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e71b47ac56fe0fc248bfe5c59f0abfc28f97b3f5
ftdt-quant-lab/backtests/results/iceberg_BTC_5m_200_20260807-082538.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": "iceberg", "interval": "5m", "n_bars": 201, "start_equity": 10000.0, "end_equity": 9620.16, "total_return_pct": -3.8, "pnl": -379.84, "sharpe": -122.515, "sortino": -115.942, "max_drawdown_pct": 3.8, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -33.127, "trades": [{"time": "2026-08-06 18:00:00", "side": "BUY", "asset": "BTC", "size": 0.154654, "entry_px": 64631.57, "exit_px": 64434.5, "pnl_gross": -39.4592, "pnl_net": -48.4415, "fee": 8.982263, "fee_rate_pct": 0.045, "return_pct": -0.395, "duration": ""}, {"time": "2026-08-06 18:20:00", "side": "BUY", "asset": "BTC", "size": 0.154256, "entry_px": 64542.48, "exit_px": 64444.49, "pnl_gross": -24.0687, "pnl_net": -33.0224, "fee": 8.953656, "fee_rate_pct": 0.045, "return_pct": -0.242, "duration": ""}, {"time": "2026-08-06 18:40:00", "side": "BUY", "asset": "BTC", "size": 0.153864, "entry_px": 64550.49, "exit_px": 64327.61, "pnl_gross": -43.2163, "pnl_net": -52.1397, "fee": 8.923365, "fee_rate_pct": 0.045, "return_pct": -0.435, "duration": ""}, {"time": "2026-08-06 19:05:00", "side": "BUY", "asset": "BTC", "size": 0.153504, "entry_px": 64420.36, "exit_px": 64357.58, "pnl_gross": -18.5323, "pnl_net": -27.4279, "fee": 8.895568, "fee_rate_pct": 0.045, "return_pct": -0.187, "duration": ""}, {"time": "2026-08-06 23:50:00", "side": "BUY", "asset": "BTC", "size": 0.153496, "entry_px": 64303.24, "exit_px": 64213.72, "pnl_gross": -22.6176, "pnl_net": -31.4946, "fee": 8.877078, "fee_rate_pct": 0.045, "return_pct": -0.229, "duration": ""}, {"time": "2026-08-07 02:35:00", "side": "BUY", "asset": "BTC", "size": 0.152681, "entry_px": 64498.43, "exit_px": 64214.72, "pnl_gross": -52.161, "pnl_net": -61.0044, "fee": 8.843424, "fee_rate_pct": 0.045, "return_pct": -0.53, "duration": ""}, {"time": "2026-08-07 03:05:00", "side": "BUY", "asset": "BTC", "size": 0.151957, "entry_px": 64462.4, "exit_px": 64278.66, "pnl_gross": -36.7242, "pnl_net": -45.5276, "fee": 8.803397, "fee_rate_pct": 0.045, "return_pct": -0.375, "duration": ""}, {"time": "2026-08-07 05:20:00", "side": "BUY", "asset": "BTC", "size": 0.1518, "entry_px": 64287.22, "exit_px": 64078.86, "pnl_gross": -40.3988, "pnl_net": -49.1675, "fee": 8.768687, "fee_rate_pct": 0.045, "return_pct": -0.414, "duration": ""}, {"time": "2026-08-07 06:05:00", "side": "BUY", "asset": "BTC", "size": 0.150895, "entry_px": 64405.34, "exit_px": 64253.68, "pnl_gross": -31.6209, "pnl_net": -40.3572, "fee": 8.736301, "fee_rate_pct": 0.045, "return_pct": -0.325, "duration": ""}, {"time": "2026-08-07 07:05:00", "side": "BUY", "asset": "BTC", "size": 0.150554, "entry_px": 64341.28, "exit_px": 64262.67, "pnl_gross": -20.547, "pnl_net": -29.2598, "fee": 8.712828, "fee_rate_pct": 0.045, "return_pct": -0.212, "duration": ""}, {"time": "2026-08-07 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.150088, "entry_px": 64404.34, "exit_px": 64228.71, "pnl_gross": -35.0482, "pnl_net": -43.736, "fee": 8.687825, "fee_rate_pct": 0.045, "return_pct": -0.363, "duration": ""}, {"time": "2026-08-07 08:25:00", "side": "BUY", "asset": "BTC", "size": 0.149409, "entry_px": 64462.4, "exit_px": 64388.0, "pnl_gross": -15.4498, "pnl_net": -24.1129, "fee": 8.663134, "fee_rate_pct": 0.045, "return_pct": -0.16, "duration": ""}], "params": {"vol_mult": 1.8, "min_consec": 3, "max_hold": 8, "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": "2026-08-06T15:45:00+00:00", "v": 10000.0}, {"t": "2026-08-06T15:50:00+00:00", "v": 10000.0}, {"t": "2026-08-06T15:55:00+00:00", "v": 10000.0}, {"t": "2026-08-06T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T16:05:00+00:00", "v": 10000.0}, {"t": "2026-08-06T16:10:00+00:00", "v": 10000.0}, {"t": "2026-08-06T16:15:00+00:00", "v": 10000.0}, {"t": "2026-08-06T16:20:00+00:00", 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