Files
ftdt-quant-lab/backtests/results/grid_mm_BTC_1d_500_20260807-092532.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

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JSON

{"strategy": "grid_mm", "interval": "1d", "n_bars": 501, "start_equity": 10000.0, "end_equity": 7454.48, "total_return_pct": -25.46, "pnl": -2545.52, "sharpe": -0.303, "sortino": -0.423, "max_drawdown_pct": 53.01, "win_rate": NaN, "profit_factor": NaN, "expectancy": NaN, "trades": [{"time": "2026-08-07 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.11498, "entry_px": 86958.87, "exit_px": 64833.0, "pnl_gross": -2545.5247, "pnl_net": -2548.1426, "fee": 2.617954, "fee_rate_pct": 0.015, "return_pct": -25.459, "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": "2025-03-25T00:00:00+00:00", "v": 10000.0}, {"t": "2025-03-26T00:00:00+00:00", "v": 9988.51}, {"t": "2025-03-27T00:00:00+00:00", "v": 10024.85}, {"t": "2025-03-28T00:00:00+00:00", "v": 9701.87}, {"t": "2025-03-29T00:00:00+00:00", "v": 9499.5}, {"t": "2025-03-30T00:00:00+00:00", "v": 9466.39}, {"t": "2025-03-31T00:00:00+00:00", "v": 9488.12}, {"t": "2025-04-01T00:00:00+00:00", "v": 9787.53}, {"t": "2025-04-02T00:00:00+00:00", "v": 9483.98}, {"t": "2025-04-03T00:00:00+00:00", "v": 9561.02}, {"t": "2025-04-04T00:00:00+00:00", "v": 9643.57}, {"t": "2025-04-05T00:00:00+00:00", "v": 9601.15}, {"t": "2025-04-06T00:00:00+00:00", "v": 9011.64}, {"t": "2025-04-07T00:00:00+00:00", "v": 9104.09}, {"t": "2025-04-08T00:00:00+00:00", "v": 8771.57}, {"t": "2025-04-09T00:00:00+00:00", "v": 9500.65}, {"t": "2025-04-10T00:00:00+00:00", "v": 9153.18}, {"t": "2025-04-11T00:00:00+00:00", "v": 9588.96}, {"t": "2025-04-12T00:00:00+00:00", "v": 9810.87}, {"t": "2025-04-13T00:00:00+00:00", "v": 9627.36}, {"t": "2025-04-14T00:00:00+00:00", "v": 9721.07}, {"t": 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