06:00+00:00", "v": 9899.16}, {"t": "2026-08-07T07:07:00+00:00", "v": 9899.16}, {"t": "2026-08-07T07:08:00+00:00", "v": 9899.16}, {"t": "2026-08-07T07:09:00+00:00", "v": 9884.83}, {"t": "2026-08-07T07:10:00+00:00", "v": 9886.82}, {"t": "2026-08-07T07:11:00+00:00", "v": 9883.75}, {"t": "2026-08-07T07:12:00+00:00", "v": 9883.75}, {"t": "2026-08-07T07:13:00+00:00", "v": 9883.75}, {"t": "2026-08-07T07:14:00+00:00", "v": 9882.37}, {"t": "2026-08-07T07:15:00+00:00", "v": 9882.37}, {"t": "2026-08-07T07:16:00+00:00", "v": 9883.75}, {"t": "2026-08-07T07:17:00+00:00", "v": 9882.52}, {"t": "2026-08-07T07:18:00+00:00", "v": 9884.06}, {"t": "2026-08-07T07:19:00+00:00", "v": 9884.06}, {"t": "2026-08-07T07:20:00+00:00", "v": 9883.29}, {"t": "2026-08-07T07:21:00+00:00", "v": 9894.2}, {"t": "2026-08-07T07:22:00+00:00", "v": 9888.98}, {"t": "2026-08-07T07:23:00+00:00", "v": 9887.29}, {"t": "2026-08-07T07:24:00+00:00", "v": 9894.35}, {"t": "2026-08-07T07:25:00+00:00", "v": 9894.35}, {"t": "2026-08-07T07:26:00+00:00", "v": 9892.05}, {"t": "2026-08-07T07:27:00+00:00", "v": 9892.2}, {"t": "2026-08-07T07:28:00+00:00", "v": 9894.2}, {"t": "2026-08-07T07:29:00+00:00", "v": 9892.2}, {"t": "2026-08-07T07:30:00+00:00", "v": 9892.2}, {"t": "2026-08-07T07:31:00+00:00", "v": 9888.98}, {"t": "2026-08-07T07:32:00+00:00", "v": 9888.98}, {"t": "2026-08-07T07:33:00+00:00", "v": 9888.98}, {"t": "2026-08-07T07:34:00+00:00", "v": 9890.97}, {"t": "2026-08-07T07:35:00+00:00", "v": 9894.2}, {"t": "2026-08-07T07:36:00+00:00", "v": 9891.28}, {"t": "2026-08-07T07:37:00+00:00", "v": 9890.97}, {"t": "2026-08-07T07:38:00+00:00", "v": 9890.97}, {"t": "2026-08-07T07:39:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:40:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:41:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:42:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:43:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:44:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:45:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:46:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:47:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:48:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:49:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:50:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:51:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:52:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:53:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:54:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:55:00+00:00", "v": 9875.26}, {"t": "2026-08-07T07:56:00+00:00", "v": 9860.95}, {"t": "2026-08-07T07:57:00+00:00", "v": 9858.35}, {"t": "2026-08-07T07:58:00+00:00", "v": 9857.58}, {"t": "2026-08-07T07:59:00+00:00", "v": 9856.66}, {"t": "2026-08-07T08:00:00+00:00", "v": 9853.9}, {"t": "2026-08-07T08:01:00+00:00", "v": 9854.05}, {"t": "2026-08-07T08:02:00+00:00", "v": 9855.28}, {"t": "2026-08-07T08:03:00+00:00", "v": 9855.28}, {"t": "2026-08-07T08:04:00+00:00", "v": 9857.43}, {"t": "2026-08-07T08:05:00+00:00", "v": 9859.88}, {"t": "2026-08-07T08:06:00+00:00", "v": 9859.42}, {"t": "2026-08-07T08:07:00+00:00", "v": 9858.19}, {"t": "2026-08-07T08:08:00+00:00", "v": 9858.81}, {"t": "2026-08-07T08:09:00+00:00", "v": 9857.58}, {"t": "2026-08-07T08:10:00+00:00", "v": 9860.8}, {"t": "2026-08-07T08:11:00+00:00", "v": 9862.95}, {"t": "2026-08-07T08:12:00+00:00", "v": 9865.25}], "total_trades": 6, "generated_at": "2026-08-07T08:13:02.573948+00:00", "asset": "BTC"}
Reference in New Issue View Git Blame Copy Permalink