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ftdt-quant-lab/backtests/results/mean_rev_BTC_1d_168_20260810-083422.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": "1d", "n_bars": 169, "start_equity": 10000.0, "end_equity": 9152.34, "total_return_pct": -8.48, "pnl": -847.66, "sharpe": -0.537, "sortino": -0.735, "max_drawdown_pct": 23.94, "win_rate": 0.545, "profit_factor": 0.681, "expectancy": -75.853, "trades": [{"time": "2026-03-19 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.140285, "entry_px": 71251.18, "exit_px": 69849.08, "pnl_gross": -205.6015, "pnl_net": -214.5089, "fee": 8.907412, "fee_rate_pct": 0.045, "return_pct": -2.057, "duration": ""}, {"time": "2026-03-23 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.144185, "entry_px": 67898.83, "exit_px": 70789.14, "pnl_gross": 407.7407, "pnl_net": 398.7422, "fee": 8.998526, "fee_rate_pct": 0.045, "return_pct": 4.165, "duration": ""}, {"time": "2026-04-05 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.153433, "entry_px": 66462.4, "exit_px": 68919.01, "pnl_gross": 367.5795, "pnl_net": 358.2321, "fee": 9.347389, "fee_rate_pct": 0.045, "return_pct": 3.605, "duration": ""}, {"time": "2026-04-29 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.146754, "entry_px": 71990.92, "exit_px": 75651.27, "pnl_gross": 527.4219, "pnl_net": 517.6717, "fee": 9.750187, "fee_rate_pct": 0.045, "return_pct": 4.992, "duration": ""}, {"time": "2026-05-13 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.141722, "entry_px": 78267.19, "exit_px": 79203.72, "pnl_gross": 122.6836, "pnl_net": 112.6409, "fee": 10.042692, "fee_rate_pct": 0.045, "return_pct": 1.106, "duration": ""}, {"time": "2026-06-14 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.145531, "entry_px": 77060.98, "exit_px": 65654.28, "pnl_gross": -1669.3776, "pnl_net": -1678.7239, "fee": 9.346273, "fee_rate_pct": 0.045, "return_pct": -14.886, "duration": ""}, {"time": "2026-07-03 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.156218, "entry_px": 61108.05, "exit_px": 62513.42, "pnl_gross": 210.8543, "pnl_net": 202.1639, "fee": 8.690354, "fee_rate_pct": 0.045, "return_pct": 2.209, "duration": ""}, {"time": "2026-07-08 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.152171, "entry_px": 64118.05, "exit_px": 62220.72, "pnl_gross": -297.371, "pnl_net": -306.0223, "fee": 8.651294, "fee_rate_pct": 0.045, "return_pct": -3.048, "duration": ""}, {"time": "2026-07-13 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.147303, "entry_px": 64219.15, "exit_px": 62268.67, "pnl_gross": -295.6968, "pnl_net": -304.0812, "fee": 8.384416, "fee_rate_pct": 0.045, "return_pct": -3.126, "duration": ""}, {"time": "2026-07-24 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.140845, "entry_px": 65065.0, "exit_px": 64058.88, "pnl_gross": -149.8918, "pnl_net": -158.0757, "fee": 8.183904, "fee_rate_pct": 0.045, "return_pct": -1.636, "duration": ""}, {"time": "2026-08-04 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.143268, "entry_px": 62918.86, "exit_px": 64003.93, "pnl_gross": 147.2743, "pnl_net": 139.0915, "fee": 8.182788, "fee_rate_pct": 0.045, "return_pct": 1.634, "duration": ""}, {"time": "2026-08-10 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.140259, "entry_px": 65318.25, "exit_px": 65253.0, "pnl_gross": -13.275, "pnl_net": -21.5162, "fee": 8.241207, "fee_rate_pct": 0.045, "return_pct": -0.145, "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": "2026-02-23T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-24T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-25T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-26T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-27T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-28T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-01T00:00:00+00:00", "v": 10000.0}, {"t": 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"2026-07-18T00:00:00+00:00", "v": 9130.59}, {"t": "2026-07-19T00:00:00+00:00", "v": 9115.24}, {"t": "2026-07-20T00:00:00+00:00", "v": 9186.79}, {"t": "2026-07-21T00:00:00+00:00", "v": 9370.03}, {"t": "2026-07-22T00:00:00+00:00", "v": 9307.91}, {"t": "2026-07-23T00:00:00+00:00", "v": 9164.67}, {"t": "2026-07-24T00:00:00+00:00", "v": 9018.34}, {"t": "2026-07-25T00:00:00+00:00", "v": 9018.34}, {"t": "2026-07-26T00:00:00+00:00", "v": 9018.34}, {"t": "2026-07-27T00:00:00+00:00", "v": 9018.34}, {"t": "2026-07-28T00:00:00+00:00", "v": 9018.34}, {"t": "2026-07-29T00:00:00+00:00", "v": 9018.34}, {"t": "2026-07-30T00:00:00+00:00", "v": 9018.34}, {"t": "2026-07-31T00:00:00+00:00", "v": 9005.28}, {"t": "2026-08-01T00:00:00+00:00", "v": 8995.82}, {"t": "2026-08-02T00:00:00+00:00", "v": 9105.57}, {"t": "2026-08-03T00:00:00+00:00", "v": 9096.4}, {"t": "2026-08-04T00:00:00+00:00", "v": 9165.62}, {"t": "2026-08-05T00:00:00+00:00", "v": 9165.62}, {"t": "2026-08-06T00:00:00+00:00", "v": 9165.62}, {"t": "2026-08-07T00:00:00+00:00", "v": 9165.62}, {"t": "2026-08-08T00:00:00+00:00", "v": 9165.62}, {"t": "2026-08-09T00:00:00+00:00", "v": 9165.62}, {"t": "2026-08-10T00:00:00+00:00", "v": 9152.34}], "total_trades": 12, "generated_at": "2026-08-10T08:34:22.696287+00:00", "asset": "BTC"}
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