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ftdt-quant-lab/backtests/results/mean_rev_BTC_1d_200_20260807-092737.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": "mean_rev", "interval": "1d", "n_bars": 201, "start_equity": 10000.0, "end_equity": 9417.1, "total_return_pct": -5.83, "pnl": -582.9, "sharpe": -0.184, "sortino": -0.268, "max_drawdown_pct": 23.94, "win_rate": 0.538, "profit_factor": 0.786, "expectancy": -44.838, "trades": [{"time": "2026-02-25 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.144224, "entry_px": 69305.24, "exit_px": 67876.06, "pnl_gross": -215.0257, "pnl_net": -223.9289, "fee": 8.903176, "fee_rate_pct": 0.045, "return_pct": -2.151, "duration": ""}, {"time": "2026-03-06 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.148409, "entry_px": 65902.84, "exit_px": 68013.92, "pnl_gross": 304.3599, "pnl_net": 295.4164, "fee": 8.943504, "fee_rate_pct": 0.045, "return_pct": 3.112, "duration": ""}, {"time": "2026-03-19 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.144135, "entry_px": 69967.9, "exit_px": 69849.08, "pnl_gross": -26.1943, "pnl_net": -35.2629, "fee": 9.068634, "fee_rate_pct": 0.045, "return_pct": -0.26, "duration": ""}, {"time": "2026-03-23 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.148141, "entry_px": 67898.83, "exit_px": 70789.14, "pnl_gross": 418.9284, "pnl_net": 409.683, "fee": 9.245419, "fee_rate_pct": 0.045, "return_pct": 4.165, "duration": ""}, {"time": "2026-04-05 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.157643, "entry_px": 66462.4, "exit_px": 68919.01, "pnl_gross": 377.6652, "pnl_net": 368.0614, "fee": 9.603869, "fee_rate_pct": 0.045, "return_pct": 3.605, "duration": ""}, {"time": "2026-04-29 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.150781, "entry_px": 71990.92, "exit_px": 75651.27, "pnl_gross": 541.8934, "pnl_net": 531.8757, "fee": 10.017737, "fee_rate_pct": 0.045, "return_pct": 4.992, "duration": ""}, {"time": "2026-05-13 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.14561, "entry_px": 78267.19, "exit_px": 79203.72, "pnl_gross": 126.0498, "pnl_net": 115.7316, "fee": 10.318203, "fee_rate_pct": 0.045, "return_pct": 1.106, "duration": ""}, {"time": "2026-06-14 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.149524, "entry_px": 77060.98, "exit_px": 65654.28, "pnl_gross": -1715.1824, "pnl_net": -1724.7852, "fee": 9.60271, "fee_rate_pct": 0.045, "return_pct": -14.886, "duration": ""}, {"time": "2026-07-03 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.160504, "entry_px": 61108.05, "exit_px": 62513.42, "pnl_gross": 216.6397, "pnl_net": 207.7109, "fee": 8.928783, "fee_rate_pct": 0.045, "return_pct": 2.209, "duration": ""}, {"time": "2026-07-08 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.156346, "entry_px": 64118.05, "exit_px": 62220.72, "pnl_gross": -305.5304, "pnl_net": -314.419, "fee": 8.888653, "fee_rate_pct": 0.045, "return_pct": -3.048, "duration": ""}, {"time": "2026-07-13 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.151345, "entry_px": 64219.15, "exit_px": 62268.67, "pnl_gross": -303.8102, "pnl_net": -312.4247, "fee": 8.614485, "fee_rate_pct": 0.045, "return_pct": -3.126, "duration": ""}, {"time": "2026-07-24 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.14471, "entry_px": 65065.0, "exit_px": 64058.88, "pnl_gross": -154.0045, "pnl_net": -162.413, "fee": 8.408483, "fee_rate_pct": 0.045, "return_pct": -1.636, "duration": ""}, {"time": "2026-08-04 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.147199, "entry_px": 62918.86, "exit_px": 64003.93, "pnl_gross": 151.3153, "pnl_net": 142.908, "fee": 8.407308, "fee_rate_pct": 0.045, "return_pct": 1.634, "duration": ""}], "params": {"vwap_window": 20, "deviation": 1.0, "type": "Reversal"}, "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": "2026-01-19T00:00:00+00:00", "v": 10000.0}, {"t": "2026-01-20T00:00:00+00:00", "v": 10000.0}, {"t": "2026-01-21T00:00:00+00:00", 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