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ftdt-quant-lab/backtests/results/mean_rev_BTC_1h_200_20260807-092716.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": "1h", "n_bars": 201, "start_equity": 10000.0, "end_equity": 9556.98, "total_return_pct": -4.43, "pnl": -443.02, "sharpe": -8.935, "sortino": -12.671, "max_drawdown_pct": 5.24, "win_rate": 0.2, "profit_factor": 0.098, "expectancy": -48.605, "trades": [{"time": "2026-08-01 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.155375, "entry_px": 64331.27, "exit_px": 63009.93, "pnl_gross": -214.2074, "pnl_net": -223.111, "fee": 8.903538, "fee_rate_pct": 0.045, "return_pct": -2.143, "duration": ""}, {"time": "2026-08-01 15:00:00", "side": "BUY", "asset": "BTC", "size": 0.154864, "entry_px": 63161.1, "exit_px": 62919.02, "pnl_gross": -46.2759, "pnl_net": -55.0623, "fee": 8.786372, "fee_rate_pct": 0.045, "return_pct": -0.473, "duration": ""}, {"time": "2026-08-02 11:00:00", "side": "BUY", "asset": "BTC", "size": 0.154654, "entry_px": 62947.88, "exit_px": 62947.99, "pnl_gross": -8.7455, "pnl_net": -17.5072, "fee": 8.761635, "fee_rate_pct": 0.045, "return_pct": -0.09, "duration": ""}, {"time": "2026-08-03 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.153057, "entry_px": 63547.48, "exit_px": 63232.7, "pnl_gross": -56.9114, "pnl_net": -65.6435, "fee": 8.732067, "fee_rate_pct": 0.045, "return_pct": -0.585, "duration": ""}, {"time": "2026-08-04 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.153707, "entry_px": 62908.85, "exit_px": 63275.66, "pnl_gross": 47.654, "pnl_net": 38.926, "fee": 8.727949, "fee_rate_pct": 0.045, "return_pct": 0.493, "duration": ""}, {"time": "2026-08-04 06:00:00", "side": "BUY", "asset": "BTC", "size": 0.151662, "entry_px": 64071.01, "exit_px": 63583.35, "pnl_gross": -82.6708, "pnl_net": -91.3829, "fee": 8.712142, "fee_rate_pct": 0.045, "return_pct": -0.851, "duration": ""}, {"time": "2026-08-05 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.150626, "entry_px": 63962.9, "exit_px": 63898.04, "pnl_gross": -18.4364, "pnl_net": -27.1031, "fee": 8.666632, "fee_rate_pct": 0.045, "return_pct": -0.191, "duration": ""}, {"time": "2026-08-05 07:00:00", "side": "BUY", "asset": "BTC", "size": 0.149392, "entry_px": 64368.3, "exit_px": 64073.86, "pnl_gross": -52.6218, "pnl_net": -61.2565, "fee": 8.634704, "fee_rate_pct": 0.045, "return_pct": -0.547, "duration": ""}, {"time": "2026-08-06 03:00:00", "side": "BUY", "asset": "BTC", "size": 0.148604, "entry_px": 64355.29, "exit_px": 64446.49, "pnl_gross": 4.9392, "pnl_net": -3.674, "fee": 8.613207, "fee_rate_pct": 0.045, "return_pct": 0.052, "duration": ""}, {"time": "2026-08-06 09:00:00", "side": "BUY", "asset": "BTC", "size": 0.147365, "entry_px": 64929.86, "exit_px": 64589.35, "pnl_gross": -58.7697, "pnl_net": -67.3587, "fee": 8.588969, "fee_rate_pct": 0.045, "return_pct": -0.614, "duration": ""}, {"time": "2026-08-07 09:00:00", "side": "BUY", "asset": "BTC", "size": 0.147534, "entry_px": 64457.39, "exit_px": 64778.0, "pnl_gross": 43.0212, "pnl_net": 34.4412, "fee": 8.579976, "fee_rate_pct": 0.045, "return_pct": 0.452, "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": "2026-07-30T01:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T02:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T03:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T05:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T06:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T07:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T09:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T10:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T11:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T13:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T14:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T15:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T17:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T18:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T19:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T21:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T22:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T23:00:00+00:00", "v": 10000.0}, {"t": "2026-07-31T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-31T01:00:00+00:00", "v": 10000.0}, {"t": "2026-07-31T02:00:00+00:00", "v": 9985.52}, {"t": "2026-07-31T03:00:00+00:00", "v": 9997.95}, {"t": "2026-07-31T04:00:00+00:00", "v": 9988.16}, {"t": "2026-07-31T05:00:00+00:00", "v": 9995.31}, {"t": "2026-07-31T06:00:00+00:00", "v": 9975.57}, {"t": "2026-07-31T07:00:00+00:00", "v": 9931.29}, {"t": "2026-07-31T08:00:00+00:00", "v": 9913.89}, {"t": "2026-07-31T09:00:00+00:00", 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9567.78}, {"t": "2026-08-05T10:00:00+00:00", "v": 9567.78}, {"t": "2026-08-05T11:00:00+00:00", "v": 9567.78}, {"t": "2026-08-05T12:00:00+00:00", "v": 9553.93}, {"t": "2026-08-05T13:00:00+00:00", "v": 9567.3}, {"t": "2026-08-05T14:00:00+00:00", "v": 9576.07}, {"t": "2026-08-05T15:00:00+00:00", "v": 9562.84}, {"t": "2026-08-05T16:00:00+00:00", "v": 9604.01}, {"t": "2026-08-05T17:00:00+00:00", "v": 9619.16}, {"t": "2026-08-05T18:00:00+00:00", "v": 9624.51}, {"t": "2026-08-05T19:00:00+00:00", "v": 9628.97}, {"t": "2026-08-05T20:00:00+00:00", "v": 9628.68}, {"t": "2026-08-05T21:00:00+00:00", "v": 9614.56}, {"t": "2026-08-05T22:00:00+00:00", "v": 9599.25}, {"t": "2026-08-05T23:00:00+00:00", "v": 9603.56}, {"t": "2026-08-06T00:00:00+00:00", "v": 9602.52}, {"t": "2026-08-06T01:00:00+00:00", "v": 9594.64}, {"t": "2026-08-06T02:00:00+00:00", "v": 9592.71}, {"t": "2026-08-06T03:00:00+00:00", "v": 9572.72}, {"t": "2026-08-06T04:00:00+00:00", "v": 9572.72}, {"t": "2026-08-06T05:00:00+00:00", "v": 9558.86}, {"t": "2026-08-06T06:00:00+00:00", "v": 9552.82}, {"t": "2026-08-06T07:00:00+00:00", "v": 9546.92}, {"t": "2026-08-06T08:00:00+00:00", "v": 9565.93}, {"t": "2026-08-06T09:00:00+00:00", "v": 9513.95}, {"t": "2026-08-06T10:00:00+00:00", "v": 9513.95}, {"t": "2026-08-06T11:00:00+00:00", "v": 9513.95}, {"t": "2026-08-06T12:00:00+00:00", "v": 9500.17}, {"t": "2026-08-06T13:00:00+00:00", "v": 9501.95}, {"t": "2026-08-06T14:00:00+00:00", "v": 9552.11}, {"t": "2026-08-06T15:00:00+00:00", "v": 9530.42}, {"t": "2026-08-06T16:00:00+00:00", "v": 9549.01}, {"t": "2026-08-06T17:00:00+00:00", "v": 9528.5}, {"t": "2026-08-06T18:00:00+00:00", "v": 9499.73}, {"t": "2026-08-06T19:00:00+00:00", "v": 9503.57}, {"t": "2026-08-06T20:00:00+00:00", "v": 9502.09}, {"t": "2026-08-06T21:00:00+00:00", "v": 9503.27}, {"t": "2026-08-06T22:00:00+00:00", "v": 9489.4}, {"t": "2026-08-06T23:00:00+00:00", "v": 9485.42}, {"t": "2026-08-07T00:00:00+00:00", "v": 9484.68}, {"t": "2026-08-07T01:00:00+00:00", "v": 9500.17}, {"t": "2026-08-07T02:00:00+00:00", "v": 9495.75}, {"t": "2026-08-07T03:00:00+00:00", "v": 9480.41}, {"t": "2026-08-07T04:00:00+00:00", "v": 9475.83}, {"t": "2026-08-07T05:00:00+00:00", "v": 9487.34}, {"t": "2026-08-07T06:00:00+00:00", "v": 9482.03}, {"t": "2026-08-07T07:00:00+00:00", "v": 9484.68}, {"t": "2026-08-07T08:00:00+00:00", "v": 9526.29}, {"t": "2026-08-07T09:00:00+00:00", "v": 9556.98}], "total_trades": 11, "generated_at": "2026-08-07T09:27:16.771674+00:00", "asset": "BTC"}
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