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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/iceberg_BTC_1h_42_20260810-083223.json
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{"strategy": "iceberg", "interval": "1h", "n_bars": 43, "start_equity": 10000.0, "end_equity": 9917.6, "total_return_pct": -0.82, "pnl": -82.4, "sharpe": -18.498, "sortino": -22.54, "max_drawdown_pct": 0.82, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -41.198, "trades": [{"time": "2026-08-09 18:00:00", "side": "BUY", "asset": "BTC", "size": 0.153079, "entry_px": 65296.23, "exit_px": 65096.84, "pnl_gross": -39.5052, "pnl_net": -48.4874, "fee": 8.982198, "fee_rate_pct": 0.045, "return_pct": -0.395, "duration": ""}, {"time": "2026-08-10 03:00:00", "side": "BUY", "asset": "BTC", "size": 0.152913, "entry_px": 65109.04, "exit_px": 64887.05, "pnl_gross": -42.8912, "pnl_net": -51.8363, "fee": 8.945141, "fee_rate_pct": 0.045, "return_pct": -0.431, "duration": ""}], "params": {"vol_mult": 1.8, "min_consec": 3, "max_hold": 8, "type": "Momentum"}, "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": "2026-08-08T14:00:00+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": 10000.0}, {"t": "2026-08-09T13:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T14:00:00+00:00", "v": 9985.52}, {"t": "2026-08-09T15:00:00+00:00", "v": 9980.77}, {"t": "2026-08-09T16:00:00+00:00", "v": 9980.31}, {"t": "2026-08-09T17:00:00+00:00", "v": 9974.8}, {"t": "2026-08-09T18:00:00+00:00", "v": 9960.49}, {"t": "2026-08-09T19:00:00+00:00", "v": 9960.49}, {"t": "2026-08-09T20:00:00+00:00", "v": 9960.49}, {"t": "2026-08-09T21:00:00+00:00", "v": 9960.49}, {"t": "2026-08-09T22:00:00+00:00", "v": 9946.07}, {"t": "2026-08-09T23:00:00+00:00", "v": 9919.16}, {"t": "2026-08-10T00:00:00+00:00", "v": 9929.1}, {"t": "2026-08-10T01:00:00+00:00", "v": 9964.72}, {"t": "2026-08-10T02:00:00+00:00", "v": 9951.11}, {"t": "2026-08-10T03:00:00+00:00", "v": 9917.6}, {"t": "2026-08-10T04:00:00+00:00", "v": 9917.6}, {"t": "2026-08-10T05:00:00+00:00", "v": 9917.6}, {"t": "2026-08-10T06:00:00+00:00", "v": 9917.6}, {"t": "2026-08-10T07:00:00+00:00", "v": 9917.6}, {"t": "2026-08-10T08:00:00+00:00", "v": 9917.6}], "total_trades": 2, "generated_at": "2026-08-10T08:32:23.485226+00:00", "asset": "BTC"}