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": "mean_rev", "interval": "4h", "n_bars": 31, "start_equity": 10000.0, "end_equity": 9844.65, "total_return_pct": -1.55, "pnl": -155.35, "sharpe": -17.658, "sortino": -16.958, "max_drawdown_pct": 1.67, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -76.429, "trades": [{"time": "2026-08-09 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.153503, "entry_px": 65116.05, "exit_px": 64694.24, "pnl_gross": -73.7159, "pnl_net": -82.6827, "fee": 8.966821, "fee_rate_pct": 0.045, "return_pct": -0.737, "duration": ""}, {"time": "2026-08-09 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.152023, "entry_px": 65265.2, "exit_px": 64803.13, "pnl_gross": -79.143, "pnl_net": -88.0411, "fee": 8.89802, "fee_rate_pct": 0.045, "return_pct": -0.798, "duration": ""}, {"time": "2026-08-10 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.150853, "entry_px": 65247.18, "exit_px": 65260.0, "pnl_gross": -2.4956, "pnl_net": -11.3549, "fee": 8.85933, "fee_rate_pct": 0.045, "return_pct": -0.025, "duration": ""}], "params": {"vwap_window": 20, "deviation": 1.0, "type": "Reversal"}, "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": "2026-08-05T08:00:00+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": 9985.52}, {"t": "2026-08-08T16:00:00+00:00", "v": 9984.44}, {"t": "2026-08-08T20:00:00+00:00", "v": 9967.4}, {"t": "2026-08-09T00:00:00+00:00", "v": 9926.28}, {"t": "2026-08-09T04:00:00+00:00", "v": 9926.28}, {"t": "2026-08-09T08:00:00+00:00", "v": 9926.28}, {"t": "2026-08-09T12:00:00+00:00", "v": 9911.91}, {"t": "2026-08-09T16:00:00+00:00", "v": 9904.15}, {"t": "2026-08-09T20:00:00+00:00", "v": 9847.14}, {"t": "2026-08-10T00:00:00+00:00", "v": 9847.14}, {"t": "2026-08-10T04:00:00+00:00", "v": 9832.88}, {"t": "2026-08-10T08:00:00+00:00", "v": 9844.65}], "total_trades": 3, "generated_at": "2026-08-10T08:34:15.657318+00:00", "asset": "BTC"}
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