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ftdt-quant-lab/backtests/results/hurst_vpin_BTC_1m_100_20260807-081113.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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{"strategy": "hurst_vpin", "interval": "1m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9982.1, "total_return_pct": -0.18, "pnl": -17.9, "sharpe": -80.001, "sortino": -83.925, "max_drawdown_pct": 0.25, "win_rate": NaN, "profit_factor": NaN, "expectancy": NaN, "trades": [{"time": "2026-08-07 08:11:00", "side": "BUY", "asset": "BTC", "size": 0.155202, "entry_px": 64403.34, "exit_px": 64317.0, "pnl_gross": -17.8979, "pnl_net": -26.8879, "fee": 8.989944, "fee_rate_pct": 0.045, "return_pct": -0.179, "duration": ""}], "params": {"hurst_entry": 0.55, "hurst_exit": 0.45, "vpin_threshold": 0.25, "vpin_window": 50, "hurst_window": 64, "type": "Directional"}, "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": "2026-08-07T06:31:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:32:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:33:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:34:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:35:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:36:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:37:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:38:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:39:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:40:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:41:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:42:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:43:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:44:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:45:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:46:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:47:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:48:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:49:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:50:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:51:00+00:00", "v": 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9985.98}, {"t": "2026-08-07T07:52:00+00:00", "v": 9986.76}, {"t": "2026-08-07T07:53:00+00:00", "v": 9985.83}, {"t": "2026-08-07T07:54:00+00:00", "v": 9985.52}, {"t": "2026-08-07T07:55:00+00:00", "v": 9983.81}, {"t": "2026-08-07T07:56:00+00:00", "v": 9981.95}, {"t": "2026-08-07T07:57:00+00:00", "v": 9979.31}, {"t": "2026-08-07T07:58:00+00:00", "v": 9978.53}, {"t": "2026-08-07T07:59:00+00:00", "v": 9977.6}, {"t": "2026-08-07T08:00:00+00:00", "v": 9974.81}, {"t": "2026-08-07T08:01:00+00:00", "v": 9974.96}, {"t": "2026-08-07T08:02:00+00:00", "v": 9976.2}, {"t": "2026-08-07T08:03:00+00:00", "v": 9976.2}, {"t": "2026-08-07T08:04:00+00:00", "v": 9978.38}, {"t": "2026-08-07T08:05:00+00:00", "v": 9980.86}, {"t": "2026-08-07T08:06:00+00:00", "v": 9980.39}, {"t": "2026-08-07T08:07:00+00:00", "v": 9979.15}, {"t": "2026-08-07T08:08:00+00:00", "v": 9979.77}, {"t": "2026-08-07T08:09:00+00:00", "v": 9978.53}, {"t": "2026-08-07T08:10:00+00:00", "v": 9981.79}, {"t": "2026-08-07T08:11:00+00:00", "v": 9982.1}], "total_trades": 1, "generated_at": "2026-08-07T08:11:13.825693+00:00", "asset": "BTC"}
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