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ftdt-quant-lab/backtests/results/obi_BTC_1d_168_20260810-083000.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": "obi", "interval": "1d", "n_bars": 169, "start_equity": 10000.0, "end_equity": 8246.3, "total_return_pct": -17.54, "pnl": -1753.7, "sharpe": -1.795, "sortino": -2.195, "max_drawdown_pct": 23.65, "win_rate": 0.333, "profit_factor": 0.063, "expectancy": -584.568, "trades": [{"time": "2026-05-13 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.127795, "entry_px": 78215.14, "exit_px": 79203.72, "pnl_gross": 117.2828, "pnl_net": 108.23, "fee": 9.052804, "fee_rate_pct": 0.045, "return_pct": 1.173, "duration": ""}, {"time": "2026-07-02 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.136794, "entry_px": 73926.85, "exit_px": 61525.41, "pnl_gross": -1704.7776, "pnl_net": -1713.1157, "fee": 8.338075, "fee_rate_pct": 0.045, "return_pct": -16.858, "duration": ""}, {"time": "2026-07-24 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.128788, "entry_px": 65291.23, "exit_px": 64058.88, "pnl_gross": -166.2081, "pnl_net": -173.7045, "fee": 7.496434, "fee_rate_pct": 0.045, "return_pct": -1.977, "duration": ""}], "params": {"obi_lookback": 20, "obi_entry": 0.35, "obi_exit": 0.1, "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": "2026-02-23T00:00:00+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": 10000.0}, {"t": "2026-03-06T00:00:00+00:00", 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"asset": "BTC"}
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