ramseshk
ad4036713e
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
1 line
2.7 KiB
JSON
1 line
2.7 KiB
JSON
{"strategy": "as_mm", "interval": "4h", "n_bars": 31, "start_equity": 10000.0, "end_equity": 10026.23, "total_return_pct": 0.26, "pnl": 26.23, "sharpe": 6.676, "sortino": 13.58, "max_drawdown_pct": 0.11, "win_rate": 1.0, "profit_factor": Infinity, "expectancy": 13.115, "trades": [{"time": "2026-08-09 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.154241, "entry_px": 64823.76, "exit_px": 64849.09, "pnl_gross": 0.9063, "pnl_net": -2.0938, "fee": 3.000131, "fee_rate_pct": 0.015, "return_pct": 0.009, "duration": ""}, {"time": "2026-08-10 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.153996, "entry_px": 64932.87, "exit_px": 65116.82, "pnl_gross": 25.3235, "pnl_net": 22.3194, "fee": 3.00407, "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": "2026-08-05T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-06T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-07T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-08T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-09T00:00:00+00:00", "v": 9988.51}, {"t": "2026-08-09T04:00:00+00:00", "v": 9994.06}, {"t": "2026-08-09T08:00:00+00:00", "v": 10000.91}, {"t": "2026-08-09T12:00:00+00:00", "v": 10000.91}, {"t": "2026-08-09T16:00:00+00:00", "v": 10000.91}, {"t": "2026-08-09T20:00:00+00:00", "v": 9989.42}, {"t": "2026-08-10T00:00:00+00:00", "v": 10002.35}, {"t": "2026-08-10T04:00:00+00:00", "v": 10026.23}, {"t": "2026-08-10T08:00:00+00:00", "v": 10026.23}], "total_trades": 2, "generated_at": "2026-08-10T08:29:06.343680+00:00", "asset": "BTC"} |