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ftdt-quant-lab/backtests/results/as_mm_BTC_4h_168_20260810-082858.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": "as_mm", "interval": "4h", "n_bars": 169, "start_equity": 10000.0, "end_equity": 9635.94, "total_return_pct": -3.64, "pnl": -364.06, "sharpe": -3.085, "sortino": -4.161, "max_drawdown_pct": 7.21, "win_rate": 0.56, "profit_factor": 0.607, "expectancy": -14.562, "trades": [{"time": "2026-07-17 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.157121, "entry_px": 63635.57, "exit_px": 62776.16, "pnl_gross": -138.011, "pnl_net": -140.9903, "fee": 2.979291, "fee_rate_pct": 0.015, "return_pct": -1.38, "duration": ""}, {"time": "2026-07-18 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.153542, "entry_px": 64220.16, "exit_px": 64039.9, "pnl_gross": -30.6315, "pnl_net": -33.5855, "fee": 2.953996, "fee_rate_pct": 0.015, "return_pct": -0.311, "duration": ""}, {"time": "2026-07-19 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.151792, "entry_px": 64758.69, "exit_px": 64653.28, "pnl_gross": -18.9473, "pnl_net": -21.8939, "fee": 2.946555, "fee_rate_pct": 0.015, "return_pct": -0.193, "duration": ""}, {"time": "2026-07-20 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.150812, "entry_px": 65053.99, "exit_px": 65499.43, "pnl_gross": 64.2254, "pnl_net": 61.272, "fee": 2.953353, "fee_rate_pct": 0.015, "return_pct": 0.655, "duration": ""}, {"time": "2026-07-21 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.150525, "entry_px": 65604.54, "exit_px": 66103.83, "pnl_gross": 72.1822, "pnl_net": 69.2084, "fee": 2.97381, "fee_rate_pct": 0.015, "return_pct": 0.731, "duration": ""}, {"time": "2026-07-22 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.149621, "entry_px": 66483.42, "exit_px": 65955.98, "pnl_gross": -81.8884, "pnl_net": -84.8607, "fee": 2.972357, "fee_rate_pct": 0.015, "return_pct": -0.823, "duration": ""}, {"time": "2026-07-23 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.150178, "entry_px": 65691.63, "exit_px": 64877.06, "pnl_gross": -125.2716, "pnl_net": -128.2129, "fee": 2.941282, "fee_rate_pct": 0.015, "return_pct": -1.27, "duration": ""}, {"time": "2026-07-24 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.148725, "entry_px": 65491.43, "exit_px": 64020.92, "pnl_gross": -221.5906, "pnl_net": -224.4799, "fee": 2.889259, "fee_rate_pct": 0.015, "return_pct": -2.275, "duration": ""}, {"time": "2026-07-25 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.148436, "entry_px": 64126.06, "exit_px": 64303.63, "pnl_gross": 23.4983, "pnl_net": 20.6388, "fee": 2.859538, "fee_rate_pct": 0.015, "return_pct": 0.247, "duration": ""}, {"time": "2026-07-26 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.148146, "entry_px": 64410.35, "exit_px": 64411.52, "pnl_gross": -2.6882, "pnl_net": -5.5508, "fee": 2.862667, "fee_rate_pct": 0.015, "return_pct": -0.028, "duration": ""}, {"time": "2026-07-27 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.145793, "entry_px": 65431.37, "exit_px": 64449.49, "pnl_gross": -145.9918, "pnl_net": -148.8321, "fee": 2.840358, "fee_rate_pct": 0.015, "return_pct": -1.53, "duration": ""}, {"time": "2026-07-28 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.148201, "entry_px": 63383.32, "exit_px": 63416.52, "pnl_gross": 2.1015, "pnl_net": -0.7173, "fee": 2.818779, "fee_rate_pct": 0.015, "return_pct": 0.022, "duration": ""}, {"time": "2026-07-29 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.146958, "entry_px": 63933.87, "exit_px": 64465.47, "pnl_gross": 75.2923, "pnl_net": 72.462, "fee": 2.830397, "fee_rate_pct": 0.015, "return_pct": 0.801, "duration": ""}, {"time": "2026-07-29 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.148851, "entry_px": 63626.56, "exit_px": 63898.04, "pnl_gross": 37.5619, "pnl_net": 34.7146, "fee": 2.847325, "fee_rate_pct": 0.015, "return_pct": 0.397, "duration": ""}, {"time": "2026-07-31 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.146708, "entry_px": 64811.75, "exit_px": 63854.08, "pnl_gross": -143.3288, "pnl_net": -146.1602, "fee": 2.831446, "fee_rate_pct": 0.015, "return_pct": -1.507, "duration": ""}, {"time": "2026-08-01 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.148657, "entry_px": 62997.93, "exit_px": 62919.02, "pnl_gross": -14.5394, "pnl_net": -17.3471, "fee": 2.807765, "fee_rate_pct": 0.015, "return_pct": -0.155, "duration": ""}, {"time": "2026-08-02 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.147254, "entry_px": 63499.44, "exit_px": 63492.44, "pnl_gross": -3.8346, "pnl_net": -6.6396, "fee": 2.805009, "fee_rate_pct": 0.015, "return_pct": -0.041, "duration": ""}, {"time": "2026-08-03 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.149317, "entry_px": 62596.53, "exit_px": 63597.34, "pnl_gross": 146.6109, "pnl_net": 143.7845, "fee": 2.826434, "fee_rate_pct": 0.015, "return_pct": 1.569, "duration": ""}, {"time": "2026-08-04 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.148703, "entry_px": 63840.78, "exit_px": 64026.91, "pnl_gross": 24.8263, "pnl_net": 21.9741, "fee": 2.852146, "fee_rate_pct": 0.015, "return_pct": 0.262, "duration": ""}, {"time": "2026-08-05 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.148209, "entry_px": 64221.16, "exit_px": 64286.65, "pnl_gross": 6.8496, "pnl_net": 3.9927, "fee": 2.856902, "fee_rate_pct": 0.015, "return_pct": 0.072, "duration": ""}, {"time": "2026-08-06 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.147502, "entry_px": 64575.51, "exit_px": 64719.22, "pnl_gross": 18.3361, "pnl_net": 15.4754, "fee": 2.860685, "fee_rate_pct": 0.015, "return_pct": 0.193, "duration": ""}, {"time": "2026-08-07 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.148004, "entry_px": 64480.42, "exit_px": 64929.01, "pnl_gross": 63.5199, "pnl_net": 60.647, "fee": 2.872967, "fee_rate_pct": 0.015, "return_pct": 0.666, "duration": ""}, {"time": "2026-08-08 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.147912, "entry_px": 64949.88, "exit_px": 64985.95, "pnl_gross": 2.4514, "pnl_net": -0.4314, "fee": 2.88286, "fee_rate_pct": 0.015, "return_pct": 0.026, "duration": ""}, {"time": "2026-08-09 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.148237, "entry_px": 64823.76, "exit_px": 64849.09, "pnl_gross": 0.8711, "pnl_net": -2.0123, "fee": 2.883347, "fee_rate_pct": 0.015, "return_pct": 0.009, "duration": ""}, {"time": "2026-08-10 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.148002, "entry_px": 64932.87, "exit_px": 65116.82, "pnl_gross": 24.3377, "pnl_net": 21.4506, "fee": 2.887142, "fee_rate_pct": 0.015, "return_pct": 0.253, "duration": ""}], "params": {"gamma": 0.1, "sigma_dynamic": true, "inventory_skew": true, "type": "Market Making"}, "fee_info": {"entry_fee": 0.015, "exit_fee": 0.015, "total_fee": 0.03, "taker_rate_pct": 0.045, "maker_rate_pct": 0.015, "effective_rate_pct": 0.015, "vip_tier": 0, "staking_tier": "none", "fee_model": "maker", "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": 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