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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6.1 KiB
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{"strategy": "momentum", "interval": "5m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 10014.86, "total_return_pct": 0.15, "pnl": 14.86, "sharpe": 9.59, "sortino": 14.342, "max_drawdown_pct": 0.56, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -22.283, "trades": [{"time": "2026-08-07 06:50:00", "side": "BUY", "asset": "BTC", "size": 0.155455, "entry_px": 64298.23, "exit_px": 64212.72, "pnl_gross": -22.2831, "pnl_net": -31.2731, "fee": 8.989951, "fee_rate_pct": 0.045, "return_pct": -0.223, "duration": ""}, {"time": "2026-08-07 09:25:00", "side": "BUY", "asset": "BTC", "size": 0.154472, "entry_px": 64563.5, "exit_px": 64833.0, "pnl_gross": 37.1423, "pnl_net": 28.1476, "fee": 8.994661, "fee_rate_pct": 0.045, "return_pct": 0.372, "duration": ""}], "params": {"bollinger_window": 20, "bollinger_std": 2.0, "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": "2026-08-07T01:05:00+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": 10000.0}, {"t": "2026-08-07T03:20:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:25:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:30:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:35:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:40:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:45:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:50:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:55:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:05:00+00:00", "v": 10000.0}, {"t": 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{"t": "2026-08-07T07:30:00+00:00", "v": 9977.72}, {"t": "2026-08-07T07:35:00+00:00", "v": 9977.72}, {"t": "2026-08-07T07:40:00+00:00", "v": 9977.72}, {"t": "2026-08-07T07:45:00+00:00", "v": 9977.72}, {"t": "2026-08-07T07:50:00+00:00", "v": 9977.72}, {"t": "2026-08-07T07:55:00+00:00", "v": 9977.72}, {"t": "2026-08-07T08:00:00+00:00", "v": 9977.72}, {"t": "2026-08-07T08:05:00+00:00", "v": 9977.72}, {"t": "2026-08-07T08:10:00+00:00", "v": 9977.72}, {"t": "2026-08-07T08:15:00+00:00", "v": 9977.72}, {"t": "2026-08-07T08:20:00+00:00", "v": 9977.72}, {"t": "2026-08-07T08:25:00+00:00", "v": 9977.72}, {"t": "2026-08-07T08:30:00+00:00", "v": 9963.27}, {"t": "2026-08-07T08:35:00+00:00", "v": 9956.62}, {"t": "2026-08-07T08:40:00+00:00", "v": 9980.1}, {"t": "2026-08-07T08:45:00+00:00", "v": 9974.85}, {"t": "2026-08-07T08:50:00+00:00", "v": 9973.46}, {"t": "2026-08-07T08:55:00+00:00", "v": 9974.23}, {"t": "2026-08-07T09:00:00+00:00", "v": 9988.44}, {"t": "2026-08-07T09:05:00+00:00", "v": 9988.29}, {"t": "2026-08-07T09:10:00+00:00", "v": 9994.01}, {"t": "2026-08-07T09:15:00+00:00", "v": 10001.57}, {"t": "2026-08-07T09:20:00+00:00", "v": 10006.36}, {"t": "2026-08-07T09:25:00+00:00", "v": 10014.86}], "total_trades": 2, "generated_at": "2026-08-07T09:25:50.560788+00:00", "asset": "BTC"} |