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ftdt-quant-lab/backtests/results/pairs_BTC_1h_180_20260810-082554.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": "pairs", "interval": "1h", "n_bars": 181, "start_equity": 10000.0, "end_equity": 9824.83, "total_return_pct": -1.75, "pnl": -175.17, "sharpe": -12.374, "sortino": -15.884, "max_drawdown_pct": 1.85, "win_rate": 0.2, "profit_factor": 0.028, "expectancy": -35.035, "trades": [{"time": "2026-08-04 14:00:00", "side": "BUY", "asset": "BTC", "size": 0.156319, "entry_px": 63942.88, "exit_px": 64032.9, "pnl_gross": 5.0702, "pnl_net": -3.9321, "fee": 9.002271, "fee_rate_pct": 0.045, "return_pct": 0.051, "duration": ""}, {"time": "2026-08-06 03:00:00", "side": "BUY", "asset": "BTC", "size": 0.154342, "entry_px": 64794.73, "exit_px": 64446.49, "pnl_gross": -62.7247, "pnl_net": -71.701, "fee": 8.976307, "fee_rate_pct": 0.045, "return_pct": -0.627, "duration": ""}, {"time": "2026-08-07 02:00:00", "side": "BUY", "asset": "BTC", "size": 0.153389, "entry_px": 64788.72, "exit_px": 64298.64, "pnl_gross": -84.0842, "pnl_net": -92.9944, "fee": 8.910261, "fee_rate_pct": 0.045, "return_pct": -0.846, "duration": ""}, {"time": "2026-08-08 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.15149, "entry_px": 65045.98, "exit_px": 64979.96, "pnl_gross": -18.8662, "pnl_net": -27.7302, "fee": 8.863933, "fee_rate_pct": 0.045, "return_pct": -0.191, "duration": ""}, {"time": "2026-08-09 11:00:00", "side": "BUY", "asset": "BTC", "size": 0.151571, "entry_px": 64886.82, "exit_px": 64849.09, "pnl_gross": -14.5686, "pnl_net": -23.4175, "fee": 8.848891, "fee_rate_pct": 0.045, "return_pct": -0.148, "duration": ""}], "params": {"z_entry": 1.5, "z_exit": 0.5, "lookback": 20, "type": "Stat Arb"}, "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": "2026-08-02T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-02T21:00:00+00:00", "v": 10000.0}, {"t": 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"total_trades": 5, "generated_at": "2026-08-10T08:25:54.606148+00:00"}
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