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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/obi_BTC_4h_42_20260810-082948.json
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{"strategy": "obi", "interval": "4h", "n_bars": 43, "start_equity": 10000.0, "end_equity": 10061.13, "total_return_pct": 0.61, "pnl": 61.13, "sharpe": 3.81, "sortino": 14.192, "max_drawdown_pct": 0.39, "win_rate": 1.0, "profit_factor": Infinity, "expectancy": 61.131, "trades": [{"time": "2026-08-08 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.155016, "entry_px": 64480.42, "exit_px": 64933.0, "pnl_gross": 61.1306, "pnl_net": 52.1031, "fee": 9.027518, "fee_rate_pct": 0.045, "return_pct": 0.612, "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": "2026-08-03T08:00:00+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": 9985.52}, {"t": "2026-08-06T20:00:00+00:00", "v": 9966.45}, {"t": "2026-08-07T00:00:00+00:00", "v": 9961.18}, {"t": "2026-08-07T04:00:00+00:00", "v": 9965.67}, {"t": "2026-08-07T08:00:00+00:00", "v": 10075.12}, {"t": "2026-08-07T12:00:00+00:00", "v": 10056.82}, {"t": "2026-08-07T16:00:00+00:00", "v": 10063.49}, {"t": "2026-08-07T20:00:00+00:00", "v": 10058.22}, {"t": "2026-08-08T00:00:00+00:00", "v": 10061.13}, {"t": "2026-08-08T04:00:00+00:00", "v": 10061.13}, {"t": "2026-08-08T08:00:00+00:00", "v": 10061.13}, {"t": "2026-08-08T12:00:00+00:00", "v": 10061.13}, {"t": "2026-08-08T16:00:00+00:00", "v": 10061.13}, {"t": "2026-08-08T20:00:00+00:00", "v": 10061.13}, {"t": "2026-08-09T00:00:00+00:00", "v": 10061.13}, {"t": "2026-08-09T04:00:00+00:00", "v": 10061.13}, {"t": "2026-08-09T08:00:00+00:00", "v": 10061.13}, {"t": "2026-08-09T12:00:00+00:00", "v": 10061.13}, {"t": "2026-08-09T16:00:00+00:00", "v": 10061.13}, {"t": "2026-08-09T20:00:00+00:00", "v": 10061.13}, {"t": "2026-08-10T00:00:00+00:00", "v": 10061.13}, {"t": "2026-08-10T04:00:00+00:00", "v": 10061.13}, {"t": "2026-08-10T08:00:00+00:00", "v": 10061.13}], "total_trades": 1, "generated_at": "2026-08-10T08:29:48.015163+00:00", "asset": "BTC"}