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ftdt-quant-lab/backtests/results/mean_rev_BTC_1h_168_20260810-083351.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": "1h", "n_bars": 169, "start_equity": 10000.0, "end_equity": 9668.6, "total_return_pct": -3.31, "pnl": -331.4, "sharpe": -11.632, "sortino": -16.078, "max_drawdown_pct": 3.45, "win_rate": 0.222, "profit_factor": 0.064, "expectancy": -35.412, "trades": [{"time": "2026-08-04 06:00:00", "side": "BUY", "asset": "BTC", "size": 0.156007, "entry_px": 64071.01, "exit_px": 63583.35, "pnl_gross": -85.039, "pnl_net": -94.0007, "fee": 8.961738, "fee_rate_pct": 0.045, "return_pct": -0.851, "duration": ""}, {"time": "2026-08-05 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.154941, "entry_px": 63962.9, "exit_px": 63898.04, "pnl_gross": -18.9646, "pnl_net": -27.8795, "fee": 8.914906, "fee_rate_pct": 0.045, "return_pct": -0.191, "duration": ""}, {"time": "2026-08-05 07:00:00", "side": "BUY", "asset": "BTC", "size": 0.153671, "entry_px": 64368.3, "exit_px": 64073.86, "pnl_gross": -54.1292, "pnl_net": -63.0113, "fee": 8.882026, "fee_rate_pct": 0.045, "return_pct": -0.547, "duration": ""}, {"time": "2026-08-06 03:00:00", "side": "BUY", "asset": "BTC", "size": 0.152861, "entry_px": 64355.29, "exit_px": 64446.49, "pnl_gross": 5.0807, "pnl_net": -3.7793, "fee": 8.859946, "fee_rate_pct": 0.045, "return_pct": 0.052, "duration": ""}, {"time": "2026-08-06 09:00:00", "side": "BUY", "asset": "BTC", "size": 0.151587, "entry_px": 64929.86, "exit_px": 64589.35, "pnl_gross": -60.4533, "pnl_net": -69.2883, "fee": 8.835043, "fee_rate_pct": 0.045, "return_pct": -0.614, "duration": ""}, {"time": "2026-08-07 18:00:00", "side": "BUY", "asset": "BTC", "size": 0.151761, "entry_px": 64457.39, "exit_px": 64625.31, "pnl_gross": 16.6678, "pnl_net": 7.8525, "fee": 8.815374, "fee_rate_pct": 0.045, "return_pct": 0.17, "duration": ""}, {"time": "2026-08-08 21:00:00", "side": "BUY", "asset": "BTC", "size": 0.150361, "entry_px": 65168.1, "exit_px": 64922.01, "pnl_gross": -45.8046, "pnl_net": -54.6068, "fee": 8.802216, "fee_rate_pct": 0.045, "return_pct": -0.467, "duration": ""}, {"time": "2026-08-09 10:00:00", "side": "BUY", "asset": "BTC", "size": 0.150099, "entry_px": 64976.91, "exit_px": 64862.07, "pnl_gross": -26.0071, "pnl_net": -34.777, "fee": 8.769915, "fee_rate_pct": 0.045, "return_pct": -0.267, "duration": ""}, {"time": "2026-08-09 22:00:00", "side": "BUY", "asset": "BTC", "size": 0.149058, "entry_px": 65256.19, "exit_px": 64978.96, "pnl_gross": -50.0598, "pnl_net": -58.7955, "fee": 8.735666, "fee_rate_pct": 0.045, "return_pct": -0.515, "duration": ""}, {"time": "2026-08-10 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.148128, "entry_px": 65328.26, "exit_px": 65272.0, "pnl_gross": -12.6887, "pnl_net": -21.3942, "fee": 8.7055, "fee_rate_pct": 0.045, "return_pct": -0.131, "duration": ""}], "params": {"vwap_window": 20, "deviation": 1.0, "type": "Reversal"}, "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": "2026-08-03T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T09:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T10:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T11:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T13:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T14:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T15:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T17:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T18:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T19:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T21:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T22:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T23:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T01:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T02:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T03:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T04:00:00+00:00", "v": 9985.52}, {"t": "2026-08-04T05:00:00+00:00", "v": 9949.63}, {"t": "2026-08-04T06:00:00+00:00", "v": 9914.96}, {"t": "2026-08-04T07:00:00+00:00", "v": 9914.96}, {"t": "2026-08-04T08:00:00+00:00", "v": 9914.96}, {"t": "2026-08-04T09:00:00+00:00", "v": 9914.96}, {"t": "2026-08-04T10:00:00+00:00", "v": 9914.96}, {"t": "2026-08-04T11:00:00+00:00", "v": 9900.6}, {"t": "2026-08-04T12:00:00+00:00", "v": 9897.5}, {"t": "2026-08-04T13:00:00+00:00", "v": 9862.79}, {"t": "2026-08-04T14:00:00+00:00", "v": 9931.28}, {"t": "2026-08-04T15:00:00+00:00", "v": 9930.35}, {"t": "2026-08-04T16:00:00+00:00", "v": 9904.32}, {"t": "2026-08-04T17:00:00+00:00", "v": 9907.42}, {"t": "2026-08-04T18:00:00+00:00", "v": 9957.77}, {"t": "2026-08-04T19:00:00+00:00", "v": 9947.55}, {"t": "2026-08-04T20:00:00+00:00", "v": 9965.52}, {"t": "2026-08-04T21:00:00+00:00", "v": 9941.51}, {"t": "2026-08-04T22:00:00+00:00", "v": 9953.75}, {"t": "2026-08-04T23:00:00+00:00", "v": 9926.79}, {"t": "2026-08-05T00:00:00+00:00", "v": 9896.0}, {"t": "2026-08-05T01:00:00+00:00", "v": 9881.66}, {"t": "2026-08-05T02:00:00+00:00", "v": 9887.04}, {"t": "2026-08-05T03:00:00+00:00", "v": 9859.07}, {"t": "2026-08-05T04:00:00+00:00", "v": 9857.69}, {"t": "2026-08-05T05:00:00+00:00", "v": 9883.35}, {"t": "2026-08-05T06:00:00+00:00", "v": 9869.06}, {"t": "2026-08-05T07:00:00+00:00", "v": 9841.87}, {"t": "2026-08-05T08:00:00+00:00", "v": 9841.87}, {"t": "2026-08-05T09:00:00+00:00", "v": 9841.87}, {"t": "2026-08-05T10:00:00+00:00", "v": 9841.87}, {"t": "2026-08-05T11:00:00+00:00", "v": 9841.87}, {"t": "2026-08-05T12:00:00+00:00", "v": 9827.61}, {"t": "2026-08-05T13:00:00+00:00", "v": 9841.37}, {"t": "2026-08-05T14:00:00+00:00", "v": 9850.39}, {"t": "2026-08-05T15:00:00+00:00", "v": 9836.78}, {"t": "2026-08-05T16:00:00+00:00", "v": 9879.13}, {"t": "2026-08-05T17:00:00+00:00", "v": 9894.72}, {"t": "2026-08-05T18:00:00+00:00", "v": 9900.22}, {"t": "2026-08-05T19:00:00+00:00", "v": 9904.81}, {"t": "2026-08-05T20:00:00+00:00", "v": 9904.5}, {"t": "2026-08-05T21:00:00+00:00", "v": 9889.98}, {"t": "2026-08-05T22:00:00+00:00", "v": 9874.24}, {"t": "2026-08-05T23:00:00+00:00", "v": 9878.67}, {"t": "2026-08-06T00:00:00+00:00", "v": 9877.6}, {"t": "2026-08-06T01:00:00+00:00", "v": 9869.5}, {"t": "2026-08-06T02:00:00+00:00", "v": 9867.51}, {"t": "2026-08-06T03:00:00+00:00", "v": 9846.95}, {"t": "2026-08-06T04:00:00+00:00", "v": 9846.95}, {"t": "2026-08-06T05:00:00+00:00", "v": 9832.69}, {"t": "2026-08-06T06:00:00+00:00", "v": 9826.47}, {"t": "2026-08-06T07:00:00+00:00", "v": 9820.41}, {"t": "2026-08-06T08:00:00+00:00", "v": 9839.96}, {"t": "2026-08-06T09:00:00+00:00", "v": 9786.49}, {"t": "2026-08-06T10:00:00+00:00", "v": 9786.49}, {"t": "2026-08-06T11:00:00+00:00", "v": 9786.49}, {"t": "2026-08-06T12:00:00+00:00", "v": 9772.32}, {"t": "2026-08-06T13:00:00+00:00", "v": 9774.14}, {"t": "2026-08-06T14:00:00+00:00", "v": 9825.74}, {"t": "2026-08-06T15:00:00+00:00", "v": 9803.43}, {"t": "2026-08-06T16:00:00+00:00", "v": 9822.55}, {"t": "2026-08-06T17:00:00+00:00", "v": 9801.46}, {"t": "2026-08-06T18:00:00+00:00", "v": 9771.87}, {"t": "2026-08-06T19:00:00+00:00", "v": 9775.81}, {"t": "2026-08-06T20:00:00+00:00", "v": 9774.29}, {"t": "2026-08-06T21:00:00+00:00", "v": 9775.51}, {"t": "2026-08-06T22:00:00+00:00", "v": 9761.24}, {"t": "2026-08-06T23:00:00+00:00", "v": 9757.14}, {"t": "2026-08-07T00:00:00+00:00", "v": 9756.39}, {"t": "2026-08-07T01:00:00+00:00", "v": 9772.32}, {"t": "2026-08-07T02:00:00+00:00", "v": 9767.77}, {"t": "2026-08-07T03:00:00+00:00", "v": 9751.98}, {"t": "2026-08-07T04:00:00+00:00", "v": 9747.28}, {"t": "2026-08-07T05:00:00+00:00", "v": 9759.12}, {"t": "2026-08-07T06:00:00+00:00", "v": 9753.65}, {"t": "2026-08-07T07:00:00+00:00", "v": 9756.39}, {"t": "2026-08-07T08:00:00+00:00", "v": 9799.18}, {"t": "2026-08-07T09:00:00+00:00", "v": 9833.33}, {"t": "2026-08-07T10:00:00+00:00", "v": 9843.04}, {"t": "2026-08-07T11:00:00+00:00", "v": 9863.53}, {"t": "2026-08-07T12:00:00+00:00", "v": 9902.99}, {"t": "2026-08-07T13:00:00+00:00", "v": 9862.16}, {"t": "2026-08-07T14:00:00+00:00", "v": 9853.36}, {"t": "2026-08-07T15:00:00+00:00", "v": 9845.62}, {"t": "2026-08-07T16:00:00+00:00", "v": 9830.44}, {"t": "2026-08-07T17:00:00+00:00", "v": 9824.37}, {"t": "2026-08-07T18:00:00+00:00", "v": 9803.16}, {"t": "2026-08-07T19:00:00+00:00", "v": 9803.16}, {"t": "2026-08-07T20:00:00+00:00", "v": 9803.16}, {"t": "2026-08-07T21:00:00+00:00", "v": 9803.16}, {"t": "2026-08-07T22:00:00+00:00", "v": 9803.16}, {"t": "2026-08-07T23:00:00+00:00", "v": 9803.16}, {"t": "2026-08-08T00:00:00+00:00", "v": 9803.16}, {"t": "2026-08-08T01:00:00+00:00", "v": 9803.16}, {"t": "2026-08-08T02:00:00+00:00", "v": 9803.16}, {"t": "2026-08-08T03:00:00+00:00", "v": 9803.16}, {"t": "2026-08-08T04:00:00+00:00", "v": 9803.16}, {"t": 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"2026-08-09T01:00:00+00:00", "v": 9732.12}, {"t": "2026-08-09T02:00:00+00:00", "v": 9725.66}, {"t": "2026-08-09T03:00:00+00:00", "v": 9720.26}, {"t": "2026-08-09T04:00:00+00:00", "v": 9719.96}, {"t": "2026-08-09T05:00:00+00:00", "v": 9722.66}, {"t": "2026-08-09T06:00:00+00:00", "v": 9729.72}, {"t": "2026-08-09T07:00:00+00:00", "v": 9725.66}, {"t": "2026-08-09T08:00:00+00:00", "v": 9724.76}, {"t": "2026-08-09T09:00:00+00:00", "v": 9734.52}, {"t": "2026-08-09T10:00:00+00:00", "v": 9731.35}, {"t": "2026-08-09T11:00:00+00:00", "v": 9731.35}, {"t": "2026-08-09T12:00:00+00:00", "v": 9731.35}, {"t": "2026-08-09T13:00:00+00:00", "v": 9717.26}, {"t": "2026-08-09T14:00:00+00:00", "v": 9723.22}, {"t": "2026-08-09T15:00:00+00:00", "v": 9718.6}, {"t": "2026-08-09T16:00:00+00:00", "v": 9718.15}, {"t": "2026-08-09T17:00:00+00:00", "v": 9712.78}, {"t": "2026-08-09T18:00:00+00:00", "v": 9712.93}, {"t": "2026-08-09T19:00:00+00:00", "v": 9711.0}, {"t": "2026-08-09T20:00:00+00:00", "v": 9704.59}, {"t": "2026-08-09T21:00:00+00:00", "v": 9714.72}, {"t": "2026-08-09T22:00:00+00:00", "v": 9681.29}, {"t": "2026-08-09T23:00:00+00:00", "v": 9681.29}, {"t": "2026-08-10T00:00:00+00:00", "v": 9681.29}, {"t": "2026-08-10T01:00:00+00:00", "v": 9681.29}, {"t": "2026-08-10T02:00:00+00:00", "v": 9681.29}, {"t": "2026-08-10T03:00:00+00:00", "v": 9681.29}, {"t": "2026-08-10T04:00:00+00:00", "v": 9681.29}, {"t": "2026-08-10T05:00:00+00:00", "v": 9681.29}, {"t": "2026-08-10T06:00:00+00:00", "v": 9667.27}, {"t": "2026-08-10T07:00:00+00:00", "v": 9655.27}, {"t": "2026-08-10T08:00:00+00:00", "v": 9668.6}], "total_trades": 10, "generated_at": "2026-08-10T08:33:51.947826+00:00", "asset": "BTC"}
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