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ftdt-quant-lab/backtests/results/obi_BTC_1m_200_20260807-092114.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": "obi", "interval": "1m", "n_bars": 201, "start_equity": 10000.0, "end_equity": 9856.68, "total_return_pct": -1.43, "pnl": -143.32, "sharpe": -139.902, "sortino": -145.951, "max_drawdown_pct": 1.66, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -29.802, "trades": [{"time": "2026-08-07 06:33:00", "side": "BUY", "asset": "BTC", "size": 0.155096, "entry_px": 64447.38, "exit_px": 64247.69, "pnl_gross": -39.9538, "pnl_net": -48.9359, "fee": 8.982041, "fee_rate_pct": 0.045, "return_pct": -0.4, "duration": ""}, {"time": "2026-08-07 07:21:00", "side": "BUY", "asset": "BTC", "size": 0.15462, "entry_px": 64387.32, "exit_px": 64323.61, "pnl_gross": -18.8066, "pnl_net": -27.7621, "fee": 8.955578, "fee_rate_pct": 0.045, "return_pct": -0.189, "duration": ""}, {"time": "2026-08-07 07:35:00", "side": "BUY", "asset": "BTC", "size": 0.154203, "entry_px": 64439.38, "exit_px": 64323.61, "pnl_gross": -26.7861, "pnl_net": -35.7211, "fee": 8.935038, "fee_rate_pct": 0.045, "return_pct": -0.27, "duration": ""}, {"time": "2026-08-07 08:12:00", "side": "BUY", "asset": "BTC", "size": 0.153807, "entry_px": 64431.37, "exit_px": 64279.66, "pnl_gross": -32.2427, "pnl_net": -41.1512, "fee": 8.908496, "fee_rate_pct": 0.045, "return_pct": -0.325, "duration": ""}, {"time": "2026-08-07 08:23:00", "side": "BUY", "asset": "BTC", "size": 0.153271, "entry_px": 64446.38, "exit_px": 64300.64, "pnl_gross": -31.2187, "pnl_net": -40.0987, "fee": 8.879933, "fee_rate_pct": 0.045, "return_pct": -0.316, "duration": ""}, {"time": "2026-08-07 09:21:00", "side": "BUY", "asset": "BTC", "size": 0.152335, "entry_px": 64637.57, "exit_px": 64704.0, "pnl_gross": 5.6882, "pnl_net": -3.1783, "fee": 8.866462, "fee_rate_pct": 0.045, "return_pct": 0.058, "duration": ""}], "params": {"obi_lookback": 20, "obi_entry": 0.35, "obi_exit": 0.1, "type": "Reversal"}, "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": "2026-08-07T06:01:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:02:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:03:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:04:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:05:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:06:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:07:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:08:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:09:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:10:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:11:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:12:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:13:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:14:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:15:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:16:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:17:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:18:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:19:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:20:00+00:00", "v": 9985.52}, {"t": "2026-08-07T06:21:00+00:00", "v": 9985.36}, {"t": "2026-08-07T06:22:00+00:00", "v": 9984.59}, {"t": "2026-08-07T06:23:00+00:00", "v": 9986.6}, {"t": "2026-08-07T06:24:00+00:00", "v": 9989.08}, {"t": "2026-08-07T06:25:00+00:00", "v": 9990.32}, {"t": "2026-08-07T06:26:00+00:00", "v": 9992.5}, {"t": "2026-08-07T06:27:00+00:00", "v": 9990.32}, {"t": "2026-08-07T06:28:00+00:00", "v": 9988.0}, {"t": "2026-08-07T06:29:00+00:00", "v": 9987.22}, {"t": "2026-08-07T06:30:00+00:00", "v": 9981.79}, {"t": "2026-08-07T06:31:00+00:00", "v": 9978.54}, {"t": "2026-08-07T06:32:00+00:00", "v": 9977.76}, {"t": "2026-08-07T06:33:00+00:00", "v": 9960.05}, {"t": "2026-08-07T06:34:00+00:00", "v": 9960.05}, {"t": "2026-08-07T06:35:00+00:00", "v": 9960.05}, {"t": "2026-08-07T06:36:00+00:00", "v": 9960.05}, {"t": "2026-08-07T06:37:00+00:00", "v": 9960.05}, {"t": 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"2026-08-07T08:58:00+00:00", "v": 9833.98}, {"t": "2026-08-07T08:59:00+00:00", "v": 9836.27}, {"t": "2026-08-07T09:00:00+00:00", "v": 9841.14}, {"t": "2026-08-07T09:01:00+00:00", "v": 9843.73}, {"t": "2026-08-07T09:02:00+00:00", "v": 9845.86}, {"t": "2026-08-07T09:03:00+00:00", "v": 9850.28}, {"t": "2026-08-07T09:04:00+00:00", "v": 9850.28}, {"t": "2026-08-07T09:05:00+00:00", "v": 9848.76}, {"t": "2026-08-07T09:06:00+00:00", "v": 9850.74}, {"t": "2026-08-07T09:07:00+00:00", "v": 9848.91}, {"t": "2026-08-07T09:08:00+00:00", "v": 9849.22}, {"t": "2026-08-07T09:09:00+00:00", "v": 9850.13}, {"t": "2026-08-07T09:10:00+00:00", "v": 9851.2}, {"t": "2026-08-07T09:11:00+00:00", "v": 9859.12}, {"t": "2026-08-07T09:12:00+00:00", "v": 9854.4}, {"t": "2026-08-07T09:13:00+00:00", "v": 9854.4}, {"t": "2026-08-07T09:14:00+00:00", "v": 9855.77}, {"t": "2026-08-07T09:15:00+00:00", "v": 9857.14}, {"t": "2026-08-07T09:16:00+00:00", "v": 9857.75}, {"t": "2026-08-07T09:17:00+00:00", "v": 9859.57}, {"t": "2026-08-07T09:18:00+00:00", "v": 9862.01}, {"t": "2026-08-07T09:19:00+00:00", "v": 9863.23}, {"t": "2026-08-07T09:20:00+00:00", "v": 9856.68}, {"t": "2026-08-07T09:21:00+00:00", "v": 9856.68}], "total_trades": 6, "generated_at": "2026-08-07T09:21:14.759558+00:00", "asset": "BTC"}
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