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ftdt-quant-lab/backtests/results/as_mm_BTC_1h_180_20260810-082847.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": "as_mm", "interval": "1h", "n_bars": 181, "start_equity": 10000.0, "end_equity": 9689.43, "total_return_pct": -3.11, "pnl": -310.57, "sharpe": -12.481, "sortino": -17.117, "max_drawdown_pct": 3.5, "win_rate": 0.391, "profit_factor": 0.284, "expectancy": -13.503, "trades": [{"time": "2026-08-03 23:00:00", "side": "BUY", "asset": "BTC", "size": 0.156464, "entry_px": 63902.84, "exit_px": 63428.51, "pnl_gross": -77.2042, "pnl_net": -80.1926, "fee": 2.988416, "fee_rate_pct": 0.015, "return_pct": -0.772, "duration": ""}, {"time": "2026-08-04 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.155353, "entry_px": 63862.8, "exit_px": 63942.99, "pnl_gross": 9.4802, "pnl_net": 6.5019, "fee": 2.978252, "fee_rate_pct": 0.015, "return_pct": 0.096, "duration": ""}, {"time": "2026-08-04 11:00:00", "side": "BUY", "asset": "BTC", "size": 0.155844, "entry_px": 63722.66, "exit_px": 63835.1, "pnl_gross": 14.5415, "pnl_net": 11.5597, "fee": 2.981867, "fee_rate_pct": 0.015, "return_pct": 0.146, "duration": ""}, {"time": "2026-08-04 18:00:00", "side": "BUY", "asset": "BTC", "size": 0.155006, "entry_px": 64161.1, "exit_px": 64203.73, "pnl_gross": 3.6241, "pnl_net": 0.6395, "fee": 2.984598, "fee_rate_pct": 0.015, "return_pct": 0.036, "duration": ""}, {"time": "2026-08-05 01:00:00", "side": "BUY", "asset": "BTC", "size": 0.154903, "entry_px": 64227.16, "exit_px": 64239.7, "pnl_gross": -1.0436, "pnl_net": -4.0286, "fee": 2.984985, "fee_rate_pct": 0.015, "return_pct": -0.01, "duration": ""}, {"time": "2026-08-05 05:00:00", "side": "BUY", "asset": "BTC", "size": 0.154922, "entry_px": 64212.15, "exit_px": 64250.68, "pnl_gross": 2.985, "pnl_net": -0.0003, "fee": 2.985258, "fee_rate_pct": 0.015, "return_pct": 0.03, "duration": ""}, {"time": "2026-08-05 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.155104, "entry_px": 64156.09, "exit_px": 64226.71, "pnl_gross": 7.9661, "pnl_net": 4.9792, "fee": 2.986903, "fee_rate_pct": 0.015, "return_pct": 0.08, "duration": ""}, {"time": "2026-08-05 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.154604, "entry_px": 64415.35, "exit_px": 64729.21, "pnl_gross": 45.5282, "pnl_net": 42.5333, "fee": 2.99494, "fee_rate_pct": 0.015, "return_pct": 0.457, "duration": ""}, {"time": "2026-08-06 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.154652, "entry_px": 64689.62, "exit_px": 64638.3, "pnl_gross": -10.9381, "pnl_net": -13.9382, "fee": 3.000123, "fee_rate_pct": 0.015, "return_pct": -0.109, "duration": ""}, {"time": "2026-08-06 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.154104, "entry_px": 64848.78, "exit_px": 64328.61, "pnl_gross": -83.1472, "pnl_net": -86.1332, "fee": 2.986013, "fee_rate_pct": 0.015, "return_pct": -0.832, "duration": ""}, {"time": "2026-08-06 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.153262, "entry_px": 64662.6, "exit_px": 64341.59, "pnl_gross": -52.1634, "pnl_net": -55.1291, "fee": 2.965716, "fee_rate_pct": 0.015, "return_pct": -0.526, "duration": ""}, {"time": "2026-08-07 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.153178, "entry_px": 64357.29, "exit_px": 64163.77, "pnl_gross": -32.5962, "pnl_net": -35.5492, "fee": 2.95299, "fee_rate_pct": 0.015, "return_pct": -0.331, "duration": ""}, {"time": "2026-08-07 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.152684, "entry_px": 64352.29, "exit_px": 64505.43, "pnl_gross": 20.4311, "pnl_net": 17.48, "fee": 2.951177, "fee_rate_pct": 0.015, "return_pct": 0.208, "duration": ""}, {"time": "2026-08-07 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.151339, "entry_px": 65058.99, "exit_px": 65188.75, "pnl_gross": 16.6798, "pnl_net": 13.7231, "fee": 2.956734, "fee_rate_pct": 0.015, "return_pct": 0.169, "duration": ""}, {"time": "2026-08-07 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.151871, "entry_px": 64940.88, "exit_px": 64875.06, "pnl_gross": -12.9529, "pnl_net": -15.9102, "fee": 2.957291, "fee_rate_pct": 0.015, "return_pct": -0.131, "duration": ""}, {"time": "2026-08-08 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.151651, "entry_px": 64949.88, "exit_px": 64909.03, "pnl_gross": -9.1503, "pnl_net": -12.1043, "fee": 2.953985, "fee_rate_pct": 0.015, "return_pct": -0.093, "duration": ""}, {"time": "2026-08-08 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.151414, "entry_px": 64990.93, "exit_px": 64905.03, "pnl_gross": -15.9561, "pnl_net": -18.9063, "fee": 2.95021, "fee_rate_pct": 0.015, "return_pct": -0.162, "duration": ""}, {"time": "2026-08-08 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.150878, "entry_px": 65116.05, "exit_px": 64979.96, "pnl_gross": -23.4783, "pnl_net": -26.4226, "fee": 2.944294, "fee_rate_pct": 0.015, "return_pct": -0.239, "duration": ""}, {"time": "2026-08-09 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.150791, "entry_px": 64997.93, "exit_px": 64692.24, "pnl_gross": -49.0289, "pnl_net": -51.9623, "fee": 2.933417, "fee_rate_pct": 0.015, "return_pct": -0.5, "duration": ""}, {"time": "2026-08-09 10:00:00", "side": "BUY", "asset": "BTC", "size": 0.150357, "entry_px": 64859.79, "exit_px": 64862.07, "pnl_gross": -2.5832, "pnl_net": -5.5089, "fee": 2.925688, "fee_rate_pct": 0.015, "return_pct": -0.026, "duration": ""}, {"time": "2026-08-09 18:00:00", "side": "BUY", "asset": "BTC", "size": 0.149404, "entry_px": 65256.19, "exit_px": 65096.84, "pnl_gross": -26.7293, "pnl_net": -29.6505, "fee": 2.92129, "fee_rate_pct": 0.015, "return_pct": -0.274, "duration": ""}, {"time": "2026-08-10 02:00:00", "side": "BUY", "asset": "BTC", "size": 0.149033, "entry_px": 65239.17, "exit_px": 65011.92, "pnl_gross": -36.7797, "pnl_net": -39.6915, "fee": 2.911757, "fee_rate_pct": 0.015, "return_pct": -0.378, "duration": ""}, {"time": "2026-08-10 06:00:00", "side": "BUY", "asset": "BTC", "size": 0.148638, "entry_px": 65165.1, "exit_px": 65197.74, "pnl_gross": 1.9446, "pnl_net": -0.962, "fee": 2.906531, "fee_rate_pct": 0.015, "return_pct": 0.02, "duration": ""}], "params": {"gamma": 0.1, "sigma_dynamic": true, "inventory_skew": true, "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": "2026-08-02T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-02T21:00:00+00:00", "v": 10000.0}, {"t": "2026-08-02T22:00:00+00:00", "v": 10000.0}, {"t": "2026-08-02T23:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T01:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T02:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T03:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T05:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T06:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T07:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T09:00:00+00:00", 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