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ftdt-quant-lab/backtests/results/momentum_BTC_1m_200_20260807-092541.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": "1m", "n_bars": 201, "start_equity": 10000.0, "end_equity": 9939.68, "total_return_pct": -0.6, "pnl": -60.32, "sharpe": -51.286, "sortino": -58.907, "max_drawdown_pct": 1.08, "win_rate": 0.25, "profit_factor": 0.092, "expectancy": -19.689, "trades": [{"time": "2026-08-07 06:47:00", "side": "BUY", "asset": "BTC", "size": 0.155267, "entry_px": 64376.31, "exit_px": 64221.71, "pnl_gross": -32.9891, "pnl_net": -41.9742, "fee": 8.985163, "fee_rate_pct": 0.045, "return_pct": -0.33, "duration": ""}, {"time": "2026-08-07 06:59:00", "side": "BUY", "asset": "BTC", "size": 0.154841, "entry_px": 64340.28, "exit_px": 64205.73, "pnl_gross": -29.7902, "pnl_net": -38.7471, "fee": 8.956887, "fee_rate_pct": 0.045, "return_pct": -0.299, "duration": ""}, {"time": "2026-08-07 07:39:00", "side": "BUY", "asset": "BTC", "size": 0.154256, "entry_px": 64391.33, "exit_px": 64293.64, "pnl_gross": -24.0012, "pnl_net": -32.9339, "fee": 8.932693, "fee_rate_pct": 0.045, "return_pct": -0.242, "duration": ""}, {"time": "2026-08-07 08:58:00", "side": "BUY", "asset": "BTC", "size": 0.15391, "entry_px": 64380.32, "exit_px": 64490.44, "pnl_gross": 8.0244, "pnl_net": -0.9011, "fee": 8.925524, "fee_rate_pct": 0.045, "return_pct": 0.081, "duration": ""}, {"time": "2026-08-07 09:25:00", "side": "BUY", "asset": "BTC", "size": 0.153312, "entry_px": 64683.62, "exit_px": 64833.0, "pnl_gross": 18.4394, "pnl_net": 9.504, "fee": 8.935403, "fee_rate_pct": 0.045, "return_pct": 0.186, "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": "2026-08-07T06:05:00+00:00", "v": 10000.0}, {"t": "2026-08-07T06:06:00+00:00", "v": 10000.0}, {"t": 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"2026-08-07T09:25:41.689140+00:00", "asset": "BTC"}
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