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ftdt-quant-lab/backtests/results/as_mm_BTC_5m_100_20260807-093326.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": "5m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9788.49, "total_return_pct": -2.12, "pnl": -211.51, "sharpe": -112.459, "sortino": -120.547, "max_drawdown_pct": 2.27, "win_rate": 0.2, "profit_factor": 0.071, "expectancy": -20.025, "trades": [{"time": "2026-08-07 03:25:00", "side": "BUY", "asset": "BTC", "size": 0.155289, "entry_px": 64386.32, "exit_px": 64227.71, "pnl_gross": -27.6269, "pnl_net": -30.6227, "fee": 2.995852, "fee_rate_pct": 0.015, "return_pct": -0.276, "duration": ""}, {"time": "2026-08-07 04:05:00", "side": "BUY", "asset": "BTC", "size": 0.154858, "entry_px": 64387.32, "exit_px": 64221.71, "pnl_gross": -28.6333, "pnl_net": -31.6207, "fee": 2.987421, "fee_rate_pct": 0.015, "return_pct": -0.287, "duration": ""}, {"time": "2026-08-07 04:45:00", "side": "BUY", "asset": "BTC", "size": 0.154488, "entry_px": 64356.29, "exit_px": 64142.79, "pnl_gross": -35.9607, "pnl_net": -38.9384, "fee": 2.977735, "fee_rate_pct": 0.015, "return_pct": -0.362, "duration": ""}, {"time": "2026-08-07 05:25:00", "side": "BUY", "asset": "BTC", "size": 0.154104, "entry_px": 64283.22, "exit_px": 64084.85, "pnl_gross": -33.5366, "pnl_net": -36.5039, "fee": 2.967305, "fee_rate_pct": 0.015, "return_pct": -0.339, "duration": ""}, {"time": "2026-08-07 06:05:00", "side": "BUY", "asset": "BTC", "size": 0.153515, "entry_px": 64311.25, "exit_px": 64253.68, "pnl_gross": -11.7976, "pnl_net": -14.7581, "fee": 2.960497, "fee_rate_pct": 0.015, "return_pct": -0.119, "duration": ""}, {"time": "2026-08-07 06:45:00", "side": "BUY", "asset": "BTC", "size": 0.152953, "entry_px": 64470.41, "exit_px": 64220.71, "pnl_gross": -41.1436, "pnl_net": -44.0962, "fee": 2.952554, "fee_rate_pct": 0.015, "return_pct": -0.417, "duration": ""}, {"time": "2026-08-07 07:25:00", "side": "BUY", "asset": "BTC", "size": 0.152633, "entry_px": 64336.27, "exit_px": 64310.62, "pnl_gross": -6.8599, "pnl_net": -9.8053, "fee": 2.945364, "fee_rate_pct": 0.015, "return_pct": -0.07, "duration": ""}, {"time": "2026-08-07 08:05:00", "side": "BUY", "asset": "BTC", "size": 0.152358, "entry_px": 64407.34, "exit_px": 64229.71, "pnl_gross": -30.0042, "pnl_net": -32.9441, "fee": 2.939833, "fee_rate_pct": 0.015, "return_pct": -0.306, "duration": ""}, {"time": "2026-08-07 08:40:00", "side": "BUY", "asset": "BTC", "size": 0.151788, "entry_px": 64451.39, "exit_px": 64543.39, "pnl_gross": 11.0283, "pnl_net": 8.0913, "fee": 2.936979, "fee_rate_pct": 0.015, "return_pct": 0.113, "duration": ""}, {"time": "2026-08-07 09:15:00", "side": "BUY", "asset": "BTC", "size": 0.151529, "entry_px": 64634.57, "exit_px": 64682.25, "pnl_gross": 4.2861, "pnl_net": 1.3468, "fee": 2.939287, "fee_rate_pct": 0.015, "return_pct": 0.044, "duration": ""}, {"time": "2026-08-07 09:30:00", "side": "BUY", "asset": "BTC", "size": 0.150838, "entry_px": 64958.89, "exit_px": 64894.0, "pnl_gross": -11.2582, "pnl_net": -14.1962, "fee": 2.938013, "fee_rate_pct": 0.015, "return_pct": -0.115, "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": "2026-08-07T01:10:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:15:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:20:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:25:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:30:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:35:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:40:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:45:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:50:00+00:00", "v": 10000.0}, {"t": "2026-08-07T01:55:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T02:05:00+00:00", "v": 10000.0}, {"t": 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