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": "obi", "interval": "4h", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9851.14, "total_return_pct": -1.49, "pnl": -148.86, "sharpe": -1.382, "sortino": -1.891, "max_drawdown_pct": 3.77, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -160.794, "trades": [{"time": "2026-08-03 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.154781, "entry_px": 64578.51, "exit_px": 63597.34, "pnl_gross": -160.7945, "pnl_net": -169.7221, "fee": 8.927634, "fee_rate_pct": 0.045, "return_pct": -1.609, "duration": ""}, {"time": "2026-08-07 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.153139, "entry_px": 64221.16, "exit_px": 64328.0, "pnl_gross": 11.9362, "pnl_net": 3.0776, "fee": 8.85865, "fee_rate_pct": 0.045, "return_pct": 0.121, "duration": ""}], "params": {"obi_lookback": 20, "obi_entry": 0.35, "obi_exit": 0.1, "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": "2026-07-21T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-21T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-22T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-22T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-22T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-22T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-22T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-22T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-23T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-23T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-23T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-23T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-23T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-23T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-24T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-24T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-24T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-24T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-24T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-24T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-25T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-25T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-25T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-25T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-25T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-25T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-26T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-26T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-26T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-26T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-26T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-26T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-27T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-27T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-27T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-27T12:00:00+00:00", "v": 9985.52}, {"t": "2026-07-27T16:00:00+00:00", "v": 10052.85}, {"t": "2026-07-27T20:00:00+00:00", "v": 9865.1}, {"t": "2026-07-28T00:00:00+00:00", "v": 9800.71}, {"t": "2026-07-28T04:00:00+00:00", "v": 9825.47}, {"t": "2026-07-28T08:00:00+00:00", "v": 9819.44}, {"t": "2026-07-28T12:00:00+00:00", "v": 9892.18}, {"t": "2026-07-28T16:00:00+00:00", "v": 9885.84}, {"t": "2026-07-28T20:00:00+00:00", "v": 9891.41}, {"t": "2026-07-29T00:00:00+00:00", "v": 9862.78}, {"t": "2026-07-29T04:00:00+00:00", "v": 9987.99}, {"t": "2026-07-29T08:00:00+00:00", "v": 9980.56}, {"t": "2026-07-29T12:00:00+00:00", "v": 9897.14}, {"t": "2026-07-29T16:00:00+00:00", "v": 9838.32}, {"t": "2026-07-29T20:00:00+00:00", "v": 9900.08}, {"t": "2026-07-30T00:00:00+00:00", "v": 9927.32}, {"t": "2026-07-30T04:00:00+00:00", "v": 9902.4}, {"t": "2026-07-30T08:00:00+00:00", "v": 10021.58}, {"t": "2026-07-30T12:00:00+00:00", "v": 10013.07}, {"t": "2026-07-30T16:00:00+00:00", "v": 10024.99}, {"t": "2026-07-30T20:00:00+00:00", "v": 10022.66}, {"t": "2026-07-31T00:00:00+00:00", "v": 9959.67}, {"t": "2026-07-31T04:00:00+00:00", "v": 9893.27}, {"t": "2026-07-31T08:00:00+00:00", "v": 9870.51}, {"t": "2026-07-31T12:00:00+00:00", "v": 9705.52}, {"t": "2026-07-31T16:00:00+00:00", "v": 9741.12}, {"t": "2026-07-31T20:00:00+00:00", "v": 9728.89}, {"t": "2026-08-01T00:00:00+00:00", "v": 9747.31}, {"t": "2026-08-01T04:00:00+00:00", "v": 9753.96}, {"t": "2026-08-01T08:00:00+00:00", "v": 9758.3}, {"t": "2026-08-01T12:00:00+00:00", "v": 9748.39}, {"t": "2026-08-01T16:00:00+00:00", "v": 9674.25}, {"t": "2026-08-01T20:00:00+00:00", "v": 9718.67}, {"t": "2026-08-02T00:00:00+00:00", "v": 9818.66}, {"t": "2026-08-02T04:00:00+00:00", "v": 9823.46}, {"t": "2026-08-02T08:00:00+00:00", "v": 9752.88}, {"t": "2026-08-02T12:00:00+00:00", "v": 9766.97}, {"t": "2026-08-02T16:00:00+00:00", "v": 9819.75}, {"t": "2026-08-02T20:00:00+00:00", "v": 9837.24}, {"t": "2026-08-03T00:00:00+00:00", "v": 9727.34}, {"t": "2026-08-03T04:00:00+00:00", "v": 9688.8}, {"t": "2026-08-03T08:00:00+00:00", "v": 9679.05}, {"t": "2026-08-03T12:00:00+00:00", "v": 9839.21}, {"t": "2026-08-03T16:00:00+00:00", "v": 9839.21}, {"t": "2026-08-03T20:00:00+00:00", "v": 9839.21}, {"t": "2026-08-04T00:00:00+00:00", "v": 9839.21}, {"t": "2026-08-04T04:00:00+00:00", "v": 9839.21}, {"t": "2026-08-04T08:00:00+00:00", "v": 9839.21}, {"t": "2026-08-04T12:00:00+00:00", "v": 9839.21}, {"t": "2026-08-04T16:00:00+00:00", "v": 9839.21}, {"t": "2026-08-04T20:00:00+00:00", "v": 9839.21}, {"t": "2026-08-05T00:00:00+00:00", "v": 9824.95}, {"t": "2026-08-05T04:00:00+00:00", "v": 9822.05}, {"t": "2026-08-05T08:00:00+00:00", "v": 9807.19}, {"t": "2026-08-05T12:00:00+00:00", "v": 9854.66}, {"t": "2026-08-05T16:00:00+00:00", "v": 9922.81}, {"t": "2026-08-05T20:00:00+00:00", "v": 9896.62}, {"t": "2026-08-06T00:00:00+00:00", "v": 9879.17}, {"t": "2026-08-06T04:00:00+00:00", "v": 9920.97}, {"t": "2026-08-06T08:00:00+00:00", "v": 9892.49}, {"t": "2026-08-06T12:00:00+00:00", "v": 9892.49}, {"t": "2026-08-06T16:00:00+00:00", "v": 9864.62}, {"t": "2026-08-06T20:00:00+00:00", "v": 9845.78}, {"t": "2026-08-07T00:00:00+00:00", "v": 9840.58}, {"t": "2026-08-07T04:00:00+00:00", "v": 9845.02}, {"t": "2026-08-07T08:00:00+00:00", "v": 9851.14}], "total_trades": 2, "generated_at": "2026-08-07T08:12:01.780968+00:00", "asset": "BTC"} |