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
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3.0 KiB
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{"strategy": "pairs", "interval": "1h", "n_bars": 43, "start_equity": 10000.0, "end_equity": 9980.27, "total_return_pct": -0.2, "pnl": -19.73, "sharpe": -11.362, "sortino": -12.824, "max_drawdown_pct": 0.2, "win_rate": 0.0, "profit_factor": 0.0, "expectancy": -19.733, "trades": [{"time": "2026-08-09 11:00:00", "side": "BUY", "asset": "BTC", "size": 0.153969, "entry_px": 64918.85, "exit_px": 64849.09, "pnl_gross": -19.7332, "pnl_net": -28.7243, "fee": 8.991108, "fee_rate_pct": 0.045, "return_pct": -0.197, "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": "2026-08-08T14:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T15:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T17:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T18:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T19:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T21:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T22:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T23:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T01:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T02:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T03:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T05:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T06:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T07:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T09:00:00+00:00", "v": 9985.52}, {"t": "2026-08-09T10:00:00+00:00", "v": 9996.76}, {"t": "2026-08-09T11:00:00+00:00", "v": 9980.27}, {"t": "2026-08-09T12:00:00+00:00", "v": 9980.27}, {"t": "2026-08-09T13:00:00+00:00", "v": 9980.27}, {"t": "2026-08-09T14:00:00+00:00", "v": 9980.27}, {"t": "2026-08-09T15:00:00+00:00", "v": 9980.27}, {"t": "2026-08-09T16:00:00+00:00", "v": 9980.27}, {"t": "2026-08-09T17:00:00+00:00", "v": 9980.27}, {"t": "2026-08-09T18:00:00+00:00", "v": 9980.27}, {"t": "2026-08-09T19:00:00+00:00", "v": 9980.27}, {"t": "2026-08-09T20:00:00+00:00", "v": 9980.27}, {"t": "2026-08-09T21:00:00+00:00", "v": 9980.27}, {"t": "2026-08-09T22:00:00+00:00", "v": 9980.27}, {"t": "2026-08-09T23:00:00+00:00", "v": 9980.27}, {"t": "2026-08-10T00:00:00+00:00", "v": 9980.27}, {"t": "2026-08-10T01:00:00+00:00", "v": 9980.27}, {"t": "2026-08-10T02:00:00+00:00", "v": 9980.27}, {"t": "2026-08-10T03:00:00+00:00", "v": 9980.27}, {"t": "2026-08-10T04:00:00+00:00", "v": 9980.27}, {"t": "2026-08-10T05:00:00+00:00", "v": 9980.27}, {"t": "2026-08-10T06:00:00+00:00", "v": 9980.27}, {"t": "2026-08-10T07:00:00+00:00", "v": 9980.27}, {"t": "2026-08-10T08:00:00+00:00", "v": 9980.27}], "total_trades": 1, "generated_at": "2026-08-10T08:25:51.044742+00:00"} |