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ftdt-quant-lab/backtests/results/mean_rev_BTC_4h_180_20260810-083412.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": "mean_rev", "interval": "4h", "n_bars": 181, "start_equity": 10000.0, "end_equity": 9780.42, "total_return_pct": -2.2, "pnl": -219.58, "sharpe": -1.29, "sortino": -1.819, "max_drawdown_pct": 6.21, "win_rate": 0.417, "profit_factor": 0.745, "expectancy": -18.104, "trades": [{"time": "2026-07-16 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.154271, "entry_px": 64791.73, "exit_px": 64198.74, "pnl_gross": -100.4361, "pnl_net": -109.3909, "fee": 8.95477, "fee_rate_pct": 0.045, "return_pct": -1.005, "duration": ""}, {"time": "2026-07-17 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.15731, "entry_px": 62901.84, "exit_px": 64091.84, "pnl_gross": 178.2103, "pnl_net": 169.2205, "fee": 8.989819, "fee_rate_pct": 0.045, "return_pct": 1.801, "duration": ""}, {"time": "2026-07-20 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.155231, "entry_px": 64891.83, "exit_px": 64176.76, "pnl_gross": -120.0169, "pnl_net": -129.0328, "fee": 9.015951, "fee_rate_pct": 0.045, "return_pct": -1.191, "duration": ""}, {"time": "2026-07-23 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.153, "entry_px": 65053.99, "exit_px": 65560.37, "pnl_gross": 68.4842, "pnl_net": 59.4914, "fee": 8.992799, "fee_rate_pct": 0.045, "return_pct": 0.688, "duration": ""}, {"time": "2026-07-26 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.154164, "entry_px": 65006.94, "exit_px": 64411.52, "pnl_gross": -100.7703, "pnl_net": -109.7485, "fee": 8.97825, "fee_rate_pct": 0.045, "return_pct": -1.006, "duration": ""}, {"time": "2026-07-27 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.151625, "entry_px": 65431.37, "exit_px": 64449.49, "pnl_gross": -157.7391, "pnl_net": -166.601, "fee": 8.861933, "fee_rate_pct": 0.045, "return_pct": -1.59, "duration": ""}, {"time": "2026-07-29 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.153031, "entry_px": 63799.74, "exit_px": 64465.47, "pnl_gross": 93.0451, "pnl_net": 84.2123, "fee": 8.832849, "fee_rate_pct": 0.045, "return_pct": 0.953, "duration": ""}, {"time": "2026-07-30 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.154909, "entry_px": 63626.56, "exit_px": 64073.86, "pnl_gross": 60.3889, "pnl_net": 51.487, "fee": 8.901875, "fee_rate_pct": 0.045, "return_pct": 0.613, "duration": ""}, {"time": "2026-08-02 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.153008, "entry_px": 64811.75, "exit_px": 63372.56, "pnl_gross": -229.0322, "pnl_net": -237.8581, "fee": 8.825951, "fee_rate_pct": 0.045, "return_pct": -2.31, "duration": ""}, {"time": "2026-08-06 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.15461, "entry_px": 62659.6, "exit_px": 64228.71, "pnl_gross": 233.7713, "pnl_net": 224.9431, "fee": 8.828191, "fee_rate_pct": 0.045, "return_pct": 2.413, "duration": ""}, {"time": "2026-08-09 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.152499, "entry_px": 65058.99, "exit_px": 64694.24, "pnl_gross": -64.5288, "pnl_net": -73.433, "fee": 8.904257, "fee_rate_pct": 0.045, "return_pct": -0.65, "duration": ""}, {"time": "2026-08-09 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.151029, "entry_px": 65265.2, "exit_px": 64803.13, "pnl_gross": -78.6255, "pnl_net": -87.4654, "fee": 8.83984, "fee_rate_pct": 0.045, "return_pct": -0.798, "duration": ""}, {"time": "2026-08-10 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.149866, "entry_px": 65247.18, "exit_px": 65261.0, "pnl_gross": -2.3294, "pnl_net": -11.1308, "fee": 8.801433, "fee_rate_pct": 0.045, "return_pct": -0.024, "duration": ""}], "params": {"vwap_window": 20, "deviation": 1.0, "type": "Reversal"}, "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": "2026-07-11T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-11T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-11T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-11T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T04:00:00+00:00", "v": 10000.0}, {"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": 9985.52}, {"t": "2026-07-14T16:00:00+00:00", "v": 9957.13}, {"t": "2026-07-14T20:00:00+00:00", "v": 10027.63}, {"t": "2026-07-15T00:00:00+00:00", "v": 9995.08}, {"t": "2026-07-15T04:00:00+00:00", "v": 9958.83}, {"t": "2026-07-15T08:00:00+00:00", "v": 9985.83}, {"t": "2026-07-15T12:00:00+00:00", "v": 10090.42}, {"t": "2026-07-15T16:00:00+00:00", "v": 10019.46}, {"t": "2026-07-15T20:00:00+00:00", "v": 9987.21}, {"t": "2026-07-16T00:00:00+00:00", "v": 9966.23}, {"t": "2026-07-16T04:00:00+00:00", "v": 9907.61}, {"t": "2026-07-16T08:00:00+00:00", "v": 9909.62}, {"t": "2026-07-16T12:00:00+00:00", "v": 9979.65}, {"t": "2026-07-16T16:00:00+00:00", "v": 9899.56}, {"t": "2026-07-16T20:00:00+00:00", "v": 9899.56}, {"t": "2026-07-17T00:00:00+00:00", "v": 9899.56}, {"t": "2026-07-17T04:00:00+00:00", "v": 9885.23}, {"t": "2026-07-17T08:00:00+00:00", "v": 9957.9}, {"t": "2026-07-17T12:00:00+00:00", "v": 9985.75}, {"t": "2026-07-17T16:00:00+00:00", "v": 10077.77}, {"t": "2026-07-17T20:00:00+00:00", "v": 10077.77}, {"t": "2026-07-18T00:00:00+00:00", "v": 10077.77}, {"t": "2026-07-18T04:00:00+00:00", "v": 10077.77}, {"t": "2026-07-18T08:00:00+00:00", "v": 10077.77}, {"t": "2026-07-18T12:00:00+00:00", "v": 10077.77}, {"t": "2026-07-18T16:00:00+00:00", "v": 10077.77}, {"t": "2026-07-18T20:00:00+00:00", "v": 10063.18}, {"t": "2026-07-19T00:00:00+00:00", "v": 10042.53}, {"t": "2026-07-19T04:00:00+00:00", "v": 10045.48}, {"t": "2026-07-19T08:00:00+00:00", "v": 10004.97}, {"t": "2026-07-19T12:00:00+00:00", "v": 10023.9}, {"t": "2026-07-19T16:00:00+00:00", "v": 10005.59}, {"t": "2026-07-19T20:00:00+00:00", "v": 10046.26}, {"t": "2026-07-20T00:00:00+00:00", "v": 10065.35}, {"t": "2026-07-20T04:00:00+00:00", "v": 9957.76}, {"t": "2026-07-20T08:00:00+00:00", "v": 9943.33}, {"t": "2026-07-20T12:00:00+00:00", "v": 10031.46}, {"t": "2026-07-20T16:00:00+00:00", "v": 9960.32}, {"t": "2026-07-20T20:00:00+00:00", "v": 9979.6}, {"t": "2026-07-21T00:00:00+00:00", "v": 10027.49}, {"t": "2026-07-21T04:00:00+00:00", "v": 10124.03}, {"t": "2026-07-21T08:00:00+00:00", "v": 10146.98}, {"t": "2026-07-21T12:00:00+00:00", "v": 10196.55}, {"t": "2026-07-21T16:00:00+00:00", "v": 10161.82}, {"t": "2026-07-21T20:00:00+00:00", "v": 10178.65}, {"t": "2026-07-22T00:00:00+00:00", "v": 10125.56}, {"t": "2026-07-22T04:00:00+00:00", "v": 10068.64}, {"t": "2026-07-22T08:00:00+00:00", "v": 10096.49}, {"t": "2026-07-22T12:00:00+00:00", "v": 10101.38}, {"t": "2026-07-22T16:00:00+00:00", "v": 10083.64}, {"t": "2026-07-22T20:00:00+00:00", "v": 10111.18}, {"t": "2026-07-23T00:00:00+00:00", "v": 10026.24}, {"t": "2026-07-23T04:00:00+00:00", "v": 10026.24}, {"t": "2026-07-23T08:00:00+00:00", "v": 10026.24}, {"t": "2026-07-23T12:00:00+00:00", "v": 10011.72}, {"t": "2026-07-23T16:00:00+00:00", "v": 9995.07}, {"t": "2026-07-23T20:00:00+00:00", "v": 10031.3}, {"t": "2026-07-24T00:00:00+00:00", "v": 10086.34}, {"t": "2026-07-24T04:00:00+00:00", "v": 10095.12}, {"t": "2026-07-24T08:00:00+00:00", "v": 10030.68}, {"t": "2026-07-24T12:00:00+00:00", "v": 9879.6}, {"t": "2026-07-24T16:00:00+00:00", "v": 9897.18}, {"t": "2026-07-24T20:00:00+00:00", "v": 9885.46}, {"t": "2026-07-25T00:00:00+00:00", "v": 9876.06}, {"t": "2026-07-25T04:00:00+00:00", "v": 9864.03}, {"t": "2026-07-25T08:00:00+00:00", "v": 9871.43}, {"t": "2026-07-25T12:00:00+00:00", "v": 9890.7}, {"t": "2026-07-25T16:00:00+00:00", "v": 9923.23}, {"t": "2026-07-25T20:00:00+00:00", "v": 9922.15}, {"t": "2026-07-26T00:00:00+00:00", "v": 9946.66}, {"t": "2026-07-26T04:00:00+00:00", "v": 9919.84}, {"t": "2026-07-26T08:00:00+00:00", "v": 9925.47}, {"t": "2026-07-26T12:00:00+00:00", "v": 9925.47}, {"t": "2026-07-26T16:00:00+00:00", "v": 9925.47}, {"t": "2026-07-26T20:00:00+00:00", "v": 9911.1}, {"t": "2026-07-27T00:00:00+00:00", "v": 9895.18}, {"t": "2026-07-27T04:00:00+00:00", "v": 9884.56}, {"t": "2026-07-27T08:00:00+00:00", "v": 9866.82}, {"t": "2026-07-27T12:00:00+00:00", "v": 9767.73}, {"t": "2026-07-27T16:00:00+00:00", "v": 9767.73}, {"t": "2026-07-27T20:00:00+00:00", "v": 9753.59}, {"t": "2026-07-28T00:00:00+00:00", "v": 9689.92}, {"t": "2026-07-28T04:00:00+00:00", "v": 9714.41}, {"t": "2026-07-28T08:00:00+00:00", "v": 9708.44}, {"t": "2026-07-28T12:00:00+00:00", "v": 9780.37}, {"t": "2026-07-28T16:00:00+00:00", "v": 9774.09}, {"t": "2026-07-28T20:00:00+00:00", "v": 9779.6}, {"t": "2026-07-29T00:00:00+00:00", "v": 9751.29}, {"t": "2026-07-29T04:00:00+00:00", "v": 9860.78}, {"t": "2026-07-29T08:00:00+00:00", "v": 9860.78}, {"t": "2026-07-29T12:00:00+00:00", "v": 9860.78}, {"t": "2026-07-29T16:00:00+00:00", "v": 9846.5}, {"t": "2026-07-29T20:00:00+00:00", "v": 9908.3}, {"t": "2026-07-30T00:00:00+00:00", "v": 9921.17}, {"t": "2026-07-30T04:00:00+00:00", "v": 9921.17}, {"t": "2026-07-30T08:00:00+00:00", "v": 9906.8}, {"t": "2026-07-30T12:00:00+00:00", "v": 9898.38}, {"t": "2026-07-30T16:00:00+00:00", "v": 9910.16}, {"t": "2026-07-30T20:00:00+00:00", "v": 9907.87}, {"t": "2026-07-31T00:00:00+00:00", "v": 9845.59}, {"t": "2026-07-31T04:00:00+00:00", "v": 9779.95}, {"t": "2026-07-31T08:00:00+00:00", "v": 9757.46}, {"t": "2026-07-31T12:00:00+00:00", "v": 9594.35}, {"t": "2026-07-31T16:00:00+00:00", "v": 9629.55}, {"t": "2026-07-31T20:00:00+00:00", "v": 9617.46}, {"t": "2026-08-01T00:00:00+00:00", "v": 9635.67}, {"t": "2026-08-01T04:00:00+00:00", "v": 9642.25}, {"t": "2026-08-01T08:00:00+00:00", "v": 9646.53}, {"t": "2026-08-01T12:00:00+00:00", "v": 9636.74}, {"t": "2026-08-01T16:00:00+00:00", "v": 9563.45}, {"t": "2026-08-01T20:00:00+00:00", "v": 9607.36}, {"t": "2026-08-02T00:00:00+00:00", "v": 9692.13}, {"t": "2026-08-02T04:00:00+00:00", "v": 9692.13}, {"t": "2026-08-02T08:00:00+00:00", "v": 9692.13}, {"t": "2026-08-02T12:00:00+00:00", "v": 9692.13}, {"t": "2026-08-02T16:00:00+00:00", "v": 9692.13}, {"t": "2026-08-02T20:00:00+00:00", "v": 9692.13}, {"t": "2026-08-03T00:00:00+00:00", "v": 9692.13}, {"t": "2026-08-03T04:00:00+00:00", "v": 9678.1}, {"t": "2026-08-03T08:00:00+00:00", "v": 9668.36}, {"t": "2026-08-03T12:00:00+00:00", "v": 9842.6}, {"t": "2026-08-03T16:00:00+00:00", "v": 9869.04}, {"t": "2026-08-03T20:00:00+00:00", "v": 9816.47}, {"t": "2026-08-04T00:00:00+00:00", "v": 9860.54}, {"t": "2026-08-04T04:00:00+00:00", "v": 9842.29}, {"t": "2026-08-04T08:00:00+00:00", "v": 9879.4}, {"t": "2026-08-04T12:00:00+00:00", "v": 9909.08}, {"t": "2026-08-04T16:00:00+00:00", "v": 9926.24}, {"t": "2026-08-04T20:00:00+00:00", "v": 9905.53}, {"t": "2026-08-05T00:00:00+00:00", "v": 9919.29}, {"t": "2026-08-05T04:00:00+00:00", "v": 9916.35}, {"t": "2026-08-05T08:00:00+00:00", "v": 9901.35}, {"t": "2026-08-05T12:00:00+00:00", "v": 9949.28}, {"t": "2026-08-05T16:00:00+00:00", "v": 10018.08}, {"t": "2026-08-05T20:00:00+00:00", "v": 9991.64}, {"t": "2026-08-06T00:00:00+00:00", "v": 9974.02}, {"t": "2026-08-06T04:00:00+00:00", "v": 10016.23}, {"t": "2026-08-06T08:00:00+00:00", "v": 9987.47}, {"t": "2026-08-06T12:00:00+00:00", "v": 9987.47}, {"t": "2026-08-06T16:00:00+00:00", "v": 9959.33}, {"t": "2026-08-06T20:00:00+00:00", "v": 9925.91}, {"t": "2026-08-07T00:00:00+00:00", "v": 9925.91}, {"t": "2026-08-07T04:00:00+00:00", "v": 9925.91}, {"t": "2026-08-07T08:00:00+00:00", "v": 9911.53}, {"t": "2026-08-07T12:00:00+00:00", "v": 9893.53}, {"t": "2026-08-07T16:00:00+00:00", "v": 9900.09}, {"t": "2026-08-07T20:00:00+00:00", "v": 9894.91}, {"t": "2026-08-08T00:00:00+00:00", "v": 9912.14}, {"t": "2026-08-08T04:00:00+00:00", "v": 9901.16}, {"t": "2026-08-08T08:00:00+00:00", "v": 9903.14}, {"t": "2026-08-08T12:00:00+00:00", "v": 9920.22}, {"t": "2026-08-08T16:00:00+00:00", "v": 9919.15}, {"t": "2026-08-08T20:00:00+00:00", "v": 9902.23}, {"t": "2026-08-09T00:00:00+00:00", "v": 9861.38}, {"t": "2026-08-09T04:00:00+00:00", "v": 9861.38}, {"t": "2026-08-09T08:00:00+00:00", "v": 9861.38}, {"t": "2026-08-09T12:00:00+00:00", "v": 9847.09}, {"t": "2026-08-09T16:00:00+00:00", "v": 9839.39}, {"t": "2026-08-09T20:00:00+00:00", "v": 9782.75}, {"t": "2026-08-10T00:00:00+00:00", "v": 9782.75}, {"t": "2026-08-10T04:00:00+00:00", "v": 9768.58}, {"t": "2026-08-10T08:00:00+00:00", "v": 9780.42}], "total_trades": 13, "generated_at": "2026-08-10T08:34:12.393482+00:00", "asset": "BTC"}
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