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ftdt-quant-lab/backtests/results/composite_mm_BTC_1d_100_20260807-093257.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": "composite_mm", "interval": "1d", "n_bars": 101, "start_equity": 10000.0, "end_equity": 9197.86, "total_return_pct": -8.02, "pnl": -802.14, "sharpe": -1.379, "sortino": -1.84, "max_drawdown_pct": 15.31, "win_rate": 0.286, "profit_factor": 0.367, "expectancy": -114.592, "trades": [{"time": "2026-05-12 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.123896, "entry_px": 80700.62, "exit_px": 80378.54, "pnl_gross": -42.8979, "pnl_net": -45.8915, "fee": 2.99356, "fee_rate_pct": 0.015, "return_pct": -0.429, "duration": ""}, {"time": "2026-06-12 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.149039, "entry_px": 66798.73, "exit_px": 63497.44, "pnl_gross": -494.9339, "pnl_net": -497.8468, "fee": 2.912882, "fee_rate_pct": 0.015, "return_pct": -4.971, "duration": ""}, {"time": "2026-06-18 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.142566, "entry_px": 66360.29, "exit_px": 62872.07, "pnl_gross": -500.0679, "pnl_net": -502.8315, "fee": 2.763621, "fee_rate_pct": 0.015, "return_pct": -5.286, "duration": ""}, {"time": "2026-06-21 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.139271, "entry_px": 64340.28, "exit_px": 63206.73, "pnl_gross": -160.535, "pnl_net": -163.1996, "fee": 2.66454, "fee_rate_pct": 0.015, "return_pct": -1.792, "duration": ""}, {"time": "2026-07-03 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.147115, "entry_px": 59818.76, "exit_px": 62513.42, "pnl_gross": 393.7265, "pnl_net": 391.0269, "fee": 2.699535, "fee_rate_pct": 0.015, "return_pct": 4.474, "duration": ""}, {"time": "2026-07-11 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.143165, "entry_px": 64219.15, "exit_px": 63759.18, "pnl_gross": -68.6009, "pnl_net": -71.3492, "fee": 2.748303, "fee_rate_pct": 0.015, "return_pct": -0.746, "duration": ""}, {"time": "2026-08-03 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.145033, "entry_px": 62918.86, "exit_px": 63428.51, "pnl_gross": 71.1678, "pnl_net": 68.4191, "fee": 2.748681, "fee_rate_pct": 0.015, "return_pct": 0.78, "duration": ""}], "params": {"obi_weight": 0.3, "as_weight": 0.4, "hurst_weight": 0.3, "entry_score": 0.5, "type": "Ensemble"}, "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": "2026-04-29T00:00:00+00:00", "v": 10000.0}, {"t": "2026-04-30T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-01T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-02T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-03T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-04T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-05T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-06T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-07T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-08T00:00:00+00:00", "v": 10000.0}, {"t": "2026-05-09T00:00:00+00:00", "v": 9988.51}, {"t": 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