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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{"strategy": "pairs", "interval": "1d", "n_bars": 501, "start_equity": 10000.0, "end_equity": 7656.64, "total_return_pct": -23.43, "pnl": -2343.36, "sharpe": -0.983, "sortino": -1.303, "max_drawdown_pct": 34.83, "win_rate": 0.308, "profit_factor": 0.356, "expectancy": -180.258, "trades": [{"time": "2025-05-22 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.096932, "entry_px": 103119.02, "exit_px": 111787.1, "pnl_gross": 830.8382, "pnl_net": 821.4641, "fee": 9.374076, "fee_rate_pct": 0.045, "return_pct": 8.312, "duration": ""}, {"time": "2025-06-14 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.099525, "entry_px": 108776.67, "exit_px": 105280.61, "pnl_gross": -357.5306, "pnl_net": -367.1174, "fee": 9.586823, "fee_rate_pct": 0.045, "return_pct": -3.303, "duration": ""}, {"time": "2025-08-02 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.096008, "entry_px": 109038.93, "exit_px": 112389.5, "pnl_gross": 312.1144, "pnl_net": 302.5479, "fee": 9.566505, "fee_rate_pct": 0.045, "return_pct": 2.981, "duration": ""}, {"time": "2025-08-20 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.09167, "entry_px": 117602.48, "exit_px": 114134.75, "pnl_gross": -327.4452, "pnl_net": -337.0047, "fee": 9.559508, "fee_rate_pct": 0.045, "return_pct": -3.037, "duration": ""}, {"time": "2025-09-02 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.089283, "entry_px": 117079.96, "exit_px": 111113.77, "pnl_gross": -541.8486, "pnl_net": -551.0168, "fee": 9.168219, "fee_rate_pct": 0.045, "return_pct": -5.184, "duration": ""}, {"time": "2025-12-13 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.107588, "entry_px": 92126.03, "exit_px": 90131.78, "pnl_gross": -223.3822, "pnl_net": -232.2062, "fee": 8.823939, "fee_rate_pct": 0.045, "return_pct": -2.254, "duration": ""}, {"time": "2026-01-09 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.106829, "entry_px": 90690.6, "exit_px": 90559.35, "pnl_gross": -22.7345, "pnl_net": -31.4478, "fee": 8.713238, "fee_rate_pct": 0.045, "return_pct": -0.235, "duration": ""}, {"time": "2026-01-20 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.103139, "entry_px": 93714.62, "exit_px": 88315.6, "pnl_gross": -565.3003, "pnl_net": -573.7488, "fee": 8.448487, "fee_rate_pct": 0.045, "return_pct": -5.849, "duration": ""}, {"time": "2026-03-27 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.121457, "entry_px": 74928.85, "exit_px": 66329.6, "pnl_gross": -1052.1576, "pnl_net": -1059.8782, "fee": 7.720572, "fee_rate_pct": 0.045, "return_pct": -11.561, "duration": ""}, {"time": "2026-04-04 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.118103, "entry_px": 68152.08, "exit_px": 67196.74, "pnl_gross": -120.0223, "pnl_net": -127.2156, "fee": 7.193296, "fee_rate_pct": 0.045, "return_pct": -1.491, "duration": ""}, {"time": "2026-04-19 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.108485, "entry_px": 73088.01, "exit_px": 73667.26, "pnl_gross": 55.675, "pnl_net": 48.5107, "fee": 7.164335, "fee_rate_pct": 0.045, "return_pct": 0.702, "duration": ""}, {"time": "2026-06-06 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.124406, "entry_px": 64182.12, "exit_px": 60800.14, "pnl_gross": -427.7339, "pnl_net": -434.7307, "fee": 6.996844, "fee_rate_pct": 0.045, "return_pct": -5.357, "duration": ""}, {"time": "2026-08-02 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.120646, "entry_px": 62638.58, "exit_px": 63492.44, "pnl_gross": 96.1677, "pnl_net": 89.32, "fee": 6.847741, "fee_rate_pct": 0.045, "return_pct": 1.273, "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": "2025-03-25T00:00:00+00:00", "v": 10000.0}, {"t": "2025-03-26T00:00:00+00:00", "v": 10000.0}, 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