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ftdt-quant-lab/backtests/results/as_mm_BTC_15m_100_20260807-093337.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": "as_mm", "interval": "15m", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9781.17, "total_return_pct": -2.19, "pnl": -218.83, "sharpe": -45.297, "sortino": -58.38, "max_drawdown_pct": 2.7, "win_rate": 0.273, "profit_factor": 0.143, "expectancy": -19.893, "trades": [{"time": "2026-08-06 14:30:00", "side": "BUY", "asset": "BTC", "size": 0.155002, "entry_px": 64505.44, "exit_px": 64718.22, "pnl_gross": 29.9763, "pnl_net": 26.9718, "fee": 3.004489, "fee_rate_pct": 0.015, "return_pct": 0.3, "duration": ""}, {"time": "2026-08-06 16:30:00", "side": "BUY", "asset": "BTC", "size": 0.154618, "entry_px": 64859.79, "exit_px": 64620.32, "pnl_gross": -40.0308, "pnl_net": -43.0338, "fee": 3.002993, "fee_rate_pct": 0.015, "return_pct": -0.399, "duration": ""}, {"time": "2026-08-06 18:30:00", "side": "BUY", "asset": "BTC", "size": 0.154327, "entry_px": 64722.66, "exit_px": 64327.61, "pnl_gross": -63.9542, "pnl_net": -66.9416, "fee": 2.987391, "fee_rate_pct": 0.015, "return_pct": -0.64, "duration": ""}, {"time": "2026-08-06 20:30:00", "side": "BUY", "asset": "BTC", "size": 0.154027, "entry_px": 64433.37, "exit_px": 64369.57, "pnl_gross": -12.8033, "pnl_net": -15.7792, "fee": 2.97587, "fee_rate_pct": 0.015, "return_pct": -0.129, "duration": ""}, {"time": "2026-08-06 22:30:00", "side": "BUY", "asset": "BTC", "size": 0.1537, "entry_px": 64487.42, "exit_px": 64236.7, "pnl_gross": -41.5039, "pnl_net": -44.4717, "fee": 2.967735, "fee_rate_pct": 0.015, "return_pct": -0.419, "duration": ""}, {"time": "2026-08-07 00:30:00", "side": "BUY", "asset": "BTC", "size": 0.153538, "entry_px": 64285.22, "exit_px": 64224.71, "pnl_gross": -12.2502, "pnl_net": -15.2099, "fee": 2.959674, "fee_rate_pct": 0.015, "return_pct": -0.124, "duration": ""}, {"time": "2026-08-07 02:30:00", "side": "BUY", "asset": "BTC", "size": 0.152933, "entry_px": 64459.39, "exit_px": 64321.61, "pnl_gross": -24.0255, "pnl_net": -26.9797, "fee": 2.95423, "fee_rate_pct": 0.015, "return_pct": -0.244, "duration": ""}, {"time": "2026-08-07 04:30:00", "side": "BUY", "asset": "BTC", "size": 0.152805, "entry_px": 64356.29, "exit_px": 64169.77, "pnl_gross": -31.4479, "pnl_net": -34.3938, "fee": 2.945914, "fee_rate_pct": 0.015, "return_pct": -0.32, "duration": ""}, {"time": "2026-08-07 05:45:00", "side": "BUY", "asset": "BTC", "size": 0.152655, "entry_px": 64213.15, "exit_px": 64241.69, "pnl_gross": 1.4162, "pnl_net": -1.5252, "fee": 2.941391, "fee_rate_pct": 0.015, "return_pct": 0.014, "duration": ""}, {"time": "2026-08-07 07:45:00", "side": "BUY", "asset": "BTC", "size": 0.152241, "entry_px": 64397.33, "exit_px": 64223.71, "pnl_gross": -29.3694, "pnl_net": -32.3066, "fee": 2.937209, "fee_rate_pct": 0.015, "return_pct": -0.3, "duration": ""}, {"time": "2026-08-07 09:15:00", "side": "BUY", "asset": "BTC", "size": 0.151139, "entry_px": 64672.61, "exit_px": 64726.21, "pnl_gross": 5.1676, "pnl_net": 2.234, "fee": 2.933581, "fee_rate_pct": 0.015, "return_pct": 0.053, "duration": ""}], "params": {"gamma": 0.1, "sigma_dynamic": true, "inventory_skew": true, "type": "Market Making"}, "fee_info": {"entry_fee": 0.015, "exit_fee": 0.015, "total_fee": 0.03, "taker_rate_pct": 0.045, "maker_rate_pct": 0.015, "effective_rate_pct": 0.015, "vip_tier": 0, "staking_tier": "none", "fee_model": "maker", "tier_name": "Tier 0 (<$5M)", "staking_name": "No Stake"}, "equity_curve": [{"t": "2026-08-06T08:30:00+00:00", "v": 10000.0}, {"t": "2026-08-06T08:45:00+00:00", "v": 10000.0}, {"t": "2026-08-06T09:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T09:15:00+00:00", "v": 10000.0}, {"t": "2026-08-06T09:30:00+00:00", "v": 10000.0}, {"t": "2026-08-06T09:45:00+00:00", "v": 10000.0}, {"t": "2026-08-06T10:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T10:15:00+00:00", "v": 10000.0}, {"t": "2026-08-06T10:30:00+00:00", "v": 10000.0}, {"t": "2026-08-06T10:45:00+00:00", "v": 10000.0}, {"t": "2026-08-06T11:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T11:15:00+00:00", "v": 10000.0}, {"t": 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{"t": "2026-08-07T07:30:00+00:00", "v": 9795.63}, {"t": "2026-08-07T07:45:00+00:00", "v": 9776.01}, {"t": "2026-08-07T08:00:00+00:00", "v": 9776.01}, {"t": "2026-08-07T08:15:00+00:00", "v": 9776.01}, {"t": "2026-08-07T08:30:00+00:00", "v": 9764.78}, {"t": "2026-08-07T08:45:00+00:00", "v": 9759.03}, {"t": "2026-08-07T09:00:00+00:00", "v": 9778.38}, {"t": "2026-08-07T09:15:00+00:00", "v": 9781.17}, {"t": "2026-08-07T09:30:00+00:00", "v": 9781.17}], "total_trades": 11, "generated_at": "2026-08-07T09:33:37.950594+00:00", "asset": "BTC"}
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