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ftdt-quant-lab/backtests/results/pairs_BTC_15m_200_20260807-080914.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": "pairs", "interval": "15m", "n_bars": 201, "start_equity": 10000.0, "end_equity": 9856.02, "total_return_pct": -1.44, "pnl": -143.98, "sharpe": -17.709, "sortino": -24.752, "max_drawdown_pct": 1.75, "win_rate": 0.167, "profit_factor": 0.295, "expectancy": -23.997, "trades": [{"time": "2026-08-05 21:15:00", "side": "BUY", "asset": "BTC", "size": 0.154445, "entry_px": 64718.65, "exit_px": 64568.37, "pnl_gross": -32.1967, "pnl_net": -41.1821, "fee": 8.98548, "fee_rate_pct": 0.045, "return_pct": -0.322, "duration": ""}, {"time": "2026-08-06 12:15:00", "side": "BUY", "asset": "BTC", "size": 0.15402, "entry_px": 64688.62, "exit_px": 64456.48, "pnl_gross": -44.7058, "pnl_net": -53.6567, "fee": 8.950918, "fee_rate_pct": 0.045, "return_pct": -0.449, "duration": ""}, {"time": "2026-08-06 15:15:00", "side": "BUY", "asset": "BTC", "size": 0.154301, "entry_px": 64281.22, "exit_px": 64730.21, "pnl_gross": 60.3212, "pnl_net": 51.3632, "fee": 8.957967, "fee_rate_pct": 0.045, "return_pct": 0.608, "duration": ""}, {"time": "2026-08-06 18:45:00", "side": "BUY", "asset": "BTC", "size": 0.154354, "entry_px": 64649.58, "exit_px": 64325.61, "pnl_gross": -58.9654, "pnl_net": -67.9239, "fee": 8.958526, "fee_rate_pct": 0.045, "return_pct": -0.591, "duration": ""}, {"time": "2026-08-06 20:15:00", "side": "BUY", "asset": "BTC", "size": 0.153845, "entry_px": 64480.42, "exit_px": 64385.55, "pnl_gross": -23.5161, "pnl_net": -32.4375, "fee": 8.921423, "fee_rate_pct": 0.045, "return_pct": -0.237, "duration": ""}, {"time": "2026-08-07 07:45:00", "side": "BUY", "asset": "BTC", "size": 0.153533, "entry_px": 64458.39, "exit_px": 64223.71, "pnl_gross": -44.922, "pnl_net": -53.8127, "fee": 8.890627, "fee_rate_pct": 0.045, "return_pct": -0.454, "duration": ""}], "params": {"z_entry": 1.5, "z_exit": 0.5, "lookback": 20, "type": "Stat Arb"}, "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": "2026-08-05T06:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T06:15:00+00:00", "v": 10000.0}, {"t": "2026-08-05T06:30:00+00:00", "v": 10000.0}, {"t": "2026-08-05T06:45:00+00:00", "v": 10000.0}, {"t": "2026-08-05T07:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T07:15:00+00:00", "v": 10000.0}, {"t": "2026-08-05T07:30:00+00:00", "v": 10000.0}, {"t": "2026-08-05T07:45:00+00:00", "v": 10000.0}, {"t": "2026-08-05T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T08:15:00+00:00", "v": 10000.0}, {"t": "2026-08-05T08:30:00+00:00", "v": 10000.0}, {"t": "2026-08-05T08:45:00+00:00", "v": 10000.0}, {"t": "2026-08-05T09:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T09:15:00+00:00", "v": 10000.0}, {"t": "2026-08-05T09:30:00+00:00", "v": 10000.0}, {"t": "2026-08-05T09:45:00+00:00", "v": 10000.0}, {"t": "2026-08-05T10:00:00+00:00", "v": 10000.0}, {"t": 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"2026-08-07T07:15:00+00:00", "v": 9883.68}, {"t": "2026-08-07T07:30:00+00:00", "v": 9878.77}, {"t": "2026-08-07T07:45:00+00:00", "v": 9856.02}, {"t": "2026-08-07T08:00:00+00:00", "v": 9856.02}], "total_trades": 6, "generated_at": "2026-08-07T08:09:14.669167+00:00"}
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