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ftdt-quant-lab/backtests/results/iceberg_BTC_1h_180_20260810-083225.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": "iceberg", "interval": "1h", "n_bars": 181, "start_equity": 10000.0, "end_equity": 9828.75, "total_return_pct": -1.71, "pnl": -171.25, "sharpe": -8.189, "sortino": -11.23, "max_drawdown_pct": 2.15, "win_rate": 0.375, "profit_factor": 0.138, "expectancy": -21.406, "trades": [{"time": "2026-08-05 03:00:00", "side": "BUY", "asset": "BTC", "size": 0.156116, "entry_px": 64025.96, "exit_px": 64092.84, "pnl_gross": 1.4406, "pnl_net": -7.5601, "fee": 9.000628, "fee_rate_pct": 0.045, "return_pct": 0.014, "duration": ""}, {"time": "2026-08-05 17:00:00", "side": "BUY", "asset": "BTC", "size": 0.155123, "entry_px": 64445.38, "exit_px": 64665.27, "pnl_gross": 25.0972, "pnl_net": 16.0846, "fee": 9.012614, "fee_rate_pct": 0.045, "return_pct": 0.251, "duration": ""}, {"time": "2026-08-06 17:00:00", "side": "BUY", "asset": "BTC", "size": 0.154638, "entry_px": 64809.74, "exit_px": 64520.42, "pnl_gross": -53.741, "pnl_net": -62.7407, "fee": 8.999711, "fee_rate_pct": 0.045, "return_pct": -0.536, "duration": ""}, {"time": "2026-08-07 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.15369, "entry_px": 64859.79, "exit_px": 64711.22, "pnl_gross": -31.7951, "pnl_net": -40.7563, "fee": 8.961196, "fee_rate_pct": 0.045, "return_pct": -0.319, "duration": ""}, {"time": "2026-08-07 21:00:00", "side": "BUY", "asset": "BTC", "size": 0.153449, "entry_px": 64754.69, "exit_px": 64819.12, "pnl_gross": 0.9388, "pnl_net": -8.0086, "fee": 8.947337, "fee_rate_pct": 0.045, "return_pct": 0.009, "duration": ""}, {"time": "2026-08-08 19:00:00", "side": "BUY", "asset": "BTC", "size": 0.152586, "entry_px": 65127.06, "exit_px": 64978.96, "pnl_gross": -31.5324, "pnl_net": -40.466, "fee": 8.933561, "fee_rate_pct": 0.045, "return_pct": -0.317, "duration": ""}, {"time": "2026-08-09 18:00:00", "side": "BUY", "asset": "BTC", "size": 0.151708, "entry_px": 65296.23, "exit_px": 65096.84, "pnl_gross": -39.1512, "pnl_net": -48.053, "fee": 8.901752, "fee_rate_pct": 0.045, "return_pct": -0.395, "duration": ""}, {"time": "2026-08-10 03:00:00", "side": "BUY", "asset": "BTC", "size": 0.151543, "entry_px": 65109.04, "exit_px": 64887.05, "pnl_gross": -42.5069, "pnl_net": -51.3719, "fee": 8.864999, "fee_rate_pct": 0.045, "return_pct": -0.431, "duration": ""}], "params": {"vol_mult": 1.8, "min_consec": 3, "max_hold": 8, "type": "Momentum"}, "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": "2026-08-02T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-02T21:00:00+00:00", "v": 10000.0}, {"t": "2026-08-02T22:00:00+00:00", "v": 10000.0}, {"t": "2026-08-02T23:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T01:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T02:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T03:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T05:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T06:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T07:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T09:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T10:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T11:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T13:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T14:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T15:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T17:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T18:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T19:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T21:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T22:00:00+00:00", "v": 10000.0}, {"t": 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"2026-08-09T18:00:00+00:00", "v": 9871.26}, {"t": "2026-08-09T19:00:00+00:00", "v": 9871.26}, {"t": "2026-08-09T20:00:00+00:00", "v": 9871.26}, {"t": "2026-08-09T21:00:00+00:00", "v": 9871.26}, {"t": "2026-08-09T22:00:00+00:00", "v": 9856.96}, {"t": "2026-08-09T23:00:00+00:00", "v": 9830.29}, {"t": "2026-08-10T00:00:00+00:00", "v": 9840.14}, {"t": "2026-08-10T01:00:00+00:00", "v": 9875.45}, {"t": "2026-08-10T02:00:00+00:00", "v": 9861.96}, {"t": "2026-08-10T03:00:00+00:00", "v": 9828.75}, {"t": "2026-08-10T04:00:00+00:00", "v": 9828.75}, {"t": "2026-08-10T05:00:00+00:00", "v": 9828.75}, {"t": "2026-08-10T06:00:00+00:00", "v": 9828.75}, {"t": "2026-08-10T07:00:00+00:00", "v": 9828.75}, {"t": "2026-08-10T08:00:00+00:00", "v": 9828.75}], "total_trades": 8, "generated_at": "2026-08-10T08:32:25.140619+00:00", "asset": "BTC"}
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