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
3.5 KiB
JSON
1 line
3.5 KiB
JSON
{"strategy": "mean_rev", "interval": "1d", "n_bars": 43, "start_equity": 10000.0, "end_equity": 10009.31, "total_return_pct": 0.09, "pnl": 9.31, "sharpe": 0.127, "sortino": 0.191, "max_drawdown_pct": 3.99, "win_rate": 0.5, "profit_factor": 1.174, "expectancy": 11.912, "trades": [{"time": "2026-07-24 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.154033, "entry_px": 64891.83, "exit_px": 64058.88, "pnl_gross": -137.2403, "pnl_net": -146.1784, "fee": 8.938199, "fee_rate_pct": 0.045, "return_pct": -1.373, "duration": ""}, {"time": "2026-08-04 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.156683, "entry_px": 62918.86, "exit_px": 64003.93, "pnl_gross": 161.0641, "pnl_net": 152.1151, "fee": 8.94899, "fee_rate_pct": 0.045, "return_pct": 1.634, "duration": ""}, {"time": "2026-08-10 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.153392, "entry_px": 65318.25, "exit_px": 65253.0, "pnl_gross": -14.518, "pnl_net": -23.5309, "fee": 9.012863, "fee_rate_pct": 0.045, "return_pct": -0.145, "duration": ""}], "params": {"vwap_window": 20, "deviation": 1.0, "type": "Reversal"}, "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": "2026-06-29T00:00:00+00:00", "v": 10000.0}, {"t": "2026-06-30T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-01T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-02T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-03T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-04T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-05T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-06T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-07T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-08T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-09T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-10T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-11T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-12T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-16T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-17T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-18T00:00:00+00:00", "v": 9985.52}, {"t": "2026-07-19T00:00:00+00:00", "v": 9968.73}, {"t": "2026-07-20T00:00:00+00:00", "v": 10046.98}, {"t": "2026-07-21T00:00:00+00:00", "v": 10247.37}, {"t": "2026-07-22T00:00:00+00:00", "v": 10179.44}, {"t": "2026-07-23T00:00:00+00:00", "v": 10022.79}, {"t": "2026-07-24T00:00:00+00:00", "v": 9862.76}, {"t": "2026-07-25T00:00:00+00:00", "v": 9862.76}, {"t": "2026-07-26T00:00:00+00:00", "v": 9862.76}, {"t": "2026-07-27T00:00:00+00:00", "v": 9862.76}, {"t": "2026-07-28T00:00:00+00:00", "v": 9862.76}, {"t": "2026-07-29T00:00:00+00:00", "v": 9862.76}, {"t": "2026-07-30T00:00:00+00:00", "v": 9862.76}, {"t": "2026-07-31T00:00:00+00:00", "v": 9848.48}, {"t": "2026-08-01T00:00:00+00:00", "v": 9838.13}, {"t": "2026-08-02T00:00:00+00:00", "v": 9958.15}, {"t": "2026-08-03T00:00:00+00:00", "v": 9948.13}, {"t": "2026-08-04T00:00:00+00:00", "v": 10023.82}, {"t": "2026-08-05T00:00:00+00:00", "v": 10023.82}, {"t": "2026-08-06T00:00:00+00:00", "v": 10023.82}, {"t": "2026-08-07T00:00:00+00:00", "v": 10023.82}, {"t": "2026-08-08T00:00:00+00:00", "v": 10023.82}, {"t": "2026-08-09T00:00:00+00:00", "v": 10023.82}, {"t": "2026-08-10T00:00:00+00:00", "v": 10009.31}], "total_trades": 3, "generated_at": "2026-08-10T08:34:26.043874+00:00", "asset": "BTC"} |