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ftdt-quant-lab/backtests/results/pairs_BTC_4h_200_20260807-092353.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": "pairs", "interval": "4h", "n_bars": 201, "start_equity": 10000.0, "end_equity": 9723.41, "total_return_pct": -2.77, "pnl": -276.59, "sharpe": -1.608, "sortino": -2.426, "max_drawdown_pct": 5.42, "win_rate": 0.2, "profit_factor": 0.399, "expectancy": -57.129, "trades": [{"time": "2026-07-12 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.155598, "entry_px": 64239.17, "exit_px": 64153.78, "pnl_gross": -22.277, "pnl_net": -31.2669, "fee": 8.989959, "fee_rate_pct": 0.045, "return_pct": -0.223, "duration": ""}, {"time": "2026-07-16 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.155271, "entry_px": 64231.17, "exit_px": 64198.74, "pnl_gross": -14.0091, "pnl_net": -22.9827, "fee": 8.973648, "fee_rate_pct": 0.045, "return_pct": -0.14, "duration": ""}, {"time": "2026-07-21 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.153092, "entry_px": 65053.99, "exit_px": 66350.58, "pnl_gross": 189.4453, "pnl_net": 180.3926, "fee": 9.052645, "fee_rate_pct": 0.045, "return_pct": 1.902, "duration": ""}, {"time": "2026-07-23 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.153562, "entry_px": 66088.02, "exit_px": 64769.17, "pnl_gross": -211.5684, "pnl_net": -220.611, "fee": 9.042611, "fee_rate_pct": 0.045, "return_pct": -2.085, "duration": ""}, {"time": "2026-07-28 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.153346, "entry_px": 64801.74, "exit_px": 63377.56, "pnl_gross": -227.2378, "pnl_net": -236.0829, "fee": 8.845102, "fee_rate_pct": 0.045, "return_pct": -2.287, "duration": ""}, {"time": "2026-08-07 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.150164, "entry_px": 64662.6, "exit_px": 64752.0, "pnl_gross": 9.0555, "pnl_net": 0.3104, "fee": 8.745036, "fee_rate_pct": 0.045, "return_pct": 0.093, "duration": ""}], "params": {"z_entry": 1.5, "z_exit": 0.5, "lookback": 20, "type": "Stat Arb"}, "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": "2026-07-05T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-05T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-05T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-05T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-05T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-05T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-06T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-06T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-06T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-06T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-06T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-06T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-07T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-07T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-07T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-07T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-07T16:00:00+00:00", "v": 10000.0}, {"t": 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"2026-08-06T16:00:00+00:00", "v": 9672.95}, {"t": "2026-08-06T20:00:00+00:00", "v": 9654.48}, {"t": "2026-08-07T00:00:00+00:00", "v": 9649.38}, {"t": "2026-08-07T04:00:00+00:00", "v": 9653.73}, {"t": "2026-08-07T08:00:00+00:00", "v": 9723.41}], "total_trades": 6, "generated_at": "2026-08-07T09:23:53.104253+00:00"}
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