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
2.8 KiB
JSON
1 line
2.8 KiB
JSON
{"strategy": "grid_mm", "interval": "4h", "n_bars": 31, "start_equity": 10000.0, "end_equity": 10089.97, "total_return_pct": 0.9, "pnl": 89.97, "sharpe": 4.396, "sortino": 9.328, "max_drawdown_pct": 0.83, "win_rate": 1.0, "profit_factor": Infinity, "expectancy": 45.865, "trades": [{"time": "2026-08-09 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.155219, "entry_px": 64415.35, "exit_px": 64730.21, "pnl_gross": 45.8645, "pnl_net": 42.8576, "fee": 3.006877, "fee_rate_pct": 0.015, "return_pct": 0.459, "duration": ""}, {"time": "2026-08-10 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.154579, "entry_px": 64978.91, "exit_px": 65274.0, "pnl_gross": 44.1074, "pnl_net": 41.0872, "fee": 3.020155, "fee_rate_pct": 0.015, "return_pct": 0.439, "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": "2026-08-05T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T12:00:00+00:00", "v": 9988.51}, {"t": "2026-08-05T16:00:00+00:00", "v": 10057.58}, {"t": "2026-08-05T20:00:00+00:00", "v": 10031.04}, {"t": "2026-08-06T00:00:00+00:00", "v": 10013.35}, {"t": "2026-08-06T04:00:00+00:00", "v": 10055.72}, {"t": "2026-08-06T08:00:00+00:00", "v": 10026.85}, {"t": "2026-08-06T12:00:00+00:00", "v": 10026.85}, {"t": "2026-08-06T16:00:00+00:00", "v": 9998.6}, {"t": "2026-08-06T20:00:00+00:00", "v": 9979.51}, {"t": "2026-08-07T00:00:00+00:00", "v": 9974.23}, {"t": "2026-08-07T04:00:00+00:00", "v": 9978.73}, {"t": "2026-08-07T08:00:00+00:00", "v": 10088.32}, {"t": "2026-08-07T12:00:00+00:00", "v": 10070.0}, {"t": "2026-08-07T16:00:00+00:00", "v": 10076.68}, {"t": "2026-08-07T20:00:00+00:00", "v": 10071.4}, {"t": "2026-08-08T00:00:00+00:00", "v": 10088.94}, {"t": "2026-08-08T04:00:00+00:00", "v": 10077.76}, {"t": "2026-08-08T08:00:00+00:00", "v": 10079.78}, {"t": "2026-08-08T12:00:00+00:00", "v": 10097.17}, {"t": "2026-08-08T16:00:00+00:00", "v": 10096.08}, {"t": "2026-08-08T20:00:00+00:00", "v": 10078.85}, {"t": "2026-08-09T00:00:00+00:00", "v": 10051.84}, {"t": "2026-08-09T04:00:00+00:00", "v": 10045.86}, {"t": "2026-08-09T08:00:00+00:00", "v": 10034.32}, {"t": "2026-08-09T12:00:00+00:00", "v": 10078.53}, {"t": "2026-08-09T16:00:00+00:00", "v": 10070.65}, {"t": "2026-08-09T20:00:00+00:00", "v": 10027.21}, {"t": "2026-08-10T00:00:00+00:00", "v": 10040.2}, {"t": "2026-08-10T04:00:00+00:00", "v": 10075.75}, {"t": "2026-08-10T08:00:00+00:00", "v": 10089.97}], "total_trades": 2, "generated_at": "2026-08-10T08:30:39.290645+00:00", "asset": "BTC"} |