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ftdt-quant-lab/backtests/results/momentum_BTC_1d_168_20260810-083336.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": "momentum", "interval": "1d", "n_bars": 169, "start_equity": 10000.0, "end_equity": 7996.37, "total_return_pct": -20.04, "pnl": -2003.63, "sharpe": -1.861, "sortino": -2.319, "max_drawdown_pct": 28.0, "win_rate": 0.25, "profit_factor": 0.207, "expectancy": -500.908, "trades": [{"time": "2026-03-21 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.1334, "entry_px": 74928.85, "exit_px": 68805.13, "pnl_gross": -825.5331, "pnl_net": -834.1614, "fee": 8.628351, "fee_rate_pct": 0.045, "return_pct": -8.259, "duration": ""}, {"time": "2026-05-15 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.113294, "entry_px": 80942.86, "exit_px": 78983.94, "pnl_gross": -230.0879, "pnl_net": -238.2413, "fee": 8.153436, "fee_rate_pct": 0.045, "return_pct": -2.509, "duration": ""}, {"time": "2026-06-21 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.118297, "entry_px": 75575.5, "exit_px": 63206.73, "pnl_gross": -1470.5764, "pnl_net": -1477.9643, "fee": 7.387885, "fee_rate_pct": 0.045, "return_pct": -16.449, "duration": ""}, {"time": "2026-07-24 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.124885, "entry_px": 59818.76, "exit_px": 64058.88, "pnl_gross": 522.5637, "pnl_net": 515.602, "fee": 6.961707, "fee_rate_pct": 0.045, "return_pct": 6.995, "duration": ""}], "params": {"bollinger_window": 20, "bollinger_std": 2.0, "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": "2026-02-23T00:00:00+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", "v": 10000.0}, {"t": "2026-03-07T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-08T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-09T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-10T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-11T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-12T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-13T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-14T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-15T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-16T00:00:00+00:00", "v": 9985.52}, {"t": "2026-03-17T00:00:00+00:00", "v": 9853.45}, {"t": "2026-03-18T00:00:00+00:00", "v": 9499.81}, {"t": "2026-03-19T00:00:00+00:00", "v": 9327.19}, {"t": "2026-03-20T00:00:00+00:00", "v": 9401.22}, {"t": "2026-03-21T00:00:00+00:00", "v": 9174.47}, 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"2026-08-09T00:00:00+00:00", "v": 7996.37}, {"t": "2026-08-10T00:00:00+00:00", "v": 7996.37}], "total_trades": 4, "generated_at": "2026-08-10T08:33:36.745734+00:00", "asset": "BTC"}
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