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ftdt-quant-lab/backtests/results/mean_rev_BTC_4h_365_20260810-083419.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": "mean_rev", "interval": "4h", "n_bars": 366, "start_equity": 10000.0, "end_equity": 9780.74, "total_return_pct": -2.19, "pnl": -219.26, "sharpe": -0.299, "sortino": -0.417, "max_drawdown_pct": 10.07, "win_rate": 0.409, "profit_factor": 0.868, "expectancy": -9.799, "trades": [{"time": "2026-06-14 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.155366, "entry_px": 64335.27, "exit_px": 63722.21, "pnl_gross": -104.2012, "pnl_net": -113.1543, "fee": 8.9531, "fee_rate_pct": 0.045, "return_pct": -1.042, "duration": ""}, {"time": "2026-06-16 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.150357, "entry_px": 65785.72, "exit_px": 65576.36, "pnl_gross": -40.3671, "pnl_net": -49.2551, "fee": 8.888044, "fee_rate_pct": 0.045, "return_pct": -0.408, "duration": ""}, {"time": "2026-06-20 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.153082, "entry_px": 64351.29, "exit_px": 63553.38, "pnl_gross": -130.9554, "pnl_net": -139.7663, "fee": 8.810956, "fee_rate_pct": 0.045, "return_pct": -1.329, "duration": ""}, {"time": "2026-06-22 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.151073, "entry_px": 64340.28, "exit_px": 63947.99, "pnl_gross": -67.9857, "pnl_net": -76.7071, "fee": 8.721402, "fee_rate_pct": 0.045, "return_pct": -0.699, "duration": ""}, {"time": "2026-06-27 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.153416, "entry_px": 62914.85, "exit_px": 60457.48, "pnl_gross": -385.5172, "pnl_net": -394.0345, "fee": 8.51728, "fee_rate_pct": 0.045, "return_pct": -3.994, "duration": ""}, {"time": "2026-06-29 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.15572, "entry_px": 59509.45, "exit_px": 59954.99, "pnl_gross": 61.0073, "pnl_net": 52.636, "fee": 8.371351, "fee_rate_pct": 0.045, "return_pct": 0.658, "duration": ""}, {"time": "2026-07-07 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.156379, "entry_px": 59648.59, "exit_px": 63024.91, "pnl_gross": 519.3532, "pnl_net": 510.7206, "fee": 8.632602, "fee_rate_pct": 0.045, "return_pct": 5.568, "duration": ""}, {"time": "2026-07-07 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.153844, "entry_px": 64005.94, "exit_px": 63291.64, "pnl_gross": -118.7028, "pnl_net": -127.5156, "fee": 8.812786, "fee_rate_pct": 0.045, "return_pct": -1.205, "duration": ""}, {"time": "2026-07-09 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.154887, "entry_px": 62808.75, "exit_px": 62938.0, "pnl_gross": 11.2552, "pnl_net": 2.4907, "fee": 8.764442, "fee_rate_pct": 0.045, "return_pct": 0.116, "duration": ""}, {"time": "2026-07-12 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.152149, "entry_px": 64012.95, "exit_px": 63819.12, "pnl_gross": -38.2436, "pnl_net": -46.9959, "fee": 8.752285, "fee_rate_pct": 0.045, "return_pct": -0.393, "duration": ""}, {"time": "2026-07-16 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.154298, "entry_px": 62873.81, "exit_px": 64198.74, "pnl_gross": 195.6097, "pnl_net": 186.7866, "fee": 8.823168, "fee_rate_pct": 0.045, "return_pct": 2.016, "duration": ""}, {"time": "2026-07-17 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.157337, "entry_px": 62901.84, "exit_px": 64091.84, "pnl_gross": 178.2407, "pnl_net": 169.2493, "fee": 8.991362, "fee_rate_pct": 0.045, "return_pct": 1.801, "duration": ""}, {"time": "2026-07-20 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.155258, "entry_px": 64891.83, "exit_px": 64176.76, "pnl_gross": -120.0374, "pnl_net": -129.0549, "fee": 9.017519, "fee_rate_pct": 0.045, "return_pct": -1.191, "duration": ""}, {"time": "2026-07-23 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.153026, "entry_px": 65053.99, "exit_px": 65560.37, "pnl_gross": 68.4959, "pnl_net": 59.5016, "fee": 8.994327, "fee_rate_pct": 0.045, "return_pct": 0.688, "duration": ""}, {"time": "2026-07-26 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.15419, "entry_px": 65006.94, "exit_px": 64411.52, "pnl_gross": -100.7875, "pnl_net": -109.7672, "fee": 8.979765, "fee_rate_pct": 0.045, "return_pct": -1.006, "duration": 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"2026-08-06 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.154636, "entry_px": 62659.6, "exit_px": 64228.71, "pnl_gross": 233.8112, "pnl_net": 224.9815, "fee": 8.829675, "fee_rate_pct": 0.045, "return_pct": 2.413, "duration": ""}, {"time": "2026-08-09 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.152525, "entry_px": 65058.99, "exit_px": 64694.24, "pnl_gross": -64.5398, "pnl_net": -73.4456, "fee": 8.905775, "fee_rate_pct": 0.045, "return_pct": -0.65, "duration": ""}, {"time": "2026-08-09 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.151055, "entry_px": 65265.2, "exit_px": 64803.13, "pnl_gross": -78.6389, "pnl_net": -87.4803, "fee": 8.841362, "fee_rate_pct": 0.045, "return_pct": -0.798, "duration": ""}, {"time": "2026-08-10 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.149892, "entry_px": 65247.18, "exit_px": 65252.0, "pnl_gross": -3.6788, "pnl_net": -12.4812, "fee": 8.802352, "fee_rate_pct": 0.045, "return_pct": -0.038, "duration": ""}], "params": {"vwap_window": 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