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
1 line
6.2 KiB
JSON
1 line
6.2 KiB
JSON
{"strategy": "obi", "interval": "15m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 10028.7, "total_return_pct": 0.29, "pnl": 28.7, "sharpe": 6.954, "sortino": 12.867, "max_drawdown_pct": 0.56, "win_rate": 0.5, "profit_factor": 2.007, "expectancy": 14.351, "trades": [{"time": "2026-08-06 14:30:00", "side": "BUY", "asset": "BTC", "size": 0.15547, "entry_px": 64292.23, "exit_px": 64718.22, "pnl_gross": 57.2027, "pnl_net": 48.1769, "fee": 9.025765, "fee_rate_pct": 0.045, "return_pct": 0.572, "duration": ""}, {"time": "2026-08-07 08:15:00", "side": "BUY", "asset": "BTC", "size": 0.155908, "entry_px": 64478.41, "exit_px": 64353.58, "pnl_gross": -28.5009, "pnl_net": -37.5396, "fee": 9.038672, "fee_rate_pct": 0.045, "return_pct": -0.284, "duration": ""}], "params": {"obi_lookback": 20, "obi_entry": 0.35, "obi_exit": 0.1, "type": "Reversal"}, "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": 10057.2}, {"t": "2026-08-06T14:45:00+00:00", "v": 10057.2}, {"t": "2026-08-06T15:00:00+00:00", "v": 10057.2}, {"t": "2026-08-06T15:15:00+00:00", "v": 10057.2}, {"t": "2026-08-06T15:30:00+00:00", "v": 10057.2}, {"t": "2026-08-06T15:45:00+00:00", "v": 10057.2}, {"t": "2026-08-06T16:00:00+00:00", "v": 10057.2}, {"t": "2026-08-06T16:15:00+00:00", "v": 10057.2}, {"t": "2026-08-06T16:30:00+00:00", "v": 10057.2}, {"t": "2026-08-06T16:45:00+00:00", "v": 10057.2}, {"t": "2026-08-06T17:00:00+00:00", "v": 10057.2}, {"t": "2026-08-06T17:15:00+00:00", "v": 10057.2}, {"t": "2026-08-06T17:30:00+00:00", "v": 10057.2}, {"t": "2026-08-06T17:45:00+00:00", "v": 10057.2}, {"t": "2026-08-06T18:00:00+00:00", "v": 10057.2}, {"t": "2026-08-06T18:15:00+00:00", "v": 10057.2}, {"t": "2026-08-06T18:30:00+00:00", "v": 10057.2}, {"t": "2026-08-06T18:45:00+00:00", "v": 10057.2}, {"t": "2026-08-06T19:00:00+00:00", "v": 10057.2}, {"t": "2026-08-06T19:15:00+00:00", "v": 10057.2}, {"t": "2026-08-06T19:30:00+00:00", "v": 10057.2}, {"t": "2026-08-06T19:45:00+00:00", "v": 10057.2}, {"t": "2026-08-06T20:00:00+00:00", "v": 10057.2}, {"t": "2026-08-06T20:15:00+00:00", "v": 10057.2}, {"t": "2026-08-06T20:30:00+00:00", "v": 10057.2}, {"t": "2026-08-06T20:45:00+00:00", "v": 10057.2}, {"t": "2026-08-06T21:00:00+00:00", "v": 10057.2}, {"t": "2026-08-06T21:15:00+00:00", "v": 10057.2}, {"t": "2026-08-06T21:30:00+00:00", "v": 10057.2}, {"t": "2026-08-06T21:45:00+00:00", "v": 10042.64}, {"t": "2026-08-06T22:00:00+00:00", "v": 10042.17}, {"t": "2026-08-06T22:15:00+00:00", "v": 10029.38}, {"t": "2026-08-06T22:30:00+00:00", "v": 10025.02}, {"t": "2026-08-06T22:45:00+00:00", "v": 10027.98}, {"t": "2026-08-06T23:00:00+00:00", "v": 10025.8}, {"t": "2026-08-06T23:15:00+00:00", "v": 10012.55}, {"t": "2026-08-06T23:30:00+00:00", "v": 10008.49}, {"t": "2026-08-06T23:45:00+00:00", "v": 10023.77}, {"t": "2026-08-07T00:00:00+00:00", "v": 10019.09}, {"t": "2026-08-07T00:15:00+00:00", "v": 10017.22}, {"t": "2026-08-07T00:30:00+00:00", "v": 10023.15}, {"t": "2026-08-07T00:45:00+00:00", "v": 10022.99}, {"t": "2026-08-07T01:00:00+00:00", "v": 10029.85}, {"t": "2026-08-07T01:15:00+00:00", "v": 10039.67}, {"t": "2026-08-07T01:30:00+00:00", "v": 10032.35}, {"t": "2026-08-07T01:45:00+00:00", "v": 10039.36}, {"t": "2026-08-07T02:00:00+00:00", "v": 10034.84}, {"t": "2026-08-07T02:15:00+00:00", "v": 10023.15}, {"t": "2026-08-07T02:30:00+00:00", "v": 10038.27}, {"t": "2026-08-07T02:45:00+00:00", "v": 10034.69}, {"t": "2026-08-07T03:00:00+00:00", "v": 10026.73}, {"t": "2026-08-07T03:15:00+00:00", "v": 10023.62}, {"t": "2026-08-07T03:30:00+00:00", "v": 10028.45}, {"t": "2026-08-07T03:45:00+00:00", "v": 10018.47}, {"t": "2026-08-07T04:00:00+00:00", "v": 10022.68}, {"t": "2026-08-07T04:15:00+00:00", "v": 10021.12}, {"t": "2026-08-07T04:30:00+00:00", "v": 10014.57}, {"t": "2026-08-07T04:45:00+00:00", "v": 10013.64}, {"t": "2026-08-07T05:00:00+00:00", "v": 10013.48}, {"t": "2026-08-07T05:15:00+00:00", "v": 10001.32}, {"t": "2026-08-07T05:30:00+00:00", "v": 10016.6}, {"t": "2026-08-07T05:45:00+00:00", "v": 10025.8}, {"t": "2026-08-07T06:00:00+00:00", "v": 10038.27}, {"t": "2026-08-07T06:15:00+00:00", "v": 10039.52}, {"t": "2026-08-07T06:30:00+00:00", "v": 10030.01}, {"t": "2026-08-07T06:45:00+00:00", "v": 10020.19}, {"t": "2026-08-07T07:00:00+00:00", "v": 10026.58}, {"t": "2026-08-07T07:15:00+00:00", "v": 10036.56}, {"t": "2026-08-07T07:30:00+00:00", "v": 10031.57}, {"t": "2026-08-07T07:45:00+00:00", "v": 10022.99}, {"t": "2026-08-07T08:00:00+00:00", "v": 10032.03}, {"t": "2026-08-07T08:15:00+00:00", "v": 10028.7}, {"t": "2026-08-07T08:30:00+00:00", "v": 10028.7}, {"t": "2026-08-07T08:45:00+00:00", "v": 10028.7}, {"t": "2026-08-07T09:00:00+00:00", "v": 10028.7}, {"t": "2026-08-07T09:15:00+00:00", "v": 10028.7}], "total_trades": 2, "generated_at": "2026-08-07T09:21:34.335040+00:00", "asset": "BTC"} |