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ftdt-quant-lab/backtests/results/pairs_ETH_1d_180_20260810-082704.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": "pairs", "interval": "1d", "n_bars": 181, "start_equity": 10000.0, "end_equity": 8409.54, "total_return_pct": -15.9, "pnl": -1590.46, "sharpe": -1.558, "sortino": -2.051, "max_drawdown_pct": 17.47, "win_rate": 0.4, "profit_factor": 0.095, "expectancy": -318.093, "trades": [{"time": "2026-03-27 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.1334, "entry_px": 74928.85, "exit_px": 66329.6, "pnl_gross": -1155.6189, "pnl_net": -1164.0986, "fee": 8.479745, "fee_rate_pct": 0.045, "return_pct": -11.561, "duration": ""}, {"time": "2026-04-04 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.129716, "entry_px": 68152.08, "exit_px": 67196.74, "pnl_gross": -131.8243, "pnl_net": -139.7249, "fee": 7.900608, "fee_rate_pct": 0.045, "return_pct": -1.491, "duration": ""}, {"time": "2026-04-19 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.119153, "entry_px": 73088.01, "exit_px": 73667.26, "pnl_gross": 61.1497, "pnl_net": 53.2808, "fee": 7.868849, "fee_rate_pct": 0.045, "return_pct": 0.702, "duration": ""}, {"time": "2026-06-06 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.136639, "entry_px": 64182.12, "exit_px": 60800.14, "pnl_gross": -469.794, "pnl_net": -477.4788, "fee": 7.684853, "fee_rate_pct": 0.045, "return_pct": -5.357, "duration": ""}, {"time": "2026-08-02 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.132509, "entry_px": 62638.58, "exit_px": 63492.44, "pnl_gross": 105.6242, "pnl_net": 98.1031, "fee": 7.521073, "fee_rate_pct": 0.045, "return_pct": 1.273, "duration": ""}], "params": {"z_entry": 1.5, "z_exit": 0.5, "lookback": 20, "type": "Stat Arb"}, "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": "2026-02-11T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-12T00:00:00+00:00", "v": 10000.0}, 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"2026-08-10T08:27:04.230391+00:00"}
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