rams/ftdt-quant-lab
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
543537e33fecb94cc5b53fea7f90c27a58c72373
ftdt-quant-lab/backtests/results/pairs_BTC_5m_100_20260807-092239.json
T
ramseshk 31c1fe7fbe chore: sweep all strategies on HFT/intraday/intraweek intervals — 639 clean results 
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
2026-08-07 17:34:55 +08:00

1 line
6.1 KiB
JSON
Raw Blame History

{"strategy": "pairs", "interval": "5m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9960.75, "total_return_pct": -0.39, "pnl": -39.25, "sharpe": -34.391, "sortino": -39.731, "max_drawdown_pct": 0.41, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -19.625, "trades": [{"time": "2026-08-07 05:35:00", "side": "BUY", "asset": "BTC", "size": 0.155676, "entry_px": 64207.14, "exit_px": 64129.81, "pnl_gross": -21.03, "pnl_net": -30.0206, "fee": 8.990542, "fee_rate_pct": 0.045, "return_pct": -0.21, "duration": ""}, {"time": "2026-08-07 07:25:00", "side": "BUY", "asset": "BTC", "size": 0.154955, "entry_px": 64370.31, "exit_px": 64310.62, "pnl_gross": -18.2207, "pnl_net": -27.1936, "fee": 8.972889, "fee_rate_pct": 0.045, "return_pct": -0.183, "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": "2026-08-07T01:00:00+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": 10000.0}, {"t": "2026-08-07T02:20:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:25:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:30:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:35:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:40:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:45:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:50:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:55:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:05:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:10:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:15:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:20:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:25:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:30:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:35:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:40:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:45:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:50:00+00:00", "v": 10000.0}, {"t": "2026-08-07T03:55:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:05:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:10:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:15:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:20:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:25:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:30:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:35:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:40:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:45:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:50:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:55:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:05:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:10:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:15:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:20:00+00:00", "v": 9985.52}, {"t": "2026-08-07T05:25:00+00:00", "v": 9986.45}, {"t": "2026-08-07T05:30:00+00:00", "v": 9987.54}, {"t": "2026-08-07T05:35:00+00:00", "v": 9978.97}, {"t": "2026-08-07T05:40:00+00:00", "v": 9978.97}, {"t": "2026-08-07T05:45:00+00:00", "v": 9978.97}, {"t": "2026-08-07T05:50:00+00:00", "v": 9978.97}, {"t": "2026-08-07T05:55:00+00:00", "v": 9964.52}, {"t": "2026-08-07T06:00:00+00:00", "v": 9961.88}, {"t": "2026-08-07T06:05:00+00:00", "v": 9966.38}, {"t": "2026-08-07T06:10:00+00:00", "v": 9976.91}, {"t": "2026-08-07T06:15:00+00:00", "v": 9977.22}, {"t": "2026-08-07T06:20:00+00:00", "v": 9980.01}, {"t": "2026-08-07T06:25:00+00:00", "v": 9978.15}, {"t": "2026-08-07T06:30:00+00:00", "v": 9965.14}, {"t": "2026-08-07T06:35:00+00:00", "v": 9969.01}, {"t": "2026-08-07T06:40:00+00:00", "v": 9968.7}, {"t": "2026-08-07T06:45:00+00:00", "v": 9961.26}, {"t": "2026-08-07T06:50:00+00:00", "v": 9960.02}, {"t": "2026-08-07T06:55:00+00:00", "v": 9958.94}, {"t": "2026-08-07T07:00:00+00:00", "v": 9959.25}, {"t": "2026-08-07T07:05:00+00:00", "v": 9967.77}, {"t": "2026-08-07T07:10:00+00:00", "v": 9965.29}, {"t": "2026-08-07T07:15:00+00:00", "v": 9967.0}, {"t": "2026-08-07T07:20:00+00:00", "v": 9977.38}, {"t": "2026-08-07T07:25:00+00:00", "v": 9960.75}, {"t": "2026-08-07T07:30:00+00:00", "v": 9960.75}, {"t": "2026-08-07T07:35:00+00:00", "v": 9960.75}, {"t": "2026-08-07T07:40:00+00:00", "v": 9960.75}, {"t": "2026-08-07T07:45:00+00:00", "v": 9960.75}, {"t": "2026-08-07T07:50:00+00:00", "v": 9960.75}, {"t": "2026-08-07T07:55:00+00:00", "v": 9960.75}, {"t": "2026-08-07T08:00:00+00:00", "v": 9960.75}, {"t": "2026-08-07T08:05:00+00:00", "v": 9960.75}, {"t": "2026-08-07T08:10:00+00:00", "v": 9960.75}, {"t": "2026-08-07T08:15:00+00:00", "v": 9960.75}, {"t": "2026-08-07T08:20:00+00:00", "v": 9960.75}, {"t": "2026-08-07T08:25:00+00:00", "v": 9960.75}, {"t": "2026-08-07T08:30:00+00:00", "v": 9960.75}, {"t": "2026-08-07T08:35:00+00:00", "v": 9960.75}, {"t": "2026-08-07T08:40:00+00:00", "v": 9960.75}, {"t": "2026-08-07T08:45:00+00:00", "v": 9960.75}, {"t": "2026-08-07T08:50:00+00:00", "v": 9960.75}, {"t": "2026-08-07T08:55:00+00:00", "v": 9960.75}, {"t": "2026-08-07T09:00:00+00:00", "v": 9960.75}, {"t": "2026-08-07T09:05:00+00:00", "v": 9960.75}, {"t": "2026-08-07T09:10:00+00:00", "v": 9960.75}, {"t": "2026-08-07T09:15:00+00:00", "v": 9960.75}, {"t": "2026-08-07T09:20:00+00:00", "v": 9960.75}], "total_trades": 2, "generated_at": "2026-08-07T09:22:39.975710+00:00"}
Reference in New Issue View Git Blame Copy Permalink