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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6.6 KiB
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6.6 KiB
JSON
{"strategy": "pairs", "interval": "15m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9932.4, "total_return_pct": -0.68, "pnl": -67.6, "sharpe": -14.273, "sortino": -22.949, "max_drawdown_pct": 1.45, "win_rate": 0.25, "profit_factor": 0.473, "expectancy": -16.901, "trades": [{"time": "2026-08-06 15:15:00", "side": "BUY", "asset": "BTC", "size": 0.155496, "entry_px": 64281.22, "exit_px": 64730.21, "pnl_gross": 60.7887, "pnl_net": 51.7613, "fee": 9.027343, "fee_rate_pct": 0.045, "return_pct": 0.608, "duration": ""}, {"time": "2026-08-06 18:45:00", "side": "BUY", "asset": "BTC", "size": 0.15555, "entry_px": 64649.58, "exit_px": 64325.61, "pnl_gross": -59.4224, "pnl_net": -68.4503, "fee": 9.027941, "fee_rate_pct": 0.045, "return_pct": -0.591, "duration": ""}, {"time": "2026-08-06 20:15:00", "side": "BUY", "asset": "BTC", "size": 0.155037, "entry_px": 64480.42, "exit_px": 64385.55, "pnl_gross": -23.6983, "pnl_net": -32.6889, "fee": 8.990547, "fee_rate_pct": 0.045, "return_pct": -0.237, "duration": ""}, {"time": "2026-08-07 07:45:00", "side": "BUY", "asset": "BTC", "size": 0.154723, "entry_px": 64458.39, "exit_px": 64223.71, "pnl_gross": -45.2702, "pnl_net": -54.2297, "fee": 8.959536, "fee_rate_pct": 0.045, "return_pct": -0.454, "duration": ""}], "params": {"z_entry": 1.5, "z_exit": 0.5, "lookback": 20, "type": "Stat Arb"}, "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": "2026-08-06T07:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T07:15:00+00:00", "v": 10000.0}, {"t": "2026-08-06T07:30:00+00:00", "v": 10000.0}, {"t": "2026-08-06T07:45:00+00:00", "v": 10000.0}, {"t": "2026-08-06T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T08:15:00+00:00", "v": 10000.0}, {"t": "2026-08-06T08:30:00+00:00", "v": 10000.0}, {"t": "2026-08-06T08:45:00+00:00", "v": 10000.0}, {"t": "2026-08-06T09:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T09:15:00+00:00", "v": 10000.0}, {"t": "2026-08-06T09:30:00+00:00", "v": 10000.0}, {"t": "2026-08-06T09:45:00+00:00", "v": 10000.0}, {"t": "2026-08-06T10:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T10:15:00+00:00", "v": 10000.0}, {"t": "2026-08-06T10:30:00+00:00", "v": 10000.0}, {"t": "2026-08-06T10:45:00+00:00", "v": 10000.0}, {"t": "2026-08-06T11:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T11:15:00+00:00", "v": 10000.0}, {"t": "2026-08-06T11:30:00+00:00", "v": 10000.0}, {"t": "2026-08-06T11:45:00+00:00", "v": 10000.0}, {"t": "2026-08-06T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T12:15:00+00:00", "v": 10000.0}, {"t": "2026-08-06T12:30:00+00:00", "v": 10000.0}, {"t": "2026-08-06T12:45:00+00:00", "v": 10000.0}, {"t": "2026-08-06T13:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T13:15:00+00:00", "v": 9985.52}, {"t": "2026-08-06T13:30:00+00:00", "v": 10010.86}, {"t": "2026-08-06T13:45:00+00:00", "v": 10014.75}, {"t": "2026-08-06T14:00:00+00:00", "v": 10020.35}, {"t": "2026-08-06T14:15:00+00:00", "v": 10013.19}, {"t": "2026-08-06T14:30:00+00:00", "v": 10073.53}, {"t": "2026-08-06T14:45:00+00:00", "v": 10067.62}, {"t": "2026-08-06T15:00:00+00:00", "v": 10078.04}, {"t": "2026-08-06T15:15:00+00:00", "v": 10060.79}, {"t": "2026-08-06T15:30:00+00:00", "v": 10060.79}, {"t": "2026-08-06T15:45:00+00:00", "v": 10060.79}, {"t": "2026-08-06T16:00:00+00:00", "v": 10060.79}, {"t": "2026-08-06T16:15:00+00:00", "v": 10060.79}, {"t": "2026-08-06T16:30:00+00:00", "v": 10060.79}, {"t": "2026-08-06T16:45:00+00:00", "v": 10060.79}, {"t": "2026-08-06T17:00:00+00:00", "v": 10060.79}, {"t": "2026-08-06T17:15:00+00:00", "v": 10060.79}, {"t": "2026-08-06T17:30:00+00:00", "v": 10060.79}, {"t": "2026-08-06T17:45:00+00:00", "v": 10046.22}, {"t": "2026-08-06T18:00:00+00:00", "v": 10034.71}, {"t": "2026-08-06T18:15:00+00:00", "v": 10030.82}, {"t": "2026-08-06T18:30:00+00:00", "v": 10016.2}, {"t": "2026-08-06T18:45:00+00:00", "v": 10001.37}, {"t": "2026-08-06T19:00:00+00:00", "v": 10001.37}, {"t": "2026-08-06T19:15:00+00:00", "v": 10001.37}, {"t": "2026-08-06T19:30:00+00:00", "v": 10001.37}, {"t": "2026-08-06T19:45:00+00:00", "v": 9986.88}, {"t": "2026-08-06T20:00:00+00:00", "v": 9999.13}, {"t": "2026-08-06T20:15:00+00:00", "v": 9977.67}, {"t": "2026-08-06T20:30:00+00:00", "v": 9977.67}, {"t": "2026-08-06T20:45:00+00:00", "v": 9977.67}, {"t": "2026-08-06T21:00:00+00:00", "v": 9977.67}, {"t": "2026-08-06T21:15:00+00:00", "v": 9977.67}, {"t": "2026-08-06T21:30:00+00:00", "v": 9977.67}, {"t": "2026-08-06T21:45:00+00:00", "v": 9977.67}, {"t": "2026-08-06T22:00:00+00:00", "v": 9977.67}, {"t": "2026-08-06T22:15:00+00:00", "v": 9977.67}, {"t": "2026-08-06T22:30:00+00:00", "v": 9977.67}, {"t": "2026-08-06T22:45:00+00:00", "v": 9977.67}, {"t": "2026-08-06T23:00:00+00:00", "v": 9977.67}, {"t": "2026-08-06T23:15:00+00:00", "v": 9977.67}, {"t": "2026-08-06T23:30:00+00:00", "v": 9977.67}, {"t": "2026-08-06T23:45:00+00:00", "v": 9977.67}, {"t": "2026-08-07T00:00:00+00:00", "v": 9977.67}, {"t": "2026-08-07T00:15:00+00:00", "v": 9977.67}, {"t": "2026-08-07T00:30:00+00:00", "v": 9977.67}, {"t": "2026-08-07T00:45:00+00:00", "v": 9977.67}, {"t": "2026-08-07T01:00:00+00:00", "v": 9977.67}, {"t": "2026-08-07T01:15:00+00:00", "v": 9977.67}, {"t": "2026-08-07T01:30:00+00:00", "v": 9977.67}, {"t": "2026-08-07T01:45:00+00:00", "v": 9977.67}, {"t": "2026-08-07T02:00:00+00:00", "v": 9977.67}, {"t": "2026-08-07T02:15:00+00:00", "v": 9977.67}, {"t": "2026-08-07T02:30:00+00:00", "v": 9977.67}, {"t": "2026-08-07T02:45:00+00:00", "v": 9977.67}, {"t": "2026-08-07T03:00:00+00:00", "v": 9977.67}, {"t": "2026-08-07T03:15:00+00:00", "v": 9977.67}, {"t": "2026-08-07T03:30:00+00:00", "v": 9977.67}, {"t": "2026-08-07T03:45:00+00:00", "v": 9977.67}, {"t": "2026-08-07T04:00:00+00:00", "v": 9977.67}, {"t": "2026-08-07T04:15:00+00:00", "v": 9977.67}, {"t": "2026-08-07T04:30:00+00:00", "v": 9977.67}, {"t": "2026-08-07T04:45:00+00:00", "v": 9977.67}, {"t": "2026-08-07T05:00:00+00:00", "v": 9977.67}, {"t": "2026-08-07T05:15:00+00:00", "v": 9977.67}, {"t": "2026-08-07T05:30:00+00:00", "v": 9977.67}, {"t": "2026-08-07T05:45:00+00:00", "v": 9977.67}, {"t": "2026-08-07T06:00:00+00:00", "v": 9977.67}, {"t": "2026-08-07T06:15:00+00:00", "v": 9963.22}, {"t": "2026-08-07T06:30:00+00:00", "v": 9953.78}, {"t": "2026-08-07T06:45:00+00:00", "v": 9944.03}, {"t": "2026-08-07T07:00:00+00:00", "v": 9950.37}, {"t": "2026-08-07T07:15:00+00:00", "v": 9960.28}, {"t": "2026-08-07T07:30:00+00:00", "v": 9955.33}, {"t": "2026-08-07T07:45:00+00:00", "v": 9932.4}, {"t": "2026-08-07T08:00:00+00:00", "v": 9932.4}], "total_trades": 4, "generated_at": "2026-08-07T08:10:50.419141+00:00"} |