 ramseshk
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ad4036713e
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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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2026-08-10 16:35:25 +08:00 |
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