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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7.3 KiB
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7.3 KiB
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{"strategy": "iceberg", "interval": "5m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9764.57, "total_return_pct": -2.35, "pnl": -235.43, "sharpe": -151.849, "sortino": -138.087, "max_drawdown_pct": 2.36, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -36.625, "trades": [{"time": "2026-08-07 02:35:00", "side": "BUY", "asset": "BTC", "size": 0.154973, "entry_px": 64498.43, "exit_px": 64214.72, "pnl_gross": -52.944, "pnl_net": -61.9201, "fee": 8.976178, "fee_rate_pct": 0.045, "return_pct": -0.53, "duration": ""}, {"time": "2026-08-07 03:05:00", "side": "BUY", "asset": "BTC", "size": 0.154238, "entry_px": 64462.4, "exit_px": 64278.66, "pnl_gross": -37.2755, "pnl_net": -46.211, "fee": 8.935544, "fee_rate_pct": 0.045, "return_pct": -0.375, "duration": ""}, {"time": "2026-08-07 05:20:00", "side": "BUY", "asset": "BTC", "size": 0.154079, "entry_px": 64287.22, "exit_px": 64078.86, "pnl_gross": -41.0052, "pnl_net": -49.9055, "fee": 8.900333, "fee_rate_pct": 0.045, "return_pct": -0.414, "duration": ""}, {"time": "2026-08-07 06:05:00", "side": "BUY", "asset": "BTC", "size": 0.15316, "entry_px": 64405.34, "exit_px": 64253.68, "pnl_gross": -32.0956, "pnl_net": -40.963, "fee": 8.867437, "fee_rate_pct": 0.045, "return_pct": -0.325, "duration": ""}, {"time": "2026-08-07 07:05:00", "side": "BUY", "asset": "BTC", "size": 0.152814, "entry_px": 64341.28, "exit_px": 64262.67, "pnl_gross": -20.8554, "pnl_net": -29.699, "fee": 8.843618, "fee_rate_pct": 0.045, "return_pct": -0.212, "duration": ""}, {"time": "2026-08-07 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.152341, "entry_px": 64404.34, "exit_px": 64228.71, "pnl_gross": -35.5743, "pnl_net": -44.3925, "fee": 8.818239, "fee_rate_pct": 0.045, "return_pct": -0.363, "duration": ""}, {"time": "2026-08-07 08:25:00", "side": "BUY", "asset": "BTC", "size": 0.151652, "entry_px": 64462.4, "exit_px": 64388.0, "pnl_gross": -15.6817, "pnl_net": -24.4749, "fee": 8.793189, "fee_rate_pct": 0.045, "return_pct": -0.16, "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": "2026-08-07T00:05:00+00:00", "v": 10000.0}, {"t": "2026-08-07T00:10:00+00:00", "v": 10000.0}, {"t": "2026-08-07T00:15:00+00:00", "v": 10000.0}, {"t": "2026-08-07T00:20:00+00:00", "v": 10000.0}, {"t": "2026-08-07T00:25:00+00:00", "v": 10000.0}, {"t": "2026-08-07T00:30:00+00:00", "v": 10000.0}, {"t": "2026-08-07T00:35:00+00:00", "v": 10000.0}, {"t": "2026-08-07T00:40:00+00:00", "v": 10000.0}, {"t": "2026-08-07T00:45:00+00:00", "v": 10000.0}, {"t": "2026-08-07T00:50:00+00:00", "v": 10000.0}, {"t": "2026-08-07T00:55:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:00:00+00:00", "v": 10000.0}, {"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": 9985.52}, {"t": "2026-08-07T02:20:00+00:00", "v": 9971.1}, {"t": "2026-08-07T02:25:00+00:00", "v": 9963.05}, {"t": "2026-08-07T02:30:00+00:00", "v": 9962.89}, {"t": "2026-08-07T02:35:00+00:00", "v": 9947.06}, {"t": "2026-08-07T02:40:00+00:00", "v": 9947.06}, {"t": "2026-08-07T02:45:00+00:00", "v": 9947.06}, {"t": "2026-08-07T02:50:00+00:00", "v": 9932.65}, {"t": "2026-08-07T02:55:00+00:00", "v": 9927.25}, {"t": "2026-08-07T03:00:00+00:00", "v": 9920.93}, {"t": "2026-08-07T03:05:00+00:00", "v": 9909.78}, {"t": "2026-08-07T03:10:00+00:00", "v": 9909.78}, {"t": "2026-08-07T03:15:00+00:00", "v": 9909.78}, {"t": "2026-08-07T03:20:00+00:00", "v": 9909.78}, {"t": "2026-08-07T03:25:00+00:00", "v": 9909.78}, {"t": "2026-08-07T03:30:00+00:00", "v": 9909.78}, {"t": "2026-08-07T03:35:00+00:00", "v": 9909.78}, {"t": "2026-08-07T03:40:00+00:00", "v": 9909.78}, {"t": "2026-08-07T03:45:00+00:00", "v": 9909.78}, {"t": "2026-08-07T03:50:00+00:00", "v": 9909.78}, {"t": "2026-08-07T03:55:00+00:00", "v": 9909.78}, {"t": "2026-08-07T04:00:00+00:00", "v": 9909.78}, {"t": "2026-08-07T04:05:00+00:00", "v": 9909.78}, {"t": "2026-08-07T04:10:00+00:00", "v": 9909.78}, {"t": "2026-08-07T04:15:00+00:00", "v": 9909.78}, {"t": "2026-08-07T04:20:00+00:00", "v": 9909.78}, {"t": "2026-08-07T04:25:00+00:00", "v": 9909.78}, {"t": "2026-08-07T04:30:00+00:00", "v": 9909.78}, {"t": "2026-08-07T04:35:00+00:00", "v": 9909.78}, {"t": "2026-08-07T04:40:00+00:00", "v": 9909.78}, {"t": "2026-08-07T04:45:00+00:00", "v": 9909.78}, {"t": "2026-08-07T04:50:00+00:00", "v": 9909.78}, {"t": "2026-08-07T04:55:00+00:00", "v": 9909.78}, {"t": "2026-08-07T05:00:00+00:00", "v": 9909.78}, {"t": "2026-08-07T05:05:00+00:00", "v": 9895.43}, {"t": "2026-08-07T05:10:00+00:00", "v": 9896.04}, {"t": "2026-08-07T05:15:00+00:00", "v": 9889.26}, {"t": "2026-08-07T05:20:00+00:00", "v": 9868.78}, {"t": "2026-08-07T05:25:00+00:00", "v": 9868.78}, {"t": "2026-08-07T05:30:00+00:00", "v": 9868.78}, {"t": "2026-08-07T05:35:00+00:00", "v": 9868.78}, {"t": "2026-08-07T05:40:00+00:00", "v": 9868.78}, {"t": "2026-08-07T05:45:00+00:00", "v": 9868.78}, {"t": "2026-08-07T05:50:00+00:00", "v": 9854.48}, {"t": "2026-08-07T05:55:00+00:00", "v": 9849.12}, {"t": "2026-08-07T06:00:00+00:00", "v": 9846.52}, {"t": "2026-08-07T06:05:00+00:00", "v": 9836.68}, {"t": "2026-08-07T06:10:00+00:00", "v": 9836.68}, {"t": "2026-08-07T06:15:00+00:00", "v": 9836.68}, {"t": "2026-08-07T06:20:00+00:00", "v": 9836.68}, {"t": "2026-08-07T06:25:00+00:00", "v": 9836.68}, {"t": "2026-08-07T06:30:00+00:00", "v": 9836.68}, {"t": "2026-08-07T06:35:00+00:00", "v": 9836.68}, {"t": "2026-08-07T06:40:00+00:00", "v": 9836.68}, {"t": "2026-08-07T06:45:00+00:00", "v": 9836.68}, {"t": "2026-08-07T06:50:00+00:00", "v": 9822.43}, {"t": "2026-08-07T06:55:00+00:00", "v": 9821.36}, {"t": "2026-08-07T07:00:00+00:00", "v": 9821.67}, {"t": "2026-08-07T07:05:00+00:00", "v": 9815.82}, {"t": "2026-08-07T07:10:00+00:00", "v": 9815.82}, {"t": "2026-08-07T07:15:00+00:00", "v": 9815.82}, {"t": "2026-08-07T07:20:00+00:00", "v": 9815.82}, {"t": "2026-08-07T07:25:00+00:00", "v": 9815.82}, {"t": "2026-08-07T07:30:00+00:00", "v": 9815.82}, {"t": "2026-08-07T07:35:00+00:00", "v": 9815.82}, {"t": "2026-08-07T07:40:00+00:00", "v": 9815.82}, {"t": "2026-08-07T07:45:00+00:00", "v": 9801.61}, {"t": "2026-08-07T07:50:00+00:00", "v": 9801.46}, {"t": "2026-08-07T07:55:00+00:00", "v": 9793.69}, {"t": "2026-08-07T08:00:00+00:00", "v": 9780.25}, {"t": "2026-08-07T08:05:00+00:00", "v": 9780.25}, {"t": "2026-08-07T08:10:00+00:00", "v": 9780.25}, {"t": "2026-08-07T08:15:00+00:00", "v": 9766.08}, {"t": "2026-08-07T08:20:00+00:00", "v": 9764.42}, {"t": "2026-08-07T08:25:00+00:00", "v": 9764.57}], "total_trades": 7, "generated_at": "2026-08-07T08:25:36.217666+00:00", "asset": "BTC"} |