ramseshk
ad4036713e
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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4.0 KiB
JSON
{"strategy": "as_mm", "interval": "1d", "n_bars": 43, "start_equity": 10000.0, "end_equity": 9286.52, "total_return_pct": -7.13, "pnl": -713.48, "sharpe": -4.834, "sortino": -4.842, "max_drawdown_pct": 8.17, "win_rate": 0.4, "profit_factor": 0.115, "expectancy": -142.695, "trades": [{"time": "2026-07-23 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.150142, "entry_px": 66593.53, "exit_px": 65003.93, "pnl_gross": -241.6292, "pnl_net": -244.593, "fee": 2.963746, "fee_rate_pct": 0.015, "return_pct": -2.417, "duration": ""}, {"time": "2026-07-27 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.149117, "entry_px": 65431.37, "exit_px": 63672.26, "pnl_gross": -265.1992, "pnl_net": -268.0869, "fee": 2.887732, "fee_rate_pct": 0.015, "return_pct": -2.718, "duration": ""}, {"time": "2026-07-31 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.146435, "entry_px": 64818.75, "exit_px": 62793.14, "pnl_gross": -299.4237, "pnl_net": -302.2267, "fee": 2.803027, "fee_rate_pct": 0.015, "return_pct": -3.155, "duration": ""}, {"time": "2026-08-04 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.144635, "entry_px": 63555.49, "exit_px": 64003.93, "pnl_gross": 62.0928, "pnl_net": 59.3254, "fee": 2.767434, "fee_rate_pct": 0.015, "return_pct": 0.675, "duration": ""}, {"time": "2026-08-10 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.142486, "entry_px": 64949.88, "exit_px": 65184.75, "pnl_gross": 30.6836, "pnl_net": 27.9023, "fee": 2.781354, "fee_rate_pct": 0.015, "return_pct": 0.332, "duration": ""}], "params": {"gamma": 0.1, "sigma_dynamic": true, "inventory_skew": true, "type": "Market Making"}, "fee_info": {"entry_fee": 0.015, "exit_fee": 0.015, "total_fee": 0.03, "taker_rate_pct": 0.045, "maker_rate_pct": 0.015, "effective_rate_pct": 0.015, "vip_tier": 0, "staking_tier": "none", "fee_model": "maker", "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": 10000.0}, {"t": "2026-07-21T00:00:00+00:00", "v": 9988.51}, {"t": "2026-07-22T00:00:00+00:00", "v": 9922.3}, {"t": "2026-07-23T00:00:00+00:00", "v": 9758.37}, {"t": "2026-07-24T00:00:00+00:00", "v": 9758.37}, {"t": "2026-07-25T00:00:00+00:00", "v": 9758.37}, {"t": "2026-07-26T00:00:00+00:00", "v": 9747.16}, {"t": "2026-07-27T00:00:00+00:00", "v": 9493.17}, {"t": "2026-07-28T00:00:00+00:00", "v": 9493.17}, {"t": "2026-07-29T00:00:00+00:00", "v": 9493.17}, {"t": "2026-07-30T00:00:00+00:00", "v": 9482.27}, {"t": "2026-07-31T00:00:00+00:00", "v": 9193.75}, {"t": "2026-08-01T00:00:00+00:00", "v": 9193.75}, {"t": "2026-08-02T00:00:00+00:00", "v": 9193.75}, {"t": "2026-08-03T00:00:00+00:00", "v": 9183.19}, {"t": "2026-08-04T00:00:00+00:00", "v": 9255.84}, {"t": "2026-08-05T00:00:00+00:00", "v": 9255.84}, {"t": "2026-08-06T00:00:00+00:00", "v": 9255.84}, {"t": "2026-08-07T00:00:00+00:00", "v": 9245.21}, {"t": "2026-08-08T00:00:00+00:00", "v": 9252.05}, {"t": "2026-08-09T00:00:00+00:00", "v": 9242.79}, {"t": "2026-08-10T00:00:00+00:00", "v": 9286.52}], "total_trades": 5, "generated_at": "2026-08-10T08:29:17.182866+00:00", "asset": "BTC"} |