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ftdt-quant-lab/backtests/results/momentum_BTC_15m_2000_20260807-092607.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": "15m", "n_bars": 2001, "start_equity": 10000.0, "end_equity": 8003.96, "total_return_pct": -19.96, "pnl": -1996.04, "sharpe": -15.987, "sortino": -20.39, "max_drawdown_pct": 20.58, "win_rate": 0.19, "profit_factor": 0.144, "expectancy": -34.685, "trades": [{"time": "2026-07-18 13:00:00", "side": "BUY", "asset": "BTC", "size": 0.155904, "entry_px": 64113.05, "exit_px": 63939.0, "pnl_gross": -36.1192, "pnl_net": -45.1029, "fee": 8.983722, "fee_rate_pct": 0.045, "return_pct": -0.361, "duration": ""}, {"time": "2026-07-19 01:30:00", "side": "BUY", "asset": "BTC", "size": 0.15479, "entry_px": 64341.28, "exit_px": 64691.24, "pnl_gross": 45.1836, "pnl_net": 36.1958, "fee": 8.987825, "fee_rate_pct": 0.045, "return_pct": 0.454, "duration": ""}, {"time": "2026-07-19 05:15:00", "side": "BUY", "asset": "BTC", "size": 0.154585, "entry_px": 64718.65, "exit_px": 64645.29, "pnl_gross": -20.34, "pnl_net": -29.339, "fee": 8.998976, "fee_rate_pct": 0.045, 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