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ftdt-quant-lab/backtests/results/hurst_vpin_BTC_1d_168_20260810-082819.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": "hurst_vpin", "interval": "1d", "n_bars": 169, "start_equity": 10000.0, "end_equity": 10708.58, "total_return_pct": 7.09, "pnl": 708.58, "sharpe": 0.87, "sortino": 1.326, "max_drawdown_pct": 11.6, "win_rate": NaN, "profit_factor": NaN, "expectancy": NaN, "trades": [{"time": "2026-08-10 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.164071, "entry_px": 60921.86, "exit_px": 65268.0, "pnl_gross": 708.5768, "pnl_net": 699.2599, "fee": 9.316843, "fee_rate_pct": 0.045, "return_pct": 7.089, "duration": ""}], "params": {"hurst_entry": 0.55, "hurst_exit": 0.45, "vpin_threshold": 0.25, "vpin_window": 50, "hurst_window": 64, "type": "Directional"}, "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}, 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10302.01}, {"t": "2026-08-02T00:00:00+00:00", "v": 10427.69}, {"t": "2026-08-03T00:00:00+00:00", "v": 10417.19}, {"t": "2026-08-04T00:00:00+00:00", "v": 10511.69}, {"t": "2026-08-05T00:00:00+00:00", "v": 10603.08}, {"t": "2026-08-06T00:00:00+00:00", "v": 10548.61}, {"t": "2026-08-07T00:00:00+00:00", "v": 10645.74}, {"t": "2026-08-08T00:00:00+00:00", "v": 10653.61}, {"t": "2026-08-09T00:00:00+00:00", "v": 10642.95}, {"t": "2026-08-10T00:00:00+00:00", "v": 10708.58}], "total_trades": 1, "generated_at": "2026-08-10T08:28:19.349274+00:00", "asset": "BTC"}
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