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
1.4 KiB
JSON
1 line
1.4 KiB
JSON
{"strategy": "grid_mm", "interval": "1d", "n_bars": 8, "start_equity": 10000.0, "end_equity": 10176.69, "total_return_pct": 1.77, "pnl": 176.69, "sharpe": 8.077, "sortino": 22.221, "max_drawdown_pct": 0.51, "win_rate": NaN, "profit_factor": NaN, "expectancy": NaN, "trades": [{"time": "2026-08-10 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.155905, "entry_px": 64132.07, "exit_px": 65275.0, "pnl_gross": 176.6889, "pnl_net": 173.6626, "fee": 3.026281, "fee_rate_pct": 0.015, "return_pct": 1.767, "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": "2026-08-03T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T00:00:00+00:00", "v": 9988.51}, {"t": "2026-08-05T00:00:00+00:00", "v": 10075.35}, {"t": "2026-08-06T00:00:00+00:00", "v": 10023.59}, {"t": "2026-08-07T00:00:00+00:00", "v": 10115.89}, {"t": "2026-08-08T00:00:00+00:00", "v": 10123.37}, {"t": "2026-08-09T00:00:00+00:00", "v": 10113.24}, {"t": "2026-08-10T00:00:00+00:00", "v": 10176.69}], "total_trades": 1, "generated_at": "2026-08-10T08:30:53.444020+00:00", "asset": "BTC"} |