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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6.4 KiB
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6.4 KiB
JSON
{"strategy": "obi", "interval": "1m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9956.73, "total_return_pct": -0.43, "pnl": -43.27, "sharpe": -82.638, "sortino": -89.378, "max_drawdown_pct": 0.66, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -24.507, "trades": [{"time": "2026-08-07 08:12:00", "side": "BUY", "asset": "BTC", "size": 0.155368, "entry_px": 64334.27, "exit_px": 64279.66, "pnl_gross": -17.4774, "pnl_net": -26.4695, "fee": 8.99212, "fee_rate_pct": 0.045, "return_pct": -0.175, "duration": ""}, {"time": "2026-08-07 08:23:00", "side": "BUY", "asset": "BTC", "size": 0.154827, "entry_px": 64446.38, "exit_px": 64300.64, "pnl_gross": -31.5356, "pnl_net": -40.5057, "fee": 8.970082, "fee_rate_pct": 0.045, "return_pct": -0.316, "duration": ""}, {"time": "2026-08-07 09:21:00", "side": "BUY", "asset": "BTC", "size": 0.153881, "entry_px": 64637.57, "exit_px": 64704.0, "pnl_gross": 5.7459, "pnl_net": -3.2105, "fee": 8.956445, "fee_rate_pct": 0.045, "return_pct": 0.058, "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": "2026-08-07T07:41:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:42:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:43:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:44:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:45:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:46:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:47:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:48:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:49:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:50:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:51:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:52:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:53:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:54:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:55:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:56:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:57:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:58:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:59:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:00:00+00:00", "v": 9985.52}, {"t": "2026-08-07T08:01:00+00:00", "v": 9985.67}, {"t": "2026-08-07T08:02:00+00:00", "v": 9986.91}, {"t": "2026-08-07T08:03:00+00:00", "v": 9986.91}, {"t": "2026-08-07T08:04:00+00:00", "v": 9989.09}, {"t": "2026-08-07T08:05:00+00:00", "v": 9991.58}, {"t": "2026-08-07T08:06:00+00:00", "v": 9991.11}, {"t": "2026-08-07T08:07:00+00:00", "v": 9989.87}, {"t": "2026-08-07T08:08:00+00:00", "v": 9990.49}, {"t": "2026-08-07T08:09:00+00:00", "v": 9989.25}, {"t": "2026-08-07T08:10:00+00:00", "v": 9992.51}, {"t": "2026-08-07T08:11:00+00:00", "v": 9994.68}, {"t": "2026-08-07T08:12:00+00:00", "v": 9982.52}, {"t": "2026-08-07T08:13:00+00:00", "v": 9982.52}, {"t": "2026-08-07T08:14:00+00:00", "v": 9982.52}, {"t": "2026-08-07T08:15:00+00:00", "v": 9982.52}, {"t": "2026-08-07T08:16:00+00:00", "v": 9968.06}, {"t": "2026-08-07T08:17:00+00:00", "v": 9967.75}, {"t": "2026-08-07T08:18:00+00:00", "v": 9971.63}, {"t": "2026-08-07T08:19:00+00:00", "v": 9970.54}, {"t": "2026-08-07T08:20:00+00:00", "v": 9969.3}, {"t": "2026-08-07T08:21:00+00:00", "v": 9967.29}, {"t": "2026-08-07T08:22:00+00:00", "v": 9968.84}, {"t": "2026-08-07T08:23:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:24:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:25:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:26:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:27:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:28:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:29:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:30:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:31:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:32:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:33:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:34:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:35:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:36:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:37:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:38:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:39:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:40:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:41:00+00:00", "v": 9950.99}, {"t": "2026-08-07T08:42:00+00:00", "v": 9936.57}, {"t": "2026-08-07T08:43:00+00:00", "v": 9938.88}, {"t": "2026-08-07T08:44:00+00:00", "v": 9941.96}, {"t": "2026-08-07T08:45:00+00:00", "v": 9936.27}, {"t": "2026-08-07T08:46:00+00:00", "v": 9936.27}, {"t": "2026-08-07T08:47:00+00:00", "v": 9936.27}, {"t": "2026-08-07T08:48:00+00:00", "v": 9937.81}, {"t": "2026-08-07T08:49:00+00:00", "v": 9936.73}, {"t": "2026-08-07T08:50:00+00:00", "v": 9936.88}, {"t": "2026-08-07T08:51:00+00:00", "v": 9937.5}, {"t": "2026-08-07T08:52:00+00:00", "v": 9935.5}, {"t": "2026-08-07T08:53:00+00:00", "v": 9934.88}, {"t": "2026-08-07T08:54:00+00:00", "v": 9935.34}, {"t": "2026-08-07T08:55:00+00:00", "v": 9935.19}, {"t": "2026-08-07T08:56:00+00:00", "v": 9934.11}, {"t": "2026-08-07T08:57:00+00:00", "v": 9933.96}, {"t": "2026-08-07T08:58:00+00:00", "v": 9933.8}, {"t": "2026-08-07T08:59:00+00:00", "v": 9936.11}, {"t": "2026-08-07T09:00:00+00:00", "v": 9941.04}, {"t": "2026-08-07T09:01:00+00:00", "v": 9943.65}, {"t": "2026-08-07T09:02:00+00:00", "v": 9945.81}, {"t": "2026-08-07T09:03:00+00:00", "v": 9950.27}, {"t": "2026-08-07T09:04:00+00:00", "v": 9950.27}, {"t": "2026-08-07T09:05:00+00:00", "v": 9948.73}, {"t": "2026-08-07T09:06:00+00:00", "v": 9950.73}, {"t": "2026-08-07T09:07:00+00:00", "v": 9948.88}, {"t": "2026-08-07T09:08:00+00:00", "v": 9949.19}, {"t": "2026-08-07T09:09:00+00:00", "v": 9950.12}, {"t": "2026-08-07T09:10:00+00:00", "v": 9951.19}, {"t": "2026-08-07T09:11:00+00:00", "v": 9959.19}, {"t": "2026-08-07T09:12:00+00:00", "v": 9954.42}, {"t": "2026-08-07T09:13:00+00:00", "v": 9954.42}, {"t": "2026-08-07T09:14:00+00:00", "v": 9955.81}, {"t": "2026-08-07T09:15:00+00:00", "v": 9957.19}, {"t": "2026-08-07T09:16:00+00:00", "v": 9957.81}, {"t": "2026-08-07T09:17:00+00:00", "v": 9959.66}, {"t": "2026-08-07T09:18:00+00:00", "v": 9962.12}, {"t": "2026-08-07T09:19:00+00:00", "v": 9963.35}, {"t": "2026-08-07T09:20:00+00:00", "v": 9956.73}, {"t": "2026-08-07T09:21:00+00:00", "v": 9956.73}], "total_trades": 3, "generated_at": "2026-08-07T09:21:13.120631+00:00", "asset": "BTC"} |