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": "mean_rev", "interval": "5m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9957.66, "total_return_pct": -0.42, "pnl": -42.34, "sharpe": -21.162, "sortino": -27.423, "max_drawdown_pct": 1.19, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -26.176, "trades": [{"time": "2026-08-07 03:40:00", "side": "BUY", "asset": "BTC", "size": 0.155305, "entry_px": 64360.3, "exit_px": 64258.68, "pnl_gross": -24.7708, "pnl_net": -33.7597, "fee": 8.988827, "fee_rate_pct": 0.045, "return_pct": -0.248, "duration": ""}, {"time": "2026-08-07 04:15:00", "side": "BUY", "asset": "BTC", "size": 0.15501, "entry_px": 64323.26, "exit_px": 64247.69, "pnl_gross": -20.6827, "pnl_net": -29.6511, "fee": 8.968402, "fee_rate_pct": 0.045, "return_pct": -0.207, "duration": ""}, {"time": "2026-08-07 06:45:00", "side": "BUY", "asset": "BTC", "size": 0.15471, "entry_px": 64314.25, "exit_px": 64220.71, "pnl_gross": -23.4194, "pnl_net": -32.3679, "fee": 8.94854, "fee_rate_pct": 0.045, "return_pct": -0.235, "duration": ""}, {"time": "2026-08-07 07:40:00", "side": "BUY", "asset": "BTC", "size": 0.154013, "entry_px": 64453.39, "exit_px": 64278.66, "pnl_gross": -35.8329, "pnl_net": -44.7548, "fee": 8.921884, "fee_rate_pct": 0.045, "return_pct": -0.361, "duration": ""}, {"time": "2026-08-07 09:25:00", "side": "BUY", "asset": "BTC", "size": 0.153698, "entry_px": 64352.29, "exit_px": 64787.0, "pnl_gross": 62.3637, "pnl_net": 53.4319, "fee": 8.931803, "fee_rate_pct": 0.045, "return_pct": 0.631, "duration": ""}], "params": {"vwap_window": 20, "deviation": 1.0, "type": "Reversal"}, "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": "2026-08-07T01:05:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:10:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:15:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:20:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:25:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:30:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:35:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:40:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:45:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:50:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:55:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:05:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:10:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:15:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:20:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:25:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:30:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:35:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:40:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:45:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:50:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:55:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:05:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:10:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:15:00+00:00", "v": 9985.52}, {"t": "2026-08-07T03:20:00+00:00", "v": 9981.48}, {"t": "2026-08-07T03:25:00+00:00", "v": 9984.9}, {"t": "2026-08-07T03:30:00+00:00", "v": 9988.0}, {"t": "2026-08-07T03:35:00+00:00", "v": 9984.58}, {"t": "2026-08-07T03:40:00+00:00", "v": 9975.23}, {"t": "2026-08-07T03:45:00+00:00", "v": 9975.23}, {"t": "2026-08-07T03:50:00+00:00", "v": 9975.23}, {"t": "2026-08-07T03:55:00+00:00", "v": 9960.78}, {"t": "2026-08-07T04:00:00+00:00", "v": 9963.11}, {"t": "2026-08-07T04:05:00+00:00", "v": 9964.97}, {"t": "2026-08-07T04:10:00+00:00", "v": 9964.97}, {"t": "2026-08-07T04:15:00+00:00", "v": 9954.55}, {"t": "2026-08-07T04:20:00+00:00", "v": 9954.55}, {"t": "2026-08-07T04:25:00+00:00", "v": 9954.55}, {"t": "2026-08-07T04:30:00+00:00", "v": 9954.55}, {"t": "2026-08-07T04:35:00+00:00", "v": 9940.13}, {"t": "2026-08-07T04:40:00+00:00", "v": 9937.65}, {"t": "2026-08-07T04:45:00+00:00", "v": 9933.48}, {"t": "2026-08-07T04:50:00+00:00", "v": 9928.84}, {"t": "2026-08-07T04:55:00+00:00", "v": 9936.73}, {"t": "2026-08-07T05:00:00+00:00", "v": 9935.33}, {"t": "2026-08-07T05:05:00+00:00", "v": 9935.95}, {"t": "2026-08-07T05:10:00+00:00", "v": 9936.57}, {"t": "2026-08-07T05:15:00+00:00", "v": 9929.76}, {"t": "2026-08-07T05:20:00+00:00", "v": 9923.57}, {"t": "2026-08-07T05:25:00+00:00", "v": 9924.5}, {"t": "2026-08-07T05:30:00+00:00", "v": 9925.59}, {"t": "2026-08-07T05:35:00+00:00", "v": 9931.47}, {"t": "2026-08-07T05:40:00+00:00", "v": 9939.66}, {"t": "2026-08-07T05:45:00+00:00", "v": 9945.54}, {"t": "2026-08-07T05:50:00+00:00", "v": 9954.21}, {"t": "2026-08-07T05:55:00+00:00", "v": 9948.79}, {"t": "2026-08-07T06:00:00+00:00", "v": 9946.16}, {"t": "2026-08-07T06:05:00+00:00", "v": 9950.65}, {"t": "2026-08-07T06:10:00+00:00", "v": 9961.17}, {"t": "2026-08-07T06:15:00+00:00", "v": 9961.48}, {"t": "2026-08-07T06:20:00+00:00", "v": 9964.26}, {"t": "2026-08-07T06:25:00+00:00", "v": 9962.41}, {"t": "2026-08-07T06:30:00+00:00", "v": 9949.41}, {"t": "2026-08-07T06:35:00+00:00", "v": 9953.28}, {"t": "2026-08-07T06:40:00+00:00", "v": 9952.97}, {"t": "2026-08-07T06:45:00+00:00", "v": 9931.13}, {"t": "2026-08-07T06:50:00+00:00", "v": 9931.13}, {"t": "2026-08-07T06:55:00+00:00", "v": 9931.13}, {"t": "2026-08-07T07:00:00+00:00", "v": 9931.13}, {"t": "2026-08-07T07:05:00+00:00", "v": 9931.13}, {"t": "2026-08-07T07:10:00+00:00", "v": 9931.13}, {"t": "2026-08-07T07:15:00+00:00", "v": 9931.13}, {"t": "2026-08-07T07:20:00+00:00", "v": 9916.74}, {"t": "2026-08-07T07:25:00+00:00", "v": 9914.59}, {"t": "2026-08-07T07:30:00+00:00", "v": 9913.36}, {"t": "2026-08-07T07:35:00+00:00", "v": 9911.97}, {"t": "2026-08-07T07:40:00+00:00", "v": 9895.29}, {"t": "2026-08-07T07:45:00+00:00", "v": 9895.29}, {"t": "2026-08-07T07:50:00+00:00", "v": 9895.29}, {"t": "2026-08-07T07:55:00+00:00", "v": 9880.96}, {"t": "2026-08-07T08:00:00+00:00", "v": 9881.73}, {"t": "2026-08-07T08:05:00+00:00", "v": 9881.88}, {"t": "2026-08-07T08:10:00+00:00", "v": 9889.88}, {"t": "2026-08-07T08:15:00+00:00", "v": 9897.87}, {"t": "2026-08-07T08:20:00+00:00", "v": 9896.18}, {"t": "2026-08-07T08:25:00+00:00", "v": 9900.94}, {"t": "2026-08-07T08:30:00+00:00", "v": 9913.39}, {"t": "2026-08-07T08:35:00+00:00", "v": 9906.78}, {"t": "2026-08-07T08:40:00+00:00", "v": 9930.15}, {"t": "2026-08-07T08:45:00+00:00", "v": 9924.92}, {"t": "2026-08-07T08:50:00+00:00", "v": 9923.54}, {"t": "2026-08-07T08:55:00+00:00", "v": 9924.31}, {"t": "2026-08-07T09:00:00+00:00", "v": 9938.45}, {"t": "2026-08-07T09:05:00+00:00", "v": 9938.29}, {"t": "2026-08-07T09:10:00+00:00", "v": 9943.98}, {"t": "2026-08-07T09:15:00+00:00", "v": 9951.51}, {"t": "2026-08-07T09:20:00+00:00", "v": 9956.27}, {"t": "2026-08-07T09:25:00+00:00", "v": 9957.66}], "total_trades": 5, "generated_at": "2026-08-07T09:26:53.453008+00:00", "asset": "BTC"} |