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ftdt-quant-lab/backtests/results/mean_rev_BTC_5m_200_20260807-081323.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": "5m", "n_bars": 201, "start_equity": 10000.0, "end_equity": 9602.79, "total_return_pct": -3.97, "pnl": -397.21, "sharpe": -95.035, "sortino": -99.321, "max_drawdown_pct": 4.06, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -32.65, "trades": [{"time": "2026-08-06 19:55:00", "side": "BUY", "asset": "BTC", "size": 0.154713, "entry_px": 64606.54, "exit_px": 64351.58, "pnl_gross": -48.4236, "pnl_net": -57.4018, "fee": 8.978174, "fee_rate_pct": 0.045, "return_pct": -0.484, "duration": ""}, {"time": "2026-08-06 20:35:00", "side": "BUY", "asset": "BTC", "size": 0.154062, "entry_px": 64565.5, "exit_px": 64372.56, "pnl_gross": -38.6635, "pnl_net": -47.6025, "fee": 8.939005, "fee_rate_pct": 0.045, "return_pct": -0.389, "duration": ""}, {"time": "2026-08-06 21:50:00", "side": "BUY", "asset": "BTC", "size": 0.153733, "entry_px": 64452.39, "exit_px": 64366.57, "pnl_gross": -22.1049, "pnl_net": -31.0166, "fee": 8.911676, "fee_rate_pct": 0.045, "return_pct": -0.223, "duration": ""}, {"time": "2026-08-06 23:50:00", "side": "BUY", "asset": "BTC", "size": 0.153419, "entry_px": 64440.38, "exit_px": 64213.72, "pnl_gross": -43.655, "pnl_net": -52.5371, "fee": 8.882093, "fee_rate_pct": 0.045, "return_pct": -0.442, "duration": ""}, {"time": "2026-08-07 00:35:00", "side": "BUY", "asset": "BTC", "size": 0.152777, "entry_px": 64425.36, "exit_px": 64187.75, "pnl_gross": -45.144, "pnl_net": -53.9861, "fee": 8.842106, "fee_rate_pct": 0.045, "return_pct": -0.459, "duration": ""}, {"time": "2026-08-07 01:35:00", "side": "BUY", "asset": "BTC", "size": 0.15203, "entry_px": 64445.38, "exit_px": 64253.68, "pnl_gross": -37.9486, "pnl_net": -46.7534, "fee": 8.804753, "fee_rate_pct": 0.045, "return_pct": -0.387, "duration": ""}, {"time": "2026-08-07 02:20:00", "side": "BUY", "asset": "BTC", "size": 0.151396, "entry_px": 64464.4, "exit_px": 64276.66, "pnl_gross": -37.1942, "pnl_net": -45.9651, "fee": 8.770897, "fee_rate_pct": 0.045, "return_pct": -0.381, "duration": ""}, {"time": "2026-08-07 02:55:00", "side": "BUY", "asset": "BTC", "size": 0.15108, "entry_px": 64353.29, "exit_px": 64298.64, "pnl_gross": -17.0033, "pnl_net": -25.7499, "fee": 8.74653, "fee_rate_pct": 0.045, "return_pct": -0.175, "duration": ""}, {"time": "2026-08-07 03:40:00", "side": "BUY", "asset": "BTC", "size": 0.150799, "entry_px": 64360.3, "exit_px": 64258.68, "pnl_gross": -24.0521, "pnl_net": -32.7802, "fee": 8.728026, "fee_rate_pct": 0.045, "return_pct": -0.248, "duration": ""}, {"time": "2026-08-07 04:15:00", "side": "BUY", "asset": "BTC", "size": 0.150512, "entry_px": 64323.26, "exit_px": 64247.69, "pnl_gross": -20.0826, "pnl_net": -28.7907, "fee": 8.708162, "fee_rate_pct": 0.045, "return_pct": -0.207, "duration": ""}, {"time": "2026-08-07 06:45:00", "side": "BUY", "asset": "BTC", "size": 0.150221, "entry_px": 64314.25, "exit_px": 64220.71, "pnl_gross": -22.7399, "pnl_net": -31.4288, "fee": 8.688893, "fee_rate_pct": 0.045, "return_pct": -0.235, "duration": ""}, {"time": "2026-08-07 07:40:00", "side": "BUY", "asset": "BTC", "size": 0.149545, "entry_px": 64453.39, "exit_px": 64278.66, "pnl_gross": -34.7932, "pnl_net": -43.4563, "fee": 8.663055, "fee_rate_pct": 0.045, "return_pct": -0.361, "duration": ""}, {"time": "2026-08-07 08:10:00", "side": "BUY", "asset": "BTC", "size": 0.149239, "entry_px": 64352.29, "exit_px": 64345.0, "pnl_gross": -5.4094, "pnl_net": -14.0524, "fee": 8.642995, "fee_rate_pct": 0.045, "return_pct": -0.056, "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": "2026-08-06T15:30:00+00:00", "v": 10000.0}, {"t": "2026-08-06T15:35:00+00:00", "v": 10000.0}, {"t": "2026-08-06T15:40:00+00:00", "v": 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