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ftdt-quant-lab/backtests/results/hurst_vpin_BTC_4h_180_20260810-082757.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": "4h", "n_bars": 181, "start_equity": 10000.0, "end_equity": 9848.06, "total_return_pct": -1.52, "pnl": -151.94, "sharpe": -0.829, "sortino": -1.128, "max_drawdown_pct": 5.69, "win_rate": NaN, "profit_factor": NaN, "expectancy": NaN, "trades": [{"time": "2026-08-10 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.150884, "entry_px": 66246.18, "exit_px": 65269.0, "pnl_gross": -151.939, "pnl_net": -160.8686, "fee": 8.929591, "fee_rate_pct": 0.045, "return_pct": -1.52, "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": "2026-07-11T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-11T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-11T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-11T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-18T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-18T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-18T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-18T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-18T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-18T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-19T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-19T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-19T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-19T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-19T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-19T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-20T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-20T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-20T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-20T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-20T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-20T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-21T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-21T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-21T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-21T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-21T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-21T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-22T00:00:00+00:00", "v": 9985.52}, {"t": "2026-07-22T04:00:00+00:00", "v": 9929.39}, {"t": "2026-07-22T08:00:00+00:00", "v": 9956.85}, {"t": "2026-07-22T12:00:00+00:00", "v": 9961.68}, {"t": "2026-07-22T16:00:00+00:00", "v": 9944.17}, {"t": "2026-07-22T20:00:00+00:00", "v": 9971.33}, {"t": "2026-07-23T00:00:00+00:00", "v": 9901.93}, {"t": "2026-07-23T04:00:00+00:00", "v": 9870.24}, {"t": "2026-07-23T08:00:00+00:00", "v": 9886.39}, {"t": "2026-07-23T12:00:00+00:00", "v": 9798.72}, {"t": "2026-07-23T16:00:00+00:00", "v": 9782.43}, {"t": "2026-07-23T20:00:00+00:00", "v": 9817.88}, {"t": "2026-07-24T00:00:00+00:00", "v": 9871.75}, {"t": "2026-07-24T04:00:00+00:00", "v": 9880.35}, {"t": "2026-07-24T08:00:00+00:00", "v": 9817.28}, {"t": "2026-07-24T12:00:00+00:00", "v": 9669.41}, {"t": "2026-07-24T16:00:00+00:00", "v": 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9553.99}, {"t": "2026-07-28T04:00:00+00:00", "v": 9578.13}, {"t": "2026-07-28T08:00:00+00:00", "v": 9572.24}, {"t": "2026-07-28T12:00:00+00:00", "v": 9643.16}, {"t": "2026-07-28T16:00:00+00:00", "v": 9636.97}, {"t": "2026-07-28T20:00:00+00:00", "v": 9642.41}, {"t": "2026-07-29T00:00:00+00:00", "v": 9614.49}, {"t": "2026-07-29T04:00:00+00:00", "v": 9736.56}, {"t": "2026-07-29T08:00:00+00:00", "v": 9729.32}, {"t": "2026-07-29T12:00:00+00:00", "v": 9647.99}, {"t": "2026-07-29T16:00:00+00:00", "v": 9590.65}, {"t": "2026-07-29T20:00:00+00:00", "v": 9650.86}, {"t": "2026-07-30T00:00:00+00:00", "v": 9677.41}, {"t": "2026-07-30T04:00:00+00:00", "v": 9653.12}, {"t": "2026-07-30T08:00:00+00:00", "v": 9769.3}, {"t": "2026-07-30T12:00:00+00:00", "v": 9761.0}, {"t": "2026-07-30T16:00:00+00:00", "v": 9772.62}, {"t": "2026-07-30T20:00:00+00:00", "v": 9770.36}, {"t": "2026-07-31T00:00:00+00:00", "v": 9708.95}, {"t": "2026-07-31T04:00:00+00:00", "v": 9644.22}, {"t": "2026-07-31T08:00:00+00:00", "v": 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9695.67}, {"t": "2026-08-07T04:00:00+00:00", "v": 9700.04}, {"t": "2026-08-07T08:00:00+00:00", "v": 9806.57}, {"t": "2026-08-07T12:00:00+00:00", "v": 9788.76}, {"t": "2026-08-07T16:00:00+00:00", "v": 9795.25}, {"t": "2026-08-07T20:00:00+00:00", "v": 9790.12}, {"t": "2026-08-08T00:00:00+00:00", "v": 9807.17}, {"t": "2026-08-08T04:00:00+00:00", "v": 9796.31}, {"t": "2026-08-08T08:00:00+00:00", "v": 9798.27}, {"t": "2026-08-08T12:00:00+00:00", "v": 9815.17}, {"t": "2026-08-08T16:00:00+00:00", "v": 9814.11}, {"t": "2026-08-08T20:00:00+00:00", "v": 9797.36}, {"t": "2026-08-09T00:00:00+00:00", "v": 9771.11}, {"t": "2026-08-09T04:00:00+00:00", "v": 9776.54}, {"t": "2026-08-09T08:00:00+00:00", "v": 9794.5}, {"t": "2026-08-09T12:00:00+00:00", "v": 9837.65}, {"t": "2026-08-09T16:00:00+00:00", "v": 9829.95}, {"t": "2026-08-09T20:00:00+00:00", "v": 9787.56}, {"t": "2026-08-10T00:00:00+00:00", "v": 9800.23}, {"t": "2026-08-10T04:00:00+00:00", "v": 9834.93}, {"t": "2026-08-10T08:00:00+00:00", "v": 9848.06}], "total_trades": 1, "generated_at": "2026-08-10T08:27:57.956320+00:00", "asset": "BTC"}
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