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ftdt-quant-lab/backtests/results/iceberg_BTC_15m_200_20260807-092809.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": "15m", "n_bars": 201, "start_equity": 10000.0, "end_equity": 9812.72, "total_return_pct": -1.87, "pnl": -187.28, "sharpe": -25.33, "sortino": -31.586, "max_drawdown_pct": 2.26, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -28.384, "trades": [{"time": "2026-08-05 14:30:00", "side": "BUY", "asset": "BTC", "size": 0.155317, "entry_px": 64355.29, "exit_px": 64311.62, "pnl_gross": -15.7751, "pnl_net": -24.768, "fee": 8.992871, "fee_rate_pct": 0.045, "return_pct": -0.158, "duration": ""}, {"time": "2026-08-05 21:00:00", "side": "BUY", "asset": "BTC", "size": 0.153499, "entry_px": 65014.95, "exit_px": 64682.25, "pnl_gross": -60.0275, "pnl_net": -68.9862, "fee": 8.958776, "fee_rate_pct": 0.045, "return_pct": -0.601, "duration": ""}, {"time": "2026-08-06 05:45:00", "side": "BUY", "asset": "BTC", "size": 0.153159, "entry_px": 64767.7, "exit_px": 64800.14, "pnl_gross": -3.9628, "pnl_net": -12.8928, "fee": 8.930016, "fee_rate_pct": 0.045, "return_pct": -0.04, "duration": ""}, {"time": "2026-08-06 14:15:00", "side": "BUY", "asset": "BTC", "size": 0.15423, "entry_px": 64292.23, "exit_px": 64330.61, "pnl_gross": -3.008, "pnl_net": -11.9349, "fee": 8.926875, "fee_rate_pct": 0.045, "return_pct": -0.03, "duration": ""}, {"time": "2026-08-06 15:45:00", "side": "BUY", "asset": "BTC", "size": 0.152794, "entry_px": 64876.81, "exit_px": 64533.4, "pnl_gross": -61.3688, "pnl_net": -70.2666, "fee": 8.897897, "fee_rate_pct": 0.045, "return_pct": -0.619, "duration": ""}, {"time": "2026-08-07 00:15:00", "side": "BUY", "asset": "BTC", "size": 0.153308, "entry_px": 64259.19, "exit_px": 64186.75, "pnl_gross": -19.9678, "pnl_net": -28.8291, "fee": 8.861306, "fee_rate_pct": 0.045, "return_pct": -0.203, "duration": ""}, {"time": "2026-08-07 03:30:00", "side": "BUY", "asset": "BTC", "size": 0.152598, "entry_px": 64427.36, "exit_px": 64258.68, "pnl_gross": -34.5778, "pnl_net": -43.4146, "fee": 8.836755, "fee_rate_pct": 0.045, "return_pct": -0.352, "duration": ""}, {"time": "2026-08-07 09:15:00", "side": "BUY", "asset": "BTC", "size": 0.151485, "entry_px": 64672.61, "exit_px": 64777.0, "pnl_gross": 11.4052, "pnl_net": 2.5808, "fee": 8.824353, "fee_rate_pct": 0.045, "return_pct": 0.116, "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": "2026-08-05T07:15:00+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": 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"2026-08-07T06:00:00+00:00", "v": 9801.31}, {"t": "2026-08-07T06:15:00+00:00", "v": 9801.31}, {"t": "2026-08-07T06:30:00+00:00", "v": 9801.31}, {"t": "2026-08-07T06:45:00+00:00", "v": 9801.31}, {"t": "2026-08-07T07:00:00+00:00", "v": 9801.31}, {"t": "2026-08-07T07:15:00+00:00", "v": 9801.31}, {"t": "2026-08-07T07:30:00+00:00", "v": 9801.31}, {"t": "2026-08-07T07:45:00+00:00", "v": 9801.31}, {"t": "2026-08-07T08:00:00+00:00", "v": 9801.31}, {"t": "2026-08-07T08:15:00+00:00", "v": 9801.31}, {"t": "2026-08-07T08:30:00+00:00", "v": 9787.12}, {"t": "2026-08-07T08:45:00+00:00", "v": 9781.36}, {"t": "2026-08-07T09:00:00+00:00", "v": 9800.75}, {"t": "2026-08-07T09:15:00+00:00", "v": 9812.72}], "total_trades": 8, "generated_at": "2026-08-07T09:28:09.032777+00:00", "asset": "BTC"}
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