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ftdt-quant-lab/backtests/results/momentum_BTC_1h_200_20260807-081311.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": "momentum", "interval": "1h", "n_bars": 201, "start_equity": 10000.0, "end_equity": 9880.2, "total_return_pct": -1.2, "pnl": -119.8, "sharpe": -2.437, "sortino": -3.729, "max_drawdown_pct": 2.16, "win_rate": 0.5, "profit_factor": 0.477, "expectancy": -19.967, "trades": [{"time": "2026-08-01 15:00:00", "side": "BUY", "asset": "BTC", "size": 0.156224, "entry_px": 63981.92, "exit_px": 62919.02, "pnl_gross": -174.9716, "pnl_net": -183.8928, "fee": 8.921238, "fee_rate_pct": 0.045, "return_pct": -1.751, "duration": ""}, {"time": "2026-08-02 11:00:00", "side": "BUY", "asset": "BTC", "size": 0.156534, "entry_px": 62737.68, "exit_px": 62947.99, "pnl_gross": 24.068, "pnl_net": 15.2147, "fee": 8.853336, "fee_rate_pct": 0.045, "return_pct": 0.245, "duration": ""}, {"time": "2026-08-04 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.156491, "entry_px": 62908.85, "exit_px": 63493.44, "pnl_gross": 82.5828, "pnl_net": 73.6814, "fee": 8.901369, "fee_rate_pct": 0.045, "return_pct": 0.839, "duration": ""}, {"time": "2026-08-05 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.154723, "entry_px": 64161.1, "exit_px": 64027.91, "pnl_gross": -29.5326, "pnl_net": -38.4579, "fee": 8.925205, "fee_rate_pct": 0.045, "return_pct": -0.297, "duration": ""}, {"time": "2026-08-06 09:00:00", "side": "BUY", "asset": "BTC", "size": 0.152996, "entry_px": 64692.63, "exit_px": 64589.35, "pnl_gross": -24.7025, "pnl_net": -33.6033, "fee": 8.900832, "fee_rate_pct": 0.045, "return_pct": -0.25, "duration": ""}, {"time": "2026-08-06 15:00:00", "side": "BUY", "asset": "BTC", "size": 0.153171, "entry_px": 64457.39, "exit_px": 64533.4, "pnl_gross": 2.7514, "pnl_net": -6.1395, "fee": 8.890942, "fee_rate_pct": 0.045, "return_pct": 0.028, "duration": ""}], "params": {"bollinger_window": 20, "bollinger_std": 2.0, "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": "2026-07-30T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T01:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T02:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T03:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T05:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T06:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T07:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T09:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T10:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T11:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T13:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T14:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T15:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T16:00:00+00:00", "v": 10000.0}, {"t": 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"2026-08-06T09:00:00+00:00", "v": 9877.44}, {"t": "2026-08-06T10:00:00+00:00", "v": 9877.44}, {"t": "2026-08-06T11:00:00+00:00", "v": 9877.44}, {"t": "2026-08-06T12:00:00+00:00", "v": 9863.14}, {"t": "2026-08-06T13:00:00+00:00", "v": 9864.98}, {"t": "2026-08-06T14:00:00+00:00", "v": 9917.05}, {"t": "2026-08-06T15:00:00+00:00", "v": 9880.2}, {"t": "2026-08-06T16:00:00+00:00", "v": 9880.2}, {"t": "2026-08-06T17:00:00+00:00", "v": 9880.2}, {"t": "2026-08-06T18:00:00+00:00", "v": 9880.2}, {"t": "2026-08-06T19:00:00+00:00", "v": 9880.2}, {"t": "2026-08-06T20:00:00+00:00", "v": 9880.2}, {"t": "2026-08-06T21:00:00+00:00", "v": 9880.2}, {"t": "2026-08-06T22:00:00+00:00", "v": 9880.2}, {"t": "2026-08-06T23:00:00+00:00", "v": 9880.2}, {"t": "2026-08-07T00:00:00+00:00", "v": 9880.2}, {"t": "2026-08-07T01:00:00+00:00", "v": 9880.2}, {"t": "2026-08-07T02:00:00+00:00", "v": 9880.2}, {"t": "2026-08-07T03:00:00+00:00", "v": 9880.2}, {"t": "2026-08-07T04:00:00+00:00", "v": 9880.2}, {"t": "2026-08-07T05:00:00+00:00", "v": 9880.2}, {"t": "2026-08-07T06:00:00+00:00", "v": 9880.2}, {"t": "2026-08-07T07:00:00+00:00", "v": 9880.2}, {"t": "2026-08-07T08:00:00+00:00", "v": 9880.2}], "total_trades": 6, "generated_at": "2026-08-07T08:13:11.333631+00:00", "asset": "BTC"}
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