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ftdt-quant-lab/backtests/results/pairs_BTC_1d_200_20260807-092416.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": "1d", "n_bars": 201, "start_equity": 10000.0, "end_equity": 8409.54, "total_return_pct": -15.9, "pnl": -1590.46, "sharpe": -1.478, "sortino": -1.947, "max_drawdown_pct": 17.47, "win_rate": 0.4, "profit_factor": 0.095, "expectancy": -318.093, "trades": [{"time": "2026-03-27 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.1334, "entry_px": 74928.85, "exit_px": 66329.6, "pnl_gross": -1155.6189, "pnl_net": -1164.0986, "fee": 8.479745, "fee_rate_pct": 0.045, "return_pct": -11.561, "duration": ""}, {"time": "2026-04-04 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.129716, "entry_px": 68152.08, "exit_px": 67196.74, "pnl_gross": -131.8243, "pnl_net": -139.7249, "fee": 7.900608, "fee_rate_pct": 0.045, "return_pct": -1.491, "duration": ""}, {"time": "2026-04-19 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.119153, "entry_px": 73088.01, "exit_px": 73667.26, "pnl_gross": 61.1497, "pnl_net": 53.2808, "fee": 7.868849, "fee_rate_pct": 0.045, "return_pct": 0.702, "duration": ""}, {"time": "2026-06-06 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.136639, "entry_px": 64182.12, "exit_px": 60800.14, "pnl_gross": -469.794, "pnl_net": -477.4788, "fee": 7.684853, "fee_rate_pct": 0.045, "return_pct": -5.357, "duration": ""}, {"time": "2026-08-02 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.132509, "entry_px": 62638.58, "exit_px": 63492.44, "pnl_gross": 105.6242, "pnl_net": 98.1031, "fee": 7.521073, "fee_rate_pct": 0.045, "return_pct": 1.273, "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": "2026-01-19T00:00:00+00:00", "v": 10000.0}, {"t": "2026-01-20T00:00:00+00:00", "v": 10000.0}, 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"2026-08-07T09:24:16.231988+00:00"}
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