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

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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
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backtests/results/grid_mm_BTC_4h_7_20260810-083037.json
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{"strategy": "grid_mm", "interval": "4h", "n_bars": 8, "start_equity": 10000.0, "end_equity": 10043.91, "total_return_pct": 0.44, "pnl": 43.91, "sharpe": 9.31, "sortino": 16.098, "max_drawdown_pct": 0.51, "win_rate": NaN, "profit_factor": NaN, "expectancy": NaN, "trades": [{"time": "2026-08-10 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.153873, "entry_px": 64978.91, "exit_px": 65274.0, "pnl_gross": 43.906, "pnl_net": 40.8996, "fee": 3.006361, "fee_rate_pct": 0.015, "return_pct": 0.439, "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": "2026-08-09T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T08:00:00+00:00", "v": 9988.51}, {"t": "2026-08-09T12:00:00+00:00", "v": 10032.52}, {"t": "2026-08-09T16:00:00+00:00", "v": 10024.67}, {"t": "2026-08-09T20:00:00+00:00", "v": 9981.43}, {"t": "2026-08-10T00:00:00+00:00", "v": 9994.36}, {"t": "2026-08-10T04:00:00+00:00", "v": 10029.75}, {"t": "2026-08-10T08:00:00+00:00", "v": 10043.91}], "total_trades": 1, "generated_at": "2026-08-10T08:30:37.651418+00:00", "asset": "BTC"}