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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6.8 KiB
JSON
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6.8 KiB
JSON
{"strategy": "iceberg", "interval": "1d", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9317.2, "total_return_pct": -6.83, "pnl": -682.8, "sharpe": -1.542, "sortino": -1.876, "max_drawdown_pct": 10.12, "win_rate": 0.2, "profit_factor": 0.291, "expectancy": -136.559, "trades": [{"time": "2026-05-31 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.134178, "entry_px": 74494.42, "exit_px": 73584.34, "pnl_gross": -131.0533, "pnl_net": -139.9943, "fee": 8.94101, "fee_rate_pct": 0.045, "return_pct": -1.311, "duration": ""}, {"time": "2026-06-08 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.147675, "entry_px": 66798.73, "exit_px": 62994.94, "pnl_gross": -570.3502, "pnl_net": -578.9755, "fee": 8.625276, "fee_rate_pct": 0.045, "return_pct": -5.782, "duration": ""}, {"time": "2026-06-28 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.155376, "entry_px": 59818.76, "exit_px": 59489.45, "pnl_gross": -59.5086, "pnl_net": -67.8505, "fee": 8.341935, "fee_rate_pct": 0.045, "return_pct": -0.64, "duration": ""}, {"time": "2026-07-05 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.1498, "entry_px": 61648.59, "exit_px": 63571.36, "pnl_gross": 279.5903, "pnl_net": 271.1492, "fee": 8.441077, "fee_rate_pct": 0.045, "return_pct": 3.028, "duration": ""}, {"time": "2026-08-01 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.148602, "entry_px": 64025.96, "exit_px": 62727.21, "pnl_gross": -201.4735, "pnl_net": -209.9496, "fee": 8.476099, "fee_rate_pct": 0.045, "return_pct": -2.118, "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": "2026-04-29T00:00:00+00:00", "v": 10000.0}, {"t": "2026-04-30T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-01T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-02T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-03T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-04T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-05T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-06T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-07T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-08T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-09T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-10T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-11T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-12T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-13T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-14T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-15T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-16T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-17T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-18T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-19T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-20T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-21T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-22T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-23T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-24T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-25T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-26T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-27T00:00:00+00:00", "v": 9985.52}, {"t": "2026-05-28T00:00:00+00:00", "v": 9873.75}, {"t": "2026-05-29T00:00:00+00:00", "v": 9852.81}, {"t": "2026-05-30T00:00:00+00:00", "v": 9909.44}, {"t": "2026-05-31T00:00:00+00:00", "v": 9868.95}, {"t": "2026-06-01T00:00:00+00:00", "v": 9868.95}, {"t": "2026-06-02T00:00:00+00:00", "v": 9854.65}, {"t": "2026-06-03T00:00:00+00:00", "v": 9468.63}, {"t": "2026-06-04T00:00:00+00:00", "v": 9429.79}, {"t": "2026-06-05T00:00:00+00:00", "v": 9013.05}, {"t": "2026-06-06T00:00:00+00:00", "v": 8987.65}, {"t": "2026-06-07T00:00:00+00:00", "v": 9349.16}, {"t": "2026-06-08T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-09T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-10T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-11T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-12T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-13T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-14T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-15T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-16T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-17T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-18T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-19T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-20T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-21T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-22T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-23T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-24T00:00:00+00:00", "v": 9298.6}, {"t": "2026-06-25T00:00:00+00:00", "v": 9285.13}, {"t": "2026-06-26T00:00:00+00:00", "v": 9334.07}, {"t": "2026-06-27T00:00:00+00:00", "v": 9321.95}, {"t": "2026-06-28T00:00:00+00:00", "v": 9239.09}, {"t": "2026-06-29T00:00:00+00:00", "v": 9239.09}, {"t": "2026-06-30T00:00:00+00:00", "v": 9239.09}, {"t": "2026-07-01T00:00:00+00:00", "v": 9239.09}, {"t": "2026-07-02T00:00:00+00:00", "v": 9225.71}, {"t": "2026-07-03T00:00:00+00:00", "v": 9373.86}, {"t": "2026-07-04T00:00:00+00:00", "v": 9456.4}, {"t": "2026-07-05T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-06T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-07T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-08T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-09T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-10T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-11T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-12T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-13T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-14T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-15T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-16T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-17T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-18T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-19T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-20T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-21T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-22T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-23T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-24T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-25T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-26T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-27T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-28T00:00:00+00:00", "v": 9518.68}, {"t": "2026-07-29T00:00:00+00:00", "v": 9504.89}, {"t": "2026-07-30T00:00:00+00:00", "v": 9622.58}, {"t": "2026-07-31T00:00:00+00:00", "v": 9340.54}, {"t": "2026-08-01T00:00:00+00:00", "v": 9317.2}, {"t": "2026-08-02T00:00:00+00:00", "v": 9317.2}, {"t": "2026-08-03T00:00:00+00:00", "v": 9317.2}, {"t": "2026-08-04T00:00:00+00:00", "v": 9317.2}, {"t": "2026-08-05T00:00:00+00:00", "v": 9317.2}, {"t": "2026-08-06T00:00:00+00:00", "v": 9317.2}, {"t": "2026-08-07T00:00:00+00:00", "v": 9317.2}], "total_trades": 5, "generated_at": "2026-08-07T08:26:30.412226+00:00", "asset": "BTC"} |