rams/ftdt-quant-lab
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
140b0cc3607fc5ab9989aadeae74af14c3f50fad
ftdt-quant-lab/backtests/results/iceberg_BTC_1m_200_20260807-092748.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": "iceberg", "interval": "1m", "n_bars": 201, "start_equity": 10000.0, "end_equity": 9805.12, "total_return_pct": -1.95, "pnl": -194.88, "sharpe": -194.452, "sortino": -189.848, "max_drawdown_pct": 1.95, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -28.594, "trades": [{"time": "2026-08-07 06:31:00", "side": "BUY", "asset": "BTC", "size": 0.155057, "entry_px": 64463.4, "exit_px": 64273.66, "pnl_gross": -38.4028, "pnl_net": -47.3855, "fee": 8.982712, "fee_rate_pct": 0.045, "return_pct": -0.384, "duration": ""}, {"time": "2026-08-07 06:37:00", "side": "BUY", "asset": "BTC", "size": 0.154675, "entry_px": 64374.31, "exit_px": 64281.65, "pnl_gross": -23.2866, "pnl_net": -32.2415, "fee": 8.954937, "fee_rate_pct": 0.045, "return_pct": -0.234, "duration": ""}, {"time": "2026-08-07 07:04:00", "side": "BUY", "asset": "BTC", "size": 0.154504, "entry_px": 64295.23, "exit_px": 64207.73, "pnl_gross": -22.4539, "pnl_net": -31.3883, "fee": 8.9344, "fee_rate_pct": 0.045, "return_pct": -0.226, "duration": ""}, {"time": "2026-08-07 08:22:00", "side": "BUY", "asset": "BTC", "size": 0.153755, "entry_px": 64462.4, "exit_px": 64322.61, "pnl_gross": -30.4032, "pnl_net": -39.3138, "fee": 8.910603, "fee_rate_pct": 0.045, "return_pct": -0.307, "duration": ""}, {"time": "2026-08-07 08:46:00", "side": "BUY", "asset": "BTC", "size": 0.152868, "entry_px": 64637.57, "exit_px": 64506.43, "pnl_gross": -28.9316, "pnl_net": -37.8155, "fee": 8.883893, "fee_rate_pct": 0.045, "return_pct": -0.293, "duration": ""}, {"time": "2026-08-07 09:06:00", "side": "BUY", "asset": "BTC", "size": 0.152211, "entry_px": 64726.66, "exit_px": 64600.33, "pnl_gross": -28.0865, "pnl_net": -36.9448, "fee": 8.858246, "fee_rate_pct": 0.045, "return_pct": -0.285, "duration": ""}, {"time": "2026-08-07 09:27:00", "side": "BUY", "asset": "BTC", "size": 0.151377, "entry_px": 64897.83, "exit_px": 64773.0, "pnl_gross": -23.3176, "pnl_net": -32.1507, "fee": 8.833132, "fee_rate_pct": 0.045, "return_pct": -0.237, "duration": ""}], "params": {"vol_mult": 1.8, "min_consec": 3, "max_hold": 8, "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": "2026-08-07T06:07:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:08:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:09:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:10:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:11:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:12:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:13:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:14:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:15:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:16:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:17:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:18:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:19:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:20:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:21:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:22:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:23:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:24:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:25:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:26:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:27:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:28:00+00:00", "v": 9985.52}, {"t": "2026-08-07T06:29:00+00:00", "v": 9984.74}, {"t": "2026-08-07T06:30:00+00:00", "v": 9979.31}, {"t": "2026-08-07T06:31:00+00:00", "v": 9961.6}, {"t": "2026-08-07T06:32:00+00:00", "v": 9961.6}, {"t": "2026-08-07T06:33:00+00:00", "v": 9961.6}, {"t": "2026-08-07T06:34:00+00:00", "v": 9947.17}, {"t": "2026-08-07T06:35:00+00:00", "v": 9948.72}, {"t": "2026-08-07T06:36:00+00:00", "v": 9953.2}, {"t": "2026-08-07T06:37:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:38:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:39:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:40:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:41:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:42:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:43:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:44:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:45:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:46:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:47:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:48:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:49:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:50:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:51:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:52:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:53:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:54:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:55:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:56:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:57:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:58:00+00:00", "v": 9938.31}, {"t": "2026-08-07T06:59:00+00:00", "v": 9938.31}, {"t": "2026-08-07T07:00:00+00:00", "v": 9938.31}, {"t": "2026-08-07T07:01:00+00:00", "v": 9923.92}, {"t": "2026-08-07T07:02:00+00:00", "v": 9924.53}, {"t": "2026-08-07T07:03:00+00:00", "v": 9927.62}, {"t": "2026-08-07T07:04:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:05:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:06:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:07:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:08:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:09:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:10:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:11:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:12:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:13:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:14:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:15:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:16:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:17:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:18:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:19:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:20:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:21:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:22:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:23:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:24:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:25:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:26:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:27:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:28:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:29:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:30:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:31:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:32:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:33:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:34:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:35:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:36:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:37:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:38:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:39:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:40:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:41:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:42:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:43:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:44:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:45:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:46:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:47:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:48:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:49:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:50:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:51:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:52:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:53:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:54:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:55:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:56:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:57:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:58:00+00:00", "v": 9915.86}, {"t": "2026-08-07T07:59:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:00:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:01:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:02:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:03:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:04:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:05:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:06:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:07:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:08:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:09:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:10:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:11:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:12:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:13:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:14:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:15:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:16:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:17:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:18:00+00:00", "v": 9915.86}, {"t": "2026-08-07T08:19:00+00:00", "v": 9901.5}, {"t": "2026-08-07T08:20:00+00:00", "v": 9900.27}, {"t": "2026-08-07T08:21:00+00:00", "v": 9898.27}, {"t": "2026-08-07T08:22:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:23:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:24:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:25:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:26:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:27:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:28:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:29:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:30:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:31:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:32:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:33:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:34:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:35:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:36:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:37:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:38:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:39:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:40:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:41:00+00:00", "v": 9885.45}, {"t": "2026-08-07T08:42:00+00:00", "v": 9871.14}, {"t": "2026-08-07T08:43:00+00:00", "v": 9873.43}, {"t": "2026-08-07T08:44:00+00:00", "v": 9876.49}, {"t": "2026-08-07T08:45:00+00:00", "v": 9870.83}, {"t": "2026-08-07T08:46:00+00:00", "v": 9856.52}, {"t": "2026-08-07T08:47:00+00:00", "v": 9856.52}, {"t": "2026-08-07T08:48:00+00:00", "v": 9856.52}, {"t": "2026-08-07T08:49:00+00:00", "v": 9856.52}, {"t": "2026-08-07T08:50:00+00:00", "v": 9856.52}, {"t": "2026-08-07T08:51:00+00:00", "v": 9856.52}, {"t": "2026-08-07T08:52:00+00:00", "v": 9856.52}, {"t": "2026-08-07T08:53:00+00:00", "v": 9856.52}, {"t": "2026-08-07T08:54:00+00:00", "v": 9856.52}, {"t": "2026-08-07T08:55:00+00:00", "v": 9856.52}, {"t": "2026-08-07T08:56:00+00:00", "v": 9856.52}, {"t": "2026-08-07T08:57:00+00:00", "v": 9856.52}, {"t": "2026-08-07T08:58:00+00:00", "v": 9856.52}, {"t": "2026-08-07T08:59:00+00:00", "v": 9856.52}, {"t": "2026-08-07T09:00:00+00:00", "v": 9856.52}, {"t": "2026-08-07T09:01:00+00:00", "v": 9856.52}, {"t": "2026-08-07T09:02:00+00:00", "v": 9856.52}, {"t": "2026-08-07T09:03:00+00:00", "v": 9842.25}, {"t": "2026-08-07T09:04:00+00:00", "v": 9842.25}, {"t": "2026-08-07T09:05:00+00:00", "v": 9840.72}, {"t": "2026-08-07T09:06:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:07:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:08:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:09:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:10:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:11:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:12:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:13:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:14:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:15:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:16:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:17:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:18:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:19:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:20:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:21:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:22:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:23:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:24:00+00:00", "v": 9828.44}, {"t": "2026-08-07T09:25:00+00:00", "v": 9814.2}, {"t": "2026-08-07T09:26:00+00:00", "v": 9807.39}, {"t": "2026-08-07T09:27:00+00:00", "v": 9805.12}], "total_trades": 7, "generated_at": "2026-08-07T09:27:48.062316+00:00", "asset": "BTC"}
Reference in New Issue View Git Blame Copy Permalink