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
1 line
3.1 KiB
JSON
1 line
3.1 KiB
JSON
{"strategy": "grid_mm", "interval": "1d", "n_bars": 43, "start_equity": 10000.0, "end_equity": 11125.54, "total_return_pct": 11.26, "pnl": 1125.54, "sharpe": 3.489, "sortino": 5.738, "max_drawdown_pct": 5.62, "win_rate": NaN, "profit_factor": NaN, "expectancy": NaN, "trades": [{"time": "2026-08-10 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.170444, "entry_px": 58661.6, "exit_px": 65274.0, "pnl_gross": 1125.5416, "pnl_net": 1122.373, "fee": 3.168612, "fee_rate_pct": 0.015, "return_pct": 11.257, "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": "2026-06-29T00:00:00+00:00", "v": 10000.0}, {"t": "2026-06-30T00:00:00+00:00", "v": 9988.51}, {"t": "2026-07-01T00:00:00+00:00", "v": 10228.33}, {"t": "2026-07-02T00:00:00+00:00", "v": 10497.12}, {"t": "2026-07-03T00:00:00+00:00", "v": 10665.68}, {"t": "2026-07-04T00:00:00+00:00", "v": 10759.6}, {"t": "2026-07-05T00:00:00+00:00", "v": 10846.18}, {"t": "2026-07-06T00:00:00+00:00", "v": 10917.6}, {"t": "2026-07-07T00:00:00+00:00", "v": 10798.46}, {"t": "2026-07-08T00:00:00+00:00", "v": 10615.74}, {"t": "2026-07-09T00:00:00+00:00", "v": 10776.3}, {"t": "2026-07-10T00:00:00+00:00", "v": 10934.82}, {"t": "2026-07-11T00:00:00+00:00", "v": 10878.23}, {"t": "2026-07-12T00:00:00+00:00", "v": 10870.9}, {"t": "2026-07-13T00:00:00+00:00", "v": 10623.93}, {"t": "2026-07-14T00:00:00+00:00", "v": 11078.84}, {"t": "2026-07-15T00:00:00+00:00", "v": 11034.18}, {"t": "2026-07-16T00:00:00+00:00", "v": 10876.86}, {"t": "2026-07-17T00:00:00+00:00", "v": 10896.12}, {"t": "2026-07-18T00:00:00+00:00", "v": 11049.35}, {"t": "2026-07-19T00:00:00+00:00", "v": 11030.77}, {"t": "2026-07-20T00:00:00+00:00", "v": 11117.36}, {"t": "2026-07-21T00:00:00+00:00", "v": 11339.11}, {"t": "2026-07-22T00:00:00+00:00", "v": 11263.94}, {"t": "2026-07-23T00:00:00+00:00", "v": 11090.6}, {"t": "2026-07-24T00:00:00+00:00", "v": 10929.36}, {"t": "2026-07-25T00:00:00+00:00", "v": 10969.93}, {"t": "2026-07-26T00:00:00+00:00", "v": 11141.22}, {"t": "2026-07-27T00:00:00+00:00", "v": 10863.4}, {"t": "2026-07-28T00:00:00+00:00", "v": 10892.37}, {"t": "2026-07-29T00:00:00+00:00", "v": 10901.92}, {"t": "2026-07-30T00:00:00+00:00", "v": 11036.91}, {"t": "2026-07-31T00:00:00+00:00", "v": 10713.41}, {"t": "2026-08-01T00:00:00+00:00", "v": 10702.16}, {"t": "2026-08-02T00:00:00+00:00", "v": 10832.72}, {"t": "2026-08-03T00:00:00+00:00", "v": 10821.81}, {"t": "2026-08-04T00:00:00+00:00", "v": 10919.99}, {"t": "2026-08-05T00:00:00+00:00", "v": 11014.92}, {"t": "2026-08-06T00:00:00+00:00", "v": 10958.34}, {"t": "2026-08-07T00:00:00+00:00", "v": 11059.24}, {"t": "2026-08-08T00:00:00+00:00", "v": 11067.42}, {"t": "2026-08-09T00:00:00+00:00", "v": 11056.34}, {"t": "2026-08-10T00:00:00+00:00", "v": 11125.54}], "total_trades": 1, "generated_at": "2026-08-10T08:30:50.136082+00:00", "asset": "BTC"} |