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ftdt-quant-lab/backtests/results/grid_mm_BTC_4h_200_20260807-092520.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": "grid_mm", "interval": "4h", "n_bars": 201, "start_equity": 10000.0, "end_equity": 10274.9, "total_return_pct": 2.75, "pnl": 274.9, "sharpe": 1.148, "sortino": 1.736, "max_drawdown_pct": 6.21, "win_rate": NaN, "profit_factor": NaN, "expectancy": NaN, "trades": [{"time": "2026-08-07 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.158487, "entry_px": 63087.02, "exit_px": 64831.0, "pnl_gross": 274.8985, "pnl_net": 271.8575, "fee": 3.041001, "fee_rate_pct": 0.015, "return_pct": 2.749, "duration": ""}], "params": {"grid_levels": 10, "grid_spacing_pct": 0.1, "rebalance_every": 20, "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": "2026-07-05T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-05T04:00:00+00:00", "v": 9988.51}, {"t": "2026-07-05T08:00:00+00:00", "v": 9928.29}, {"t": "2026-07-05T12:00:00+00:00", "v": 9942.71}, {"t": "2026-07-05T16:00:00+00:00", "v": 9948.57}, {"t": "2026-07-05T20:00:00+00:00", "v": 10085.35}, {"t": "2026-07-06T00:00:00+00:00", "v": 10030.99}, {"t": "2026-07-06T04:00:00+00:00", "v": 10001.19}, {"t": "2026-07-06T08:00:00+00:00", "v": 9905.62}, {"t": "2026-07-06T12:00:00+00:00", "v": 10069.97}, {"t": "2026-07-06T16:00:00+00:00", "v": 10102.15}, {"t": "2026-07-06T20:00:00+00:00", "v": 10151.75}, {"t": "2026-07-07T00:00:00+00:00", "v": 10014.66}, {"t": "2026-07-07T04:00:00+00:00", "v": 9998.65}, {"t": "2026-07-07T08:00:00+00:00", "v": 10051.27}, {"t": "2026-07-07T12:00:00+00:00", "v": 10134.0}, {"t": "2026-07-07T16:00:00+00:00", "v": 10115.46}, {"t": "2026-07-07T20:00:00+00:00", "v": 10040.97}, {"t": "2026-07-08T00:00:00+00:00", "v": 9944.45}, {"t": "2026-07-08T04:00:00+00:00", "v": 9966.8}, {"t": "2026-07-08T08:00:00+00:00", "v": 9873.93}, {"t": 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"v": 10089.47}, {"t": "2026-08-03T16:00:00+00:00", "v": 10116.57}, {"t": "2026-08-03T20:00:00+00:00", "v": 10062.68}, {"t": "2026-08-04T00:00:00+00:00", "v": 10107.85}, {"t": "2026-08-04T04:00:00+00:00", "v": 10089.15}, {"t": "2026-08-04T08:00:00+00:00", "v": 10127.19}, {"t": "2026-08-04T12:00:00+00:00", "v": 10157.62}, {"t": "2026-08-04T16:00:00+00:00", "v": 10175.21}, {"t": "2026-08-04T20:00:00+00:00", "v": 10153.97}, {"t": "2026-08-05T00:00:00+00:00", "v": 10168.08}, {"t": "2026-08-05T04:00:00+00:00", "v": 10165.07}, {"t": "2026-08-05T08:00:00+00:00", "v": 10149.69}, {"t": "2026-08-05T12:00:00+00:00", "v": 10198.82}, {"t": "2026-08-05T16:00:00+00:00", "v": 10269.35}, {"t": "2026-08-05T20:00:00+00:00", "v": 10242.25}, {"t": "2026-08-06T00:00:00+00:00", "v": 10224.18}, {"t": "2026-08-06T04:00:00+00:00", "v": 10267.45}, {"t": "2026-08-06T08:00:00+00:00", "v": 10237.97}, {"t": "2026-08-06T12:00:00+00:00", "v": 10237.97}, {"t": "2026-08-06T16:00:00+00:00", "v": 10209.13}, {"t": "2026-08-06T20:00:00+00:00", "v": 10189.63}, {"t": "2026-08-07T00:00:00+00:00", "v": 10184.24}, {"t": "2026-08-07T04:00:00+00:00", "v": 10188.84}, {"t": "2026-08-07T08:00:00+00:00", "v": 10274.9}], "total_trades": 1, "generated_at": "2026-08-07T09:25:20.179266+00:00", "asset": "BTC"}
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