rams/ftdt-quant-lab
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
27c096dc9eba6c09fa50c7f3f745a5ce9698038e
ftdt-quant-lab/backtests/results/as_mm_BTC_1h_100_20260807-093348.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
8.6 KiB
JSON
Raw Blame History

{"strategy": "as_mm", "interval": "1h", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9927.5, "total_return_pct": -0.72, "pnl": -72.5, "sharpe": -4.682, "sortino": -6.799, "max_drawdown_pct": 2.02, "win_rate": 0.583, "profit_factor": 0.6, "expectancy": -6.041, "trades": [{"time": "2026-08-04 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.156616, "entry_px": 63840.78, "exit_px": 63942.99, "pnl_gross": 13.0067, "pnl_net": 10.0048, "fee": 3.001947, "fee_rate_pct": 0.015, "return_pct": 0.13, "duration": ""}, {"time": "2026-08-04 11:00:00", "side": "BUY", "asset": "BTC", "size": 0.157111, "entry_px": 63722.66, "exit_px": 63835.1, "pnl_gross": 14.6597, "pnl_net": 11.6536, "fee": 3.006109, "fee_rate_pct": 0.015, "return_pct": 0.146, "duration": ""}, {"time": "2026-08-04 18:00:00", "side": "BUY", "asset": "BTC", "size": 0.156265, "entry_px": 64161.1, "exit_px": 64203.73, "pnl_gross": 3.6535, "pnl_net": 0.6447, "fee": 3.00884, "fee_rate_pct": 0.015, "return_pct": 0.036, "duration": ""}, {"time": "2026-08-05 01:00:00", "side": "BUY", "asset": "BTC", "size": 0.156162, "entry_px": 64227.16, "exit_px": 64239.7, "pnl_gross": -1.0521, "pnl_net": -4.0613, "fee": 3.009246, "fee_rate_pct": 0.015, "return_pct": -0.01, "duration": ""}, {"time": "2026-08-05 05:00:00", "side": "BUY", "asset": "BTC", "size": 0.156182, "entry_px": 64212.15, "exit_px": 64250.68, "pnl_gross": 3.0092, "pnl_net": -0.0003, "fee": 3.009537, "fee_rate_pct": 0.015, "return_pct": 0.03, "duration": ""}, {"time": "2026-08-05 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.156365, "entry_px": 64156.09, "exit_px": 64226.71, "pnl_gross": 8.0308, "pnl_net": 5.0197, "fee": 3.011186, "fee_rate_pct": 0.015, "return_pct": 0.08, "duration": ""}, {"time": "2026-08-05 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.15586, "entry_px": 64415.35, "exit_px": 64729.21, "pnl_gross": 45.8983, "pnl_net": 42.879, "fee": 3.019271, "fee_rate_pct": 0.015, "return_pct": 0.457, "duration": ""}, {"time": "2026-08-06 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.155909, "entry_px": 64689.62, "exit_px": 64638.3, "pnl_gross": -11.027, "pnl_net": -14.0515, "fee": 3.024508, "fee_rate_pct": 0.015, "return_pct": -0.109, "duration": ""}, {"time": "2026-08-06 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.155356, "entry_px": 64848.78, "exit_px": 64328.61, "pnl_gross": -83.8231, "pnl_net": -86.8333, "fee": 3.010272, "fee_rate_pct": 0.015, "return_pct": -0.832, "duration": ""}, {"time": "2026-08-06 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.154508, "entry_px": 64662.6, "exit_px": 64341.59, "pnl_gross": -52.5873, "pnl_net": -55.5772, "fee": 2.989827, "fee_rate_pct": 0.015, "return_pct": -0.526, "duration": ""}, {"time": "2026-08-07 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.154423, "entry_px": 64357.29, "exit_px": 64163.77, "pnl_gross": -32.8612, "pnl_net": -35.8382, "fee": 2.976991, "fee_rate_pct": 0.015, "return_pct": -0.331, "duration": ""}, {"time": "2026-08-07 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.153925, "entry_px": 64352.29, "exit_px": 64505.43, "pnl_gross": 20.5972, "pnl_net": 17.622, "fee": 2.975164, "fee_rate_pct": 0.015, "return_pct": 0.208, "duration": ""}], "params": {"gamma": 0.1, "sigma_dynamic": true, "inventory_skew": true, "type": "Market Making"}, "fee_info": {"entry_fee": 0.015, "exit_fee": 0.015, "total_fee": 0.03, "taker_rate_pct": 0.045, "maker_rate_pct": 0.015, "effective_rate_pct": 0.015, "vip_tier": 0, "staking_tier": "none", "fee_model": "maker", "tier_name": "Tier 0 (<$5M)", "staking_name": "No Stake"}, "equity_curve": [{"t": "2026-08-03T05:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T06:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T07:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T09:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T10:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T11:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T13:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T14:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T15:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T17:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T18:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T19:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T21:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T22:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T23:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T01:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T02:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T03:00:00+00:00", "v": 9988.51}, {"t": "2026-08-04T04:00:00+00:00", "v": 10013.01}, {"t": "2026-08-04T05:00:00+00:00", "v": 10013.01}, {"t": "2026-08-04T06:00:00+00:00", "v": 10013.01}, {"t": "2026-08-04T07:00:00+00:00", "v": 10001.5}, {"t": "2026-08-04T08:00:00+00:00", "v": 9985.48}, {"t": "2026-08-04T09:00:00+00:00", "v": 9987.36}, {"t": "2026-08-04T10:00:00+00:00", "v": 10014.07}, {"t": "2026-08-04T11:00:00+00:00", "v": 10027.67}, {"t": "2026-08-04T12:00:00+00:00", "v": 10027.67}, {"t": "2026-08-04T13:00:00+00:00", "v": 10027.67}, {"t": "2026-08-04T14:00:00+00:00", "v": 10016.15}, {"t": "2026-08-04T15:00:00+00:00", "v": 10015.21}, {"t": "2026-08-04T16:00:00+00:00", "v": 9988.96}, {"t": "2026-08-04T17:00:00+00:00", "v": 9992.08}, {"t": "2026-08-04T18:00:00+00:00", "v": 10031.32}, {"t": "2026-08-04T19:00:00+00:00", "v": 10031.32}, {"t": "2026-08-04T20:00:00+00:00", "v": 10031.32}, {"t": "2026-08-04T21:00:00+00:00", "v": 10019.8}, {"t": "2026-08-04T22:00:00+00:00", "v": 10032.13}, {"t": "2026-08-04T23:00:00+00:00", "v": 10004.96}, {"t": "2026-08-05T00:00:00+00:00", "v": 9988.41}, {"t": "2026-08-05T01:00:00+00:00", "v": 10030.27}, {"t": "2026-08-05T02:00:00+00:00", "v": 10030.27}, {"t": "2026-08-05T03:00:00+00:00", "v": 10030.27}, {"t": "2026-08-05T04:00:00+00:00", "v": 10018.74}, {"t": "2026-08-05T05:00:00+00:00", "v": 10033.28}, {"t": "2026-08-05T06:00:00+00:00", "v": 10033.28}, {"t": "2026-08-05T07:00:00+00:00", "v": 10033.28}, {"t": "2026-08-05T08:00:00+00:00", "v": 10021.75}, {"t": "2026-08-05T09:00:00+00:00", "v": 10027.22}, {"t": "2026-08-05T10:00:00+00:00", "v": 10012.37}, {"t": "2026-08-05T11:00:00+00:00", "v": 10013.78}, {"t": "2026-08-05T12:00:00+00:00", "v": 10041.31}, {"t": "2026-08-05T13:00:00+00:00", "v": 10041.31}, {"t": "2026-08-05T14:00:00+00:00", "v": 10041.31}, {"t": "2026-08-05T15:00:00+00:00", "v": 10029.77}, {"t": "2026-08-05T16:00:00+00:00", "v": 10072.95}, {"t": "2026-08-05T17:00:00+00:00", "v": 10088.84}, {"t": "2026-08-05T18:00:00+00:00", "v": 10094.45}, {"t": "2026-08-05T19:00:00+00:00", "v": 10099.13}, {"t": "2026-08-05T20:00:00+00:00", "v": 10087.21}, {"t": "2026-08-05T21:00:00+00:00", "v": 10087.21}, {"t": "2026-08-05T22:00:00+00:00", "v": 10087.21}, {"t": "2026-08-05T23:00:00+00:00", "v": 10075.62}, {"t": "2026-08-06T00:00:00+00:00", "v": 10074.53}, {"t": "2026-08-06T01:00:00+00:00", "v": 10066.26}, {"t": "2026-08-06T02:00:00+00:00", "v": 10064.24}, {"t": "2026-08-06T03:00:00+00:00", "v": 10057.84}, {"t": "2026-08-06T04:00:00+00:00", "v": 10076.18}, {"t": "2026-08-06T05:00:00+00:00", "v": 10076.18}, {"t": "2026-08-06T06:00:00+00:00", "v": 10076.18}, {"t": "2026-08-06T07:00:00+00:00", "v": 10064.6}, {"t": "2026-08-06T08:00:00+00:00", "v": 10084.64}, {"t": "2026-08-06T09:00:00+00:00", "v": 10044.41}, {"t": "2026-08-06T10:00:00+00:00", "v": 10034.31}, {"t": "2026-08-06T11:00:00+00:00", "v": 10035.71}, {"t": "2026-08-06T12:00:00+00:00", "v": 9992.36}, {"t": "2026-08-06T13:00:00+00:00", "v": 9992.36}, {"t": "2026-08-06T14:00:00+00:00", "v": 9992.36}, {"t": "2026-08-06T15:00:00+00:00", "v": 9980.88}, {"t": "2026-08-06T16:00:00+00:00", "v": 10000.34}, {"t": "2026-08-06T17:00:00+00:00", "v": 9978.87}, {"t": "2026-08-06T18:00:00+00:00", "v": 9948.74}, {"t": "2026-08-06T19:00:00+00:00", "v": 9952.76}, {"t": "2026-08-06T20:00:00+00:00", "v": 9939.77}, {"t": "2026-08-06T21:00:00+00:00", "v": 9939.77}, {"t": "2026-08-06T22:00:00+00:00", "v": 9939.77}, {"t": "2026-08-06T23:00:00+00:00", "v": 9928.35}, {"t": "2026-08-07T00:00:00+00:00", "v": 9927.58}, {"t": "2026-08-07T01:00:00+00:00", "v": 9943.79}, {"t": "2026-08-07T02:00:00+00:00", "v": 9939.16}, {"t": "2026-08-07T03:00:00+00:00", "v": 9923.1}, {"t": "2026-08-07T04:00:00+00:00", "v": 9906.91}, {"t": "2026-08-07T05:00:00+00:00", "v": 9906.91}, {"t": "2026-08-07T06:00:00+00:00", "v": 9906.91}, {"t": "2026-08-07T07:00:00+00:00", "v": 9895.53}, {"t": "2026-08-07T08:00:00+00:00", "v": 9927.5}, {"t": "2026-08-07T09:00:00+00:00", "v": 9927.5}], "total_trades": 12, "generated_at": "2026-08-07T09:33:48.439487+00:00", "asset": "BTC"}
Reference in New Issue View Git Blame Copy Permalink