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ftdt-quant-lab/backtests/results/grid_mm_BTC_5m_100_20260807-081210.json
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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": "grid_mm", "interval": "5m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9740.16, "total_return_pct": -2.6, "pnl": -259.84, "sharpe": -138.668, "sortino": -135.98, "max_drawdown_pct": 2.6, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -21.654, "trades": [{"time": "2026-08-07 00:15:00", "side": "BUY", "asset": "BTC", "size": 0.155432, "entry_px": 64327.26, "exit_px": 64185.75, "pnl_gross": -24.9919, "pnl_net": -27.9881, "fee": 2.996255, "fee_rate_pct": 0.015, "return_pct": -0.25, "duration": ""}, {"time": "2026-08-07 00:35:00", "side": "BUY", "asset": "BTC", "size": 0.154937, "entry_px": 64371.31, "exit_px": 64187.75, "pnl_gross": -31.4279, "pnl_net": -34.4157, "fee": 2.987783, "fee_rate_pct": 0.015, "return_pct": -0.315, "duration": ""}, {"time": "2026-08-07 00:50:00", "side": "BUY", "asset": "BTC", "size": 0.154492, "entry_px": 64353.29, "exit_px": 64205.73, "pnl_gross": -25.7759, "pnl_net": -28.7551, "fee": 2.979201, "fee_rate_pct": 0.015, "return_pct": -0.259, "duration": ""}, {"time": "2026-08-07 01:05:00", "side": "BUY", "asset": "BTC", "size": 0.153872, "entry_px": 64445.38, "exit_px": 64280.65, "pnl_gross": -28.3178, "pnl_net": -31.2889, "fee": 2.9711, "fee_rate_pct": 0.015, "return_pct": -0.286, "duration": ""}, {"time": "2026-08-07 01:30:00", "side": "BUY", "asset": "BTC", "size": 0.153399, "entry_px": 64459.39, "exit_px": 64359.58, "pnl_gross": -18.2762, "pnl_net": -21.2403, "fee": 2.964105, "fee_rate_pct": 0.015, "return_pct": -0.185, "duration": ""}, {"time": "2026-08-07 01:45:00", "side": "BUY", "asset": "BTC", "size": 0.153299, "entry_px": 64382.32, "exit_px": 64335.6, "pnl_gross": -10.1217, "pnl_net": -13.0815, "fee": 2.959849, "fee_rate_pct": 0.015, "return_pct": -0.103, "duration": ""}, {"time": "2026-08-07 02:25:00", "side": "BUY", "asset": "BTC", "size": 0.15317, "entry_px": 64370.31, "exit_px": 64224.71, "pnl_gross": -25.2553, "pnl_net": -28.2099, "fee": 2.954535, "fee_rate_pct": 0.015, "return_pct": -0.256, "duration": ""}, {"time": "2026-08-07 02:45:00", "side": "BUY", "asset": "BTC", "size": 0.152842, "entry_px": 64343.28, "exit_px": 64328.61, "pnl_gross": -5.1925, "pnl_net": -8.1424, "fee": 2.94997, "fee_rate_pct": 0.015, "return_pct": -0.053, "duration": ""}, {"time": "2026-08-07 04:40:00", "side": "BUY", "asset": "BTC", "size": 0.15283, "entry_px": 64314.25, "exit_px": 64169.77, "pnl_gross": -25.027, "pnl_net": -27.9724, "fee": 2.945432, "fee_rate_pct": 0.015, "return_pct": -0.255, "duration": ""}, {"time": "2026-08-07 06:15:00", "side": "BUY", "asset": "BTC", "size": 0.152119, "entry_px": 64450.39, "exit_px": 64323.61, "pnl_gross": -22.2231, "pnl_net": -25.1615, "fee": 2.938346, "fee_rate_pct": 0.015, "return_pct": -0.227, "duration": ""}, {"time": "2026-08-07 06:35:00", "side": "BUY", "asset": "BTC", "size": 0.151954, "entry_px": 64374.31, "exit_px": 64270.67, "pnl_gross": -18.6815, "pnl_net": -21.6137, "fee": 2.932218, "fee_rate_pct": 0.015, "return_pct": -0.191, "duration": ""}, {"time": "2026-08-07 07:25:00", "side": "BUY", "asset": "BTC", "size": 0.151478, "entry_px": 64453.39, "exit_px": 64310.62, "pnl_gross": -24.5513, "pnl_net": -27.477, "fee": 2.925737, "fee_rate_pct": 0.015, "return_pct": -0.251, "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": "2026-08-06T23:50:00+00:00", "v": 10000.0}, {"t": "2026-08-06T23:55:00+00:00", "v": 10000.0}, {"t": "2026-08-07T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T00:05:00+00:00", "v": 10000.0}, {"t": "2026-08-07T00:10:00+00:00", "v": 9988.51}, {"t": "2026-08-07T00:15:00+00:00", "v": 9975.01}, {"t": "2026-08-07T00:20:00+00:00", "v": 9975.01}, {"t": "2026-08-07T00:25:00+00:00", "v": 9975.01}, {"t": "2026-08-07T00:30:00+00:00", "v": 9963.55}, {"t": "2026-08-07T00:35:00+00:00", "v": 9943.58}, {"t": "2026-08-07T00:40:00+00:00", "v": 9932.16}, {"t": "2026-08-07T00:45:00+00:00", "v": 9923.51}, {"t": "2026-08-07T00:50:00+00:00", "v": 9917.8}, {"t": "2026-08-07T00:55:00+00:00", "v": 9917.8}, {"t": "2026-08-07T01:00:00+00:00", "v": 9906.41}, {"t": "2026-08-07T01:05:00+00:00", "v": 9889.49}, {"t": "2026-08-07T01:10:00+00:00", "v": 9889.49}, {"t": "2026-08-07T01:15:00+00:00", "v": 9889.49}, {"t": "2026-08-07T01:20:00+00:00", "v": 9889.49}, {"t": "2026-08-07T01:25:00+00:00", "v": 9878.13}, {"t": "2026-08-07T01:30:00+00:00", "v": 9871.21}, {"t": "2026-08-07T01:35:00+00:00", "v": 9859.87}, {"t": "2026-08-07T01:40:00+00:00", "v": 9864.47}, {"t": "2026-08-07T01:45:00+00:00", "v": 9861.09}, {"t": "2026-08-07T01:50:00+00:00", "v": 9861.09}, {"t": "2026-08-07T01:55:00+00:00", "v": 9861.09}, {"t": "2026-08-07T02:00:00+00:00", "v": 9861.09}, {"t": 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"2026-08-07T07:05:00+00:00", "v": 9764.71}, {"t": "2026-08-07T07:10:00+00:00", "v": 9764.71}, {"t": "2026-08-07T07:15:00+00:00", "v": 9764.71}, {"t": "2026-08-07T07:20:00+00:00", "v": 9753.49}, {"t": "2026-08-07T07:25:00+00:00", "v": 9740.16}, {"t": "2026-08-07T07:30:00+00:00", "v": 9740.16}, {"t": "2026-08-07T07:35:00+00:00", "v": 9740.16}, {"t": "2026-08-07T07:40:00+00:00", "v": 9740.16}, {"t": "2026-08-07T07:45:00+00:00", "v": 9740.16}, {"t": "2026-08-07T07:50:00+00:00", "v": 9740.16}, {"t": "2026-08-07T07:55:00+00:00", "v": 9740.16}, {"t": "2026-08-07T08:00:00+00:00", "v": 9740.16}, {"t": "2026-08-07T08:05:00+00:00", "v": 9740.16}, {"t": "2026-08-07T08:10:00+00:00", "v": 9740.16}], "total_trades": 12, "generated_at": "2026-08-07T08:12:10.799616+00:00", "asset": "BTC"}
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