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/composite_mm_BTC_1d_200_20260807-093259.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
14 KiB
JSON
Raw Blame History

{"strategy": "composite_mm", "interval": "1d", "n_bars": 201, "start_equity": 10000.0, "end_equity": 7331.46, "total_return_pct": -26.69, "pnl": -2668.54, "sharpe": -1.36, "sortino": -1.784, "max_drawdown_pct": 31.28, "win_rate": 0.375, "profit_factor": 0.296, "expectancy": -166.784, "trades": [{"time": "2026-02-14 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.11801, "entry_px": 84725.64, "exit_px": 69722.21, "pnl_gross": -1773.2939, "pnl_net": -1776.0279, "fee": 2.733959, "fee_rate_pct": 0.015, "return_pct": -17.736, "duration": ""}, {"time": "2026-02-16 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.11944, "entry_px": 68866.8, "exit_px": 68801.13, "pnl_gross": -10.3099, "pnl_net": -12.7763, "fee": 2.466459, "fee_rate_pct": 0.015, "return_pct": -0.125, "duration": ""}, {"time": "2026-02-25 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.128204, "entry_px": 64079.01, "exit_px": 67876.06, "pnl_gross": 484.257, "pnl_net": 481.7194, "fee": 2.537575, "fee_rate_pct": 0.015, "return_pct": 5.895, "duration": ""}, {"time": "2026-03-07 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.119652, "entry_px": 72705.63, "exit_px": 67162.77, "pnl_gross": -665.723, "pnl_net": -668.2333, "fee": 2.51033, "fee_rate_pct": 0.015, "return_pct": -7.653, "duration": ""}, {"time": "2026-03-12 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.114432, "entry_px": 70205.13, "exit_px": 70429.5, "pnl_gross": 23.2606, "pnl_net": 20.8466, "fee": 2.413965, "fee_rate_pct": 0.015, "return_pct": 0.29, "duration": ""}, {"time": "2026-03-19 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.107528, "entry_px": 74928.85, "exit_px": 69849.08, "pnl_gross": -548.5552, "pnl_net": -550.8903, "fee": 2.335152, "fee_rate_pct": 0.015, "return_pct": -6.808, "duration": ""}, {"time": "2026-03-31 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.109017, "entry_px": 68874.81, "exit_px": 68175.76, "pnl_gross": -78.4493, "pnl_net": -80.6904, "fee": 2.241126, "fee_rate_pct": 0.015, "return_pct": -1.045, "duration": ""}, {"time": "2026-04-05 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.111008, "entry_px": 66932.87, "exit_px": 68919.01, "pnl_gross": 218.2157, "pnl_net": 215.9536, "fee": 2.262097, "fee_rate_pct": 0.015, "return_pct": 2.937, "duration": ""}, {"time": "2026-04-19 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.106239, "entry_px": 71990.92, "exit_px": 73667.26, "pnl_gross": 175.7718, "pnl_net": 173.4506, "fee": 2.321187, "fee_rate_pct": 0.015, "return_pct": 2.298, "duration": ""}, {"time": "2026-04-23 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.100032, "entry_px": 78215.14, "exit_px": 78147.77, "pnl_gross": -9.0846, "pnl_net": -11.4308, "fee": 2.346194, "fee_rate_pct": 0.015, "return_pct": -0.116, "duration": ""}, {"time": "2026-05-25 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.100694, "entry_px": 77610.53, "exit_px": 77204.72, "pnl_gross": -43.2015, "pnl_net": -45.5398, "fee": 2.338345, "fee_rate_pct": 0.015, "return_pct": -0.553, "duration": ""}, {"time": "2026-06-12 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.116345, "entry_px": 66798.73, "exit_px": 63497.44, "pnl_gross": -386.364, "pnl_net": -388.6379, "fee": 2.273896, "fee_rate_pct": 0.015, "return_pct": -4.971, "duration": ""}, {"time": "2026-06-17 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.111293, "entry_px": 66360.29, "exit_px": 64405.53, "pnl_gross": -219.7339, "pnl_net": -221.9169, "fee": 2.182998, "fee_rate_pct": 0.015, "return_pct": -2.975, "duration": ""}, {"time": "2026-07-03 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.117263, "entry_px": 61108.05, "exit_px": 62513.42, "pnl_gross": 162.6243, "pnl_net": 160.4499, "fee": 2.174434, "fee_rate_pct": 0.015, "return_pct": 2.269, "duration": ""}, {"time": "2026-07-11 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.114114, "entry_px": 64219.15, "exit_px": 63759.18, "pnl_gross": -54.6806, "pnl_net": -56.8712, "fee": 2.190618, "fee_rate_pct": 0.015, "return_pct": -0.746, "duration": ""}, {"time": "2026-08-03 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.115604, "entry_px": 62918.86, "exit_px": 63428.51, "pnl_gross": 56.7266, "pnl_net": 54.5357, "fee": 2.190939, "fee_rate_pct": 0.015, "return_pct": 0.78, "duration": ""}], "params": {"obi_weight": 0.3, "as_weight": 0.4, "hurst_weight": 0.3, "entry_score": 0.5, "type": "Ensemble"}, "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": "2026-01-19T00:00:00+00:00", "v": 10000.0}, {"t": "2026-01-20T00:00:00+00:00", "v": 10000.0}, {"t": "2026-01-21T00:00:00+00:00", "v": 10000.0}, {"t": "2026-01-22T00:00:00+00:00", "v": 10000.0}, {"t": "2026-01-23T00:00:00+00:00", "v": 10000.0}, {"t": "2026-01-24T00:00:00+00:00", "v": 10000.0}, {"t": "2026-01-25T00:00:00+00:00", "v": 10000.0}, {"t": "2026-01-26T00:00:00+00:00", "v": 10000.0}, {"t": "2026-01-27T00:00:00+00:00", "v": 10000.0}, {"t": "2026-01-28T00:00:00+00:00", "v": 10000.0}, {"t": "2026-01-29T00:00:00+00:00", "v": 9988.51}, {"t": "2026-01-30T00:00:00+00:00", "v": 9941.31}, {"t": "2026-01-31T00:00:00+00:00", "v": 9290.72}, {"t": "2026-02-01T00:00:00+00:00", "v": 9078.3}, {"t": "2026-02-02T00:00:00+00:00", "v": 9285.52}, {"t": "2026-02-03T00:00:00+00:00", "v": 8937.04}, {"t": "2026-02-04T00:00:00+00:00", "v": 8632.1}, {"t": "2026-02-05T00:00:00+00:00", "v": 7422.14}, {"t": "2026-02-06T00:00:00+00:00", "v": 8321.62}, {"t": "2026-02-07T00:00:00+00:00", "v": 8170.56}, {"t": "2026-02-08T00:00:00+00:00", "v": 8295.77}, {"t": "2026-02-09T00:00:00+00:00", "v": 8271.7}, {"t": "2026-02-10T00:00:00+00:00", "v": 8119.23}, {"t": "2026-02-11T00:00:00+00:00", "v": 7913.65}, {"t": "2026-02-12T00:00:00+00:00", "v": 7817.48}, {"t": "2026-02-13T00:00:00+00:00", "v": 8121.71}, {"t": "2026-02-14T00:00:00+00:00", "v": 8226.71}, {"t": "2026-02-15T00:00:00+00:00", "v": 8217.25}, {"t": "2026-02-16T00:00:00+00:00", "v": 8216.4}, {"t": "2026-02-17T00:00:00+00:00", "v": 8216.4}, {"t": "2026-02-18T00:00:00+00:00", "v": 8216.4}, {"t": "2026-02-19T00:00:00+00:00", "v": 8216.4}, {"t": "2026-02-20T00:00:00+00:00", "v": 8216.4}, {"t": "2026-02-21T00:00:00+00:00", "v": 8216.4}, {"t": "2026-02-22T00:00:00+00:00", "v": 8216.4}, {"t": "2026-02-23T00:00:00+00:00", "v": 8216.4}, {"t": "2026-02-24T00:00:00+00:00", "v": 8206.96}, {"t": "2026-02-25T00:00:00+00:00", "v": 8700.65}, {"t": "2026-02-26T00:00:00+00:00", "v": 8700.65}, {"t": "2026-02-27T00:00:00+00:00", "v": 8700.65}, {"t": "2026-02-28T00:00:00+00:00", "v": 8700.65}, {"t": "2026-03-01T00:00:00+00:00", "v": 8700.65}, {"t": "2026-03-02T00:00:00+00:00", "v": 8700.65}, {"t": "2026-03-03T00:00:00+00:00", "v": 8700.65}, {"t": "2026-03-04T00:00:00+00:00", "v": 8690.66}, {"t": "2026-03-05T00:00:00+00:00", "v": 8474.69}, {"t": "2026-03-06T00:00:00+00:00", "v": 8146.12}, {"t": "2026-03-07T00:00:00+00:00", "v": 8034.93}, {"t": "2026-03-08T00:00:00+00:00", "v": 8034.93}, {"t": "2026-03-09T00:00:00+00:00", "v": 8034.93}, {"t": "2026-03-10T00:00:00+00:00", "v": 8034.93}, {"t": "2026-03-11T00:00:00+00:00", "v": 8025.7}, {"t": "2026-03-12T00:00:00+00:00", "v": 8058.19}, {"t": "2026-03-13T00:00:00+00:00", "v": 8058.19}, {"t": "2026-03-14T00:00:00+00:00", "v": 8058.19}, {"t": "2026-03-15T00:00:00+00:00", "v": 8058.19}, {"t": "2026-03-16T00:00:00+00:00", "v": 8048.93}, {"t": "2026-03-17T00:00:00+00:00", "v": 7942.48}, {"t": "2026-03-18T00:00:00+00:00", "v": 7657.42}, {"t": "2026-03-19T00:00:00+00:00", "v": 7509.64}, {"t": "2026-03-20T00:00:00+00:00", "v": 7509.64}, {"t": "2026-03-21T00:00:00+00:00", "v": 7509.64}, {"t": "2026-03-22T00:00:00+00:00", "v": 7509.64}, {"t": "2026-03-23T00:00:00+00:00", "v": 7509.64}, {"t": "2026-03-24T00:00:00+00:00", "v": 7509.64}, {"t": "2026-03-25T00:00:00+00:00", "v": 7509.64}, {"t": "2026-03-26T00:00:00+00:00", "v": 7501.01}, {"t": "2026-03-27T00:00:00+00:00", "v": 7238.28}, {"t": "2026-03-28T00:00:00+00:00", "v": 7233.59}, {"t": "2026-03-29T00:00:00+00:00", "v": 7191.84}, {"t": "2026-03-30T00:00:00+00:00", "v": 7278.61}, {"t": "2026-03-31T00:00:00+00:00", "v": 7431.19}, {"t": "2026-04-01T00:00:00+00:00", "v": 7431.19}, {"t": "2026-04-02T00:00:00+00:00", "v": 7422.65}, {"t": "2026-04-03T00:00:00+00:00", "v": 7431.09}, {"t": "2026-04-04T00:00:00+00:00", "v": 7466.83}, {"t": "2026-04-05T00:00:00+00:00", "v": 7649.4}, {"t": "2026-04-06T00:00:00+00:00", "v": 7649.4}, {"t": "2026-04-07T00:00:00+00:00", "v": 7640.61}, {"t": "2026-04-08T00:00:00+00:00", "v": 7546.8}, {"t": "2026-04-09T00:00:00+00:00", "v": 7623.51}, {"t": "2026-04-10T00:00:00+00:00", "v": 7747.6}, {"t": "2026-04-11T00:00:00+00:00", "v": 7757.05}, {"t": "2026-04-12T00:00:00+00:00", "v": 7511.64}, {"t": "2026-04-13T00:00:00+00:00", "v": 7902.81}, {"t": "2026-04-14T00:00:00+00:00", "v": 7872.11}, {"t": "2026-04-15T00:00:00+00:00", "v": 7943.93}, {"t": "2026-04-16T00:00:00+00:00", "v": 7981.75}, {"t": "2026-04-17T00:00:00+00:00", "v": 8182.65}, {"t": "2026-04-18T00:00:00+00:00", "v": 8036.14}, {"t": "2026-04-19T00:00:00+00:00", "v": 7825.17}, {"t": "2026-04-20T00:00:00+00:00", "v": 7825.17}, {"t": "2026-04-21T00:00:00+00:00", "v": 7825.17}, {"t": "2026-04-22T00:00:00+00:00", "v": 7816.18}, {"t": "2026-04-23T00:00:00+00:00", "v": 7816.09}, {"t": "2026-04-24T00:00:00+00:00", "v": 7816.09}, {"t": "2026-04-25T00:00:00+00:00", "v": 7816.09}, {"t": "2026-04-26T00:00:00+00:00", "v": 7816.09}, {"t": "2026-04-27T00:00:00+00:00", "v": 7816.09}, {"t": "2026-04-28T00:00:00+00:00", "v": 7816.09}, {"t": "2026-04-29T00:00:00+00:00", "v": 7816.09}, {"t": "2026-04-30T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-01T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-02T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-03T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-04T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-05T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-06T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-07T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-08T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-09T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-10T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-11T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-12T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-13T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-14T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-15T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-16T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-17T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-18T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-19T00:00:00+00:00", "v": 7816.09}, {"t": "2026-05-20T00:00:00+00:00", "v": 7807.11}, {"t": "2026-05-21T00:00:00+00:00", "v": 7812.55}, {"t": "2026-05-22T00:00:00+00:00", "v": 7602.4}, {"t": "2026-05-23T00:00:00+00:00", "v": 7724.44}, {"t": "2026-05-24T00:00:00+00:00", "v": 7754.95}, {"t": "2026-05-25T00:00:00+00:00", "v": 7772.89}, {"t": "2026-05-26T00:00:00+00:00", "v": 7772.89}, {"t": "2026-05-27T00:00:00+00:00", "v": 7772.89}, {"t": "2026-05-28T00:00:00+00:00", "v": 7772.89}, {"t": "2026-05-29T00:00:00+00:00", "v": 7772.89}, {"t": "2026-05-30T00:00:00+00:00", "v": 7772.89}, {"t": "2026-05-31T00:00:00+00:00", "v": 7772.89}, {"t": "2026-06-01T00:00:00+00:00", "v": 7772.89}, {"t": "2026-06-02T00:00:00+00:00", "v": 7763.96}, {"t": "2026-06-03T00:00:00+00:00", "v": 7459.83}, {"t": "2026-06-04T00:00:00+00:00", "v": 7429.23}, {"t": "2026-06-05T00:00:00+00:00", "v": 7100.91}, {"t": "2026-06-06T00:00:00+00:00", "v": 7080.89}, {"t": "2026-06-07T00:00:00+00:00", "v": 7365.71}, {"t": "2026-06-08T00:00:00+00:00", "v": 7336.51}, {"t": "2026-06-09T00:00:00+00:00", "v": 7177.93}, {"t": "2026-06-10T00:00:00+00:00", "v": 7153.03}, {"t": "2026-06-11T00:00:00+00:00", "v": 7402.01}, {"t": "2026-06-12T00:00:00+00:00", "v": 7386.52}, {"t": "2026-06-13T00:00:00+00:00", "v": 7386.52}, {"t": "2026-06-14T00:00:00+00:00", "v": 7386.52}, {"t": "2026-06-15T00:00:00+00:00", "v": 7378.04}, {"t": "2026-06-16T00:00:00+00:00", "v": 7305.14}, {"t": "2026-06-17T00:00:00+00:00", "v": 7166.79}, {"t": "2026-06-18T00:00:00+00:00", "v": 7166.79}, {"t": "2026-06-19T00:00:00+00:00", "v": 7166.79}, {"t": "2026-06-20T00:00:00+00:00", "v": 7166.79}, {"t": "2026-06-21T00:00:00+00:00", "v": 7166.79}, {"t": "2026-06-22T00:00:00+00:00", "v": 7166.79}, {"t": "2026-06-23T00:00:00+00:00", "v": 7166.79}, {"t": "2026-06-24T00:00:00+00:00", "v": 7158.56}, {"t": "2026-06-25T00:00:00+00:00", "v": 7007.52}, {"t": "2026-06-26T00:00:00+00:00", "v": 7044.46}, {"t": "2026-06-27T00:00:00+00:00", "v": 7035.31}, {"t": "2026-06-28T00:00:00+00:00", "v": 6982.9}, {"t": "2026-06-29T00:00:00+00:00", "v": 7062.4}, {"t": "2026-06-30T00:00:00+00:00", "v": 6871.97}, {"t": "2026-07-01T00:00:00+00:00", "v": 7036.95}, {"t": "2026-07-02T00:00:00+00:00", "v": 7221.88}, {"t": "2026-07-03T00:00:00+00:00", "v": 7329.41}, {"t": "2026-07-04T00:00:00+00:00", "v": 7329.41}, {"t": "2026-07-05T00:00:00+00:00", "v": 7329.41}, {"t": "2026-07-06T00:00:00+00:00", "v": 7329.41}, {"t": "2026-07-07T00:00:00+00:00", "v": 7329.41}, {"t": "2026-07-08T00:00:00+00:00", "v": 7329.41}, {"t": "2026-07-09T00:00:00+00:00", "v": 7329.41}, {"t": "2026-07-10T00:00:00+00:00", "v": 7320.99}, {"t": "2026-07-11T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-12T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-13T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-14T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-15T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-16T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-17T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-18T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-19T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-20T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-21T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-22T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-23T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-24T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-25T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-26T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-27T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-28T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-29T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-30T00:00:00+00:00", "v": 7274.73}, {"t": "2026-07-31T00:00:00+00:00", "v": 7266.38}, {"t": "2026-08-01T00:00:00+00:00", "v": 7258.75}, {"t": "2026-08-02T00:00:00+00:00", "v": 7347.3}, {"t": "2026-08-03T00:00:00+00:00", "v": 7331.46}, {"t": "2026-08-04T00:00:00+00:00", "v": 7331.46}, {"t": "2026-08-05T00:00:00+00:00", "v": 7331.46}, {"t": "2026-08-06T00:00:00+00:00", "v": 7331.46}, {"t": "2026-08-07T00:00:00+00:00", "v": 7331.46}], "total_trades": 16, "generated_at": "2026-08-07T09:32:59.519750+00:00", "asset": "BTC"}
Reference in New Issue View Git Blame Copy Permalink