Intraday Trade Check: Pairs + Harmonic¶

This report captures the latest intraday runs using the BTCUSDT/ETHUSDT dataset.

Configs¶

Pairs trading: examples/backtest_intraday_pairs.yaml
Harmonic pattern: examples/backtest_intraday_harmonic.yaml

Summary¶

pairs_trading produced 40759 trades.
harmonic_pattern produced 60 trades.

Notes: - Updated cooldown logic now uses an absolute bar index (not recent_bars().size()), which allows repeated entries/exits on intraday data.

Artifacts¶

examples/backtest_intraday_pairs_report.json
examples/backtest_intraday_pairs_equity.png
examples/backtest_intraday_pairs_drawdown.png
examples/backtest_intraday_harmonic_report.json
examples/backtest_intraday_harmonic_equity.png
examples/backtest_intraday_harmonic_drawdown.png

JSON reports (direct links): - Pairs Report - Harmonic Report

Pairs Trading Plots¶

Pairs Trading Equity Pairs Trading Drawdown

Harmonic Pattern Plots¶

Harmonic Pattern Equity Harmonic Pattern Drawdown

Commands¶

PYTHONPATH=python:build/lib .venv/bin/python - <<'PY'
import regimeflow as rf

cfg_pairs = rf.BacktestConfig.from_yaml('examples/backtest_intraday_pairs.yaml')
engine_pairs = rf.BacktestEngine(cfg_pairs)
results_pairs = engine_pairs.run('pairs_trading')
print('pairs_trading trades:', results_pairs.num_trades)
print(results_pairs.report_json())

cfg_h = rf.BacktestConfig.from_yaml('examples/backtest_intraday_harmonic.yaml')
engine_h = rf.BacktestEngine(cfg_h)
results_h = engine_h.run('harmonic_pattern')
print('harmonic_pattern trades:', results_h.num_trades)
print(results_h.report_json())
PY