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
This commit is contained in:
ramseshk
2026-08-10 16:35:25 +08:00
parent 543537e33f
commit ad4036713e
838 changed files with 207 additions and 639 deletions
@@ -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"}