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ftdt-quant-lab/backtests/results/as_mm_BTC_1m_100_20260807-093316.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": "as_mm", "interval": "1m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9825.0, "total_return_pct": -1.75, "pnl": -175.0, "sharpe": -240.225, "sortino": -247.207, "max_drawdown_pct": 1.75, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -17.5, "trades": [{"time": "2026-08-07 08:20:00", "side": "BUY", "asset": "BTC", "size": 0.155229, "entry_px": 64411.35, "exit_px": 64325.61, "pnl_gross": -16.3064, "pnl_net": -19.304, "fee": 2.997556, "fee_rate_pct": 0.015, "return_pct": -0.163, "duration": ""}, {"time": "2026-08-07 08:28:00", "side": "BUY", "asset": "BTC", "size": 0.154932, "entry_px": 64429.36, "exit_px": 64354.58, "pnl_gross": -14.5794, "pnl_net": -17.5723, "fee": 2.992913, "fee_rate_pct": 0.015, "return_pct": -0.146, "duration": ""}, {"time": "2026-08-07 08:36:00", "side": "BUY", "asset": "BTC", "size": 0.154512, "entry_px": 64510.45, "exit_px": 64376.56, "pnl_gross": -23.6743, "pnl_net": -26.6615, "fee": 2.987188, "fee_rate_pct": 0.015, "return_pct": -0.238, "duration": ""}, {"time": "2026-08-07 08:43:00", "side": "BUY", "asset": "BTC", "size": 0.154121, "entry_px": 64520.46, "exit_px": 64523.41, "pnl_gross": -2.5277, "pnl_net": -5.5109, "fee": 2.983256, "fee_rate_pct": 0.015, "return_pct": -0.025, "duration": ""}, {"time": "2026-08-07 08:51:00", "side": "BUY", "asset": "BTC", "size": 0.153807, "entry_px": 64635.57, "exit_px": 64514.42, "pnl_gross": -21.6134, "pnl_net": -24.593, "fee": 2.979626, "fee_rate_pct": 0.015, "return_pct": -0.217, "duration": ""}, {"time": "2026-08-07 08:59:00", "side": "BUY", "asset": "BTC", "size": 0.153487, "entry_px": 64629.57, "exit_px": 64505.43, "pnl_gross": -22.0262, "pnl_net": -24.9993, "fee": 2.973082, "fee_rate_pct": 0.015, "return_pct": -0.222, "duration": ""}, {"time": "2026-08-07 09:07:00", "side": "BUY", "asset": "BTC", "size": 0.152985, "entry_px": 64697.63, "exit_px": 64588.35, "pnl_gross": -19.686, "pnl_net": -22.6528, "fee": 2.966822, "fee_rate_pct": 0.015, "return_pct": -0.199, "duration": ""}, {"time": "2026-08-07 09:15:00", "side": "BUY", "asset": "BTC", "size": 0.152598, "entry_px": 64732.67, "exit_px": 64642.29, "pnl_gross": -16.7524, "pnl_net": -19.7138, "fee": 2.961354, "fee_rate_pct": 0.015, "return_pct": -0.17, "duration": ""}, {"time": "2026-08-07 09:23:00", "side": "BUY", "asset": "BTC", "size": 0.152173, "entry_px": 64803.74, "exit_px": 64687.25, "pnl_gross": -20.6825, "pnl_net": -23.6382, "fee": 2.955755, "fee_rate_pct": 0.015, "return_pct": -0.21, "duration": ""}, {"time": "2026-08-07 09:31:00", "side": "BUY", "asset": "BTC", "size": 0.151739, "entry_px": 64852.79, "exit_px": 64759.18, "pnl_gross": -17.1546, "pnl_net": -20.1047, "fee": 2.950079, "fee_rate_pct": 0.015, "return_pct": -0.174, "duration": ""}], "params": {"gamma": 0.1, "sigma_dynamic": true, "inventory_skew": true, "type": "Market Making"}, "fee_info": {"entry_fee": 0.015, "exit_fee": 0.015, "total_fee": 0.03, "taker_rate_pct": 0.045, "maker_rate_pct": 0.015, "effective_rate_pct": 0.015, "vip_tier": 0, "staking_tier": "none", "fee_model": "maker", "tier_name": "Tier 0 (<$5M)", "staking_name": "No Stake"}, "equity_curve": [{"t": "2026-08-07T07:53:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:54:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:55:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:56:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:57:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:58:00+00:00", "v": 10000.0}, {"t": "2026-08-07T07:59:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:01:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:02:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:03:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:04:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:05:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:06:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:07:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:08:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:09:00+00:00", "v": 10000.0}, {"t": 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