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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/mean_rev_BTC_4h_42_20260810-083410.json
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{"strategy": "mean_rev", "interval": "4h", "n_bars": 43, "start_equity": 10000.0, "end_equity": 9853.43, "total_return_pct": -1.47, "pnl": -146.57, "sharpe": -12.626, "sortino": -13.06, "max_drawdown_pct": 1.58, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -72.111, "trades": [{"time": "2026-08-09 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.153638, "entry_px": 65058.99, "exit_px": 64694.24, "pnl_gross": -65.0105, "pnl_net": -73.9812, "fee": 8.970762, "fee_rate_pct": 0.045, "return_pct": -0.65, "duration": ""}, {"time": "2026-08-09 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.152156, "entry_px": 65265.2, "exit_px": 64803.13, "pnl_gross": -79.2125, "pnl_net": -88.1183, "fee": 8.905805, "fee_rate_pct": 0.045, "return_pct": -0.798, "duration": ""}, {"time": "2026-08-10 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.150985, "entry_px": 65247.18, "exit_px": 65261.0, "pnl_gross": -2.3468, "pnl_net": -11.2139, "fee": 8.86715, "fee_rate_pct": 0.045, "return_pct": -0.024, "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": "2026-08-03T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T04:00:00+00:00", "v": 10000.0}, {"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": 9985.52}, {"t": "2026-08-07T12:00:00+00:00", "v": 9967.39}, {"t": "2026-08-07T16:00:00+00:00", "v": 9973.99}, {"t": "2026-08-07T20:00:00+00:00", "v": 9968.77}, {"t": "2026-08-08T00:00:00+00:00", "v": 9986.13}, {"t": "2026-08-08T04:00:00+00:00", "v": 9975.07}, {"t": "2026-08-08T08:00:00+00:00", "v": 9977.07}, {"t": "2026-08-08T12:00:00+00:00", "v": 9994.27}, {"t": "2026-08-08T16:00:00+00:00", "v": 9993.2}, {"t": "2026-08-08T20:00:00+00:00", "v": 9976.14}, {"t": "2026-08-09T00:00:00+00:00", "v": 9934.99}, {"t": "2026-08-09T04:00:00+00:00", "v": 9934.99}, {"t": "2026-08-09T08:00:00+00:00", "v": 9934.99}, {"t": "2026-08-09T12:00:00+00:00", "v": 9920.6}, {"t": "2026-08-09T16:00:00+00:00", "v": 9912.84}, {"t": "2026-08-09T20:00:00+00:00", "v": 9855.78}, {"t": "2026-08-10T00:00:00+00:00", "v": 9855.78}, {"t": "2026-08-10T04:00:00+00:00", "v": 9841.5}, {"t": "2026-08-10T08:00:00+00:00", "v": 9853.43}], "total_trades": 3, "generated_at": "2026-08-10T08:34:10.695616+00:00", "asset": "BTC"}