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ftdt-quant-lab/backtests/results/mean_rev_BTC_1h_100_20260807-092715.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": "mean_rev", "interval": "1h", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9830.75, "total_return_pct": -1.69, "pnl": -169.25, "sharpe": -8.462, "sortino": -12.251, "max_drawdown_pct": 2.53, "win_rate": 0.2, "profit_factor": 0.023, "expectancy": -42.701, "trades": [{"time": "2026-08-04 06:00:00", "side": "BUY", "asset": "BTC", "size": 0.156007, "entry_px": 64071.01, "exit_px": 63583.35, "pnl_gross": -85.039, "pnl_net": -94.0007, "fee": 8.961738, "fee_rate_pct": 0.045, "return_pct": -0.851, "duration": ""}, {"time": "2026-08-05 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.154941, "entry_px": 63962.9, "exit_px": 63898.04, "pnl_gross": -18.9646, "pnl_net": -27.8795, "fee": 8.914906, "fee_rate_pct": 0.045, "return_pct": -0.191, "duration": ""}, {"time": "2026-08-05 07:00:00", "side": "BUY", "asset": "BTC", "size": 0.153671, "entry_px": 64368.3, "exit_px": 64073.86, "pnl_gross": -54.1292, "pnl_net": -63.0113, "fee": 8.882026, "fee_rate_pct": 0.045, "return_pct": -0.547, "duration": ""}, {"time": "2026-08-06 03:00:00", "side": "BUY", "asset": "BTC", "size": 0.152861, "entry_px": 64355.29, "exit_px": 64446.49, "pnl_gross": 5.0807, "pnl_net": -3.7793, "fee": 8.859946, "fee_rate_pct": 0.045, "return_pct": 0.052, "duration": ""}, {"time": "2026-08-06 09:00:00", "side": "BUY", "asset": "BTC", "size": 0.151587, "entry_px": 64929.86, "exit_px": 64589.35, "pnl_gross": -60.4533, "pnl_net": -69.2883, "fee": 8.835043, "fee_rate_pct": 0.045, "return_pct": -0.614, "duration": ""}, {"time": "2026-08-07 09:00:00", "side": "BUY", "asset": "BTC", "size": 0.151761, "entry_px": 64457.39, "exit_px": 64778.0, "pnl_gross": 44.2536, "pnl_net": 35.4278, "fee": 8.825801, "fee_rate_pct": 0.045, "return_pct": 0.452, "duration": ""}], "params": {"vwap_window": 20, "deviation": 1.0, "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": "2026-08-03T05:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T06:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T07:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T09:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T10:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T11:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T13:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T14:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T15:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T17:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T18:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T19:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T21:00:00+00:00", "v": 10000.0}, {"t": 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"2026-08-07T06:00:00+00:00", "v": 9753.65}, {"t": "2026-08-07T07:00:00+00:00", "v": 9756.39}, {"t": "2026-08-07T08:00:00+00:00", "v": 9799.18}, {"t": "2026-08-07T09:00:00+00:00", "v": 9830.75}], "total_trades": 6, "generated_at": "2026-08-07T09:27:15.133482+00:00", "asset": "BTC"}
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