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ftdt-quant-lab/backtests/results/mean_rev_BTC_4h_200_20260807-092727.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": "4h", "n_bars": 201, "start_equity": 10000.0, "end_equity": 10258.3, "total_return_pct": 2.58, "pnl": 258.3, "sharpe": 1.338, "sortino": 2.161, "max_drawdown_pct": 6.21, "win_rate": 0.583, "profit_factor": 1.409, "expectancy": 22.765, "trades": [{"time": "2026-07-09 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.160279, "entry_px": 62363.3, "exit_px": 62938.0, "pnl_gross": 83.0744, "pnl_net": 74.037, "fee": 9.037425, "fee_rate_pct": 0.045, "return_pct": 0.831, "duration": ""}, {"time": "2026-07-12 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.157445, "entry_px": 64012.95, "exit_px": 63819.12, "pnl_gross": -39.5749, "pnl_net": -48.6318, "fee": 9.056934, "fee_rate_pct": 0.045, "return_pct": -0.393, "duration": ""}, {"time": "2026-07-16 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.159669, "entry_px": 62873.81, "exit_px": 64198.74, "pnl_gross": 202.419, "pnl_net": 193.2887, "fee": 9.130296, "fee_rate_pct": 0.045, "return_pct": 2.016, "duration": ""}, {"time": "2026-07-17 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.162814, "entry_px": 62901.84, "exit_px": 64091.84, "pnl_gross": 184.4453, "pnl_net": 175.1409, "fee": 9.304357, "fee_rate_pct": 0.045, "return_pct": 1.801, "duration": ""}, {"time": "2026-07-20 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.160662, "entry_px": 64891.83, "exit_px": 64176.76, "pnl_gross": -124.2159, "pnl_net": -133.5473, "fee": 9.331388, "fee_rate_pct": 0.045, "return_pct": -1.191, "duration": ""}, {"time": "2026-07-23 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.158353, "entry_px": 65053.99, "exit_px": 65560.37, "pnl_gross": 70.8803, "pnl_net": 61.5728, "fee": 9.307429, "fee_rate_pct": 0.045, "return_pct": 0.688, "duration": ""}, {"time": "2026-07-26 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.159558, "entry_px": 65006.94, "exit_px": 64411.52, "pnl_gross": -104.2959, "pnl_net": -113.5883, "fee": 9.292388, "fee_rate_pct": 0.045, "return_pct": -1.006, "duration": ""}, {"time": "2026-07-27 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.15693, "entry_px": 65431.37, "exit_px": 64449.49, "pnl_gross": -163.2579, "pnl_net": -172.4299, "fee": 9.171992, "fee_rate_pct": 0.045, "return_pct": -1.59, "duration": ""}, {"time": "2026-07-29 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.158385, "entry_px": 63799.74, "exit_px": 64465.47, "pnl_gross": 96.3005, "pnl_net": 87.1586, "fee": 9.141878, "fee_rate_pct": 0.045, "return_pct": 0.953, "duration": ""}, {"time": "2026-07-30 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.160329, "entry_px": 63626.56, "exit_px": 64073.86, "pnl_gross": 62.5017, "pnl_net": 53.2883, "fee": 9.213336, "fee_rate_pct": 0.045, "return_pct": 0.613, "duration": ""}, {"time": "2026-08-02 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.158361, "entry_px": 64811.75, "exit_px": 63372.56, "pnl_gross": -237.0453, "pnl_net": -246.18, "fee": 9.134728, "fee_rate_pct": 0.045, "return_pct": -2.31, "duration": ""}, {"time": "2026-08-06 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.160019, "entry_px": 62659.6, "exit_px": 64228.71, "pnl_gross": 241.9502, "pnl_net": 232.8132, "fee": 9.137043, "fee_rate_pct": 0.045, "return_pct": 2.413, "duration": ""}, {"time": "2026-08-07 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.158368, "entry_px": 64839.77, "exit_px": 64775.0, "pnl_gross": -14.8792, "pnl_net": -24.1162, "fee": 9.237074, "fee_rate_pct": 0.045, "return_pct": -0.145, "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": "2026-07-05T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-05T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-05T08:00:00+00:00", "v": 10000.0}, {"t": 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