rams/ftdt-quant-lab
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
e0be9f4d40ccb764447177782f398c69c087e42f
ftdt-quant-lab/backtests/results/grid_mm_BTC_1d_100_20260807-081222.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
5.9 KiB
JSON
Raw Blame History

{"strategy": "grid_mm", "interval": "1d", "n_bars": 101, "start_equity": 10000.0, "end_equity": 8422.42, "total_return_pct": -15.78, "pnl": -1577.58, "sharpe": -1.683, "sortino": -2.142, "max_drawdown_pct": 28.68, "win_rate": NaN, "profit_factor": NaN, "expectancy": NaN, "trades": [{"time": "2026-08-07 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.130911, "entry_px": 76376.3, "exit_px": 64337.0, "pnl_gross": -1577.577, "pnl_net": -1580.3401, "fee": 2.763138, "fee_rate_pct": 0.015, "return_pct": -15.778, "duration": ""}], "params": {"grid_levels": 10, "grid_spacing_pct": 0.1, "rebalance_every": 20, "type": "Market Making"}, "fee_info": {"entry_fee": 0.015, "exit_fee": 0.015, "total_fee": 0.03, "taker_rate_pct": 0.045, "maker_rate_pct": 0.015, "effective_rate_pct": 0.015, "vip_tier": 0, "staking_tier": "none", "fee_model": "maker", "tier_name": "Tier 0 (<$5M)", "staking_name": "No Stake"}, "equity_curve": [{"t": "2026-04-29T00:00:00+00:00", "v": 10000.0}, {"t": "2026-04-30T00:00:00+00:00", "v": 9988.51}, {"t": "2026-05-01T00:00:00+00:00", "v": 10235.8}, {"t": "2026-05-02T00:00:00+00:00", "v": 10296.28}, {"t": "2026-05-03T00:00:00+00:00", "v": 10280.84}, {"t": "2026-05-04T00:00:00+00:00", "v": 10447.09}, {"t": "2026-05-05T00:00:00+00:00", "v": 10585.73}, {"t": "2026-05-06T00:00:00+00:00", "v": 10656.29}, {"t": "2026-05-07T00:00:00+00:00", "v": 10471.84}, {"t": "2026-05-08T00:00:00+00:00", "v": 10492.78}, {"t": "2026-05-09T00:00:00+00:00", "v": 10554.05}, {"t": "2026-05-10T00:00:00+00:00", "v": 10756.17}, {"t": "2026-05-11T00:00:00+00:00", "v": 10695.82}, {"t": "2026-05-12T00:00:00+00:00", "v": 10532.97}, {"t": "2026-05-13T00:00:00+00:00", "v": 10379.02}, {"t": "2026-05-14T00:00:00+00:00", "v": 10609.55}, {"t": "2026-05-15T00:00:00+00:00", "v": 10350.22}, {"t": "2026-05-16T00:00:00+00:00", "v": 10224.68}, {"t": "2026-05-17T00:00:00+00:00", "v": 10136.57}, {"t": "2026-05-18T00:00:00+00:00", "v": 10078.05}, {"t": "2026-05-19T00:00:00+00:00", "v": 10054.75}, {"t": "2026-05-20T00:00:00+00:00", "v": 10149.93}, {"t": "2026-05-21T00:00:00+00:00", "v": 10156.99}, {"t": "2026-05-22T00:00:00+00:00", "v": 9883.78}, {"t": "2026-05-23T00:00:00+00:00", "v": 10042.45}, {"t": "2026-05-24T00:00:00+00:00", "v": 10082.11}, {"t": "2026-05-25T00:00:00+00:00", "v": 10117.07}, {"t": "2026-05-26T00:00:00+00:00", "v": 9935.36}, {"t": "2026-05-27T00:00:00+00:00", "v": 9742.4}, {"t": "2026-05-28T00:00:00+00:00", "v": 9633.35}, {"t": "2026-05-29T00:00:00+00:00", "v": 9612.93}, {"t": "2026-05-30T00:00:00+00:00", "v": 9668.17}, {"t": "2026-05-31T00:00:00+00:00", "v": 9642.64}, {"t": "2026-06-01T00:00:00+00:00", "v": 9348.49}, {"t": "2026-06-02T00:00:00+00:00", "v": 8735.95}, {"t": "2026-06-03T00:00:00+00:00", "v": 8393.75}, {"t": "2026-06-04T00:00:00+00:00", "v": 8359.32}, {"t": "2026-06-05T00:00:00+00:00", "v": 7989.89}, {"t": "2026-06-06T00:00:00+00:00", "v": 7967.38}, {"t": "2026-06-07T00:00:00+00:00", "v": 8287.85}, {"t": "2026-06-08T00:00:00+00:00", "v": 8254.99}, {"t": "2026-06-09T00:00:00+00:00", "v": 8076.56}, {"t": "2026-06-10T00:00:00+00:00", "v": 8048.54}, {"t": "2026-06-11T00:00:00+00:00", "v": 8328.69}, {"t": "2026-06-12T00:00:00+00:00", "v": 8320.84}, {"t": "2026-06-13T00:00:00+00:00", "v": 8434.21}, {"t": "2026-06-14T00:00:00+00:00", "v": 8603.47}, {"t": "2026-06-15T00:00:00+00:00", "v": 8678.62}, {"t": "2026-06-16T00:00:00+00:00", "v": 8592.87}, {"t": "2026-06-17T00:00:00+00:00", "v": 8439.83}, {"t": "2026-06-18T00:00:00+00:00", "v": 8238.89}, {"t": "2026-06-19T00:00:00+00:00", "v": 8314.42}, {"t": "2026-06-20T00:00:00+00:00", "v": 8414.44}, {"t": "2026-06-21T00:00:00+00:00", "v": 8282.74}, {"t": "2026-06-22T00:00:00+00:00", "v": 8379.88}, {"t": "2026-06-23T00:00:00+00:00", "v": 8208.91}, {"t": "2026-06-24T00:00:00+00:00", "v": 7991.73}, {"t": "2026-06-25T00:00:00+00:00", "v": 7823.11}, {"t": "2026-06-26T00:00:00+00:00", "v": 7864.35}, {"t": "2026-06-27T00:00:00+00:00", "v": 7854.14}, {"t": "2026-06-28T00:00:00+00:00", "v": 7795.62}, {"t": "2026-06-29T00:00:00+00:00", "v": 7884.38}, {"t": "2026-06-30T00:00:00+00:00", "v": 7671.78}, {"t": "2026-07-01T00:00:00+00:00", "v": 7855.97}, {"t": "2026-07-02T00:00:00+00:00", "v": 8062.42}, {"t": "2026-07-03T00:00:00+00:00", "v": 8191.89}, {"t": "2026-07-04T00:00:00+00:00", "v": 8264.02}, {"t": "2026-07-05T00:00:00+00:00", "v": 8330.52}, {"t": "2026-07-06T00:00:00+00:00", "v": 8385.38}, {"t": "2026-07-07T00:00:00+00:00", "v": 8293.87}, {"t": "2026-07-08T00:00:00+00:00", "v": 8153.53}, {"t": "2026-07-09T00:00:00+00:00", "v": 8276.85}, {"t": "2026-07-10T00:00:00+00:00", "v": 8398.6}, {"t": "2026-07-11T00:00:00+00:00", "v": 8355.13}, {"t": "2026-07-12T00:00:00+00:00", "v": 8349.51}, {"t": "2026-07-13T00:00:00+00:00", "v": 8159.82}, {"t": "2026-07-14T00:00:00+00:00", "v": 8509.22}, {"t": "2026-07-15T00:00:00+00:00", "v": 8474.92}, {"t": "2026-07-16T00:00:00+00:00", "v": 8354.09}, {"t": "2026-07-17T00:00:00+00:00", "v": 8368.88}, {"t": "2026-07-18T00:00:00+00:00", "v": 8486.57}, {"t": "2026-07-19T00:00:00+00:00", "v": 8472.3}, {"t": "2026-07-20T00:00:00+00:00", "v": 8538.8}, {"t": "2026-07-21T00:00:00+00:00", "v": 8709.12}, {"t": "2026-07-22T00:00:00+00:00", "v": 8651.39}, {"t": "2026-07-23T00:00:00+00:00", "v": 8518.25}, {"t": "2026-07-24T00:00:00+00:00", "v": 8394.41}, {"t": "2026-07-25T00:00:00+00:00", "v": 8425.56}, {"t": "2026-07-26T00:00:00+00:00", "v": 8557.13}, {"t": "2026-07-27T00:00:00+00:00", "v": 8343.75}, {"t": "2026-07-28T00:00:00+00:00", "v": 8366.0}, {"t": "2026-07-29T00:00:00+00:00", "v": 8373.33}, {"t": "2026-07-30T00:00:00+00:00", "v": 8477.01}, {"t": "2026-07-31T00:00:00+00:00", "v": 8228.54}, {"t": "2026-08-01T00:00:00+00:00", "v": 8219.9}, {"t": "2026-08-02T00:00:00+00:00", "v": 8320.18}, {"t": "2026-08-03T00:00:00+00:00", "v": 8311.8}, {"t": "2026-08-04T00:00:00+00:00", "v": 8387.21}, {"t": "2026-08-05T00:00:00+00:00", "v": 8460.13}, {"t": "2026-08-06T00:00:00+00:00", "v": 8416.66}, {"t": "2026-08-07T00:00:00+00:00", "v": 8422.42}], "total_trades": 1, "generated_at": "2026-08-07T08:12:22.848002+00:00", "asset": "BTC"}
Reference in New Issue View Git Blame Copy Permalink