ramseshk
ad4036713e
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
1 line
3.4 KiB
JSON
1 line
3.4 KiB
JSON
{"strategy": "grid_mm", "interval": "4h", "n_bars": 43, "start_equity": 10000.0, "end_equity": 10199.49, "total_return_pct": 1.99, "pnl": 199.49, "sharpe": 7.002, "sortino": 13.846, "max_drawdown_pct": 0.83, "win_rate": 1.0, "profit_factor": Infinity, "expectancy": 154.748, "trades": [{"time": "2026-08-09 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.156902, "entry_px": 63724.66, "exit_px": 64730.21, "pnl_gross": 154.7482, "pnl_net": 151.725, "fee": 3.023224, "fee_rate_pct": 0.015, "return_pct": 1.548, "duration": ""}, {"time": "2026-08-10 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.156254, "entry_px": 64978.91, "exit_px": 65275.0, "pnl_gross": 44.7417, "pnl_net": 41.6888, "fee": 3.052904, "fee_rate_pct": 0.015, "return_pct": 0.441, "duration": ""}], "params": {"grid_levels": 10, "grid_spacing_pct": 0.1, "rebalance_every": 20, "type": "Market Making"}, "fee_info": {"entry_fee": 0.015, "exit_fee": 0.015, "total_fee": 0.03, "taker_rate_pct": 0.045, "maker_rate_pct": 0.015, "effective_rate_pct": 0.015, "vip_tier": 0, "staking_tier": "none", "fee_model": "maker", "tier_name": "Tier 0 (<$5M)", "staking_name": "No Stake"}, "equity_curve": [{"t": "2026-08-03T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T12:00:00+00:00", "v": 9988.51}, {"t": "2026-08-03T16:00:00+00:00", "v": 10015.34}, {"t": "2026-08-03T20:00:00+00:00", "v": 9962.0}, {"t": "2026-08-04T00:00:00+00:00", "v": 10006.71}, {"t": "2026-08-04T04:00:00+00:00", "v": 9988.2}, {"t": "2026-08-04T08:00:00+00:00", "v": 10025.85}, {"t": "2026-08-04T12:00:00+00:00", "v": 10055.98}, {"t": "2026-08-04T16:00:00+00:00", "v": 10073.4}, {"t": "2026-08-04T20:00:00+00:00", "v": 10052.37}, {"t": "2026-08-05T00:00:00+00:00", "v": 10066.33}, {"t": "2026-08-05T04:00:00+00:00", "v": 10063.35}, {"t": "2026-08-05T08:00:00+00:00", "v": 10048.13}, {"t": "2026-08-05T12:00:00+00:00", "v": 10096.77}, {"t": "2026-08-05T16:00:00+00:00", "v": 10166.6}, {"t": "2026-08-05T20:00:00+00:00", "v": 10139.76}, {"t": "2026-08-06T00:00:00+00:00", "v": 10121.88}, {"t": "2026-08-06T04:00:00+00:00", "v": 10164.71}, {"t": "2026-08-06T08:00:00+00:00", "v": 10135.53}, {"t": "2026-08-06T12:00:00+00:00", "v": 10135.53}, {"t": "2026-08-06T16:00:00+00:00", "v": 10106.97}, {"t": "2026-08-06T20:00:00+00:00", "v": 10087.67}, {"t": "2026-08-07T00:00:00+00:00", "v": 10082.34}, {"t": "2026-08-07T04:00:00+00:00", "v": 10086.89}, {"t": "2026-08-07T08:00:00+00:00", "v": 10197.66}, {"t": "2026-08-07T12:00:00+00:00", "v": 10179.15}, {"t": "2026-08-07T16:00:00+00:00", "v": 10185.89}, {"t": "2026-08-07T20:00:00+00:00", "v": 10180.56}, {"t": "2026-08-08T00:00:00+00:00", "v": 10198.29}, {"t": "2026-08-08T04:00:00+00:00", "v": 10186.99}, {"t": "2026-08-08T08:00:00+00:00", "v": 10189.03}, {"t": "2026-08-08T12:00:00+00:00", "v": 10206.6}, {"t": "2026-08-08T16:00:00+00:00", "v": 10205.51}, {"t": "2026-08-08T20:00:00+00:00", "v": 10188.09}, {"t": "2026-08-09T00:00:00+00:00", "v": 10160.79}, {"t": "2026-08-09T04:00:00+00:00", "v": 10154.75}, {"t": "2026-08-09T08:00:00+00:00", "v": 10143.08}, {"t": "2026-08-09T12:00:00+00:00", "v": 10187.77}, {"t": "2026-08-09T16:00:00+00:00", "v": 10179.8}, {"t": "2026-08-09T20:00:00+00:00", "v": 10135.89}, {"t": "2026-08-10T00:00:00+00:00", "v": 10149.02}, {"t": "2026-08-10T04:00:00+00:00", "v": 10184.96}, {"t": "2026-08-10T08:00:00+00:00", "v": 10199.49}], "total_trades": 2, "generated_at": "2026-08-10T08:30:34.346421+00:00", "asset": "BTC"} |