ramseshk
745174f0e6
fix: iceberg strategy — bool dtype + consecutive spike detection
Root cause: iceberg signal generator produced object-dtype entries
that crashed VectorBT's numba JIT compiler with 'non-precise type
array(pyobject, 1d, C)'. All 28 sweep combos returned 0 trades.
Fixes:
- iceberg: lower vol spike threshold (1.3→1.15), require 2/3
consecutive same-direction spikes (not just single bar)
- exit when spike subsides (not arbitrary 5-bar hold)
- .astype(bool) on all entries/exits before returning from
_generate_signals, preventing numba JIT errors
Results (36/36 succeeded):
iceberg 1d 2000b BTC S=0.18 85t ret=9.38% (best)
iceberg 15m 100b BTC S=-36.34 4t ret=-0.18% (worst)
Consistently negative Sharpe except 1d interval —
volume-spike following loses on sub-daily timescales