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ftdt-quant-lab/backtests/results/mean_rev_BTC_1m_200_20260807-081320.json
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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": "1m", "n_bars": 201, "start_equity": 10000.0, "end_equity": 9810.01, "total_return_pct": -1.9, "pnl": -189.99, "sharpe": -163.035, "sortino": -170.67, "max_drawdown_pct": 2.03, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -25.435, "trades": [{"time": "2026-08-07 06:00:00", "side": "BUY", "asset": "BTC", "size": 0.155547, "entry_px": 64260.2, "exit_px": 64239.7, "pnl_gross": -12.1832, "pnl_net": -21.1777, "fee": 8.994498, "fee_rate_pct": 0.045, "return_pct": -0.122, "duration": ""}, {"time": "2026-08-07 06:46:00", "side": "BUY", "asset": "BTC", "size": 0.154996, "entry_px": 64410.35, "exit_px": 64278.66, "pnl_gross": -29.387, "pnl_net": -38.3629, "fee": 8.975827, "fee_rate_pct": 0.045, "return_pct": -0.294, "duration": ""}, {"time": "2026-08-07 06:58:00", "side": "BUY", "asset": "BTC", "size": 0.154684, "entry_px": 64350.29, "exit_px": 64236.7, "pnl_gross": -26.5207, "pnl_net": -35.4714, "fee": 8.950657, "fee_rate_pct": 0.045, "return_pct": -0.266, "duration": ""}, {"time": "2026-08-07 07:04:00", "side": "BUY", "asset": "BTC", "size": 0.15437, "entry_px": 64309.24, "exit_px": 64207.73, "pnl_gross": -24.5989, "pnl_net": -33.5265, "fee": 8.927624, "fee_rate_pct": 0.045, "return_pct": -0.248, "duration": ""}, {"time": "2026-08-07 07:31:00", "side": "BUY", "asset": "BTC", "size": 0.153875, "entry_px": 64356.29, "exit_px": 64289.65, "pnl_gross": -19.1631, "pnl_net": -28.0711, "fee": 8.907927, "fee_rate_pct": 0.045, "return_pct": -0.194, "duration": ""}, {"time": "2026-08-07 07:37:00", "side": "BUY", "asset": "BTC", "size": 0.153349, "entry_px": 64452.39, "exit_px": 64302.63, "pnl_gross": -31.8498, "pnl_net": -40.7348, "fee": 8.885004, "fee_rate_pct": 0.045, "return_pct": -0.322, "duration": ""}, {"time": "2026-08-07 08:05:00", "side": "BUY", "asset": "BTC", "size": 0.152952, "entry_px": 64411.35, "exit_px": 64244.69, "pnl_gross": -34.3456, "pnl_net": -43.2008, "fee": 8.855189, "fee_rate_pct": 0.045, "return_pct": -0.349, "duration": ""}, {"time": "2026-08-07 08:13:00", "side": "BUY", "asset": "BTC", "size": 0.152462, "entry_px": 64393.33, "exit_px": 64344.0, "pnl_gross": -11.9387, "pnl_net": -20.7711, "fee": 8.832398, "fee_rate_pct": 0.045, "return_pct": -0.122, "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": "2026-08-07T04:53:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:54:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:55:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:56:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:57:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:58:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:59:00+00:00", "v": 10000.0}, {"t": 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{"t": "2026-08-07T07:20:00+00:00", "v": 9896.81}, {"t": "2026-08-07T07:21:00+00:00", "v": 9907.73}, {"t": "2026-08-07T07:22:00+00:00", "v": 9902.5}, {"t": "2026-08-07T07:23:00+00:00", "v": 9900.81}, {"t": "2026-08-07T07:24:00+00:00", "v": 9907.89}, {"t": "2026-08-07T07:25:00+00:00", "v": 9907.89}, {"t": "2026-08-07T07:26:00+00:00", "v": 9905.58}, {"t": "2026-08-07T07:27:00+00:00", "v": 9905.73}, {"t": "2026-08-07T07:28:00+00:00", "v": 9907.73}, {"t": "2026-08-07T07:29:00+00:00", "v": 9905.73}, {"t": "2026-08-07T07:30:00+00:00", "v": 9905.73}, {"t": "2026-08-07T07:31:00+00:00", "v": 9888.15}, {"t": "2026-08-07T07:32:00+00:00", "v": 9888.15}, {"t": "2026-08-07T07:33:00+00:00", "v": 9888.15}, {"t": "2026-08-07T07:34:00+00:00", "v": 9888.15}, {"t": "2026-08-07T07:35:00+00:00", "v": 9873.83}, {"t": "2026-08-07T07:36:00+00:00", "v": 9870.91}, {"t": "2026-08-07T07:37:00+00:00", "v": 9856.3}, {"t": "2026-08-07T07:38:00+00:00", "v": 9856.3}, {"t": "2026-08-07T07:39:00+00:00", "v": 9856.3}, {"t": "2026-08-07T07:40:00+00:00", "v": 9842.02}, {"t": "2026-08-07T07:41:00+00:00", "v": 9842.79}, {"t": "2026-08-07T07:42:00+00:00", "v": 9841.26}, {"t": "2026-08-07T07:43:00+00:00", "v": 9841.26}, {"t": "2026-08-07T07:44:00+00:00", "v": 9841.41}, {"t": "2026-08-07T07:45:00+00:00", "v": 9841.26}, {"t": "2026-08-07T07:46:00+00:00", "v": 9840.8}, {"t": "2026-08-07T07:47:00+00:00", "v": 9840.8}, {"t": "2026-08-07T07:48:00+00:00", "v": 9840.8}, {"t": "2026-08-07T07:49:00+00:00", "v": 9840.95}, {"t": "2026-08-07T07:50:00+00:00", "v": 9841.26}, {"t": "2026-08-07T07:51:00+00:00", "v": 9841.26}, {"t": "2026-08-07T07:52:00+00:00", "v": 9842.02}, {"t": "2026-08-07T07:53:00+00:00", "v": 9841.1}, {"t": "2026-08-07T07:54:00+00:00", "v": 9840.8}, {"t": "2026-08-07T07:55:00+00:00", "v": 9839.12}, {"t": "2026-08-07T07:56:00+00:00", "v": 9837.28}, {"t": "2026-08-07T07:57:00+00:00", "v": 9834.68}, {"t": "2026-08-07T07:58:00+00:00", "v": 9833.92}, {"t": "2026-08-07T07:59:00+00:00", "v": 9833.0}, {"t": "2026-08-07T08:00:00+00:00", "v": 9830.24}, {"t": "2026-08-07T08:01:00+00:00", "v": 9830.4}, {"t": "2026-08-07T08:02:00+00:00", "v": 9831.62}, {"t": "2026-08-07T08:03:00+00:00", "v": 9831.62}, {"t": "2026-08-07T08:04:00+00:00", "v": 9833.76}, {"t": "2026-08-07T08:05:00+00:00", "v": 9821.95}, {"t": "2026-08-07T08:06:00+00:00", "v": 9821.95}, {"t": "2026-08-07T08:07:00+00:00", "v": 9821.95}, {"t": "2026-08-07T08:08:00+00:00", "v": 9821.95}, {"t": "2026-08-07T08:09:00+00:00", "v": 9821.95}, {"t": "2026-08-07T08:10:00+00:00", "v": 9821.95}, {"t": "2026-08-07T08:11:00+00:00", "v": 9807.73}, {"t": "2026-08-07T08:12:00+00:00", "v": 9810.01}, {"t": "2026-08-07T08:13:00+00:00", "v": 9810.01}], "total_trades": 8, "generated_at": "2026-08-07T08:13:20.466015+00:00", "asset": "BTC"}
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