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ftdt-quant-lab/backtests/results/pairs_BTC_4h_180_20260810-082628.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": "pairs", "interval": "4h", "n_bars": 181, "start_equity": 10000.0, "end_equity": 9665.28, "total_return_pct": -3.35, "pnl": -334.72, "sharpe": -2.822, "sortino": -3.788, "max_drawdown_pct": 5.42, "win_rate": 0.4, "profit_factor": 0.376, "expectancy": -66.945, "trades": [{"time": "2026-07-16 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.154271, "entry_px": 64791.73, "exit_px": 64198.74, "pnl_gross": -100.4361, "pnl_net": -109.3909, "fee": 8.95477, "fee_rate_pct": 0.045, "return_pct": -1.005, "duration": ""}, {"time": "2026-07-21 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.152106, "entry_px": 65053.99, "exit_px": 66350.58, "pnl_gross": 188.2256, "pnl_net": 179.2312, "fee": 8.994341, "fee_rate_pct": 0.045, "return_pct": 1.902, "duration": ""}, {"time": "2026-07-23 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.152573, "entry_px": 66088.02, "exit_px": 64769.17, "pnl_gross": -210.2063, "pnl_net": -219.1907, "fee": 8.984373, "fee_rate_pct": 0.045, "return_pct": -2.085, "duration": ""}, {"time": "2026-07-28 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.152359, "entry_px": 64801.74, "exit_px": 63377.56, "pnl_gross": -225.7748, "pnl_net": -234.563, "fee": 8.788171, "fee_rate_pct": 0.045, "return_pct": -2.287, "duration": ""}, {"time": "2026-08-07 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.149197, "entry_px": 64662.6, "exit_px": 64811.12, "pnl_gross": 13.4669, "pnl_net": 4.7743, "fee": 8.692691, "fee_rate_pct": 0.045, "return_pct": 0.14, "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": "2026-07-11T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-11T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-11T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-11T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T12:00:00+00:00", "v": 9985.52}, {"t": "2026-07-14T16:00:00+00:00", "v": 9957.13}, {"t": "2026-07-14T20:00:00+00:00", "v": 10027.63}, {"t": 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"2026-08-07T04:00:00+00:00", "v": 9591.58}, {"t": "2026-08-07T08:00:00+00:00", "v": 9696.91}, {"t": "2026-08-07T12:00:00+00:00", "v": 9665.28}, {"t": "2026-08-07T16:00:00+00:00", "v": 9665.28}, {"t": "2026-08-07T20:00:00+00:00", "v": 9665.28}, {"t": "2026-08-08T00:00:00+00:00", "v": 9665.28}, {"t": "2026-08-08T04:00:00+00:00", "v": 9665.28}, {"t": "2026-08-08T08:00:00+00:00", "v": 9665.28}, {"t": "2026-08-08T12:00:00+00:00", "v": 9665.28}, {"t": "2026-08-08T16:00:00+00:00", "v": 9665.28}, {"t": "2026-08-08T20:00:00+00:00", "v": 9665.28}, {"t": "2026-08-09T00:00:00+00:00", "v": 9665.28}, {"t": "2026-08-09T04:00:00+00:00", "v": 9665.28}, {"t": "2026-08-09T08:00:00+00:00", "v": 9665.28}, {"t": "2026-08-09T12:00:00+00:00", "v": 9665.28}, {"t": "2026-08-09T16:00:00+00:00", "v": 9665.28}, {"t": "2026-08-09T20:00:00+00:00", "v": 9665.28}, {"t": "2026-08-10T00:00:00+00:00", "v": 9665.28}, {"t": "2026-08-10T04:00:00+00:00", "v": 9665.28}, {"t": "2026-08-10T08:00:00+00:00", "v": 9665.28}], "total_trades": 5, "generated_at": "2026-08-10T08:26:28.684150+00:00"}
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