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ftdt-quant-lab/backtests/results/pairs_ETH_1m_100_20260807-080912.json
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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": "1m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9901.51, "total_return_pct": -0.98, "pnl": -98.49, "sharpe": -199.122, "sortino": -194.222, "max_drawdown_pct": 0.98, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -32.83, "trades": [{"time": "2026-08-07 07:01:00", "side": "BUY", "asset": "BTC", "size": 0.155368, "entry_px": 64334.27, "exit_px": 64166.77, "pnl_gross": -35.0086, "pnl_net": -43.9928, "fee": 8.984227, "fee_rate_pct": 0.045, "return_pct": -0.35, "duration": ""}, {"time": "2026-08-07 07:18:00", "side": "BUY", "asset": "BTC", "size": 0.154687, "entry_px": 64391.33, "exit_px": 64257.68, "pnl_gross": -29.6289, "pnl_net": -38.5841, "fee": 8.955148, "fee_rate_pct": 0.045, "return_pct": -0.297, "duration": ""}, {"time": "2026-08-07 08:06:00", "side": "BUY", "asset": "BTC", "size": 0.154198, "entry_px": 64403.34, "exit_px": 64241.69, "pnl_gross": -33.852, "pnl_net": -42.7786, "fee": 8.926563, "fee_rate_pct": 0.045, "return_pct": -0.341, "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": "2026-08-07T06:29:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:30:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:31:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:32:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:33:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:34:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:35:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:36:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:37:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:38:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:39:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:40:00+00:00", "v": 10000.0}, {"t": 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"2026-08-07T08:01:00+00:00", "v": 9910.49}, {"t": "2026-08-07T08:02:00+00:00", "v": 9911.72}, {"t": "2026-08-07T08:03:00+00:00", "v": 9911.72}, {"t": "2026-08-07T08:04:00+00:00", "v": 9913.88}, {"t": "2026-08-07T08:05:00+00:00", "v": 9916.35}, {"t": "2026-08-07T08:06:00+00:00", "v": 9901.51}, {"t": "2026-08-07T08:07:00+00:00", "v": 9901.51}, {"t": "2026-08-07T08:08:00+00:00", "v": 9901.51}, {"t": "2026-08-07T08:09:00+00:00", "v": 9901.51}], "total_trades": 3, "generated_at": "2026-08-07T08:09:12.317452+00:00"}
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