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ftdt-quant-lab/backtests/results/as_mm_BTC_1h_365_20260810-082854.json
T
ramseshk ad4036713e 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
2026-08-10 16:35:25 +08:00

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{"strategy": "as_mm", "interval": "1h", "n_bars": 366, "start_equity": 10000.0, "end_equity": 8869.85, "total_return_pct": -11.3, "pnl": -1130.15, "sharpe": -14.923, "sortino": -18.217, "max_drawdown_pct": 11.67, "win_rate": 0.34, "profit_factor": 0.246, "expectancy": -21.324, "trades": [{"time": "2026-07-27 05:00:00", "side": "BUY", "asset": "BTC", "size": 0.153245, "entry_px": 65245.18, "exit_px": 65371.56, "pnl_gross": 16.3651, "pnl_net": 13.3627, "fee": 3.002454, "fee_rate_pct": 0.015, "return_pct": 0.164, "duration": ""}, {"time": "2026-07-27 10:00:00", "side": "BUY", "asset": "BTC", "size": 0.153592, "entry_px": 65204.14, "exit_px": 65238.7, "pnl_gross": 2.3024, "pnl_net": -0.7028, "fee": 3.005247, "fee_rate_pct": 0.015, "return_pct": 0.023, "duration": ""}, {"time": "2026-07-27 15:00:00", "side": "BUY", "asset": "BTC", "size": 0.153526, "entry_px": 65247.18, "exit_px": 64449.49, "pnl_gross": -125.4542, "pnl_net": -128.4409, "fee": 2.986772, "fee_rate_pct": 0.015, "return_pct": -1.252, "duration": ""}, {"time": "2026-07-27 22:00:00", "side": "BUY", "asset": "BTC", "size": 0.152382, "entry_px": 64913.85, "exit_px": 63705.23, "pnl_gross": -187.112, "pnl_net": -190.0519, "fee": 2.939885, "fee_rate_pct": 0.015, "return_pct": -1.892, "duration": ""}, {"time": "2026-07-28 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.153401, "entry_px": 63263.2, "exit_px": 63268.67, "pnl_gross": -2.0727, "pnl_net": -4.9842, "fee": 2.911517, "fee_rate_pct": 0.015, "return_pct": -0.021, "duration": ""}, {"time": "2026-07-28 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.152692, "entry_px": 63543.48, "exit_px": 63479.46, "pnl_gross": -12.6851, "pnl_net": -15.5944, "fee": 2.909308, "fee_rate_pct": 0.015, "return_pct": -0.131, "duration": ""}, {"time": "2026-07-28 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.151464, "entry_px": 63974.91, "exit_px": 63821.11, "pnl_gross": -26.198, "pnl_net": -29.1015, "fee": 2.903474, "fee_rate_pct": 0.015, "return_pct": -0.27, 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{"time": "2026-07-30 01:00:00", "side": "BUY", "asset": "BTC", "size": 0.151217, "entry_px": 63739.68, "exit_px": 64178.76, "pnl_gross": 63.4952, "pnl_net": 60.5937, "fee": 2.901516, "fee_rate_pct": 0.015, "return_pct": 0.659, "duration": ""}, {"time": "2026-07-30 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.151457, "entry_px": 64057.99, "exit_px": 64212.72, "pnl_gross": 20.5207, "pnl_net": 17.6066, "fee": 2.914125, "fee_rate_pct": 0.015, "return_pct": 0.212, "duration": ""}, {"time": "2026-07-30 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.150012, "entry_px": 64811.75, "exit_px": 64827.11, "pnl_gross": -0.6128, "pnl_net": -3.5299, "fee": 2.917108, "fee_rate_pct": 0.015, "return_pct": -0.006, "duration": ""}, {"time": "2026-07-30 17:00:00", "side": "BUY", "asset": "BTC", "size": 0.15013, "entry_px": 64756.69, "exit_px": 64771.16, "pnl_gross": -0.7442, "pnl_net": -3.6611, "fee": 2.916902, "fee_rate_pct": 0.015, "return_pct": -0.008, "duration": ""}, {"time": "2026-07-31 01:00:00", "side": "BUY", "asset": "BTC", "size": 0.149998, "entry_px": 64808.74, "exit_px": 64465.47, "pnl_gross": -54.3991, "pnl_net": -57.3078, "fee": 2.908631, "fee_rate_pct": 0.015, "return_pct": -0.56, "duration": ""}, {"time": "2026-07-31 09:00:00", "side": "BUY", "asset": "BTC", "size": 0.150226, "entry_px": 64348.28, "exit_px": 63632.3, "pnl_gross": -110.443, "pnl_net": -113.3269, "fee": 2.883902, "fee_rate_pct": 0.015, "return_pct": -1.142, "duration": ""}, {"time": "2026-07-31 14:00:00", "side": "BUY", "asset": "BTC", "size": 0.149806, "entry_px": 63791.73, "exit_px": 62606.33, "pnl_gross": -180.4198, "pnl_net": -183.2601, "fee": 2.840278, "fee_rate_pct": 0.015, "return_pct": -1.888, "duration": ""}, {"time": "2026-07-31 22:00:00", "side": "BUY", "asset": "BTC", "size": 0.148185, "entry_px": 63272.21, "exit_px": 62837.1, "pnl_gross": -67.2797, "pnl_net": -70.0829, "fee": 2.803126, "fee_rate_pct": 0.015, "return_pct": -0.718, "duration": ""}, {"time": "2026-08-01 04:00:00", 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