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ftdt-quant-lab/backtests/results/obi_BTC_1h_5000_20260807-092153.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": "obi", "interval": "1h", "n_bars": 5001, "start_equity": 10000.0, "end_equity": 6105.44, "total_return_pct": -38.95, "pnl": -3894.56, "sharpe": -2.724, "sortino": -3.674, "max_drawdown_pct": 42.65, "win_rate": 0.344, "profit_factor": 0.546, "expectancy": -31.156, "trades": [{"time": "2026-01-15 10:00:00", "side": "BUY", "asset": "BTC", "size": 0.108337, "entry_px": 92263.17, "exit_px": 96709.19, "pnl_gross": 472.4555, "pnl_net": 463.2427, "fee": 9.212714, "fee_rate_pct": 0.045, "return_pct": 4.727, "duration": ""}, {"time": "2026-01-17 11:00:00", "side": "BUY", "asset": "BTC", "size": 0.109516, "entry_px": 95581.49, "exit_px": 95240.66, "pnl_gross": -46.7298, "pnl_net": -56.1339, "fee": 9.404135, "fee_rate_pct": 0.045, "return_pct": -0.446, "duration": ""}, {"time": "2026-01-18 18:00:00", "side": "BUY", "asset": "BTC", "size": 0.109637, "entry_px": 95049.95, "exit_px": 95342.56, "pnl_gross": 22.6873, "pnl_net": 13.294, "fee": 9.393329, "fee_rate_pct": 0.045, "return_pct": 0.218, "duration": ""}, {"time": "2026-01-19 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.111442, "entry_px": 93714.62, "exit_px": 93005.9, "pnl_gross": -88.3447, "pnl_net": -97.7086, "fee": 9.363829, "fee_rate_pct": 0.045, "return_pct": -0.846, "duration": ""}, {"time": "2026-01-21 18:00:00", "side": "BUY", "asset": "BTC", "size": 0.112985, "entry_px": 91652.56, "exit_px": 88340.57, "pnl_gross": -383.3582, "pnl_net": -392.5097, "fee": 9.151436, "fee_rate_pct": 0.045, "return_pct": -3.702, "duration": ""}, {"time": "2026-01-22 19:00:00", "side": "BUY", "asset": "BTC", "size": 0.111991, "entry_px": 89044.96, "exit_px": 89648.26, "pnl_gross": 58.5594, "pnl_net": 49.5539, "fee": 9.005415, "fee_rate_pct": 0.045, "return_pct": 0.587, "duration": ""}, {"time": "2026-01-24 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.112177, "entry_px": 89419.33, "exit_px": 89150.76, "pnl_gross": -39.1414, "pnl_net": -48.1555, "fee": 9.014156, "fee_rate_pct": 0.045, "return_pct": -0.39, "duration": ""}, {"time": "2026-01-26 14:00:00", "side": "BUY", "asset": "BTC", "size": 0.112641, "entry_px": 88703.61, "exit_px": 88068.84, "pnl_gross": -80.4614, "pnl_net": -89.4217, "fee": 8.960321, "fee_rate_pct": 0.045, "return_pct": -0.805, "duration": ""}, {"time": "2026-01-30 14:00:00", "side": "BUY", "asset": "BTC", "size": 0.112478, "entry_px": 88117.03, "exit_px": 82969.95, "pnl_gross": -587.5918, "pnl_net": -596.2514, "fee": 8.659585, "fee_rate_pct": 0.045, "return_pct": -5.929, "duration": ""}, {"time": "2026-01-30 21:00:00", "side": "BUY", "asset": "BTC", "size": 0.112347, "entry_px": 82991.91, "exit_px": 84203.71, "pnl_gross": 127.6895, "pnl_net": 119.2367, "fee": 8.452767, "fee_rate_pct": 0.045, "return_pct": 1.369, "duration": ""}, {"time": "2026-02-02 23:00:00", "side": "BUY", "asset": "BTC", "size": 0.115925, "entry_px": 81531.45, "exit_px": 78605.32, "pnl_gross": -347.565, "pnl_net": -355.9187, "fee": 8.353735, "fee_rate_pct": 0.045, "return_pct": -3.677, 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"2026-08-07T09:21:53.591753+00:00", "asset": "BTC"}
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