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ftdt-quant-lab/backtests/results/mean_rev_BTC_1h_180_20260810-083357.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": 181, "start_equity": 10000.0, "end_equity": 9591.99, "total_return_pct": -4.08, "pnl": -408.01, "sharpe": -13.392, "sortino": -18.041, "max_drawdown_pct": 4.39, "win_rate": 0.2, "profit_factor": 0.052, "expectancy": -39.557, "trades": [{"time": "2026-08-04 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.156855, "entry_px": 63724.66, "exit_px": 63275.66, "pnl_gross": -79.3919, "pnl_net": -88.3562, "fee": 8.964286, "fee_rate_pct": 0.045, "return_pct": -0.794, "duration": ""}, {"time": "2026-08-04 06:00:00", "side": "BUY", "asset": "BTC", "size": 0.154768, "entry_px": 64071.01, "exit_px": 63583.35, "pnl_gross": -84.3638, "pnl_net": -93.2544, "fee": 8.890564, "fee_rate_pct": 0.045, "return_pct": -0.851, "duration": ""}, {"time": "2026-08-05 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.153711, "entry_px": 63962.9, "exit_px": 63898.04, "pnl_gross": -18.814, "pnl_net": -27.6582, "fee": 8.844135, "fee_rate_pct": 0.045, "return_pct": -0.191, "duration": ""}, {"time": "2026-08-05 07:00:00", "side": "BUY", "asset": "BTC", "size": 0.152451, "entry_px": 64368.3, "exit_px": 64073.86, "pnl_gross": -53.6995, "pnl_net": -62.511, "fee": 8.811511, "fee_rate_pct": 0.045, "return_pct": -0.547, "duration": ""}, {"time": "2026-08-06 03:00:00", "side": "BUY", "asset": "BTC", "size": 0.151648, "entry_px": 64355.29, "exit_px": 64446.49, "pnl_gross": 5.0403, "pnl_net": -3.7493, "fee": 8.78964, "fee_rate_pct": 0.045, "return_pct": 0.052, "duration": ""}, {"time": "2026-08-06 09:00:00", "side": "BUY", "asset": "BTC", "size": 0.150383, "entry_px": 64929.86, "exit_px": 64589.35, "pnl_gross": -59.9733, "pnl_net": -68.7382, "fee": 8.764869, "fee_rate_pct": 0.045, "return_pct": -0.614, "duration": ""}, {"time": "2026-08-07 18:00:00", "side": "BUY", "asset": "BTC", "size": 0.150556, "entry_px": 64457.39, "exit_px": 64625.31, "pnl_gross": 16.5355, "pnl_net": 7.7901, "fee": 8.745379, "fee_rate_pct": 0.045, "return_pct": 0.17, "duration": ""}, {"time": "2026-08-08 21:00:00", "side": "BUY", "asset": "BTC", "size": 0.149167, "entry_px": 65168.1, "exit_px": 64922.01, "pnl_gross": -45.441, "pnl_net": -54.1733, "fee": 8.732318, "fee_rate_pct": 0.045, "return_pct": -0.467, "duration": ""}, {"time": "2026-08-09 10:00:00", "side": "BUY", "asset": "BTC", "size": 0.148907, "entry_px": 64976.91, "exit_px": 64862.07, "pnl_gross": -25.8007, "pnl_net": -34.5009, "fee": 8.70027, "fee_rate_pct": 0.045, "return_pct": -0.267, "duration": ""}, {"time": "2026-08-09 22:00:00", "side": "BUY", "asset": "BTC", "size": 0.147875, "entry_px": 65256.19, "exit_px": 64978.96, "pnl_gross": -49.6624, "pnl_net": -58.3287, "fee": 8.666335, "fee_rate_pct": 0.045, "return_pct": -0.515, "duration": ""}, {"time": "2026-08-10 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.146952, "entry_px": 65328.26, "exit_px": 65273.0, "pnl_gross": -12.441, "pnl_net": -21.0775, "fee": 8.636452, "fee_rate_pct": 0.045, "return_pct": -0.13, "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": "2026-08-02T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-02T21:00:00+00:00", "v": 10000.0}, {"t": "2026-08-02T22:00:00+00:00", "v": 10000.0}, {"t": "2026-08-02T23:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T01:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T02:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T03:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T05:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T06:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T07:00:00+00:00", "v": 10000.0}, {"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": 9985.52}, {"t": "2026-08-03T16:00:00+00:00", "v": 9998.69}, {"t": "2026-08-03T17:00:00+00:00", "v": 10018.93}, {"t": "2026-08-03T18:00:00+00:00", "v": 10013.44}, {"t": "2026-08-03T19:00:00+00:00", "v": 10012.34}, {"t": "2026-08-03T20:00:00+00:00", "v": 10001.2}, {"t": "2026-08-03T21:00:00+00:00", "v": 9969.67}, {"t": "2026-08-03T22:00:00+00:00", "v": 9972.65}, {"t": "2026-08-03T23:00:00+00:00", "v": 9959.01}, {"t": "2026-08-04T00:00:00+00:00", "v": 9920.61}, {"t": "2026-08-04T01:00:00+00:00", "v": 9920.61}, {"t": "2026-08-04T02:00:00+00:00", "v": 9920.61}, {"t": "2026-08-04T03:00:00+00:00", "v": 9920.61}, {"t": "2026-08-04T04:00:00+00:00", "v": 9906.24}, {"t": "2026-08-04T05:00:00+00:00", "v": 9870.64}, {"t": "2026-08-04T06:00:00+00:00", "v": 9836.24}, {"t": "2026-08-04T07:00:00+00:00", "v": 9836.24}, {"t": "2026-08-04T08:00:00+00:00", "v": 9836.24}, {"t": "2026-08-04T09:00:00+00:00", "v": 9836.24}, {"t": "2026-08-04T10:00:00+00:00", "v": 9836.24}, {"t": "2026-08-04T11:00:00+00:00", "v": 9822.0}, {"t": "2026-08-04T12:00:00+00:00", "v": 9818.92}, {"t": "2026-08-04T13:00:00+00:00", "v": 9784.49}, {"t": "2026-08-04T14:00:00+00:00", "v": 9852.43}, {"t": "2026-08-04T15:00:00+00:00", "v": 9851.51}, {"t": "2026-08-04T16:00:00+00:00", "v": 9825.69}, {"t": "2026-08-04T17:00:00+00:00", "v": 9828.76}, {"t": "2026-08-04T18:00:00+00:00", "v": 9878.72}, {"t": "2026-08-04T19:00:00+00:00", "v": 9868.57}, {"t": "2026-08-04T20:00:00+00:00", "v": 9886.4}, {"t": "2026-08-04T21:00:00+00:00", "v": 9862.58}, {"t": "2026-08-04T22:00:00+00:00", "v": 9874.72}, {"t": "2026-08-04T23:00:00+00:00", "v": 9847.98}, {"t": "2026-08-05T00:00:00+00:00", "v": 9817.43}, {"t": "2026-08-05T01:00:00+00:00", "v": 9803.21}, {"t": "2026-08-05T02:00:00+00:00", "v": 9808.55}, {"t": "2026-08-05T03:00:00+00:00", "v": 9780.8}, {"t": "2026-08-05T04:00:00+00:00", "v": 9779.43}, {"t": "2026-08-05T05:00:00+00:00", "v": 9804.89}, {"t": "2026-08-05T06:00:00+00:00", "v": 9790.71}, {"t": "2026-08-05T07:00:00+00:00", "v": 9763.73}, {"t": "2026-08-05T08:00:00+00:00", "v": 9763.73}, {"t": "2026-08-05T09:00:00+00:00", "v": 9763.73}, {"t": "2026-08-05T10:00:00+00:00", "v": 9763.73}, {"t": "2026-08-05T11:00:00+00:00", "v": 9763.73}, {"t": "2026-08-05T12:00:00+00:00", "v": 9749.59}, {"t": "2026-08-05T13:00:00+00:00", "v": 9763.24}, {"t": "2026-08-05T14:00:00+00:00", "v": 9772.18}, {"t": "2026-08-05T15:00:00+00:00", "v": 9758.69}, {"t": "2026-08-05T16:00:00+00:00", "v": 9800.69}, {"t": "2026-08-05T17:00:00+00:00", "v": 9816.16}, {"t": "2026-08-05T18:00:00+00:00", "v": 9821.62}, {"t": "2026-08-05T19:00:00+00:00", "v": 9826.17}, {"t": "2026-08-05T20:00:00+00:00", "v": 9825.87}, {"t": "2026-08-05T21:00:00+00:00", "v": 9811.46}, {"t": "2026-08-05T22:00:00+00:00", "v": 9795.84}, {"t": "2026-08-05T23:00:00+00:00", "v": 9800.24}, {"t": "2026-08-06T00:00:00+00:00", "v": 9799.18}, {"t": "2026-08-06T01:00:00+00:00", "v": 9791.14}, {"t": "2026-08-06T02:00:00+00:00", "v": 9789.17}, {"t": "2026-08-06T03:00:00+00:00", "v": 9768.77}, {"t": "2026-08-06T04:00:00+00:00", "v": 9768.77}, {"t": "2026-08-06T05:00:00+00:00", "v": 9754.62}, {"t": "2026-08-06T06:00:00+00:00", "v": 9748.46}, {"t": "2026-08-06T07:00:00+00:00", "v": 9742.44}, {"t": "2026-08-06T08:00:00+00:00", "v": 9761.84}, {"t": "2026-08-06T09:00:00+00:00", "v": 9708.8}, {"t": "2026-08-06T10:00:00+00:00", "v": 9708.8}, {"t": "2026-08-06T11:00:00+00:00", "v": 9708.8}, {"t": "2026-08-06T12:00:00+00:00", "v": 9694.74}, {"t": "2026-08-06T13:00:00+00:00", "v": 9696.54}, {"t": "2026-08-06T14:00:00+00:00", "v": 9747.73}, {"t": "2026-08-06T15:00:00+00:00", "v": 9725.6}, {"t": "2026-08-06T16:00:00+00:00", "v": 9744.57}, {"t": "2026-08-06T17:00:00+00:00", "v": 9723.64}, {"t": "2026-08-06T18:00:00+00:00", "v": 9694.28}, {"t": "2026-08-06T19:00:00+00:00", "v": 9698.2}, {"t": "2026-08-06T20:00:00+00:00", "v": 9696.69}, {"t": "2026-08-06T21:00:00+00:00", "v": 9697.9}, {"t": "2026-08-06T22:00:00+00:00", "v": 9683.75}, {"t": "2026-08-06T23:00:00+00:00", "v": 9679.68}, {"t": "2026-08-07T00:00:00+00:00", "v": 9678.93}, {"t": "2026-08-07T01:00:00+00:00", "v": 9694.74}, {"t": "2026-08-07T02:00:00+00:00", "v": 9690.22}, {"t": "2026-08-07T03:00:00+00:00", "v": 9674.56}, {"t": "2026-08-07T04:00:00+00:00", "v": 9669.89}, {"t": "2026-08-07T05:00:00+00:00", "v": 9681.64}, {"t": "2026-08-07T06:00:00+00:00", "v": 9676.22}, {"t": "2026-08-07T07:00:00+00:00", "v": 9678.93}, {"t": "2026-08-07T08:00:00+00:00", "v": 9721.38}, {"t": "2026-08-07T09:00:00+00:00", "v": 9755.26}, {"t": "2026-08-07T10:00:00+00:00", "v": 9764.89}, {"t": "2026-08-07T11:00:00+00:00", "v": 9785.22}, {"t": "2026-08-07T12:00:00+00:00", "v": 9824.36}, {"t": "2026-08-07T13:00:00+00:00", "v": 9783.87}, {"t": "2026-08-07T14:00:00+00:00", "v": 9775.13}, {"t": "2026-08-07T15:00:00+00:00", "v": 9767.45}, {"t": "2026-08-07T16:00:00+00:00", "v": 9752.4}, {"t": "2026-08-07T17:00:00+00:00", "v": 9746.38}, {"t": "2026-08-07T18:00:00+00:00", "v": 9725.33}, {"t": "2026-08-07T19:00:00+00:00", "v": 9725.33}, {"t": "2026-08-07T20:00:00+00:00", "v": 9725.33}, {"t": "2026-08-07T21:00:00+00:00", "v": 9725.33}, {"t": "2026-08-07T22:00:00+00:00", "v": 9725.33}, {"t": "2026-08-07T23:00:00+00:00", "v": 9725.33}, {"t": "2026-08-08T00:00:00+00:00", "v": 9725.33}, {"t": "2026-08-08T01:00:00+00:00", "v": 9725.33}, {"t": "2026-08-08T02:00:00+00:00", "v": 9725.33}, {"t": "2026-08-08T03:00:00+00:00", "v": 9725.33}, {"t": "2026-08-08T04:00:00+00:00", "v": 9725.33}, {"t": "2026-08-08T05:00:00+00:00", "v": 9725.33}, {"t": "2026-08-08T06:00:00+00:00", "v": 9725.33}, {"t": "2026-08-08T07:00:00+00:00", "v": 9725.33}, {"t": "2026-08-08T08:00:00+00:00", "v": 9725.33}, {"t": "2026-08-08T09:00:00+00:00", "v": 9725.33}, {"t": "2026-08-08T10:00:00+00:00", "v": 9725.33}, {"t": "2026-08-08T11:00:00+00:00", "v": 9725.33}, {"t": "2026-08-08T12:00:00+00:00", "v": 9725.33}, {"t": "2026-08-08T13:00:00+00:00", "v": 9725.33}, {"t": "2026-08-08T14:00:00+00:00", "v": 9711.25}, {"t": "2026-08-08T15:00:00+00:00", "v": 9703.49}, {"t": "2026-08-08T16:00:00+00:00", "v": 9705.13}, {"t": "2026-08-08T17:00:00+00:00", "v": 9709.01}, {"t": "2026-08-08T18:00:00+00:00", "v": 9697.97}, {"t": "2026-08-08T19:00:00+00:00", "v": 9702.45}, {"t": "2026-08-08T20:00:00+00:00", "v": 9702.6}, {"t": "2026-08-08T21:00:00+00:00", "v": 9679.89}, {"t": "2026-08-08T22:00:00+00:00", "v": 9665.87}, {"t": "2026-08-08T23:00:00+00:00", "v": 9669.0}, {"t": "2026-08-09T00:00:00+00:00", "v": 9670.94}, {"t": "2026-08-09T01:00:00+00:00", "v": 9654.85}, {"t": "2026-08-09T02:00:00+00:00", "v": 9648.45}, {"t": "2026-08-09T03:00:00+00:00", "v": 9643.09}, {"t": "2026-08-09T04:00:00+00:00", "v": 9642.79}, {"t": "2026-08-09T05:00:00+00:00", "v": 9645.47}, {"t": "2026-08-09T06:00:00+00:00", "v": 9652.47}, {"t": "2026-08-09T07:00:00+00:00", "v": 9648.45}, {"t": "2026-08-09T08:00:00+00:00", "v": 9647.56}, {"t": "2026-08-09T09:00:00+00:00", "v": 9657.24}, {"t": "2026-08-09T10:00:00+00:00", "v": 9654.09}, {"t": "2026-08-09T11:00:00+00:00", "v": 9654.09}, {"t": "2026-08-09T12:00:00+00:00", "v": 9654.09}, {"t": "2026-08-09T13:00:00+00:00", "v": 9640.11}, {"t": "2026-08-09T14:00:00+00:00", "v": 9646.02}, {"t": "2026-08-09T15:00:00+00:00", "v": 9641.44}, {"t": "2026-08-09T16:00:00+00:00", "v": 9641.0}, {"t": "2026-08-09T17:00:00+00:00", "v": 9635.67}, {"t": "2026-08-09T18:00:00+00:00", "v": 9635.82}, {"t": "2026-08-09T19:00:00+00:00", "v": 9633.9}, {"t": "2026-08-09T20:00:00+00:00", "v": 9627.54}, {"t": "2026-08-09T21:00:00+00:00", "v": 9637.6}, {"t": "2026-08-09T22:00:00+00:00", "v": 9604.43}, {"t": "2026-08-09T23:00:00+00:00", "v": 9604.43}, {"t": "2026-08-10T00:00:00+00:00", "v": 9604.43}, {"t": "2026-08-10T01:00:00+00:00", "v": 9604.43}, {"t": "2026-08-10T02:00:00+00:00", "v": 9604.43}, {"t": "2026-08-10T03:00:00+00:00", "v": 9604.43}, {"t": "2026-08-10T04:00:00+00:00", "v": 9604.43}, {"t": "2026-08-10T05:00:00+00:00", "v": 9604.43}, {"t": "2026-08-10T06:00:00+00:00", "v": 9590.52}, {"t": "2026-08-10T07:00:00+00:00", "v": 9578.62}, {"t": "2026-08-10T08:00:00+00:00", "v": 9591.99}], "total_trades": 11, "generated_at": "2026-08-10T08:33:57.051886+00:00", "asset": "BTC"}
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