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
2.7 KiB
JSON
1 line
2.7 KiB
JSON
{"strategy": "mean_rev", "interval": "1d", "n_bars": 31, "start_equity": 10000.0, "end_equity": 10148.59, "total_return_pct": 1.49, "pnl": 148.59, "sharpe": 3.494, "sortino": 20.289, "max_drawdown_pct": 0.25, "win_rate": 1.0, "profit_factor": Infinity, "expectancy": 163.305, "trades": [{"time": "2026-08-04 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.158863, "entry_px": 62918.86, "exit_px": 64003.93, "pnl_gross": 163.3053, "pnl_net": 154.2318, "fee": 9.073501, "fee_rate_pct": 0.045, "return_pct": 1.634, "duration": ""}, {"time": "2026-08-10 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.155527, "entry_px": 65318.25, "exit_px": 65253.0, "pnl_gross": -14.72, "pnl_net": -23.8583, "fee": 9.13831, "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": "2026-07-11T00:00:00+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": 10000.0}, {"t": "2026-07-19T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-20T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-21T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-22T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-23T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-24T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-25T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-26T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-27T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-28T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-29T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-30T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-31T00:00:00+00:00", "v": 9985.52}, {"t": "2026-08-01T00:00:00+00:00", "v": 9975.03}, {"t": "2026-08-02T00:00:00+00:00", "v": 10096.72}, {"t": "2026-08-03T00:00:00+00:00", "v": 10086.55}, {"t": "2026-08-04T00:00:00+00:00", "v": 10163.31}, {"t": "2026-08-05T00:00:00+00:00", "v": 10163.31}, {"t": "2026-08-06T00:00:00+00:00", "v": 10163.31}, {"t": "2026-08-07T00:00:00+00:00", "v": 10163.31}, {"t": "2026-08-08T00:00:00+00:00", "v": 10163.31}, {"t": "2026-08-09T00:00:00+00:00", "v": 10163.31}, {"t": "2026-08-10T00:00:00+00:00", "v": 10148.59}], "total_trades": 2, "generated_at": "2026-08-10T08:34:30.946617+00:00", "asset": "BTC"} |