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ftdt-quant-lab/backtests/results/grid_mm_BTC_1h_168_20260810-083015.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": "grid_mm", "interval": "1h", "n_bars": 169, "start_equity": 10000.0, "end_equity": 9986.84, "total_return_pct": -0.13, "pnl": -13.16, "sharpe": -0.218, "sortino": -0.394, "max_drawdown_pct": 3.6, "win_rate": 0.2, "profit_factor": 0.943, "expectancy": -1.092, "trades": [{"time": "2026-08-05 09:00:00", "side": "BUY", "asset": "BTC", "size": 0.159022, "entry_px": 62874.81, "exit_px": 64062.87, "pnl_gross": 185.9004, "pnl_net": 182.8725, "fee": 3.027883, "fee_rate_pct": 0.015, "return_pct": 1.859, "duration": ""}, {"time": "2026-08-06 03:00:00", "side": "BUY", "asset": "BTC", "size": 0.158892, "entry_px": 64096.03, "exit_px": 64446.49, "pnl_gross": 52.6213, "pnl_net": 49.5576, "fee": 3.063657, "fee_rate_pct": 0.015, "return_pct": 0.517, "duration": ""}, {"time": "2026-08-06 10:00:00", "side": "BUY", "asset": "BTC", "size": 0.158057, "entry_px": 64767.7, "exit_px": 64524.41, "pnl_gross": -41.5193, "pnl_net": -44.5846, "fee": 3.065328, "fee_rate_pct": 0.015, "return_pct": -0.406, "duration": ""}, {"time": "2026-08-07 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.157672, "entry_px": 64662.6, "exit_px": 64875.06, "pnl_gross": 30.4356, "pnl_net": 27.3719, "fee": 3.063669, "fee_rate_pct": 0.015, "return_pct": 0.299, "duration": ""}, {"time": "2026-08-07 22:00:00", "side": "BUY", "asset": "BTC", "size": 0.157445, "entry_px": 64948.88, "exit_px": 64787.15, "pnl_gross": -28.5285, "pnl_net": -31.5925, "fee": 3.063943, "fee_rate_pct": 0.015, "return_pct": -0.279, "duration": ""}, {"time": "2026-08-08 01:00:00", "side": "BUY", "asset": "BTC", "size": 0.156997, "entry_px": 64952.89, "exit_px": 64820.11, "pnl_gross": -23.901, "pnl_net": -26.9571, "fee": 3.056096, "fee_rate_pct": 0.015, "return_pct": -0.234, "duration": ""}, {"time": "2026-08-08 05:00:00", "side": "BUY", "asset": "BTC", "size": 0.156364, "entry_px": 65063.0, "exit_px": 64902.03, "pnl_gross": -28.2173, "pnl_net": -31.2656, "fee": 3.048278, "fee_rate_pct": 0.015, "return_pct": -0.277, "duration": ""}, {"time": "2026-08-08 10:00:00", "side": "BUY", "asset": "BTC", "size": 0.156024, "entry_px": 65023.96, "exit_px": 64916.02, "pnl_gross": -19.8822, "pnl_net": -22.9233, "fee": 3.041063, "fee_rate_pct": 0.015, "return_pct": -0.196, "duration": ""}, {"time": "2026-08-08 13:00:00", "side": "BUY", "asset": "BTC", "size": 0.155691, "entry_px": 65034.97, "exit_px": 64923.01, "pnl_gross": -20.4659, "pnl_net": -23.5009, "fee": 3.034993, "fee_rate_pct": 0.015, "return_pct": -0.202, "duration": ""}, {"time": "2026-08-08 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.155059, "entry_px": 65168.1, "exit_px": 64996.94, "pnl_gross": -29.5682, "pnl_net": -32.5957, "fee": 3.027489, "fee_rate_pct": 0.015, "return_pct": -0.293, "duration": ""}, {"time": "2026-08-08 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.154817, "entry_px": 65079.01, "exit_px": 64979.96, "pnl_gross": -18.3564, "pnl_net": -21.3767, "fee": 3.020301, "fee_rate_pct": 0.015, "return_pct": -0.182, "duration": ""}, {"time": "2026-08-08 23:00:00", "side": "BUY", "asset": "BTC", "size": 0.154778, "entry_px": 64976.91, "exit_px": 64868.07, "pnl_gross": -19.8614, "pnl_net": -22.876, "fee": 3.014572, "fee_rate_pct": 0.015, "return_pct": -0.197, "duration": ""}, {"time": "2026-08-09 02:00:00", "side": "BUY", "asset": "BTC", "size": 0.154649, "entry_px": 64902.84, "exit_px": 64730.21, "pnl_gross": -29.7046, "pnl_net": -32.7118, "fee": 3.007143, "fee_rate_pct": 0.015, "return_pct": -0.296, "duration": ""}, {"time": "2026-08-09 11:00:00", "side": "BUY", "asset": "BTC", "size": 0.154308, "entry_px": 64853.79, "exit_px": 64849.09, "pnl_gross": -3.7278, "pnl_net": -6.73, "fee": 3.002129, "fee_rate_pct": 0.015, "return_pct": -0.037, "duration": ""}, {"time": "2026-08-09 15:00:00", "side": "BUY", "asset": "BTC", "size": 0.153299, "entry_px": 65256.19, "exit_px": 65134.8, "pnl_gross": -21.6075, "pnl_net": -24.6058, "fee": 2.998321, "fee_rate_pct": 0.015, "return_pct": -0.216, "duration": ""}, {"time": "2026-08-10 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.153008, "entry_px": 65239.17, "exit_px": 65270.0, "pnl_gross": 3.2193, "pnl_net": 0.224, "fee": 2.995342, "fee_rate_pct": 0.015, "return_pct": 0.032, "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": "2026-08-03T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T09:00:00+00:00", "v": 9988.51}, {"t": "2026-08-03T10:00:00+00:00", "v": 9973.88}, {"t": "2026-08-03T11:00:00+00:00", "v": 9944.3}, {"t": "2026-08-03T12:00:00+00:00", "v": 9967.04}, {"t": "2026-08-03T13:00:00+00:00", "v": 10072.48}, {"t": "2026-08-03T14:00:00+00:00", "v": 10167.89}, {"t": "2026-08-03T15:00:00+00:00", "v": 10123.52}, {"t": "2026-08-03T16:00:00+00:00", "v": 10136.88}, {"t": "2026-08-03T17:00:00+00:00", "v": 10157.39}, {"t": "2026-08-03T18:00:00+00:00", "v": 10151.83}, {"t": "2026-08-03T19:00:00+00:00", "v": 10150.71}, {"t": "2026-08-03T20:00:00+00:00", "v": 10139.42}, {"t": "2026-08-03T21:00:00+00:00", "v": 10107.46}, {"t": "2026-08-03T22:00:00+00:00", "v": 10110.48}, {"t": "2026-08-03T23:00:00+00:00", "v": 10096.65}, {"t": "2026-08-04T00:00:00+00:00", "v": 10072.32}, {"t": "2026-08-04T01:00:00+00:00", "v": 10149.28}, {"t": "2026-08-04T02:00:00+00:00", "v": 10145.47}, {"t": "2026-08-04T03:00:00+00:00", "v": 10141.97}, {"t": "2026-08-04T04:00:00+00:00", "v": 10178.54}, {"t": "2026-08-04T05:00:00+00:00", "v": 10141.97}, {"t": "2026-08-04T06:00:00+00:00", "v": 10121.3}, {"t": "2026-08-04T07:00:00+00:00", "v": 10123.2}, {"t": "2026-08-04T08:00:00+00:00", "v": 10106.98}, {"t": "2026-08-04T09:00:00+00:00", "v": 10108.89}, {"t": "2026-08-04T10:00:00+00:00", "v": 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"v": 10213.35}, {"t": "2026-08-07T17:00:00+00:00", "v": 10207.05}, {"t": "2026-08-07T18:00:00+00:00", "v": 10199.79}, {"t": "2026-08-07T19:00:00+00:00", "v": 10235.9}, {"t": "2026-08-07T20:00:00+00:00", "v": 10227.44}, {"t": "2026-08-07T21:00:00+00:00", "v": 10215.69}, {"t": "2026-08-07T22:00:00+00:00", "v": 10198.91}, {"t": "2026-08-07T23:00:00+00:00", "v": 10198.91}, {"t": "2026-08-08T00:00:00+00:00", "v": 10187.19}, {"t": "2026-08-08T01:00:00+00:00", "v": 10175.01}, {"t": "2026-08-08T02:00:00+00:00", "v": 10175.01}, {"t": "2026-08-08T03:00:00+00:00", "v": 10163.32}, {"t": "2026-08-08T04:00:00+00:00", "v": 10159.57}, {"t": "2026-08-08T05:00:00+00:00", "v": 10146.79}, {"t": "2026-08-08T06:00:00+00:00", "v": 10146.79}, {"t": "2026-08-08T07:00:00+00:00", "v": 10146.79}, {"t": "2026-08-08T08:00:00+00:00", "v": 10146.79}, {"t": "2026-08-08T09:00:00+00:00", "v": 10135.13}, {"t": "2026-08-08T10:00:00+00:00", "v": 10126.91}, {"t": "2026-08-08T11:00:00+00:00", "v": 10126.91}, {"t": 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"v": 10008.95}, {"t": "2026-08-09T08:00:00+00:00", "v": 9997.45}, {"t": "2026-08-09T09:00:00+00:00", "v": 10007.48}, {"t": "2026-08-09T10:00:00+00:00", "v": 10018.75}, {"t": "2026-08-09T11:00:00+00:00", "v": 10005.22}, {"t": "2026-08-09T12:00:00+00:00", "v": 10005.22}, {"t": "2026-08-09T13:00:00+00:00", "v": 9993.73}, {"t": "2026-08-09T14:00:00+00:00", "v": 9999.86}, {"t": "2026-08-09T15:00:00+00:00", "v": 9983.62}, {"t": "2026-08-09T16:00:00+00:00", "v": 9983.62}, {"t": "2026-08-09T17:00:00+00:00", "v": 9983.62}, {"t": "2026-08-09T18:00:00+00:00", "v": 9983.62}, {"t": "2026-08-09T19:00:00+00:00", "v": 9983.62}, {"t": "2026-08-09T20:00:00+00:00", "v": 9983.62}, {"t": "2026-08-09T21:00:00+00:00", "v": 9972.15}, {"t": "2026-08-09T22:00:00+00:00", "v": 9952.26}, {"t": "2026-08-09T23:00:00+00:00", "v": 9925.33}, {"t": "2026-08-10T00:00:00+00:00", "v": 9935.27}, {"t": "2026-08-10T01:00:00+00:00", "v": 9970.92}, {"t": "2026-08-10T02:00:00+00:00", "v": 9957.31}, {"t": "2026-08-10T03:00:00+00:00", "v": 9938.18}, {"t": "2026-08-10T04:00:00+00:00", "v": 9943.23}, {"t": "2026-08-10T05:00:00+00:00", "v": 9960.82}, {"t": "2026-08-10T06:00:00+00:00", "v": 9985.77}, {"t": "2026-08-10T07:00:00+00:00", "v": 9973.37}, {"t": "2026-08-10T08:00:00+00:00", "v": 9986.84}], "total_trades": 16, "generated_at": "2026-08-10T08:30:15.403042+00:00", "asset": "BTC"}
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