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ftdt-quant-lab/backtests/results/momentum_BTC_15m_200_20260807-092602.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": "momentum", "interval": "15m", "n_bars": 201, "start_equity": 10000.0, "end_equity": 9843.28, "total_return_pct": -1.57, "pnl": -156.72, "sharpe": -15.832, "sortino": -21.378, "max_drawdown_pct": 1.97, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -35.33, "trades": [{"time": "2026-08-05 13:00:00", "side": "BUY", "asset": "BTC", "size": 0.154853, "entry_px": 64548.48, "exit_px": 64051.88, "pnl_gross": -85.8612, "pnl_net": -94.8225, "fee": 8.961368, "fee_rate_pct": 0.045, "return_pct": -0.859, "duration": ""}, {"time": "2026-08-06 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.153003, "entry_px": 64767.7, "exit_px": 64666.27, "pnl_gross": -24.4315, "pnl_net": -33.3432, "fee": 8.911704, "fee_rate_pct": 0.045, "return_pct": -0.247, "duration": ""}, {"time": "2026-08-06 17:30:00", "side": "BUY", "asset": "BTC", "size": 0.152806, "entry_px": 64691.63, "exit_px": 64499.44, "pnl_gross": -38.2514, "pnl_net": -47.135, "fee": 8.883527, "fee_rate_pct": 0.045, "return_pct": -0.387, "duration": ""}, {"time": "2026-08-07 02:15:00", "side": "BUY", "asset": "BTC", "size": 0.153177, "entry_px": 64285.22, "exit_px": 64224.71, "pnl_gross": -18.1269, "pnl_net": -26.985, "fee": 8.858144, "fee_rate_pct": 0.045, "return_pct": -0.184, "duration": ""}, {"time": "2026-08-07 06:45:00", "side": "BUY", "asset": "BTC", "size": 0.153067, "entry_px": 64213.15, "exit_px": 64205.73, "pnl_gross": -9.9811, "pnl_net": -18.8266, "fee": 8.845512, "fee_rate_pct": 0.045, "return_pct": -0.102, "duration": ""}, {"time": "2026-08-07 09:15:00", "side": "BUY", "asset": "BTC", "size": 0.151825, "entry_px": 64672.61, "exit_px": 64833.0, "pnl_gross": 19.933, "pnl_net": 11.085, "fee": 8.847985, "fee_rate_pct": 0.045, "return_pct": 0.203, "duration": ""}], "params": {"bollinger_window": 20, "bollinger_std": 2.0, "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": "2026-08-05T07:15:00+00:00", "v": 10000.0}, {"t": "2026-08-05T07:30:00+00:00", "v": 10000.0}, {"t": "2026-08-05T07:45:00+00:00", "v": 10000.0}, {"t": "2026-08-05T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T08:15:00+00:00", "v": 10000.0}, {"t": "2026-08-05T08:30:00+00:00", "v": 10000.0}, {"t": "2026-08-05T08:45:00+00:00", "v": 10000.0}, {"t": "2026-08-05T09:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T09:15:00+00:00", "v": 10000.0}, {"t": "2026-08-05T09:30:00+00:00", "v": 10000.0}, {"t": "2026-08-05T09:45:00+00:00", "v": 10000.0}, {"t": "2026-08-05T10:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T10:15:00+00:00", "v": 10000.0}, {"t": "2026-08-05T10:30:00+00:00", "v": 10000.0}, {"t": "2026-08-05T10:45:00+00:00", "v": 10000.0}, {"t": "2026-08-05T11:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T11:15:00+00:00", "v": 10000.0}, {"t": 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"2026-08-07T08:30:00+00:00", "v": 9809.12}, {"t": "2026-08-07T08:45:00+00:00", "v": 9803.35}, {"t": "2026-08-07T09:00:00+00:00", "v": 9822.78}, {"t": "2026-08-07T09:15:00+00:00", "v": 9843.28}], "total_trades": 6, "generated_at": "2026-08-07T09:26:02.528956+00:00", "asset": "BTC"}
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