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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6.7 KiB
JSON
1 line
6.7 KiB
JSON
{"strategy": "momentum", "interval": "15m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 10014.89, "total_return_pct": 0.15, "pnl": 14.89, "sharpe": 2.832, "sortino": 4.633, "max_drawdown_pct": 1.01, "win_rate": 0.333, "profit_factor": 0.811, "expectancy": -1.798, "trades": [{"time": "2026-08-06 17:30:00", "side": "BUY", "asset": "BTC", "size": 0.15547, "entry_px": 64292.23, "exit_px": 64499.44, "pnl_gross": 23.2041, "pnl_net": 14.1937, "fee": 9.010458, "fee_rate_pct": 0.045, "return_pct": 0.232, "duration": ""}, {"time": "2026-08-07 02:15:00", "side": "BUY", "asset": "BTC", "size": 0.155848, "entry_px": 64285.22, "exit_px": 64224.71, "pnl_gross": -18.4429, "pnl_net": -27.4555, "fee": 9.012607, "fee_rate_pct": 0.045, "return_pct": -0.184, "duration": ""}, {"time": "2026-08-07 06:45:00", "side": "BUY", "asset": "BTC", "size": 0.155735, "entry_px": 64213.15, "exit_px": 64205.73, "pnl_gross": -10.1551, "pnl_net": -19.1548, "fee": 8.999691, "fee_rate_pct": 0.045, "return_pct": -0.102, "duration": ""}, {"time": "2026-08-07 09:15:00", "side": "BUY", "asset": "BTC", "size": 0.154472, "entry_px": 64672.61, "exit_px": 64833.0, "pnl_gross": 20.2805, "pnl_net": 11.2783, "fee": 9.002246, "fee_rate_pct": 0.045, "return_pct": 0.203, "duration": ""}], "params": {"bollinger_window": 20, "bollinger_std": 2.0, "type": "Momentum"}, "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": "2026-08-06T08:15:00+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": 9985.52}, {"t": "2026-08-06T13:15:00+00:00", "v": 9983.81}, {"t": "2026-08-06T13:30:00+00:00", "v": 10009.15}, {"t": "2026-08-06T13:45:00+00:00", "v": 10013.03}, {"t": "2026-08-06T14:00:00+00:00", "v": 10018.63}, {"t": "2026-08-06T14:15:00+00:00", "v": 10011.48}, {"t": "2026-08-06T14:30:00+00:00", "v": 10071.8}, {"t": "2026-08-06T14:45:00+00:00", "v": 10065.89}, {"t": "2026-08-06T15:00:00+00:00", "v": 10076.31}, {"t": "2026-08-06T15:15:00+00:00", "v": 10073.67}, {"t": "2026-08-06T15:30:00+00:00", "v": 10061.39}, {"t": "2026-08-06T15:45:00+00:00", "v": 10043.04}, {"t": "2026-08-06T16:00:00+00:00", "v": 10045.06}, {"t": "2026-08-06T16:15:00+00:00", "v": 10047.86}, {"t": "2026-08-06T16:30:00+00:00", "v": 10056.57}, {"t": "2026-08-06T16:45:00+00:00", "v": 10062.63}, {"t": "2026-08-06T17:00:00+00:00", "v": 10056.26}, {"t": "2026-08-06T17:15:00+00:00", "v": 10052.37}, {"t": "2026-08-06T17:30:00+00:00", "v": 10023.2}, {"t": "2026-08-06T17:45:00+00:00", "v": 10023.2}, {"t": "2026-08-06T18:00:00+00:00", "v": 10023.2}, {"t": "2026-08-06T18:15:00+00:00", "v": 10023.2}, {"t": "2026-08-06T18:30:00+00:00", "v": 10023.2}, {"t": "2026-08-06T18:45:00+00:00", "v": 10023.2}, {"t": "2026-08-06T19:00:00+00:00", "v": 10023.2}, {"t": "2026-08-06T19:15:00+00:00", "v": 10023.2}, {"t": "2026-08-06T19:30:00+00:00", "v": 10023.2}, {"t": "2026-08-06T19:45:00+00:00", "v": 10023.2}, {"t": "2026-08-06T20:00:00+00:00", "v": 10023.2}, {"t": "2026-08-06T20:15:00+00:00", "v": 10023.2}, {"t": "2026-08-06T20:30:00+00:00", "v": 10023.2}, {"t": "2026-08-06T20:45:00+00:00", "v": 10023.2}, {"t": "2026-08-06T21:00:00+00:00", "v": 10023.2}, {"t": "2026-08-06T21:15:00+00:00", "v": 10023.2}, {"t": "2026-08-06T21:30:00+00:00", "v": 10023.2}, {"t": "2026-08-06T21:45:00+00:00", "v": 10023.2}, {"t": "2026-08-06T22:00:00+00:00", "v": 10023.2}, {"t": "2026-08-06T22:15:00+00:00", "v": 10023.2}, {"t": "2026-08-06T22:30:00+00:00", "v": 10023.2}, {"t": "2026-08-06T22:45:00+00:00", "v": 10023.2}, {"t": "2026-08-06T23:00:00+00:00", "v": 10023.2}, {"t": "2026-08-06T23:15:00+00:00", "v": 10008.69}, {"t": "2026-08-06T23:30:00+00:00", "v": 10004.64}, {"t": "2026-08-06T23:45:00+00:00", "v": 10019.91}, {"t": "2026-08-07T00:00:00+00:00", "v": 10015.23}, {"t": "2026-08-07T00:15:00+00:00", "v": 10013.36}, {"t": "2026-08-07T00:30:00+00:00", "v": 10019.28}, {"t": "2026-08-07T00:45:00+00:00", "v": 10019.13}, {"t": "2026-08-07T01:00:00+00:00", "v": 10025.99}, {"t": "2026-08-07T01:15:00+00:00", "v": 10035.8}, {"t": "2026-08-07T01:30:00+00:00", "v": 10028.48}, {"t": "2026-08-07T01:45:00+00:00", "v": 10035.49}, {"t": "2026-08-07T02:00:00+00:00", "v": 10030.97}, {"t": "2026-08-07T02:15:00+00:00", "v": 10004.76}, {"t": "2026-08-07T02:30:00+00:00", "v": 10004.76}, {"t": "2026-08-07T02:45:00+00:00", "v": 10004.76}, {"t": "2026-08-07T03:00:00+00:00", "v": 10004.76}, {"t": "2026-08-07T03:15:00+00:00", "v": 10004.76}, {"t": "2026-08-07T03:30:00+00:00", "v": 10004.76}, {"t": "2026-08-07T03:45:00+00:00", "v": 10004.76}, {"t": "2026-08-07T04:00:00+00:00", "v": 10004.76}, {"t": "2026-08-07T04:15:00+00:00", "v": 10004.76}, {"t": "2026-08-07T04:30:00+00:00", "v": 10004.76}, {"t": "2026-08-07T04:45:00+00:00", "v": 10004.76}, {"t": "2026-08-07T05:00:00+00:00", "v": 10004.76}, {"t": "2026-08-07T05:15:00+00:00", "v": 9990.27}, {"t": "2026-08-07T05:30:00+00:00", "v": 10005.53}, {"t": "2026-08-07T05:45:00+00:00", "v": 10014.72}, {"t": "2026-08-07T06:00:00+00:00", "v": 10027.18}, {"t": "2026-08-07T06:15:00+00:00", "v": 10028.43}, {"t": "2026-08-07T06:30:00+00:00", "v": 10018.93}, {"t": "2026-08-07T06:45:00+00:00", "v": 9994.61}, {"t": "2026-08-07T07:00:00+00:00", "v": 9994.61}, {"t": "2026-08-07T07:15:00+00:00", "v": 9994.61}, {"t": "2026-08-07T07:30:00+00:00", "v": 9994.61}, {"t": "2026-08-07T07:45:00+00:00", "v": 9994.61}, {"t": "2026-08-07T08:00:00+00:00", "v": 9994.61}, {"t": "2026-08-07T08:15:00+00:00", "v": 9994.61}, {"t": "2026-08-07T08:30:00+00:00", "v": 9980.13}, {"t": "2026-08-07T08:45:00+00:00", "v": 9974.26}, {"t": "2026-08-07T09:00:00+00:00", "v": 9994.03}, {"t": "2026-08-07T09:15:00+00:00", "v": 10014.89}], "total_trades": 4, "generated_at": "2026-08-07T09:26:00.881905+00:00", "asset": "BTC"} |