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ftdt-quant-lab/backtests/results/grid_mm_BTC_1h_180_20260810-083020.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": "grid_mm", "interval": "1h", "n_bars": 181, "start_equity": 10000.0, "end_equity": 9869.91, "total_return_pct": -1.3, "pnl": -130.09, "sharpe": -2.847, "sortino": -4.861, "max_drawdown_pct": 3.6, "win_rate": 0.2, "profit_factor": 0.525, "expectancy": -8.925, "trades": [{"time": "2026-08-05 09:00:00", "side": "BUY", "asset": "BTC", "size": 0.157151, "entry_px": 63623.56, "exit_px": 64062.87, "pnl_gross": 66.0285, "pnl_net": 63.0186, "fee": 3.009908, "fee_rate_pct": 0.015, "return_pct": 0.66, "duration": ""}, {"time": "2026-08-06 03:00:00", "side": "BUY", "asset": "BTC", "size": 0.157022, "entry_px": 64096.03, "exit_px": 64446.49, "pnl_gross": 52.002, "pnl_net": 48.9744, "fee": 3.027601, "fee_rate_pct": 0.015, "return_pct": 0.517, "duration": ""}, {"time": "2026-08-06 10:00:00", "side": "BUY", "asset": "BTC", "size": 0.156197, "entry_px": 64767.7, "exit_px": 64524.41, "pnl_gross": -41.0307, "pnl_net": -44.06, "fee": 3.029256, "fee_rate_pct": 0.015, "return_pct": -0.406, "duration": ""}, {"time": "2026-08-07 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.155816, "entry_px": 64662.6, "exit_px": 64875.06, "pnl_gross": 30.0774, "pnl_net": 27.0498, "fee": 3.027606, "fee_rate_pct": 0.015, "return_pct": 0.299, "duration": ""}, {"time": "2026-08-07 22:00:00", "side": "BUY", "asset": "BTC", "size": 0.155593, "entry_px": 64948.88, "exit_px": 64787.15, "pnl_gross": -28.1928, "pnl_net": -31.2207, "fee": 3.027903, "fee_rate_pct": 0.015, "return_pct": -0.279, "duration": ""}, {"time": "2026-08-08 01:00:00", "side": "BUY", "asset": "BTC", "size": 0.155149, "entry_px": 64952.89, "exit_px": 64820.11, "pnl_gross": -23.6197, "pnl_net": -26.6398, "fee": 3.020123, "fee_rate_pct": 0.015, "return_pct": -0.234, "duration": ""}, {"time": "2026-08-08 05:00:00", "side": "BUY", "asset": "BTC", "size": 0.154523, "entry_px": 65063.0, "exit_px": 64902.03, "pnl_gross": -27.8853, "pnl_net": -30.8976, "fee": 3.012388, "fee_rate_pct": 0.015, "return_pct": -0.277, "duration": ""}, {"time": "2026-08-08 10:00:00", "side": "BUY", "asset": "BTC", "size": 0.154187, "entry_px": 65023.96, "exit_px": 64916.02, "pnl_gross": -19.6483, "pnl_net": -22.6535, "fee": 3.005258, "fee_rate_pct": 0.015, "return_pct": -0.196, "duration": ""}, {"time": "2026-08-08 13:00:00", "side": "BUY", "asset": "BTC", "size": 0.153859, "entry_px": 65034.97, "exit_px": 64923.01, "pnl_gross": -20.2251, "pnl_net": -23.2243, "fee": 2.999281, "fee_rate_pct": 0.015, "return_pct": -0.202, "duration": ""}, {"time": "2026-08-08 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.153235, "entry_px": 65168.1, "exit_px": 64996.94, "pnl_gross": -29.2203, "pnl_net": -32.2121, "fee": 2.991876, "fee_rate_pct": 0.015, "return_pct": -0.293, "duration": ""}, {"time": "2026-08-08 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.152995, "entry_px": 65079.01, "exit_px": 64979.96, "pnl_gross": -18.1403, "pnl_net": -21.1251, "fee": 2.984756, "fee_rate_pct": 0.015, "return_pct": -0.182, "duration": ""}, {"time": "2026-08-08 23:00:00", "side": "BUY", "asset": "BTC", "size": 0.152957, "entry_px": 64976.91, "exit_px": 64868.07, "pnl_gross": -19.6277, "pnl_net": -22.6068, "fee": 2.979105, "fee_rate_pct": 0.015, "return_pct": -0.197, "duration": ""}, {"time": "2026-08-09 02:00:00", "side": "BUY", "asset": "BTC", "size": 0.152829, "entry_px": 64902.84, "exit_px": 64730.21, "pnl_gross": -29.3551, "pnl_net": -32.3268, "fee": 2.971753, "fee_rate_pct": 0.015, "return_pct": -0.296, "duration": ""}, {"time": "2026-08-09 11:00:00", "side": "BUY", "asset": "BTC", "size": 0.152492, "entry_px": 64853.79, "exit_px": 64849.09, "pnl_gross": -3.684, "pnl_net": -6.6508, "fee": 2.966798, "fee_rate_pct": 0.015, "return_pct": -0.037, "duration": ""}, {"time": "2026-08-09 15:00:00", "side": "BUY", "asset": "BTC", "size": 0.151495, "entry_px": 65256.19, "exit_px": 65134.8, "pnl_gross": -21.3532, "pnl_net": -24.3162, "fee": 2.963037, "fee_rate_pct": 0.015, "return_pct": -0.216, "duration": ""}, {"time": "2026-08-10 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.151207, "entry_px": 65239.17, "exit_px": 65274.0, "pnl_gross": 3.7863, "pnl_net": 0.8261, "fee": 2.960176, "fee_rate_pct": 0.015, "return_pct": 0.038, "duration": ""}], "params": {"grid_levels": 10, "grid_spacing_pct": 0.1, "rebalance_every": 20, "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": "2026-08-02T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-02T21:00:00+00:00", "v": 9988.51}, {"t": "2026-08-02T22:00:00+00:00", "v": 9963.37}, {"t": "2026-08-02T23:00:00+00:00", "v": 9987.88}, {"t": "2026-08-03T00:00:00+00:00", "v": 9947.02}, {"t": "2026-08-03T01:00:00+00:00", "v": 9931.31}, {"t": "2026-08-03T02:00:00+00:00", "v": 9920.62}, {"t": "2026-08-03T03:00:00+00:00", "v": 9876.31}, {"t": "2026-08-03T04:00:00+00:00", "v": 9864.05}, {"t": "2026-08-03T05:00:00+00:00", "v": 9870.33}, {"t": "2026-08-03T06:00:00+00:00", "v": 9836.7}, {"t": "2026-08-03T07:00:00+00:00", "v": 9837.18}, {"t": "2026-08-03T08:00:00+00:00", "v": 9824.76}, {"t": "2026-08-03T09:00:00+00:00", "v": 9870.96}, {"t": "2026-08-03T10:00:00+00:00", "v": 9856.5}, {"t": "2026-08-03T11:00:00+00:00", "v": 9827.27}, {"t": "2026-08-03T12:00:00+00:00", "v": 9849.75}, {"t": "2026-08-03T13:00:00+00:00", "v": 9953.94}, {"t": "2026-08-03T14:00:00+00:00", "v": 10048.23}, {"t": "2026-08-03T15:00:00+00:00", "v": 10004.38}, {"t": "2026-08-03T16:00:00+00:00", "v": 10017.58}, {"t": "2026-08-03T17:00:00+00:00", "v": 10037.86}, {"t": "2026-08-03T18:00:00+00:00", "v": 10032.36}, {"t": "2026-08-03T19:00:00+00:00", "v": 10031.26}, {"t": "2026-08-03T20:00:00+00:00", "v": 10020.1}, {"t": "2026-08-03T21:00:00+00:00", "v": 9988.51}, {"t": "2026-08-03T22:00:00+00:00", "v": 9991.5}, {"t": "2026-08-03T23:00:00+00:00", "v": 9977.83}, {"t": "2026-08-04T00:00:00+00:00", "v": 9953.78}, {"t": "2026-08-04T01:00:00+00:00", "v": 10029.84}, {"t": "2026-08-04T02:00:00+00:00", "v": 10026.07}, {"t": "2026-08-04T03:00:00+00:00", "v": 10022.61}, {"t": "2026-08-04T04:00:00+00:00", "v": 10058.76}, {"t": "2026-08-04T05:00:00+00:00", "v": 10022.61}, {"t": "2026-08-04T06:00:00+00:00", "v": 10002.18}, {"t": "2026-08-04T07:00:00+00:00", "v": 10004.07}, {"t": "2026-08-04T08:00:00+00:00", "v": 9988.04}, {"t": "2026-08-04T09:00:00+00:00", "v": 9989.93}, {"t": "2026-08-04T10:00:00+00:00", "v": 10016.64}, {"t": "2026-08-04T11:00:00+00:00", "v": 10041.79}, {"t": "2026-08-04T12:00:00+00:00", "v": 10038.64}, {"t": "2026-08-04T13:00:00+00:00", "v": 10003.44}, {"t": "2026-08-04T14:00:00+00:00", "v": 10072.9}, {"t": "2026-08-04T15:00:00+00:00", "v": 10071.96}, {"t": "2026-08-04T16:00:00+00:00", "v": 10045.56}, {"t": "2026-08-04T17:00:00+00:00", "v": 10048.7}, {"t": "2026-08-04T18:00:00+00:00", "v": 10099.77}, {"t": "2026-08-04T19:00:00+00:00", "v": 10089.4}, {"t": "2026-08-04T20:00:00+00:00", "v": 10107.63}, {"t": "2026-08-04T21:00:00+00:00", "v": 10083.27}, {"t": "2026-08-04T22:00:00+00:00", "v": 10095.69}, {"t": "2026-08-04T23:00:00+00:00", "v": 10068.34}, {"t": "2026-08-05T00:00:00+00:00", "v": 10051.69}, {"t": "2026-08-05T01:00:00+00:00", "v": 10105.43}, {"t": "2026-08-05T02:00:00+00:00", "v": 10110.93}, {"t": "2026-08-05T03:00:00+00:00", "v": 10082.33}, {"t": "2026-08-05T04:00:00+00:00", "v": 10080.92}, {"t": "2026-08-05T05:00:00+00:00", "v": 10107.16}, {"t": "2026-08-05T06:00:00+00:00", "v": 10092.55}, {"t": "2026-08-05T07:00:00+00:00", "v": 10079.34}, {"t": "2026-08-05T08:00:00+00:00", "v": 10072.12}, {"t": "2026-08-05T09:00:00+00:00", "v": 10066.03}, {"t": "2026-08-05T10:00:00+00:00", "v": 10054.46}, {"t": "2026-08-05T11:00:00+00:00", "v": 10055.88}, {"t": "2026-08-05T12:00:00+00:00", "v": 10095.13}, {"t": "2026-08-05T13:00:00+00:00", "v": 10109.27}, {"t": "2026-08-05T14:00:00+00:00", "v": 10118.53}, {"t": "2026-08-05T15:00:00+00:00", "v": 10104.55}, {"t": "2026-08-05T16:00:00+00:00", "v": 10148.05}, {"t": "2026-08-05T17:00:00+00:00", "v": 10164.07}, {"t": "2026-08-05T18:00:00+00:00", "v": 10169.72}, {"t": "2026-08-05T19:00:00+00:00", "v": 10174.43}, {"t": "2026-08-05T20:00:00+00:00", "v": 10174.12}, {"t": "2026-08-05T21:00:00+00:00", "v": 10159.2}, {"t": "2026-08-05T22:00:00+00:00", "v": 10143.03}, {"t": "2026-08-05T23:00:00+00:00", "v": 10147.58}, {"t": "2026-08-06T00:00:00+00:00", "v": 10146.48}, {"t": "2026-08-06T01:00:00+00:00", "v": 10138.16}, {"t": "2026-08-06T02:00:00+00:00", "v": 10136.12}, {"t": "2026-08-06T03:00:00+00:00", "v": 10118.03}, {"t": "2026-08-06T04:00:00+00:00", "v": 10106.41}, {"t": "2026-08-06T05:00:00+00:00", "v": 10131.71}, {"t": "2026-08-06T06:00:00+00:00", "v": 10125.31}, {"t": "2026-08-06T07:00:00+00:00", "v": 10119.06}, {"t": "2026-08-06T08:00:00+00:00", "v": 10139.21}, {"t": "2026-08-06T09:00:00+00:00", "v": 10098.75}, {"t": "2026-08-06T10:00:00+00:00", "v": 10077.0}, {"t": "2026-08-06T11:00:00+00:00", "v": 10065.42}, {"t": "2026-08-06T12:00:00+00:00", "v": 10033.48}, {"t": "2026-08-06T13:00:00+00:00", "v": 10035.35}, {"t": "2026-08-06T14:00:00+00:00", "v": 10088.33}, {"t": "2026-08-06T15:00:00+00:00", "v": 10065.42}, {"t": "2026-08-06T16:00:00+00:00", "v": 10085.06}, {"t": "2026-08-06T17:00:00+00:00", "v": 10063.4}, {"t": "2026-08-06T18:00:00+00:00", "v": 10033.01}, {"t": "2026-08-06T19:00:00+00:00", "v": 10037.06}, {"t": "2026-08-06T20:00:00+00:00", "v": 10035.51}, {"t": "2026-08-06T21:00:00+00:00", "v": 10036.75}, {"t": "2026-08-06T22:00:00+00:00", "v": 10022.11}, {"t": "2026-08-06T23:00:00+00:00", "v": 10017.9}, {"t": "2026-08-07T00:00:00+00:00", "v": 10017.12}, {"t": "2026-08-07T01:00:00+00:00", "v": 10033.48}, {"t": "2026-08-07T02:00:00+00:00", "v": 10028.81}, {"t": "2026-08-07T03:00:00+00:00", "v": 10012.6}, {"t": "2026-08-07T04:00:00+00:00", "v": 10007.77}, {"t": "2026-08-07T05:00:00+00:00", "v": 10019.92}, {"t": "2026-08-07T06:00:00+00:00", "v": 10014.32}, {"t": "2026-08-07T07:00:00+00:00", "v": 10017.12}, {"t": "2026-08-07T08:00:00+00:00", "v": 10061.06}, {"t": "2026-08-07T09:00:00+00:00", "v": 10096.12}, {"t": "2026-08-07T10:00:00+00:00", "v": 10106.09}, {"t": "2026-08-07T11:00:00+00:00", "v": 10127.13}, {"t": "2026-08-07T12:00:00+00:00", "v": 10167.64}, {"t": "2026-08-07T13:00:00+00:00", "v": 10125.72}, {"t": "2026-08-07T14:00:00+00:00", "v": 10116.69}, {"t": "2026-08-07T15:00:00+00:00", "v": 10108.74}, {"t": "2026-08-07T16:00:00+00:00", "v": 10093.16}, {"t": "2026-08-07T17:00:00+00:00", "v": 10086.93}, {"t": "2026-08-07T18:00:00+00:00", "v": 10079.76}, {"t": "2026-08-07T19:00:00+00:00", "v": 10115.44}, {"t": "2026-08-07T20:00:00+00:00", "v": 10107.08}, {"t": "2026-08-07T21:00:00+00:00", "v": 10095.47}, {"t": "2026-08-07T22:00:00+00:00", "v": 10078.88}, {"t": "2026-08-07T23:00:00+00:00", "v": 10078.88}, {"t": "2026-08-08T00:00:00+00:00", "v": 10067.31}, {"t": "2026-08-08T01:00:00+00:00", "v": 10055.26}, {"t": "2026-08-08T02:00:00+00:00", "v": 10055.26}, {"t": "2026-08-08T03:00:00+00:00", "v": 10043.71}, {"t": "2026-08-08T04:00:00+00:00", "v": 10040.0}, {"t": "2026-08-08T05:00:00+00:00", "v": 10027.38}, {"t": "2026-08-08T06:00:00+00:00", "v": 10027.38}, {"t": "2026-08-08T07:00:00+00:00", "v": 10027.38}, {"t": "2026-08-08T08:00:00+00:00", "v": 10027.38}, {"t": "2026-08-08T09:00:00+00:00", "v": 10015.86}, {"t": "2026-08-08T10:00:00+00:00", "v": 10007.73}, {"t": "2026-08-08T11:00:00+00:00", "v": 10007.73}, {"t": "2026-08-08T12:00:00+00:00", "v": 9996.23}, {"t": "2026-08-08T13:00:00+00:00", "v": 9987.51}, {"t": "2026-08-08T14:00:00+00:00", "v": 9976.03}, {"t": "2026-08-08T15:00:00+00:00", "v": 9968.06}, {"t": "2026-08-08T16:00:00+00:00", "v": 9958.29}, {"t": "2026-08-08T17:00:00+00:00", "v": 9958.29}, {"t": "2026-08-08T18:00:00+00:00", "v": 9946.85}, {"t": "2026-08-08T19:00:00+00:00", "v": 9951.44}, {"t": "2026-08-08T20:00:00+00:00", "v": 9940.15}, {"t": "2026-08-08T21:00:00+00:00", "v": 9940.15}, {"t": "2026-08-08T22:00:00+00:00", "v": 9928.73}, {"t": "2026-08-08T23:00:00+00:00", "v": 9920.52}, {"t": "2026-08-09T00:00:00+00:00", "v": 9920.52}, {"t": "2026-08-09T01:00:00+00:00", "v": 9909.12}, {"t": "2026-08-09T02:00:00+00:00", "v": 9891.16}, {"t": "2026-08-09T03:00:00+00:00", "v": 9891.16}, {"t": "2026-08-09T04:00:00+00:00", "v": 9891.16}, {"t": "2026-08-09T05:00:00+00:00", "v": 9891.16}, {"t": "2026-08-09T06:00:00+00:00", "v": 9891.16}, {"t": "2026-08-09T07:00:00+00:00", "v": 9891.16}, {"t": "2026-08-09T08:00:00+00:00", "v": 9879.8}, {"t": "2026-08-09T09:00:00+00:00", "v": 9889.71}, {"t": "2026-08-09T10:00:00+00:00", "v": 9900.84}, {"t": "2026-08-09T11:00:00+00:00", "v": 9887.48}, {"t": "2026-08-09T12:00:00+00:00", "v": 9887.48}, {"t": "2026-08-09T13:00:00+00:00", "v": 9876.12}, {"t": "2026-08-09T14:00:00+00:00", "v": 9882.18}, {"t": "2026-08-09T15:00:00+00:00", "v": 9866.13}, {"t": "2026-08-09T16:00:00+00:00", "v": 9866.13}, {"t": "2026-08-09T17:00:00+00:00", "v": 9866.13}, {"t": "2026-08-09T18:00:00+00:00", "v": 9866.13}, {"t": "2026-08-09T19:00:00+00:00", "v": 9866.13}, {"t": "2026-08-09T20:00:00+00:00", "v": 9866.13}, {"t": "2026-08-09T21:00:00+00:00", "v": 9854.79}, {"t": "2026-08-09T22:00:00+00:00", "v": 9835.13}, {"t": "2026-08-09T23:00:00+00:00", "v": 9808.52}, {"t": "2026-08-10T00:00:00+00:00", "v": 9818.35}, {"t": "2026-08-10T01:00:00+00:00", "v": 9853.58}, {"t": "2026-08-10T02:00:00+00:00", "v": 9840.12}, {"t": "2026-08-10T03:00:00+00:00", "v": 9821.22}, {"t": "2026-08-10T04:00:00+00:00", "v": 9826.21}, {"t": "2026-08-10T05:00:00+00:00", "v": 9843.6}, {"t": "2026-08-10T06:00:00+00:00", "v": 9868.25}, {"t": "2026-08-10T07:00:00+00:00", "v": 9856.0}, {"t": "2026-08-10T08:00:00+00:00", "v": 9869.91}], "total_trades": 16, "generated_at": "2026-08-10T08:30:20.429754+00:00", "asset": "BTC"}
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