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ftdt-quant-lab/backtests/results/iceberg_BTC_1m_200_20260807-082524.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": "iceberg", "interval": "1m", "n_bars": 201, "start_equity": 10000.0, "end_equity": 9762.79, "total_return_pct": -2.37, "pnl": -237.21, "sharpe": -212.512, "sortino": -205.532, "max_drawdown_pct": 2.37, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -29.651, "trades": [{"time": "2026-08-07 05:55:00", "side": "BUY", "asset": "BTC", "size": 0.155153, "entry_px": 64423.36, "exit_px": 64274.66, "pnl_gross": -32.0566, "pnl_net": -41.0421, "fee": 8.985548, "fee_rate_pct": 0.045, "return_pct": -0.321, "duration": ""}, {"time": "2026-08-07 06:08:00", "side": "BUY", "asset": "BTC", "size": 0.154735, "entry_px": 64390.33, "exit_px": 64242.69, "pnl_gross": -31.8009, "pnl_net": -40.7577, "fee": 8.956814, "fee_rate_pct": 0.045, "return_pct": -0.319, "duration": ""}, {"time": "2026-08-07 06:17:00", "side": "BUY", "asset": "BTC", "size": 0.154098, "entry_px": 64450.39, "exit_px": 64295.64, "pnl_gross": -32.7738, "pnl_net": -41.7016, "fee": 8.927778, "fee_rate_pct": 0.045, "return_pct": -0.33, "duration": ""}, {"time": "2026-08-07 06:27:00", "side": "BUY", "asset": "BTC", "size": 0.153542, "entry_px": 64470.41, "exit_px": 64349.59, "pnl_gross": -27.4516, "pnl_net": -36.3523, "fee": 8.900676, "fee_rate_pct": 0.045, "return_pct": -0.277, "duration": ""}, {"time": "2026-08-07 06:31:00", "side": "BUY", "asset": "BTC", "size": 0.153133, "entry_px": 64463.4, "exit_px": 64273.66, "pnl_gross": -37.9263, "pnl_net": -46.7975, "fee": 8.871251, "fee_rate_pct": 0.045, "return_pct": -0.384, "duration": ""}, {"time": "2026-08-07 06:37:00", "side": "BUY", "asset": "BTC", "size": 0.152756, "entry_px": 64374.31, "exit_px": 64281.65, "pnl_gross": -22.9976, "pnl_net": -31.8414, "fee": 8.843836, "fee_rate_pct": 0.045, "return_pct": -0.234, "duration": ""}, {"time": "2026-08-07 07:04:00", "side": "BUY", "asset": "BTC", "size": 0.152586, "entry_px": 64295.23, "exit_px": 64207.73, "pnl_gross": -22.1753, "pnl_net": -30.9988, "fee": 8.823489, "fee_rate_pct": 0.045, "return_pct": -0.226, "duration": ""}, {"time": "2026-08-07 08:22:00", "side": "BUY", "asset": "BTC", "size": 0.151847, "entry_px": 64462.4, "exit_px": 64322.61, "pnl_gross": -30.0259, "pnl_net": -38.826, "fee": 8.800028, "fee_rate_pct": 0.045, "return_pct": -0.307, "duration": ""}], "params": {"vol_mult": 1.8, "min_consec": 3, "max_hold": 8, "type": "Momentum"}, "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": "2026-08-07T05:05:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:06:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:07:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:08:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:09:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:10:00+00:00", "v": 10000.0}, {"t": "2026-08-07T05:11:00+00:00", "v": 10000.0}, {"t": 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"2026-08-07T08:12:00+00:00", "v": 9792.82}, {"t": "2026-08-07T08:13:00+00:00", "v": 9792.82}, {"t": "2026-08-07T08:14:00+00:00", "v": 9792.82}, {"t": "2026-08-07T08:15:00+00:00", "v": 9792.82}, {"t": "2026-08-07T08:16:00+00:00", "v": 9792.82}, {"t": "2026-08-07T08:17:00+00:00", "v": 9792.82}, {"t": "2026-08-07T08:18:00+00:00", "v": 9792.82}, {"t": "2026-08-07T08:19:00+00:00", "v": 9778.63}, {"t": "2026-08-07T08:20:00+00:00", "v": 9777.42}, {"t": "2026-08-07T08:21:00+00:00", "v": 9775.45}, {"t": "2026-08-07T08:22:00+00:00", "v": 9762.79}, {"t": "2026-08-07T08:23:00+00:00", "v": 9762.79}, {"t": "2026-08-07T08:24:00+00:00", "v": 9762.79}, {"t": "2026-08-07T08:25:00+00:00", "v": 9762.79}], "total_trades": 8, "generated_at": "2026-08-07T08:25:24.969707+00:00", "asset": "BTC"}
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