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
3.8 KiB
JSON
1 line
3.8 KiB
JSON
{"strategy": "as_mm", "interval": "4h", "n_bars": 43, "start_equity": 10000.0, "end_equity": 10120.19, "total_return_pct": 1.2, "pnl": 120.19, "sharpe": 8.025, "sortino": 33.588, "max_drawdown_pct": 0.15, "win_rate": 1.0, "profit_factor": Infinity, "expectancy": 30.049, "trades": [{"time": "2026-08-07 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.155441, "entry_px": 64323.26, "exit_px": 64929.01, "pnl_gross": 91.1445, "pnl_net": 88.1308, "fee": 3.013665, "fee_rate_pct": 0.015, "return_pct": 0.912, "duration": ""}, {"time": "2026-08-08 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.155345, "entry_px": 64949.88, "exit_px": 64985.95, "pnl_gross": 2.5746, "pnl_net": -0.4531, "fee": 3.027732, "fee_rate_pct": 0.015, "return_pct": 0.026, "duration": ""}, {"time": "2026-08-09 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.155687, "entry_px": 64823.76, "exit_px": 64849.09, "pnl_gross": 0.9148, "pnl_net": -2.1134, "fee": 3.028257, "fee_rate_pct": 0.015, "return_pct": 0.009, "duration": ""}, {"time": "2026-08-10 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.155439, "entry_px": 64932.87, "exit_px": 65116.82, "pnl_gross": 25.5608, "pnl_net": 22.5286, "fee": 3.032219, "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": "2026-08-03T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-05T04:00:00+00:00", "v": 10000.0}, {"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": 9988.51}, {"t": "2026-08-07T04:00:00+00:00", "v": 9993.02}, {"t": "2026-08-07T08:00:00+00:00", "v": 10091.14}, {"t": "2026-08-07T12:00:00+00:00", "v": 10091.14}, {"t": "2026-08-07T16:00:00+00:00", "v": 10091.14}, {"t": "2026-08-07T20:00:00+00:00", "v": 10079.55}, {"t": "2026-08-08T00:00:00+00:00", "v": 10097.11}, {"t": "2026-08-08T04:00:00+00:00", "v": 10085.92}, {"t": "2026-08-08T08:00:00+00:00", "v": 10087.94}, {"t": "2026-08-08T12:00:00+00:00", "v": 10093.72}, {"t": "2026-08-08T16:00:00+00:00", "v": 10093.72}, {"t": "2026-08-08T20:00:00+00:00", "v": 10093.72}, {"t": "2026-08-09T00:00:00+00:00", "v": 10082.12}, {"t": "2026-08-09T04:00:00+00:00", "v": 10087.73}, {"t": "2026-08-09T08:00:00+00:00", "v": 10094.63}, {"t": "2026-08-09T12:00:00+00:00", "v": 10094.63}, {"t": "2026-08-09T16:00:00+00:00", "v": 10094.63}, {"t": "2026-08-09T20:00:00+00:00", "v": 10083.04}, {"t": "2026-08-10T00:00:00+00:00", "v": 10096.09}, {"t": "2026-08-10T04:00:00+00:00", "v": 10120.19}, {"t": "2026-08-10T08:00:00+00:00", "v": 10120.19}], "total_trades": 4, "generated_at": "2026-08-10T08:29:01.428321+00:00", "asset": "BTC"} |