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ftdt-quant-lab/backtests/results/grid_mm_BTC_1d_168_20260810-083046.json
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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": "grid_mm", "interval": "1d", "n_bars": 169, "start_equity": 10000.0, "end_equity": 10184.96, "total_return_pct": 1.85, "pnl": 184.96, "sharpe": 0.293, "sortino": 0.434, "max_drawdown_pct": 28.68, "win_rate": NaN, "profit_factor": NaN, "expectancy": NaN, "trades": [{"time": "2026-08-10 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.156034, "entry_px": 64079.01, "exit_px": 65274.0, "pnl_gross": 184.9584, "pnl_net": 181.9309, "fee": 3.02752, "fee_rate_pct": 0.015, "return_pct": 1.85, "duration": ""}], "params": {"grid_levels": 10, "grid_spacing_pct": 0.1, "rebalance_every": 20, "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": "2026-02-23T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-24T00:00:00+00:00", "v": 9988.51}, {"t": "2026-02-25T00:00:00+00:00", "v": 10601.57}, {"t": "2026-02-26T00:00:00+00:00", "v": 10524.96}, {"t": "2026-02-27T00:00:00+00:00", "v": 10272.81}, {"t": "2026-02-28T00:00:00+00:00", "v": 10443.51}, {"t": "2026-03-01T00:00:00+00:00", "v": 10256.73}, {"t": "2026-03-02T00:00:00+00:00", "v": 10731.08}, {"t": "2026-03-03T00:00:00+00:00", "v": 10656.96}, {"t": "2026-03-04T00:00:00+00:00", "v": 11333.21}, {"t": "2026-03-05T00:00:00+00:00", "v": 11051.57}, {"t": "2026-03-06T00:00:00+00:00", "v": 10623.1}, {"t": "2026-03-07T00:00:00+00:00", "v": 10490.16}, {"t": "2026-03-08T00:00:00+00:00", "v": 10287.78}, {"t": "2026-03-09T00:00:00+00:00", "v": 10671.0}, {"t": "2026-03-10T00:00:00+00:00", "v": 10906.46}, {"t": "2026-03-11T00:00:00+00:00", "v": 10943.44}, {"t": "2026-03-12T00:00:00+00:00", "v": 11000.39}, {"t": "2026-03-13T00:00:00+00:00", "v": 11062.96}, {"t": "2026-03-14T00:00:00+00:00", "v": 11106.49}, {"t": "2026-03-15T00:00:00+00:00", "v": 11355.84}, {"t": 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9807.67}, {"t": "2026-08-01T00:00:00+00:00", "v": 9797.37}, {"t": "2026-08-02T00:00:00+00:00", "v": 9916.89}, {"t": "2026-08-03T00:00:00+00:00", "v": 9906.91}, {"t": "2026-08-04T00:00:00+00:00", "v": 9996.78}, {"t": "2026-08-05T00:00:00+00:00", "v": 10083.69}, {"t": "2026-08-06T00:00:00+00:00", "v": 10031.89}, {"t": "2026-08-07T00:00:00+00:00", "v": 10124.26}, {"t": "2026-08-08T00:00:00+00:00", "v": 10131.75}, {"t": "2026-08-09T00:00:00+00:00", "v": 10121.61}, {"t": "2026-08-10T00:00:00+00:00", "v": 10184.96}], "total_trades": 1, "generated_at": "2026-08-10T08:30:46.634318+00:00", "asset": "BTC"}
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