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ftdt-quant-lab/backtests/results/composite_mm_BTC_1d_168_20260810-083157.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": "composite_mm", "interval": "1d", "n_bars": 169, "start_equity": 10000.0, "end_equity": 8394.57, "total_return_pct": -16.05, "pnl": -1605.43, "sharpe": -1.594, "sortino": -2.073, "max_drawdown_pct": 21.32, "win_rate": 0.333, "profit_factor": 0.23, "expectancy": -133.786, "trades": [{"time": "2026-03-07 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.141025, "entry_px": 70898.83, "exit_px": 67162.77, "pnl_gross": -529.7977, "pnl_net": -532.7183, "fee": 2.920521, "fee_rate_pct": 0.015, "return_pct": -5.299, "duration": ""}, {"time": "2026-03-12 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.134873, "entry_px": 70205.13, "exit_px": 70429.5, "pnl_gross": 27.4156, "pnl_net": 24.5705, "fee": 2.845172, "fee_rate_pct": 0.015, "return_pct": 0.29, "duration": ""}, {"time": "2026-03-19 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.126736, "entry_px": 74928.85, "exit_px": 69849.08, "pnl_gross": -646.5431, "pnl_net": -649.2954, "fee": 2.752286, "fee_rate_pct": 0.015, "return_pct": -6.808, "duration": ""}, {"time": "2026-03-31 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.12849, "entry_px": 68874.81, "exit_px": 68175.76, "pnl_gross": -92.4626, "pnl_net": -95.1041, "fee": 2.641444, "fee_rate_pct": 0.015, "return_pct": -1.045, "duration": ""}, {"time": "2026-04-19 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.121644, "entry_px": 71990.92, "exit_px": 73667.26, "pnl_gross": 201.2597, "pnl_net": 198.602, "fee": 2.657767, "fee_rate_pct": 0.015, "return_pct": 2.298, "duration": ""}, {"time": "2026-04-23 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.114537, "entry_px": 78215.14, "exit_px": 78147.77, "pnl_gross": -10.402, "pnl_net": -13.0884, "fee": 2.686401, "fee_rate_pct": 0.015, "return_pct": -0.116, "duration": ""}, {"time": "2026-05-25 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.115295, "entry_px": 77610.53, "exit_px": 77204.72, "pnl_gross": -49.466, "pnl_net": -52.1434, "fee": 2.677414, "fee_rate_pct": 0.015, "return_pct": -0.553, "duration": ""}, {"time": "2026-06-12 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.133216, "entry_px": 66798.73, "exit_px": 63497.44, "pnl_gross": -442.3891, "pnl_net": -444.9928, "fee": 2.60363, "fee_rate_pct": 0.015, "return_pct": -4.971, "duration": ""}, {"time": "2026-06-17 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.127431, "entry_px": 66360.29, "exit_px": 64405.53, "pnl_gross": -251.5967, "pnl_net": -254.0963, "fee": 2.499543, "fee_rate_pct": 0.015, "return_pct": -2.975, "duration": ""}, {"time": "2026-07-03 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.134267, "entry_px": 61108.05, "exit_px": 62513.42, "pnl_gross": 186.2059, "pnl_net": 183.7161, "fee": 2.489743, "fee_rate_pct": 0.015, "return_pct": 2.269, "duration": ""}, {"time": "2026-07-11 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.130661, "entry_px": 64219.15, "exit_px": 63759.18, "pnl_gross": -62.6096, "pnl_net": -65.1179, "fee": 2.508266, "fee_rate_pct": 0.015, "return_pct": -0.746, "duration": ""}, {"time": "2026-08-03 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.132367, "entry_px": 62918.86, "exit_px": 63428.51, "pnl_gross": 64.9524, "pnl_net": 62.4437, "fee": 2.508633, "fee_rate_pct": 0.015, "return_pct": 0.78, "duration": ""}], "params": {"obi_weight": 0.3, "as_weight": 0.4, "hurst_weight": 0.3, "entry_score": 0.5, "type": "Ensemble"}, "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": "2026-02-23T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-24T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-25T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-26T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-27T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-28T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-01T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-02T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-03T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-04T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-05T00:00:00+00:00", "v": 9988.51}, {"t": "2026-03-06T00:00:00+00:00", "v": 9601.26}, {"t": "2026-03-07T00:00:00+00:00", "v": 9470.2}, {"t": "2026-03-08T00:00:00+00:00", "v": 9470.2}, {"t": "2026-03-09T00:00:00+00:00", "v": 9470.2}, {"t": "2026-03-10T00:00:00+00:00", "v": 9470.2}, {"t": "2026-03-11T00:00:00+00:00", "v": 9459.32}, {"t": "2026-03-12T00:00:00+00:00", "v": 9497.62}, {"t": "2026-03-13T00:00:00+00:00", "v": 9497.62}, {"t": "2026-03-14T00:00:00+00:00", "v": 9497.62}, {"t": "2026-03-15T00:00:00+00:00", "v": 9497.62}, {"t": "2026-03-16T00:00:00+00:00", "v": 9486.71}, {"t": "2026-03-17T00:00:00+00:00", "v": 9361.24}, {"t": "2026-03-18T00:00:00+00:00", "v": 9025.26}, {"t": "2026-03-19T00:00:00+00:00", "v": 8851.07}, {"t": "2026-03-20T00:00:00+00:00", "v": 8851.07}, {"t": "2026-03-21T00:00:00+00:00", "v": 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8086.49}, {"t": "2026-06-30T00:00:00+00:00", "v": 7868.44}, {"t": "2026-07-01T00:00:00+00:00", "v": 8057.36}, {"t": "2026-07-02T00:00:00+00:00", "v": 8269.09}, {"t": "2026-07-03T00:00:00+00:00", "v": 8392.22}, {"t": "2026-07-04T00:00:00+00:00", "v": 8392.22}, {"t": "2026-07-05T00:00:00+00:00", "v": 8392.22}, {"t": "2026-07-06T00:00:00+00:00", "v": 8392.22}, {"t": "2026-07-07T00:00:00+00:00", "v": 8392.22}, {"t": "2026-07-08T00:00:00+00:00", "v": 8392.22}, {"t": "2026-07-09T00:00:00+00:00", "v": 8392.22}, {"t": "2026-07-10T00:00:00+00:00", "v": 8382.58}, {"t": "2026-07-11T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-12T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-13T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-14T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-15T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-16T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-17T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-18T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-19T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-20T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-21T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-22T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-23T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-24T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-25T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-26T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-27T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-28T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-29T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-30T00:00:00+00:00", "v": 8329.61}, {"t": "2026-07-31T00:00:00+00:00", "v": 8320.05}, {"t": "2026-08-01T00:00:00+00:00", "v": 8311.31}, {"t": "2026-08-02T00:00:00+00:00", "v": 8412.7}, {"t": "2026-08-03T00:00:00+00:00", "v": 8394.57}, {"t": "2026-08-04T00:00:00+00:00", "v": 8394.57}, {"t": "2026-08-05T00:00:00+00:00", "v": 8394.57}, {"t": "2026-08-06T00:00:00+00:00", "v": 8394.57}, {"t": "2026-08-07T00:00:00+00:00", "v": 8394.57}, {"t": "2026-08-08T00:00:00+00:00", "v": 8394.57}, {"t": "2026-08-09T00:00:00+00:00", "v": 8394.57}, {"t": "2026-08-10T00:00:00+00:00", "v": 8394.57}], "total_trades": 12, "generated_at": "2026-08-10T08:31:57.167633+00:00", "asset": "BTC"}
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