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
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
@@ -0,0 +1 @@
{"strategy": "obi", "interval": "1d", "n_bars": 43, "start_equity": 10000.0, "end_equity": 9802.43, "total_return_pct": -1.98, "pnl": -197.57, "sharpe": -1.843, "sortino": -2.448, "max_drawdown_pct": 3.75, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -197.573, "trades": [{"time": "2026-07-24 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.153091, "entry_px": 65291.23, "exit_px": 64058.88, "pnl_gross": -197.5727, "pnl_net": -206.4837, "fee": 8.911052, "fee_rate_pct": 0.045, "return_pct": -1.977, "duration": ""}], "params": {"obi_lookback": 20, "obi_entry": 0.35, "obi_exit": 0.1, "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": "2026-06-29T00:00:00+00:00", "v": 10000.0}, {"t": "2026-06-30T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-01T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-02T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-03T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-04T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-05T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-06T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-07T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-08T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-09T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-10T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-11T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-18T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-19T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-20T00:00:00+00:00", "v": 9985.52}, {"t": "2026-07-21T00:00:00+00:00", "v": 10184.69}, {"t": "2026-07-22T00:00:00+00:00", "v": 10117.17}, {"t": "2026-07-23T00:00:00+00:00", "v": 9961.48}, {"t": "2026-07-24T00:00:00+00:00", "v": 9802.43}, {"t": "2026-07-25T00:00:00+00:00", "v": 9802.43}, {"t": "2026-07-26T00:00:00+00:00", "v": 9802.43}, {"t": "2026-07-27T00:00:00+00:00", "v": 9802.43}, {"t": "2026-07-28T00:00:00+00:00", "v": 9802.43}, {"t": "2026-07-29T00:00:00+00:00", "v": 9802.43}, {"t": "2026-07-30T00:00:00+00:00", "v": 9802.43}, {"t": "2026-07-31T00:00:00+00:00", "v": 9802.43}, {"t": "2026-08-01T00:00:00+00:00", "v": 9802.43}, {"t": "2026-08-02T00:00:00+00:00", "v": 9802.43}, {"t": "2026-08-03T00:00:00+00:00", "v": 9802.43}, {"t": "2026-08-04T00:00:00+00:00", "v": 9802.43}, {"t": "2026-08-05T00:00:00+00:00", "v": 9802.43}, {"t": "2026-08-06T00:00:00+00:00", "v": 9802.43}, {"t": "2026-08-07T00:00:00+00:00", "v": 9802.43}, {"t": "2026-08-08T00:00:00+00:00", "v": 9802.43}, {"t": "2026-08-09T00:00:00+00:00", "v": 9802.43}, {"t": "2026-08-10T00:00:00+00:00", "v": 9802.43}], "total_trades": 1, "generated_at": "2026-08-10T08:30:03.527733+00:00", "asset": "BTC"}