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ftdt-quant-lab/backtests/results/iceberg_BTC_4h_168_20260810-083235.json
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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": "iceberg", "interval": "4h", "n_bars": 169, "start_equity": 10000.0, "end_equity": 9807.09, "total_return_pct": -1.93, "pnl": -192.91, "sharpe": -3.493, "sortino": -4.703, "max_drawdown_pct": 2.39, "win_rate": 0.25, "profit_factor": 0.32, "expectancy": -24.113, "trades": [{"time": "2026-07-18 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.155644, "entry_px": 64220.16, "exit_px": 63931.0, "pnl_gross": -53.9804, "pnl_net": -62.9561, "fee": 8.975682, "fee_rate_pct": 0.045, "return_pct": -0.54, "duration": ""}, {"time": "2026-07-21 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.15282, "entry_px": 65053.99, "exit_px": 65473.46, "pnl_gross": 55.1274, "pnl_net": 46.1512, "fee": 8.976242, "fee_rate_pct": 0.045, "return_pct": 0.555, "duration": ""}, {"time": "2026-07-21 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.150924, "entry_px": 66236.17, "exit_px": 66253.68, "pnl_gross": -6.3555, "pnl_net": -15.3536, "fee": 8.998154, "fee_rate_pct": 0.045, "return_pct": -0.064, "duration": ""}, {"time": "2026-07-21 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.149756, "entry_px": 66710.64, "exit_px": 66350.58, "pnl_gross": -62.8882, "pnl_net": -71.8552, "fee": 8.967022, "fee_rate_pct": 0.045, "return_pct": -0.629, "duration": ""}, {"time": "2026-07-28 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.155603, "entry_px": 63799.74, "exit_px": 63377.56, "pnl_gross": -74.5972, "pnl_net": -83.5023, "fee": 8.905126, "fee_rate_pct": 0.045, "return_pct": -0.751, "duration": ""}, {"time": "2026-07-30 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.154855, "entry_px": 63626.56, "exit_px": 63913.02, "pnl_gross": 35.4721, "pnl_net": 26.5846, "fee": 8.887564, "fee_rate_pct": 0.045, "return_pct": 0.36, "duration": ""}, {"time": "2026-08-04 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.154757, "entry_px": 63895.83, "exit_px": 63595.34, "pnl_gross": -55.3817, "pnl_net": -64.2602, "fee": 8.878568, "fee_rate_pct": 0.045, "return_pct": -0.56, "duration": ""}, {"time": "2026-08-06 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.151601, "entry_px": 64860.8, "exit_px": 64719.22, "pnl_gross": -30.3037, "pnl_net": -39.1437, "fee": 8.840007, "fee_rate_pct": 0.045, "return_pct": -0.308, "duration": ""}], "params": {"vol_mult": 1.8, "min_consec": 3, "max_hold": 8, "type": "Momentum"}, "fee_info": {"entry_fee": 0.045, "exit_fee": 0.045, "total_fee": 0.09, "taker_rate_pct": 0.045, "maker_rate_pct": 0.015, "effective_rate_pct": 0.045, "vip_tier": 0, "staking_tier": "none", "fee_model": "taker", "tier_name": "Tier 0 (<$5M)", "staking_name": "No Stake"}, "equity_curve": [{"t": "2026-07-13T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T16:00:00+00:00", "v": 9985.52}, {"t": 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"2026-08-06T20:00:00+00:00", "v": 9807.09}, {"t": "2026-08-07T00:00:00+00:00", "v": 9807.09}, {"t": "2026-08-07T04:00:00+00:00", "v": 9807.09}, {"t": "2026-08-07T08:00:00+00:00", "v": 9807.09}, {"t": "2026-08-07T12:00:00+00:00", "v": 9807.09}, {"t": "2026-08-07T16:00:00+00:00", "v": 9807.09}, {"t": "2026-08-07T20:00:00+00:00", "v": 9807.09}, {"t": "2026-08-08T00:00:00+00:00", "v": 9807.09}, {"t": "2026-08-08T04:00:00+00:00", "v": 9807.09}, {"t": "2026-08-08T08:00:00+00:00", "v": 9807.09}, {"t": "2026-08-08T12:00:00+00:00", "v": 9807.09}, {"t": "2026-08-08T16:00:00+00:00", "v": 9807.09}, {"t": "2026-08-08T20:00:00+00:00", "v": 9807.09}, {"t": "2026-08-09T00:00:00+00:00", "v": 9807.09}, {"t": "2026-08-09T04:00:00+00:00", "v": 9807.09}, {"t": "2026-08-09T08:00:00+00:00", "v": 9807.09}, {"t": "2026-08-09T12:00:00+00:00", "v": 9807.09}, {"t": "2026-08-09T16:00:00+00:00", "v": 9807.09}, {"t": "2026-08-09T20:00:00+00:00", "v": 9807.09}, {"t": "2026-08-10T00:00:00+00:00", "v": 9807.09}, {"t": "2026-08-10T04:00:00+00:00", "v": 9807.09}, {"t": "2026-08-10T08:00:00+00:00", "v": 9807.09}], "total_trades": 8, "generated_at": "2026-08-10T08:32:35.474070+00:00", "asset": "BTC"}
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