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ftdt-quant-lab/backtests/results/as_mm_BTC_4h_100_20260807-093359.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": "as_mm", "interval": "4h", "n_bars": 101, "start_equity": 10000.0, "end_equity": 10081.85, "total_return_pct": 0.82, "pnl": 81.85, "sharpe": 1.33, "sortino": 2.321, "max_drawdown_pct": 2.78, "win_rate": 0.643, "profit_factor": 1.251, "expectancy": 5.847, "trades": [{"time": "2026-07-25 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.155992, "entry_px": 64096.03, "exit_px": 64303.63, "pnl_gross": 29.3796, "pnl_net": 26.3752, "fee": 3.004398, "fee_rate_pct": 0.015, "return_pct": 0.294, "duration": ""}, {"time": "2026-07-26 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.155687, "entry_px": 64410.35, "exit_px": 64411.52, "pnl_gross": -2.825, "pnl_net": -5.8334, "fee": 3.008384, "fee_rate_pct": 0.015, "return_pct": -0.028, "duration": ""}, {"time": "2026-07-27 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.153215, "entry_px": 65431.37, "exit_px": 64449.49, "pnl_gross": -153.4235, "pnl_net": -156.4084, "fee": 2.984954, "fee_rate_pct": 0.015, "return_pct": -1.53, "duration": ""}, {"time": "2026-07-28 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.155745, "entry_px": 63383.32, "exit_px": 63416.52, "pnl_gross": 2.2085, "pnl_net": -0.7538, "fee": 2.962266, "fee_rate_pct": 0.015, "return_pct": 0.022, "duration": ""}, {"time": "2026-07-29 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.154439, "entry_px": 63933.87, "exit_px": 64465.47, "pnl_gross": 79.1251, "pnl_net": 76.1506, "fee": 2.97448, "fee_rate_pct": 0.015, "return_pct": 0.801, "duration": ""}, {"time": "2026-07-29 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.156428, "entry_px": 63626.56, "exit_px": 63898.04, "pnl_gross": 39.474, "pnl_net": 36.4817, "fee": 2.992263, "fee_rate_pct": 0.015, "return_pct": 0.397, "duration": ""}, {"time": "2026-07-31 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.154176, "entry_px": 64811.75, "exit_px": 63854.08, "pnl_gross": -150.6249, "pnl_net": -153.6005, "fee": 2.975577, "fee_rate_pct": 0.015, "return_pct": -1.507, "duration": ""}, {"time": "2026-08-01 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.156225, "entry_px": 62997.93, "exit_px": 62919.02, "pnl_gross": -15.2795, "pnl_net": -18.2302, "fee": 2.950706, "fee_rate_pct": 0.015, "return_pct": -0.155, "duration": ""}, {"time": "2026-08-02 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.15475, "entry_px": 63499.44, "exit_px": 63492.44, "pnl_gross": -4.0298, "pnl_net": -6.9776, "fee": 2.947799, "fee_rate_pct": 0.015, "return_pct": -0.041, "duration": ""}, {"time": "2026-08-03 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.156918, "entry_px": 62596.53, "exit_px": 63597.34, "pnl_gross": 154.0741, "pnl_net": 151.1038, "fee": 2.970313, "fee_rate_pct": 0.015, "return_pct": 1.569, "duration": ""}, {"time": "2026-08-04 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.156273, "entry_px": 63840.78, "exit_px": 64026.91, "pnl_gross": 26.09, "pnl_net": 23.0927, "fee": 2.99734, "fee_rate_pct": 0.015, "return_pct": 0.262, "duration": ""}, {"time": "2026-08-05 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.155753, "entry_px": 64221.16, "exit_px": 64286.65, "pnl_gross": 7.1983, "pnl_net": 4.196, "fee": 3.002322, "fee_rate_pct": 0.015, "return_pct": 0.072, "duration": ""}, {"time": "2026-08-06 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.15501, "entry_px": 64575.51, "exit_px": 64719.22, "pnl_gross": 19.2694, "pnl_net": 16.2631, "fee": 3.006296, "fee_rate_pct": 0.015, "return_pct": 0.193, "duration": ""}, {"time": "2026-08-07 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.155538, "entry_px": 64480.42, "exit_px": 64829.11, "pnl_gross": 51.2175, "pnl_net": 48.2007, "fee": 3.016882, "fee_rate_pct": 0.015, "return_pct": 0.511, "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", 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"2026-08-06T20:00:00+00:00", "v": 9999.98}, {"t": "2026-08-07T00:00:00+00:00", "v": 9994.69}, {"t": "2026-08-07T04:00:00+00:00", "v": 9999.2}, {"t": "2026-08-07T08:00:00+00:00", "v": 10081.85}], "total_trades": 14, "generated_at": "2026-08-07T09:33:59.077193+00:00", "asset": "BTC"}
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