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
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{"strategy": "grid_mm", "interval": "1h", "n_bars": 31, "start_equity": 10000.0, "end_equity": 9978.67, "total_return_pct": -0.21, "pnl": -21.33, "sharpe": -4.705, "sortino": -6.843, "max_drawdown_pct": 0.93, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -12.656, "trades": [{"time": "2026-08-09 11:00:00", "side": "BUY", "asset": "BTC", "size": 0.15417, "entry_px": 64853.79, "exit_px": 64849.09, "pnl_gross": -3.7245, "pnl_net": -6.7239, "fee": 2.999444, "fee_rate_pct": 0.015, "return_pct": -0.037, "duration": ""}, {"time": "2026-08-09 15:00:00", "side": "BUY", "asset": "BTC", "size": 0.153162, "entry_px": 65256.19, "exit_px": 65134.8, "pnl_gross": -21.5881, "pnl_net": -24.5838, "fee": 2.995642, "fee_rate_pct": 0.015, "return_pct": -0.216, "duration": ""}, {"time": "2026-08-10 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.152871, "entry_px": 65239.17, "exit_px": 65275.0, "pnl_gross": 3.9808, "pnl_net": 0.988, "fee": 2.992775, "fee_rate_pct": 0.015, "return_pct": 0.04, "duration": ""}], "params": {"grid_levels": 10, "grid_spacing_pct": 0.1, "rebalance_every": 20, "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": 9988.51}, {"t": "2026-08-09T09:00:00+00:00", "v": 9998.53}, {"t": "2026-08-09T10:00:00+00:00", "v": 10009.79}, {"t": "2026-08-09T11:00:00+00:00", "v": 9996.28}, {"t": "2026-08-09T12:00:00+00:00", "v": 9996.28}, {"t": "2026-08-09T13:00:00+00:00", "v": 9984.79}, {"t": "2026-08-09T14:00:00+00:00", "v": 9990.92}, {"t": "2026-08-09T15:00:00+00:00", "v": 9974.69}, {"t": "2026-08-09T16:00:00+00:00", "v": 9974.69}, {"t": "2026-08-09T17:00:00+00:00", "v": 9974.69}, {"t": "2026-08-09T18:00:00+00:00", "v": 9974.69}, {"t": "2026-08-09T19:00:00+00:00", "v": 9974.69}, {"t": "2026-08-09T20:00:00+00:00", "v": 9974.69}, {"t": "2026-08-09T21:00:00+00:00", "v": 9963.23}, {"t": "2026-08-09T22:00:00+00:00", "v": 9943.35}, {"t": "2026-08-09T23:00:00+00:00", "v": 9916.45}, {"t": "2026-08-10T00:00:00+00:00", "v": 9926.39}, {"t": "2026-08-10T01:00:00+00:00", "v": 9962.01}, {"t": "2026-08-10T02:00:00+00:00", "v": 9948.4}, {"t": "2026-08-10T03:00:00+00:00", "v": 9929.29}, {"t": "2026-08-10T04:00:00+00:00", "v": 9934.34}, {"t": "2026-08-10T05:00:00+00:00", "v": 9951.92}, {"t": "2026-08-10T06:00:00+00:00", "v": 9976.83}, {"t": "2026-08-10T07:00:00+00:00", "v": 9964.45}, {"t": "2026-08-10T08:00:00+00:00", "v": 9978.67}], "total_trades": 3, "generated_at": "2026-08-10T08:30:23.770225+00:00", "asset": "BTC"}
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