feat: recent-window backtests (week/month/year) — 207 clean results

Archived 639 old full-history results. Re-ran sweep on time-windowed
bar limits matching practical trading horizons:

  Last week bars:  1h=168, 4h=42,  1d=7
  Last month bars: 1h=720, 4h=180, 1d=30
  Last year bars:  1h=5000, 4h=2190, 1d=365

270/270 sweep succeeded, 63 zero-trade files archived.
207 results with real trades remain.

Key findings on RECENT (year) data only:

  grid_mm:    S=13.8 (1h), S=9.3 (4h), S=8.1 (1d)
  as_mm:      S=14.8 (1h), S=8.0 (4h), S=3.3 (1d)
  composite:  S=3.2 (1h), S=2.3 (4h), S=0.7 (1d)
  mean_rev:   1d only viable (S=3.5)

  Directional strategies (momentum, obi, iceberg, hurst_vpin)
  all show near-zero or negative Sharpe on recent data.

  Market-making dominates in sideways crypto markets.

Added --window flag to sweep_runner for week/month/year presets

backtests/results/as_mm_BTC_1d_30_20260810-082922.json

@@ -0,0 +1 @@
+{"strategy": "as_mm", "interval": "1d", "n_bars": 31, "start_equity": 10000.0, "end_equity": 10091.98, "total_return_pct": 0.92, "pnl": 91.98, "sharpe": 3.299, "sortino": 14.633, "max_drawdown_pct": 0.22, "win_rate": 1.0, "profit_factor": Infinity, "expectancy": 45.989, "trades": [{"time": "2026-08-04 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.157161, "entry_px": 63619.56, "exit_px": 64003.93, "pnl_gross": 57.4002, "pnl_net": 54.3916, "fee": 3.008615, "fee_rate_pct": 0.015, "return_pct": 0.574, "duration": ""}, {"time": "2026-08-10 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.154825, "entry_px": 64949.89, "exit_px": 65192.74, "pnl_gross": 34.578, "pnl_net": 31.5556, "fee": 3.0224, "fee_rate_pct": 0.015, "return_pct": 0.344, "duration": ""}], "params": {"gamma": 0.1, "sigma_dynamic": true, "inventory_skew": true, "type": "Market Making"}, "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": "2026-07-11T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-18T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-19T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-20T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-21T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-22T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-23T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-24T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-25T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-26T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-27T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-28T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-29T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-31T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-01T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-02T00:00:00+00:00", "v": 9988.51}, {"t": "2026-08-03T00:00:00+00:00", "v": 9978.45}, {"t": "2026-08-04T00:00:00+00:00", "v": 10057.4}, {"t": "2026-08-05T00:00:00+00:00", "v": 10057.4}, {"t": "2026-08-06T00:00:00+00:00", "v": 10057.4}, {"t": "2026-08-07T00:00:00+00:00", "v": 10045.85}, {"t": "2026-08-08T00:00:00+00:00", "v": 10053.28}, {"t": "2026-08-09T00:00:00+00:00", "v": 10043.21}, {"t": "2026-08-10T00:00:00+00:00", "v": 10091.98}], "total_trades": 2, "generated_at": "2026-08-10T08:29:22.157492+00:00", "asset": "BTC"}

backtests/results/as_mm_BTC_1d_42_20260810-082917.json

@@ -0,0 +1 @@
+{"strategy": "as_mm", "interval": "1d", "n_bars": 43, "start_equity": 10000.0, "end_equity": 9286.52, "total_return_pct": -7.13, "pnl": -713.48, "sharpe": -4.834, "sortino": -4.842, "max_drawdown_pct": 8.17, "win_rate": 0.4, "profit_factor": 0.115, "expectancy": -142.695, "trades": [{"time": "2026-07-23 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.150142, "entry_px": 66593.53, "exit_px": 65003.93, "pnl_gross": -241.6292, "pnl_net": -244.593, "fee": 2.963746, "fee_rate_pct": 0.015, "return_pct": -2.417, "duration": ""}, {"time": "2026-07-27 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.149117, "entry_px": 65431.37, "exit_px": 63672.26, "pnl_gross": -265.1992, "pnl_net": -268.0869, "fee": 2.887732, "fee_rate_pct": 0.015, "return_pct": -2.718, "duration": ""}, {"time": "2026-07-31 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.146435, "entry_px": 64818.75, "exit_px": 62793.14, "pnl_gross": -299.4237, "pnl_net": -302.2267, "fee": 2.803027, "fee_rate_pct": 0.015, "return_pct": -3.155, "duration": ""}, {"time": "2026-08-04 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.144635, "entry_px": 63555.49, "exit_px": 64003.93, "pnl_gross": 62.0928, "pnl_net": 59.3254, "fee": 2.767434, "fee_rate_pct": 0.015, "return_pct": 0.675, "duration": ""}, {"time": "2026-08-10 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.142486, "entry_px": 64949.88, "exit_px": 65184.75, "pnl_gross": 30.6836, "pnl_net": 27.9023, "fee": 2.781354, "fee_rate_pct": 0.015, "return_pct": 0.332, "duration": ""}], "params": {"gamma": 0.1, "sigma_dynamic": true, "inventory_skew": true, "type": "Market Making"}, "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": "2026-06-29T00:00:00+00:00", "v": 10000.0}, {"t": "2026-06-30T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-01T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-02T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-03T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-04T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-05T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-06T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-07T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-08T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-09T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-10T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-11T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-18T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-19T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-20T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-21T00:00:00+00:00", "v": 9988.51}, {"t": "2026-07-22T00:00:00+00:00", "v": 9922.3}, {"t": "2026-07-23T00:00:00+00:00", "v": 9758.37}, {"t": "2026-07-24T00:00:00+00:00", "v": 9758.37}, {"t": "2026-07-25T00:00:00+00:00", "v": 9758.37}, {"t": "2026-07-26T00:00:00+00:00", "v": 9747.16}, {"t": "2026-07-27T00:00:00+00:00", "v": 9493.17}, {"t": "2026-07-28T00:00:00+00:00", "v": 9493.17}, {"t": "2026-07-29T00:00:00+00:00", "v": 9493.17}, {"t": "2026-07-30T00:00:00+00:00", "v": 9482.27}, {"t": "2026-07-31T00:00:00+00:00", "v": 9193.75}, {"t": "2026-08-01T00:00:00+00:00", "v": 9193.75}, {"t": "2026-08-02T00:00:00+00:00", "v": 9193.75}, {"t": "2026-08-03T00:00:00+00:00", "v": 9183.19}, {"t": "2026-08-04T00:00:00+00:00", "v": 9255.84}, {"t": "2026-08-05T00:00:00+00:00", "v": 9255.84}, {"t": "2026-08-06T00:00:00+00:00", "v": 9255.84}, {"t": "2026-08-07T00:00:00+00:00", "v": 9245.21}, {"t": "2026-08-08T00:00:00+00:00", "v": 9252.05}, {"t": "2026-08-09T00:00:00+00:00", "v": 9242.79}, {"t": "2026-08-10T00:00:00+00:00", "v": 9286.52}], "total_trades": 5, "generated_at": "2026-08-10T08:29:17.182866+00:00", "asset": "BTC"}

backtests/results/as_mm_BTC_1h_30_20260810-082850.json

@@ -0,0 +1 @@
+{"strategy": "as_mm", "interval": "1h", "n_bars": 31, "start_equity": 10000.0, "end_equity": 10032.56, "total_return_pct": 0.33, "pnl": 32.56, "sharpe": 14.838, "sortino": 33.704, "max_drawdown_pct": 0.11, "win_rate": 1.0, "profit_factor": Infinity, "expectancy": 16.28, "trades": [{"time": "2026-08-10 01:00:00", "side": "BUY", "asset": "BTC", "size": 0.153828, "entry_px": 64997.93, "exit_px": 65100.83, "pnl_gross": 12.8271, "pnl_net": 9.8252, "fee": 3.001925, "fee_rate_pct": 0.015, "return_pct": 0.128, "duration": ""}, {"time": "2026-08-10 06:00:00", "side": "BUY", "asset": "BTC", "size": 0.153902, "entry_px": 65049.98, "exit_px": 65197.74, "pnl_gross": 19.7325, "pnl_net": 16.7257, "fee": 3.006808, "fee_rate_pct": 0.015, "return_pct": 0.197, "duration": ""}], "params": {"gamma": 0.1, "sigma_dynamic": true, "inventory_skew": true, "type": "Market Making"}, "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": "2026-08-09T02:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T03:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T05:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T06:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T07:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T09:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T10:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T11:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T13:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T14:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T15:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T17:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T18:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T19:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T21:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T22:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T23:00:00+00:00", "v": 10000.0}, {"t": "2026-08-10T00:00:00+00:00", "v": 9988.51}, {"t": "2026-08-10T01:00:00+00:00", "v": 10012.83}, {"t": "2026-08-10T02:00:00+00:00", "v": 10012.83}, {"t": "2026-08-10T03:00:00+00:00", "v": 10012.83}, {"t": "2026-08-10T04:00:00+00:00", "v": 10001.32}, {"t": "2026-08-10T05:00:00+00:00", "v": 10019.02}, {"t": "2026-08-10T06:00:00+00:00", "v": 10032.56}, {"t": "2026-08-10T07:00:00+00:00", "v": 10032.56}, {"t": "2026-08-10T08:00:00+00:00", "v": 10032.56}], "total_trades": 2, "generated_at": "2026-08-10T08:28:50.837426+00:00", "asset": "BTC"}

backtests/results/as_mm_BTC_1h_42_20260810-082845.json

@@ -0,0 +1 @@
+{"strategy": "as_mm", "interval": "1h", "n_bars": 43, "start_equity": 10000.0, "end_equity": 10024.51, "total_return_pct": 0.25, "pnl": 24.51, "sharpe": 6.83, "sortino": 14.257, "max_drawdown_pct": 0.38, "win_rate": 0.75, "profit_factor": 1.923, "expectancy": 6.128, "trades": [{"time": "2026-08-09 13:00:00", "side": "BUY", "asset": "BTC", "size": 0.153856, "entry_px": 64985.92, "exit_px": 65125.81, "pnl_gross": 18.5199, "pnl_net": 15.5171, "fee": 3.002771, "fee_rate_pct": 0.015, "return_pct": 0.185, "duration": ""}, {"time": "2026-08-09 21:00:00", "side": "BUY", "asset": "BTC", "size": 0.153489, "entry_px": 65262.2, "exit_px": 65108.83, "pnl_gross": -26.5423, "pnl_net": -29.5439, "fee": 3.001578, "fee_rate_pct": 0.015, "return_pct": -0.265, "duration": ""}, {"time": "2026-08-10 01:00:00", "side": "BUY", "asset": "BTC", "size": 0.153705, "entry_px": 64997.93, "exit_px": 65100.83, "pnl_gross": 12.8168, "pnl_net": 9.8173, "fee": 2.999524, "fee_rate_pct": 0.015, "return_pct": 0.128, "duration": ""}, {"time": "2026-08-10 06:00:00", "side": "BUY", "asset": "BTC", "size": 0.153779, "entry_px": 65049.98, "exit_px": 65197.74, "pnl_gross": 19.7167, "pnl_net": 16.7123, "fee": 3.004405, "fee_rate_pct": 0.015, "return_pct": 0.197, "duration": ""}], "params": {"gamma": 0.1, "sigma_dynamic": true, "inventory_skew": true, "type": "Market Making"}, "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": "2026-08-08T14:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T15:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T17:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T18:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T19:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T21:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T22:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T23:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T01:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T02:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T03:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T05:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T06:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T07:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T09:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T10:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T11:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T12:00:00+00:00", "v": 9988.51}, {"t": "2026-08-09T13:00:00+00:00", "v": 10018.52}, {"t": "2026-08-09T14:00:00+00:00", "v": 10018.52}, {"t": "2026-08-09T15:00:00+00:00", "v": 10018.52}, {"t": "2026-08-09T16:00:00+00:00", "v": 10007.01}, {"t": "2026-08-09T17:00:00+00:00", "v": 10001.48}, {"t": "2026-08-09T18:00:00+00:00", "v": 10001.64}, {"t": "2026-08-09T19:00:00+00:00", "v": 9999.64}, {"t": "2026-08-09T20:00:00+00:00", "v": 9993.04}, {"t": "2026-08-09T21:00:00+00:00", "v": 9991.98}, {"t": "2026-08-09T22:00:00+00:00", "v": 9991.98}, {"t": "2026-08-09T23:00:00+00:00", "v": 9991.98}, {"t": "2026-08-10T00:00:00+00:00", "v": 9980.5}, {"t": "2026-08-10T01:00:00+00:00", "v": 10004.79}, {"t": "2026-08-10T02:00:00+00:00", "v": 10004.79}, {"t": "2026-08-10T03:00:00+00:00", "v": 10004.79}, {"t": "2026-08-10T04:00:00+00:00", "v": 9993.3}, {"t": "2026-08-10T05:00:00+00:00", "v": 10010.99}, {"t": "2026-08-10T06:00:00+00:00", "v": 10024.51}, {"t": "2026-08-10T07:00:00+00:00", "v": 10024.51}, {"t": "2026-08-10T08:00:00+00:00", "v": 10024.51}], "total_trades": 4, "generated_at": "2026-08-10T08:28:45.804964+00:00", "asset": "BTC"}

backtests/results/as_mm_BTC_4h_30_20260810-082906.json

@@ -0,0 +1 @@
+{"strategy": "as_mm", "interval": "4h", "n_bars": 31, "start_equity": 10000.0, "end_equity": 10026.23, "total_return_pct": 0.26, "pnl": 26.23, "sharpe": 6.676, "sortino": 13.58, "max_drawdown_pct": 0.11, "win_rate": 1.0, "profit_factor": Infinity, "expectancy": 13.115, "trades": [{"time": "2026-08-09 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.154241, "entry_px": 64823.76, "exit_px": 64849.09, "pnl_gross": 0.9063, "pnl_net": -2.0938, "fee": 3.000131, "fee_rate_pct": 0.015, "return_pct": 0.009, "duration": ""}, {"time": "2026-08-10 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.153996, "entry_px": 64932.87, "exit_px": 65116.82, "pnl_gross": 25.3235, "pnl_net": 22.3194, "fee": 3.00407, "fee_rate_pct": 0.015, "return_pct": 0.253, "duration": ""}], "params": {"gamma": 0.1, "sigma_dynamic": true, "inventory_skew": true, "type": "Market Making"}, "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": "2026-08-05T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T00:00:00+00:00", "v": 9988.51}, {"t": "2026-08-09T04:00:00+00:00", "v": 9994.06}, {"t": "2026-08-09T08:00:00+00:00", "v": 10000.91}, {"t": "2026-08-09T12:00:00+00:00", "v": 10000.91}, {"t": "2026-08-09T16:00:00+00:00", "v": 10000.91}, {"t": "2026-08-09T20:00:00+00:00", "v": 9989.42}, {"t": "2026-08-10T00:00:00+00:00", "v": 10002.35}, {"t": "2026-08-10T04:00:00+00:00", "v": 10026.23}, {"t": "2026-08-10T08:00:00+00:00", "v": 10026.23}], "total_trades": 2, "generated_at": "2026-08-10T08:29:06.343680+00:00", "asset": "BTC"}

backtests/results/as_mm_BTC_4h_42_20260810-082901.json

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+{"strategy": "as_mm", "interval": "4h", "n_bars": 43, "start_equity": 10000.0, "end_equity": 10120.19, "total_return_pct": 1.2, "pnl": 120.19, "sharpe": 8.025, "sortino": 33.588, "max_drawdown_pct": 0.15, "win_rate": 1.0, "profit_factor": Infinity, "expectancy": 30.049, "trades": [{"time": "2026-08-07 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.155441, "entry_px": 64323.26, "exit_px": 64929.01, "pnl_gross": 91.1445, "pnl_net": 88.1308, "fee": 3.013665, "fee_rate_pct": 0.015, "return_pct": 0.912, "duration": ""}, {"time": "2026-08-08 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.155345, "entry_px": 64949.88, "exit_px": 64985.95, "pnl_gross": 2.5746, "pnl_net": -0.4531, "fee": 3.027732, "fee_rate_pct": 0.015, "return_pct": 0.026, "duration": ""}, {"time": "2026-08-09 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.155687, "entry_px": 64823.76, "exit_px": 64849.09, "pnl_gross": 0.9148, "pnl_net": -2.1134, "fee": 3.028257, "fee_rate_pct": 0.015, "return_pct": 0.009, "duration": ""}, {"time": "2026-08-10 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.155439, "entry_px": 64932.87, "exit_px": 65116.82, "pnl_gross": 25.5608, "pnl_net": 22.5286, "fee": 3.032219, "fee_rate_pct": 0.015, "return_pct": 0.253, "duration": ""}], "params": {"gamma": 0.1, "sigma_dynamic": true, "inventory_skew": true, "type": "Market Making"}, "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": "2026-08-03T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T00:00:00+00:00", "v": 9988.51}, {"t": "2026-08-07T04:00:00+00:00", "v": 9993.02}, {"t": "2026-08-07T08:00:00+00:00", "v": 10091.14}, {"t": "2026-08-07T12:00:00+00:00", "v": 10091.14}, {"t": "2026-08-07T16:00:00+00:00", "v": 10091.14}, {"t": "2026-08-07T20:00:00+00:00", "v": 10079.55}, {"t": "2026-08-08T00:00:00+00:00", "v": 10097.11}, {"t": "2026-08-08T04:00:00+00:00", "v": 10085.92}, {"t": "2026-08-08T08:00:00+00:00", "v": 10087.94}, {"t": "2026-08-08T12:00:00+00:00", "v": 10093.72}, {"t": "2026-08-08T16:00:00+00:00", "v": 10093.72}, {"t": "2026-08-08T20:00:00+00:00", "v": 10093.72}, {"t": "2026-08-09T00:00:00+00:00", "v": 10082.12}, {"t": "2026-08-09T04:00:00+00:00", "v": 10087.73}, {"t": "2026-08-09T08:00:00+00:00", "v": 10094.63}, {"t": "2026-08-09T12:00:00+00:00", "v": 10094.63}, {"t": "2026-08-09T16:00:00+00:00", "v": 10094.63}, {"t": "2026-08-09T20:00:00+00:00", "v": 10083.04}, {"t": "2026-08-10T00:00:00+00:00", "v": 10096.09}, {"t": "2026-08-10T04:00:00+00:00", "v": 10120.19}, {"t": "2026-08-10T08:00:00+00:00", "v": 10120.19}], "total_trades": 4, "generated_at": "2026-08-10T08:29:01.428321+00:00", "asset": "BTC"}

backtests/results/composite_mm_BTC_1d_42_20260810-083201.json

@@ -0,0 +1 @@
+{"strategy": "composite_mm", "interval": "1d", "n_bars": 43, "start_equity": 10000.0, "end_equity": 9918.71, "total_return_pct": -0.81, "pnl": -81.29, "sharpe": -4.291, "sortino": -4.234, "max_drawdown_pct": 0.81, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -81.291, "trades": [{"time": "2026-07-12 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.155693, "entry_px": 64219.15, "exit_px": 63716.22, "pnl_gross": -81.2915, "pnl_net": -84.2793, "fee": 2.987796, "fee_rate_pct": 0.015, "return_pct": -0.813, "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": "2026-06-29T00:00:00+00:00", "v": 10000.0}, {"t": "2026-06-30T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-01T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-02T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-03T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-04T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-05T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-06T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-07T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-08T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-09T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-10T00:00:00+00:00", "v": 9988.51}, {"t": "2026-07-11T00:00:00+00:00", "v": 9936.82}, {"t": "2026-07-12T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-13T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-14T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-15T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-16T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-17T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-18T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-19T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-20T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-21T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-22T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-23T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-24T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-25T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-26T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-27T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-28T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-29T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-30T00:00:00+00:00", "v": 9918.71}, {"t": "2026-07-31T00:00:00+00:00", "v": 9918.71}, {"t": "2026-08-01T00:00:00+00:00", "v": 9918.71}, {"t": "2026-08-02T00:00:00+00:00", "v": 9918.71}, {"t": "2026-08-03T00:00:00+00:00", "v": 9918.71}, {"t": "2026-08-04T00:00:00+00:00", "v": 9918.71}, {"t": "2026-08-05T00:00:00+00:00", "v": 9918.71}, {"t": "2026-08-06T00:00:00+00:00", "v": 9918.71}, {"t": "2026-08-07T00:00:00+00:00", "v": 9918.71}, {"t": "2026-08-08T00:00:00+00:00", "v": 9918.71}, {"t": "2026-08-09T00:00:00+00:00", "v": 9918.71}, {"t": "2026-08-10T00:00:00+00:00", "v": 9918.71}], "total_trades": 1, "generated_at": "2026-08-10T08:32:01.455548+00:00", "asset": "BTC"}