rams/ftdt-quant-lab
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
main
ftdt-quant-lab/backtests/results/grid_mm_BTC_4h_180_20260810-083036.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

1 line
10 KiB
JSON
Raw Permalink Blame History

{"strategy": "grid_mm", "interval": "4h", "n_bars": 181, "start_equity": 10000.0, "end_equity": 10117.8, "total_return_pct": 1.18, "pnl": 117.8, "sharpe": 0.655, "sortino": 0.976, "max_drawdown_pct": 6.21, "win_rate": 1.0, "profit_factor": Infinity, "expectancy": 73.415, "trades": [{"time": "2026-08-09 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.155645, "entry_px": 64239.17, "exit_px": 64730.21, "pnl_gross": 73.4153, "pnl_net": 70.4043, "fee": 3.011016, "fee_rate_pct": 0.015, "return_pct": 0.734, "duration": ""}, {"time": "2026-08-10 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.155003, "entry_px": 64978.91, "exit_px": 65275.0, "pnl_gross": 44.3833, "pnl_net": 41.3549, "fee": 3.028462, "fee_rate_pct": 0.015, "return_pct": 0.441, "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": "2026-07-11T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-11T12:00:00+00:00", "v": 9988.51}, {"t": "2026-07-11T16:00:00+00:00", "v": 10005.94}, {"t": "2026-07-11T20:00:00+00:00", "v": 9933.72}, {"t": "2026-07-12T00:00:00+00:00", "v": 9995.2}, {"t": "2026-07-12T04:00:00+00:00", "v": 9943.06}, {"t": "2026-07-12T08:00:00+00:00", "v": 9965.48}, {"t": "2026-07-12T12:00:00+00:00", "v": 9987.27}, {"t": "2026-07-12T16:00:00+00:00", "v": 9998.63}, {"t": "2026-07-12T20:00:00+00:00", "v": 9927.03}, {"t": "2026-07-13T00:00:00+00:00", "v": 9776.21}, {"t": "2026-07-13T04:00:00+00:00", "v": 9806.1}, {"t": "2026-07-13T08:00:00+00:00", "v": 9791.62}, {"t": "2026-07-13T12:00:00+00:00", "v": 9748.82}, {"t": "2026-07-13T16:00:00+00:00", "v": 9694.65}, {"t": "2026-07-13T20:00:00+00:00", "v": 9701.5}, {"t": "2026-07-14T00:00:00+00:00", "v": 9736.21}, {"t": "2026-07-14T04:00:00+00:00", "v": 9733.41}, {"t": "2026-07-14T08:00:00+00:00", "v": 9779.64}, {"t": "2026-07-14T12:00:00+00:00", "v": 10074.43}, {"t": "2026-07-14T16:00:00+00:00", "v": 10045.79}, {"t": "2026-07-14T20:00:00+00:00", "v": 10116.92}, {"t": "2026-07-15T00:00:00+00:00", "v": 10084.08}, {"t": "2026-07-15T04:00:00+00:00", "v": 10047.5}, {"t": "2026-07-15T08:00:00+00:00", "v": 10074.74}, {"t": "2026-07-15T12:00:00+00:00", "v": 10180.27}, {"t": "2026-07-15T16:00:00+00:00", "v": 10108.67}, {"t": "2026-07-15T20:00:00+00:00", "v": 10076.14}, {"t": "2026-07-16T00:00:00+00:00", "v": 10054.97}, {"t": "2026-07-16T04:00:00+00:00", "v": 9995.83}, {"t": "2026-07-16T08:00:00+00:00", "v": 9997.85}, {"t": "2026-07-16T12:00:00+00:00", "v": 10068.51}, {"t": "2026-07-16T16:00:00+00:00", "v": 10002.21}, {"t": "2026-07-16T20:00:00+00:00", "v": 9932.48}, {"t": "2026-07-17T00:00:00+00:00", "v": 9894.66}, {"t": "2026-07-17T04:00:00+00:00", "v": 9780.57}, {"t": "2026-07-17T08:00:00+00:00", "v": 9852.48}, {"t": "2026-07-17T12:00:00+00:00", "v": 9880.03}, {"t": "2026-07-17T16:00:00+00:00", "v": 9985.55}, {"t": "2026-07-17T20:00:00+00:00", "v": 9950.07}, {"t": "2026-07-18T00:00:00+00:00", "v": 9962.67}, {"t": "2026-07-18T04:00:00+00:00", "v": 9960.5}, {"t": "2026-07-18T08:00:00+00:00", "v": 9968.9}, {"t": "2026-07-18T12:00:00+00:00", "v": 9977.46}, {"t": "2026-07-18T16:00:00+00:00", "v": 10046.26}, {"t": "2026-07-18T20:00:00+00:00", "v": 10089.99}, {"t": "2026-07-19T00:00:00+00:00", "v": 10069.29}, {"t": "2026-07-19T04:00:00+00:00", "v": 10072.25}, {"t": "2026-07-19T08:00:00+00:00", "v": 10031.63}, {"t": "2026-07-19T12:00:00+00:00", "v": 10050.61}, {"t": "2026-07-19T16:00:00+00:00", "v": 10032.25}, {"t": "2026-07-19T20:00:00+00:00", "v": 10073.03}, {"t": "2026-07-20T00:00:00+00:00", "v": 10092.17}, {"t": "2026-07-20T04:00:00+00:00", "v": 9998.78}, {"t": "2026-07-20T08:00:00+00:00", "v": 10115.21}, {"t": "2026-07-20T12:00:00+00:00", "v": 10204.86}, {"t": "2026-07-20T16:00:00+00:00", "v": 10132.48}, {"t": "2026-07-20T20:00:00+00:00", "v": 10152.09}, {"t": "2026-07-21T00:00:00+00:00", "v": 10200.81}, {"t": "2026-07-21T04:00:00+00:00", "v": 10299.02}, {"t": "2026-07-21T08:00:00+00:00", "v": 10322.37}, {"t": "2026-07-21T12:00:00+00:00", "v": 10372.8}, {"t": "2026-07-21T16:00:00+00:00", "v": 10337.47}, {"t": "2026-07-21T20:00:00+00:00", "v": 10354.59}, {"t": "2026-07-22T00:00:00+00:00", "v": 10300.58}, {"t": "2026-07-22T04:00:00+00:00", "v": 10242.68}, {"t": "2026-07-22T08:00:00+00:00", "v": 10271.01}, {"t": "2026-07-22T12:00:00+00:00", "v": 10275.99}, {"t": "2026-07-22T16:00:00+00:00", "v": 10257.93}, {"t": "2026-07-22T20:00:00+00:00", "v": 10285.95}, {"t": "2026-07-23T00:00:00+00:00", "v": 10214.35}, {"t": "2026-07-23T04:00:00+00:00", "v": 10181.67}, {"t": "2026-07-23T08:00:00+00:00", "v": 10198.32}, {"t": "2026-07-23T12:00:00+00:00", "v": 10107.89}, {"t": "2026-07-23T16:00:00+00:00", "v": 10091.08}, {"t": "2026-07-23T20:00:00+00:00", "v": 10127.66}, {"t": "2026-07-24T00:00:00+00:00", "v": 10183.22}, {"t": "2026-07-24T04:00:00+00:00", "v": 10192.1}, {"t": "2026-07-24T08:00:00+00:00", "v": 10127.04}, {"t": "2026-07-24T12:00:00+00:00", "v": 9974.5}, {"t": "2026-07-24T16:00:00+00:00", "v": 9992.25}, {"t": "2026-07-24T20:00:00+00:00", "v": 9980.42}, {"t": "2026-07-25T00:00:00+00:00", "v": 9970.92}, {"t": "2026-07-25T04:00:00+00:00", "v": 9958.78}, {"t": "2026-07-25T08:00:00+00:00", "v": 9966.25}, {"t": "2026-07-25T12:00:00+00:00", "v": 9985.71}, {"t": "2026-07-25T16:00:00+00:00", "v": 10018.55}, {"t": "2026-07-25T20:00:00+00:00", "v": 10017.46}, {"t": "2026-07-26T00:00:00+00:00", "v": 10042.21}, {"t": "2026-07-26T04:00:00+00:00", "v": 10015.13}, {"t": "2026-07-26T08:00:00+00:00", "v": 10035.36}, {"t": "2026-07-26T12:00:00+00:00", "v": 10075.98}, {"t": "2026-07-26T16:00:00+00:00", "v": 10065.4}, {"t": "2026-07-26T20:00:00+00:00", "v": 10173.88}, {"t": "2026-07-27T00:00:00+00:00", "v": 10157.54}, {"t": "2026-07-27T04:00:00+00:00", "v": 10146.65}, {"t": "2026-07-27T08:00:00+00:00", "v": 10128.44}, {"t": "2026-07-27T12:00:00+00:00", "v": 10041.28}, {"t": "2026-07-27T16:00:00+00:00", "v": 10108.98}, {"t": "2026-07-27T20:00:00+00:00", "v": 9920.18}, {"t": "2026-07-28T00:00:00+00:00", "v": 9855.44}, {"t": "2026-07-28T04:00:00+00:00", "v": 9880.34}, {"t": "2026-07-28T08:00:00+00:00", "v": 9874.27}, {"t": "2026-07-28T12:00:00+00:00", "v": 9947.42}, {"t": "2026-07-28T16:00:00+00:00", "v": 9941.04}, {"t": "2026-07-28T20:00:00+00:00", "v": 9946.64}, {"t": "2026-07-29T00:00:00+00:00", "v": 9917.85}, {"t": "2026-07-29T04:00:00+00:00", "v": 10043.77}, {"t": "2026-07-29T08:00:00+00:00", "v": 10036.29}, {"t": "2026-07-29T12:00:00+00:00", "v": 9952.4}, {"t": "2026-07-29T16:00:00+00:00", "v": 9893.26}, {"t": "2026-07-29T20:00:00+00:00", "v": 9955.36}, {"t": "2026-07-30T00:00:00+00:00", "v": 9982.75}, {"t": "2026-07-30T04:00:00+00:00", "v": 9957.69}, {"t": "2026-07-30T08:00:00+00:00", "v": 10077.54}, {"t": "2026-07-30T12:00:00+00:00", "v": 10068.98}, {"t": "2026-07-30T16:00:00+00:00", "v": 10080.96}, {"t": "2026-07-30T20:00:00+00:00", "v": 10078.63}, {"t": "2026-07-31T00:00:00+00:00", "v": 10015.28}, {"t": "2026-07-31T04:00:00+00:00", "v": 9948.51}, {"t": "2026-07-31T08:00:00+00:00", "v": 9925.63}, {"t": "2026-07-31T12:00:00+00:00", "v": 9759.71}, {"t": "2026-07-31T16:00:00+00:00", "v": 9795.51}, {"t": "2026-07-31T20:00:00+00:00", "v": 9783.22}, {"t": "2026-08-01T00:00:00+00:00", "v": 9801.74}, {"t": "2026-08-01T04:00:00+00:00", "v": 9808.43}, {"t": "2026-08-01T08:00:00+00:00", "v": 9812.79}, {"t": "2026-08-01T12:00:00+00:00", "v": 9802.83}, {"t": "2026-08-01T16:00:00+00:00", "v": 9728.27}, {"t": "2026-08-01T20:00:00+00:00", "v": 9772.94}, {"t": "2026-08-02T00:00:00+00:00", "v": 9873.49}, {"t": "2026-08-02T04:00:00+00:00", "v": 9878.32}, {"t": "2026-08-02T08:00:00+00:00", "v": 9807.34}, {"t": "2026-08-02T12:00:00+00:00", "v": 9821.5}, {"t": "2026-08-02T16:00:00+00:00", "v": 9874.58}, {"t": "2026-08-02T20:00:00+00:00", "v": 9892.17}, {"t": "2026-08-03T00:00:00+00:00", "v": 9781.66}, {"t": "2026-08-03T04:00:00+00:00", "v": 9742.9}, {"t": "2026-08-03T08:00:00+00:00", "v": 9733.1}, {"t": "2026-08-03T12:00:00+00:00", "v": 9908.51}, {"t": "2026-08-03T16:00:00+00:00", "v": 9935.13}, {"t": "2026-08-03T20:00:00+00:00", "v": 9882.21}, {"t": "2026-08-04T00:00:00+00:00", "v": 9926.57}, {"t": "2026-08-04T04:00:00+00:00", "v": 9908.2}, {"t": "2026-08-04T08:00:00+00:00", "v": 9945.55}, {"t": "2026-08-04T12:00:00+00:00", "v": 9975.44}, {"t": "2026-08-04T16:00:00+00:00", "v": 9992.71}, {"t": "2026-08-04T20:00:00+00:00", "v": 9971.86}, {"t": "2026-08-05T00:00:00+00:00", "v": 9985.71}, {"t": "2026-08-05T04:00:00+00:00", "v": 9982.75}, {"t": "2026-08-05T08:00:00+00:00", "v": 9967.66}, {"t": "2026-08-05T12:00:00+00:00", "v": 10015.91}, {"t": "2026-08-05T16:00:00+00:00", "v": 10085.17}, {"t": "2026-08-05T20:00:00+00:00", "v": 10058.55}, {"t": "2026-08-06T00:00:00+00:00", "v": 10040.81}, {"t": "2026-08-06T04:00:00+00:00", "v": 10083.3}, {"t": "2026-08-06T08:00:00+00:00", "v": 10054.35}, {"t": "2026-08-06T12:00:00+00:00", "v": 10054.35}, {"t": "2026-08-06T16:00:00+00:00", "v": 10026.02}, {"t": "2026-08-06T20:00:00+00:00", "v": 10006.88}, {"t": "2026-08-07T00:00:00+00:00", "v": 10001.59}, {"t": "2026-08-07T04:00:00+00:00", "v": 10006.1}, {"t": "2026-08-07T08:00:00+00:00", "v": 10115.98}, {"t": "2026-08-07T12:00:00+00:00", "v": 10097.62}, {"t": "2026-08-07T16:00:00+00:00", "v": 10104.31}, {"t": "2026-08-07T20:00:00+00:00", "v": 10099.02}, {"t": "2026-08-08T00:00:00+00:00", "v": 10116.61}, {"t": "2026-08-08T04:00:00+00:00", "v": 10105.4}, {"t": "2026-08-08T08:00:00+00:00", "v": 10107.42}, {"t": "2026-08-08T12:00:00+00:00", "v": 10124.86}, {"t": "2026-08-08T16:00:00+00:00", "v": 10123.77}, {"t": "2026-08-08T20:00:00+00:00", "v": 10106.49}, {"t": "2026-08-09T00:00:00+00:00", "v": 10079.41}, {"t": "2026-08-09T04:00:00+00:00", "v": 10073.42}, {"t": "2026-08-09T08:00:00+00:00", "v": 10061.84}, {"t": "2026-08-09T12:00:00+00:00", "v": 10106.17}, {"t": "2026-08-09T16:00:00+00:00", "v": 10098.27}, {"t": "2026-08-09T20:00:00+00:00", "v": 10054.71}, {"t": "2026-08-10T00:00:00+00:00", "v": 10067.73}, {"t": "2026-08-10T04:00:00+00:00", "v": 10103.38}, {"t": "2026-08-10T08:00:00+00:00", "v": 10117.8}], "total_trades": 2, "generated_at": "2026-08-10T08:30:36.011471+00:00", "asset": "BTC"}
Reference in New Issue View Git Blame Copy Permalink