rams/ftdt-quant-lab
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
09cb0d42b5d9870bb8c3c60318e567fc5313eb04
ftdt-quant-lab/backtests/results/pairs_ETH_4h_168_20260810-082619.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

1 line
9.9 KiB
JSON
Raw Blame History

{"strategy": "pairs", "interval": "4h", "n_bars": 169, "start_equity": 10000.0, "end_equity": 9763.33, "total_return_pct": -2.37, "pnl": -236.67, "sharpe": -2.362, "sortino": -3.102, "max_drawdown_pct": 5.42, "win_rate": 0.5, "profit_factor": 0.463, "expectancy": -59.166, "trades": [{"time": "2026-07-21 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.153649, "entry_px": 65053.99, "exit_px": 66350.58, "pnl_gross": 190.1352, "pnl_net": 181.0496, "fee": 9.085581, "fee_rate_pct": 0.045, "return_pct": 1.902, "duration": ""}, {"time": "2026-07-23 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.154121, "entry_px": 66088.02, "exit_px": 64769.17, "pnl_gross": -212.3389, "pnl_net": -221.4145, "fee": 9.075528, "fee_rate_pct": 0.045, "return_pct": -2.085, "duration": ""}, {"time": "2026-07-28 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.153905, "entry_px": 64801.74, "exit_px": 63377.56, "pnl_gross": -228.0654, "pnl_net": -236.9427, "fee": 8.877346, "fee_rate_pct": 0.045, "return_pct": -2.287, "duration": ""}, {"time": "2026-08-07 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.150711, "entry_px": 64662.6, "exit_px": 64811.12, "pnl_gross": 13.6036, "pnl_net": 4.8227, "fee": 8.780901, "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": "2026-07-13T08:00:00+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": 10000.0}, {"t": "2026-07-14T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-18T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-18T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-18T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-18T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-18T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-18T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-19T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-19T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-19T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-19T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-19T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-19T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-20T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-20T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-20T08:00:00+00:00", "v": 9985.52}, {"t": "2026-07-20T12:00:00+00:00", "v": 10074.02}, {"t": "2026-07-20T16:00:00+00:00", "v": 10002.57}, {"t": "2026-07-20T20:00:00+00:00", "v": 10021.93}, {"t": "2026-07-21T00:00:00+00:00", "v": 10070.02}, {"t": "2026-07-21T04:00:00+00:00", "v": 10166.98}, {"t": "2026-07-21T08:00:00+00:00", "v": 10190.02}, {"t": "2026-07-21T12:00:00+00:00", "v": 10239.81}, {"t": "2026-07-21T16:00:00+00:00", "v": 10190.14}, {"t": "2026-07-21T20:00:00+00:00", "v": 10190.14}, {"t": "2026-07-22T00:00:00+00:00", "v": 10190.14}, {"t": "2026-07-22T04:00:00+00:00", "v": 10190.14}, {"t": "2026-07-22T08:00:00+00:00", "v": 10190.14}, {"t": "2026-07-22T12:00:00+00:00", "v": 10175.38}, {"t": "2026-07-22T16:00:00+00:00", "v": 10157.5}, {"t": "2026-07-22T20:00:00+00:00", "v": 10185.24}, {"t": "2026-07-23T00:00:00+00:00", "v": 10114.34}, {"t": "2026-07-23T04:00:00+00:00", "v": 10081.98}, {"t": "2026-07-23T08:00:00+00:00", "v": 10098.47}, {"t": "2026-07-23T12:00:00+00:00", "v": 10008.93}, {"t": "2026-07-23T16:00:00+00:00", "v": 9977.8}, {"t": "2026-07-23T20:00:00+00:00", "v": 9977.8}, {"t": "2026-07-24T00:00:00+00:00", "v": 9977.8}, {"t": "2026-07-24T04:00:00+00:00", "v": 9977.8}, {"t": "2026-07-24T08:00:00+00:00", "v": 9977.8}, {"t": "2026-07-24T12:00:00+00:00", "v": 9977.8}, {"t": "2026-07-24T16:00:00+00:00", "v": 9977.8}, {"t": "2026-07-24T20:00:00+00:00", "v": 9977.8}, {"t": "2026-07-25T00:00:00+00:00", "v": 9977.8}, {"t": "2026-07-25T04:00:00+00:00", "v": 9977.8}, {"t": "2026-07-25T08:00:00+00:00", "v": 9977.8}, {"t": "2026-07-25T12:00:00+00:00", "v": 9977.8}, {"t": "2026-07-25T16:00:00+00:00", "v": 9977.8}, {"t": "2026-07-25T20:00:00+00:00", "v": 9977.8}, {"t": "2026-07-26T00:00:00+00:00", "v": 9977.8}, {"t": "2026-07-26T04:00:00+00:00", "v": 9977.8}, {"t": "2026-07-26T08:00:00+00:00", "v": 9977.8}, {"t": "2026-07-26T12:00:00+00:00", "v": 9963.34}, {"t": "2026-07-26T16:00:00+00:00", "v": 9952.88}, {"t": "2026-07-26T20:00:00+00:00", "v": 10060.15}, {"t": "2026-07-27T00:00:00+00:00", "v": 10043.99}, {"t": "2026-07-27T04:00:00+00:00", "v": 10033.22}, {"t": "2026-07-27T08:00:00+00:00", "v": 10015.21}, {"t": "2026-07-27T12:00:00+00:00", "v": 9929.02}, {"t": "2026-07-27T16:00:00+00:00", "v": 9995.97}, {"t": "2026-07-27T20:00:00+00:00", "v": 9809.29}, {"t": "2026-07-28T00:00:00+00:00", "v": 9745.26}, {"t": "2026-07-28T04:00:00+00:00", "v": 9769.89}, {"t": "2026-07-28T08:00:00+00:00", "v": 9749.73}, {"t": "2026-07-28T12:00:00+00:00", "v": 9749.73}, {"t": "2026-07-28T16:00:00+00:00", "v": 9749.73}, {"t": "2026-07-28T20:00:00+00:00", "v": 9749.73}, {"t": "2026-07-29T00:00:00+00:00", "v": 9749.73}, {"t": "2026-07-29T04:00:00+00:00", "v": 9749.73}, {"t": "2026-07-29T08:00:00+00:00", "v": 9749.73}, {"t": "2026-07-29T12:00:00+00:00", "v": 9749.73}, {"t": "2026-07-29T16:00:00+00:00", "v": 9749.73}, {"t": "2026-07-29T20:00:00+00:00", "v": 9749.73}, {"t": "2026-07-30T00:00:00+00:00", "v": 9749.73}, {"t": "2026-07-30T04:00:00+00:00", "v": 9749.73}, {"t": "2026-07-30T08:00:00+00:00", "v": 9749.73}, {"t": "2026-07-30T12:00:00+00:00", "v": 9749.73}, {"t": "2026-07-30T16:00:00+00:00", "v": 9749.73}, {"t": "2026-07-30T20:00:00+00:00", "v": 9749.73}, {"t": "2026-07-31T00:00:00+00:00", "v": 9749.73}, {"t": "2026-07-31T04:00:00+00:00", "v": 9749.73}, {"t": "2026-07-31T08:00:00+00:00", "v": 9749.73}, {"t": "2026-07-31T12:00:00+00:00", "v": 9749.73}, {"t": "2026-07-31T16:00:00+00:00", "v": 9749.73}, {"t": "2026-07-31T20:00:00+00:00", "v": 9749.73}, {"t": "2026-08-01T00:00:00+00:00", "v": 9749.73}, {"t": "2026-08-01T04:00:00+00:00", "v": 9749.73}, {"t": "2026-08-01T08:00:00+00:00", "v": 9749.73}, {"t": "2026-08-01T12:00:00+00:00", "v": 9749.73}, {"t": "2026-08-01T16:00:00+00:00", "v": 9749.73}, {"t": "2026-08-01T20:00:00+00:00", "v": 9749.73}, {"t": "2026-08-02T00:00:00+00:00", "v": 9749.73}, {"t": "2026-08-02T04:00:00+00:00", "v": 9749.73}, {"t": "2026-08-02T08:00:00+00:00", "v": 9749.73}, {"t": "2026-08-02T12:00:00+00:00", "v": 9749.73}, {"t": "2026-08-02T16:00:00+00:00", "v": 9749.73}, {"t": "2026-08-02T20:00:00+00:00", "v": 9749.73}, {"t": "2026-08-03T00:00:00+00:00", "v": 9749.73}, {"t": "2026-08-03T04:00:00+00:00", "v": 9749.73}, {"t": "2026-08-03T08:00:00+00:00", "v": 9749.73}, {"t": "2026-08-03T12:00:00+00:00", "v": 9749.73}, {"t": "2026-08-03T16:00:00+00:00", "v": 9749.73}, {"t": "2026-08-03T20:00:00+00:00", "v": 9749.73}, {"t": "2026-08-04T00:00:00+00:00", "v": 9749.73}, {"t": "2026-08-04T04:00:00+00:00", "v": 9749.73}, {"t": "2026-08-04T08:00:00+00:00", "v": 9749.73}, {"t": "2026-08-04T12:00:00+00:00", "v": 9749.73}, {"t": "2026-08-04T16:00:00+00:00", "v": 9749.73}, {"t": "2026-08-04T20:00:00+00:00", "v": 9749.73}, {"t": "2026-08-05T00:00:00+00:00", "v": 9749.73}, {"t": "2026-08-05T04:00:00+00:00", "v": 9749.73}, {"t": "2026-08-05T08:00:00+00:00", "v": 9749.73}, {"t": "2026-08-05T12:00:00+00:00", "v": 9749.73}, {"t": "2026-08-05T16:00:00+00:00", "v": 9749.73}, {"t": "2026-08-05T20:00:00+00:00", "v": 9749.73}, {"t": "2026-08-06T00:00:00+00:00", "v": 9749.73}, {"t": "2026-08-06T04:00:00+00:00", "v": 9749.73}, {"t": "2026-08-06T08:00:00+00:00", "v": 9749.73}, {"t": "2026-08-06T12:00:00+00:00", "v": 9735.61}, {"t": "2026-08-06T16:00:00+00:00", "v": 9708.18}, {"t": "2026-08-06T20:00:00+00:00", "v": 9689.64}, {"t": "2026-08-07T00:00:00+00:00", "v": 9684.52}, {"t": "2026-08-07T04:00:00+00:00", "v": 9688.89}, {"t": "2026-08-07T08:00:00+00:00", "v": 9795.29}, {"t": "2026-08-07T12:00:00+00:00", "v": 9763.33}, {"t": "2026-08-07T16:00:00+00:00", "v": 9763.33}, {"t": "2026-08-07T20:00:00+00:00", "v": 9763.33}, {"t": "2026-08-08T00:00:00+00:00", "v": 9763.33}, {"t": "2026-08-08T04:00:00+00:00", "v": 9763.33}, {"t": "2026-08-08T08:00:00+00:00", "v": 9763.33}, {"t": "2026-08-08T12:00:00+00:00", "v": 9763.33}, {"t": "2026-08-08T16:00:00+00:00", "v": 9763.33}, {"t": "2026-08-08T20:00:00+00:00", "v": 9763.33}, {"t": "2026-08-09T00:00:00+00:00", "v": 9763.33}, {"t": "2026-08-09T04:00:00+00:00", "v": 9763.33}, {"t": "2026-08-09T08:00:00+00:00", "v": 9763.33}, {"t": "2026-08-09T12:00:00+00:00", "v": 9763.33}, {"t": "2026-08-09T16:00:00+00:00", "v": 9763.33}, {"t": "2026-08-09T20:00:00+00:00", "v": 9763.33}, {"t": "2026-08-10T00:00:00+00:00", "v": 9763.33}, {"t": "2026-08-10T04:00:00+00:00", "v": 9763.33}, {"t": "2026-08-10T08:00:00+00:00", "v": 9763.33}], "total_trades": 4, "generated_at": "2026-08-10T08:26:19.497383+00:00"}
Reference in New Issue View Git Blame Copy Permalink