rams/ftdt-quant-lab
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
ad4036713e2f4226a799313b1e407efd40cc460d
ftdt-quant-lab/backtests/results/mean_rev_BTC_1d_180_20260810-083427.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

1 line
13 KiB
JSON
Raw Blame History

{"strategy": "mean_rev", "interval": "1d", "n_bars": 181, "start_equity": 10000.0, "end_equity": 9199.71, "total_return_pct": -8.0, "pnl": -800.29, "sharpe": -0.422, "sortino": -0.593, "max_drawdown_pct": 23.94, "win_rate": 0.5, "profit_factor": 0.695, "expectancy": -65.579, "trades": [{"time": "2026-03-06 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.145193, "entry_px": 68842.77, "exit_px": 68013.92, "pnl_gross": -129.286, "pnl_net": -138.2278, "fee": 8.941785, "fee_rate_pct": 0.045, "return_pct": -1.293, "duration": ""}, {"time": "2026-03-19 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.141011, "entry_px": 69967.9, "exit_px": 69849.08, "pnl_gross": -25.6267, "pnl_net": -34.4987, "fee": 8.872079, "fee_rate_pct": 0.045, "return_pct": -0.26, "duration": ""}, {"time": "2026-03-23 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.144931, "entry_px": 67898.83, "exit_px": 70789.14, "pnl_gross": 409.8509, "pnl_net": 400.8058, "fee": 9.045084, "fee_rate_pct": 0.045, "return_pct": 4.165, "duration": ""}, {"time": "2026-04-05 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.154227, "entry_px": 66462.4, "exit_px": 68919.01, "pnl_gross": 369.4818, "pnl_net": 360.0861, "fee": 9.395761, "fee_rate_pct": 0.045, "return_pct": 3.605, "duration": ""}, {"time": "2026-04-29 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.147514, "entry_px": 71990.92, "exit_px": 75651.27, "pnl_gross": 530.1514, "pnl_net": 520.3507, "fee": 9.800681, "fee_rate_pct": 0.045, "return_pct": 4.992, "duration": ""}, {"time": "2026-05-13 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.142455, "entry_px": 78267.19, "exit_px": 79203.72, "pnl_gross": 123.3185, "pnl_net": 113.2238, "fee": 10.094633, "fee_rate_pct": 0.045, "return_pct": 1.106, "duration": ""}, {"time": "2026-06-14 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.146284, "entry_px": 77060.98, "exit_px": 65654.28, "pnl_gross": -1678.0171, "pnl_net": -1687.4117, "fee": 9.394632, "fee_rate_pct": 0.045, "return_pct": -14.886, "duration": ""}, {"time": "2026-07-03 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.157026, "entry_px": 61108.05, "exit_px": 62513.42, "pnl_gross": 211.9455, "pnl_net": 203.2102, "fee": 8.735303, "fee_rate_pct": 0.045, "return_pct": 2.209, "duration": ""}, {"time": "2026-07-08 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.152959, "entry_px": 64118.05, "exit_px": 62220.72, "pnl_gross": -298.91, "pnl_net": -307.6061, "fee": 8.696093, "fee_rate_pct": 0.045, "return_pct": -3.048, "duration": ""}, {"time": "2026-07-13 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.148065, "entry_px": 64219.15, "exit_px": 62268.67, "pnl_gross": -297.2271, "pnl_net": -305.6549, "fee": 8.427789, "fee_rate_pct": 0.045, "return_pct": -3.126, "duration": ""}, {"time": "2026-07-24 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.141574, "entry_px": 65065.0, "exit_px": 64058.88, "pnl_gross": -150.6675, "pnl_net": -158.8938, "fee": 8.226263, "fee_rate_pct": 0.045, "return_pct": -1.636, "duration": ""}, {"time": "2026-08-04 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.14401, "entry_px": 62918.86, "exit_px": 64003.93, "pnl_gross": 148.0365, "pnl_net": 139.8113, "fee": 8.225168, "fee_rate_pct": 0.045, "return_pct": 1.634, "duration": ""}, {"time": "2026-08-10 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.140985, "entry_px": 65318.25, "exit_px": 65253.0, "pnl_gross": -13.3437, "pnl_net": -21.6276, "fee": 8.283864, "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": "2026-02-11T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-12T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-13T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-14T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-15T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-16T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-17T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-18T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-19T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-20T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-21T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-22T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-23T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-24T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-25T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-26T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-27T00:00:00+00:00", "v": 10000.0}, {"t": "2026-02-28T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-01T00:00:00+00:00", "v": 10000.0}, {"t": "2026-03-02T00:00:00+00:00", "v": 9985.52}, {"t": "2026-03-03T00:00:00+00:00", "v": 9916.55}, {"t": "2026-03-04T00:00:00+00:00", "v": 10545.82}, {"t": "2026-03-05T00:00:00+00:00", "v": 10283.74}, {"t": "2026-03-06T00:00:00+00:00", "v": 9870.71}, {"t": "2026-03-07T00:00:00+00:00", "v": 9870.71}, {"t": "2026-03-08T00:00:00+00:00", "v": 9870.71}, {"t": "2026-03-09T00:00:00+00:00", "v": 9870.71}, {"t": "2026-03-10T00:00:00+00:00", "v": 9856.42}, {"t": "2026-03-11T00:00:00+00:00", "v": 9889.84}, {"t": "2026-03-12T00:00:00+00:00", "v": 9941.31}, {"t": "2026-03-13T00:00:00+00:00", "v": 9997.85}, {"t": "2026-03-14T00:00:00+00:00", "v": 10037.19}, {"t": "2026-03-15T00:00:00+00:00", "v": 10262.53}, {"t": "2026-03-16T00:00:00+00:00", "v": 10555.27}, {"t": "2026-03-17T00:00:00+00:00", "v": 10415.67}, {"t": "2026-03-18T00:00:00+00:00", "v": 10041.85}, {"t": "2026-03-19T00:00:00+00:00", "v": 9845.09}, {"t": "2026-03-20T00:00:00+00:00", "v": 9845.09}, {"t": "2026-03-21T00:00:00+00:00", "v": 9845.09}, {"t": "2026-03-22T00:00:00+00:00", "v": 9830.83}, {"t": "2026-03-23T00:00:00+00:00", "v": 10254.94}, {"t": "2026-03-24T00:00:00+00:00", "v": 10254.94}, {"t": "2026-03-25T00:00:00+00:00", "v": 10254.94}, {"t": "2026-03-26T00:00:00+00:00", "v": 10254.94}, {"t": "2026-03-27T00:00:00+00:00", "v": 10240.09}, {"t": "2026-03-28T00:00:00+00:00", "v": 10233.45}, {"t": "2026-03-29T00:00:00+00:00", "v": 10174.38}, {"t": "2026-03-30T00:00:00+00:00", "v": 10297.15}, {"t": "2026-03-31T00:00:00+00:00", "v": 10525.1}, {"t": "2026-04-01T00:00:00+00:00", "v": 10500.42}, {"t": "2026-04-02T00:00:00+00:00", "v": 10312.57}, {"t": "2026-04-03T00:00:00+00:00", "v": 10324.29}, {"t": "2026-04-04T00:00:00+00:00", "v": 10373.95}, {"t": "2026-04-05T00:00:00+00:00", "v": 10624.42}, {"t": "2026-04-06T00:00:00+00:00", "v": 10624.42}, {"t": "2026-04-07T00:00:00+00:00", "v": 10609.03}, {"t": "2026-04-08T00:00:00+00:00", "v": 10478.78}, {"t": "2026-04-09T00:00:00+00:00", "v": 10585.28}, {"t": "2026-04-10T00:00:00+00:00", "v": 10757.58}, {"t": "2026-04-11T00:00:00+00:00", "v": 10770.71}, {"t": "2026-04-12T00:00:00+00:00", "v": 10429.95}, {"t": "2026-04-13T00:00:00+00:00", "v": 10973.1}, {"t": "2026-04-14T00:00:00+00:00", "v": 10930.46}, {"t": "2026-04-15T00:00:00+00:00", "v": 11030.18}, {"t": "2026-04-16T00:00:00+00:00", "v": 11082.7}, {"t": "2026-04-17T00:00:00+00:00", "v": 11361.65}, {"t": "2026-04-18T00:00:00+00:00", "v": 11158.23}, {"t": "2026-04-19T00:00:00+00:00", "v": 10877.8}, {"t": "2026-04-20T00:00:00+00:00", "v": 11181.83}, {"t": "2026-04-21T00:00:00+00:00", "v": 11253.52}, {"t": "2026-04-22T00:00:00+00:00", "v": 11526.27}, {"t": "2026-04-23T00:00:00+00:00", "v": 11539.4}, {"t": "2026-04-24T00:00:00+00:00", "v": 11417.85}, {"t": "2026-04-25T00:00:00+00:00", "v": 11444.4}, {"t": "2026-04-26T00:00:00+00:00", "v": 11596.78}, {"t": "2026-04-27T00:00:00+00:00", "v": 11405.75}, {"t": "2026-04-28T00:00:00+00:00", "v": 11254.85}, {"t": "2026-04-29T00:00:00+00:00", "v": 11154.57}, {"t": "2026-04-30T00:00:00+00:00", "v": 11154.57}, {"t": "2026-05-01T00:00:00+00:00", "v": 11138.42}, {"t": "2026-05-02T00:00:00+00:00", "v": 11204.23}, {"t": "2026-05-03T00:00:00+00:00", "v": 11187.42}, {"t": "2026-05-04T00:00:00+00:00", "v": 11368.34}, {"t": "2026-05-05T00:00:00+00:00", "v": 11519.2}, {"t": "2026-05-06T00:00:00+00:00", "v": 11595.98}, {"t": "2026-05-07T00:00:00+00:00", "v": 11395.26}, {"t": "2026-05-08T00:00:00+00:00", "v": 11418.05}, {"t": "2026-05-09T00:00:00+00:00", "v": 11484.72}, {"t": "2026-05-10T00:00:00+00:00", "v": 11704.67}, {"t": "2026-05-11T00:00:00+00:00", "v": 11639.0}, {"t": "2026-05-12T00:00:00+00:00", "v": 11461.79}, {"t": "2026-05-13T00:00:00+00:00", "v": 11277.89}, {"t": "2026-05-14T00:00:00+00:00", "v": 11277.89}, {"t": "2026-05-15T00:00:00+00:00", "v": 11277.89}, {"t": "2026-05-16T00:00:00+00:00", "v": 11277.89}, {"t": "2026-05-17T00:00:00+00:00", "v": 11277.89}, {"t": "2026-05-18T00:00:00+00:00", "v": 11261.56}, {"t": "2026-05-19T00:00:00+00:00", "v": 11235.52}, {"t": "2026-05-20T00:00:00+00:00", "v": 11341.87}, {"t": "2026-05-21T00:00:00+00:00", "v": 11349.77}, {"t": "2026-05-22T00:00:00+00:00", "v": 11044.47}, {"t": "2026-05-23T00:00:00+00:00", "v": 11221.77}, {"t": "2026-05-24T00:00:00+00:00", "v": 11266.09}, {"t": "2026-05-25T00:00:00+00:00", "v": 11305.15}, {"t": "2026-05-26T00:00:00+00:00", "v": 11102.11}, {"t": "2026-05-27T00:00:00+00:00", "v": 10886.48}, {"t": "2026-05-28T00:00:00+00:00", "v": 10764.63}, {"t": "2026-05-29T00:00:00+00:00", "v": 10741.81}, {"t": "2026-05-30T00:00:00+00:00", "v": 10803.54}, {"t": "2026-05-31T00:00:00+00:00", "v": 10775.01}, {"t": "2026-06-01T00:00:00+00:00", "v": 10446.31}, {"t": "2026-06-02T00:00:00+00:00", "v": 9761.85}, {"t": "2026-06-03T00:00:00+00:00", "v": 9379.46}, {"t": "2026-06-04T00:00:00+00:00", "v": 9340.99}, {"t": "2026-06-05T00:00:00+00:00", "v": 8928.17}, {"t": "2026-06-06T00:00:00+00:00", "v": 8903.01}, {"t": "2026-06-07T00:00:00+00:00", "v": 9261.12}, {"t": "2026-06-08T00:00:00+00:00", "v": 9224.4}, {"t": "2026-06-09T00:00:00+00:00", "v": 9025.01}, {"t": "2026-06-10T00:00:00+00:00", "v": 8993.71}, {"t": "2026-06-11T00:00:00+00:00", "v": 9306.76}, {"t": "2026-06-12T00:00:00+00:00", "v": 9297.98}, {"t": "2026-06-13T00:00:00+00:00", "v": 9424.66}, {"t": "2026-06-14T00:00:00+00:00", "v": 9599.87}, {"t": "2026-06-15T00:00:00+00:00", "v": 9599.87}, {"t": "2026-06-16T00:00:00+00:00", "v": 9599.87}, {"t": "2026-06-17T00:00:00+00:00", "v": 9599.87}, {"t": "2026-06-18T00:00:00+00:00", "v": 9599.87}, {"t": "2026-06-19T00:00:00+00:00", "v": 9599.87}, {"t": "2026-06-20T00:00:00+00:00", "v": 9599.87}, {"t": "2026-06-21T00:00:00+00:00", "v": 9599.87}, {"t": "2026-06-22T00:00:00+00:00", "v": 9599.87}, {"t": "2026-06-23T00:00:00+00:00", "v": 9599.87}, {"t": "2026-06-24T00:00:00+00:00", "v": 9585.97}, {"t": "2026-06-25T00:00:00+00:00", "v": 9383.72}, {"t": "2026-06-26T00:00:00+00:00", "v": 9433.18}, {"t": "2026-06-27T00:00:00+00:00", "v": 9420.93}, {"t": "2026-06-28T00:00:00+00:00", "v": 9350.74}, {"t": "2026-06-29T00:00:00+00:00", "v": 9457.21}, {"t": "2026-06-30T00:00:00+00:00", "v": 9202.2}, {"t": "2026-07-01T00:00:00+00:00", "v": 9423.13}, {"t": "2026-07-02T00:00:00+00:00", "v": 9670.76}, {"t": "2026-07-03T00:00:00+00:00", "v": 9811.82}, {"t": "2026-07-04T00:00:00+00:00", "v": 9811.82}, {"t": "2026-07-05T00:00:00+00:00", "v": 9811.82}, {"t": "2026-07-06T00:00:00+00:00", "v": 9797.61}, {"t": "2026-07-07T00:00:00+00:00", "v": 9690.69}, {"t": "2026-07-08T00:00:00+00:00", "v": 9512.91}, {"t": "2026-07-09T00:00:00+00:00", "v": 9512.91}, {"t": "2026-07-10T00:00:00+00:00", "v": 9499.13}, {"t": "2026-07-11T00:00:00+00:00", "v": 9449.97}, {"t": "2026-07-12T00:00:00+00:00", "v": 9443.61}, {"t": "2026-07-13T00:00:00+00:00", "v": 9215.68}, {"t": "2026-07-14T00:00:00+00:00", "v": 9202.33}, {"t": "2026-07-15T00:00:00+00:00", "v": 9165.24}, {"t": "2026-07-16T00:00:00+00:00", "v": 9034.57}, {"t": "2026-07-17T00:00:00+00:00", "v": 9050.57}, {"t": "2026-07-18T00:00:00+00:00", "v": 9177.84}, {"t": "2026-07-19T00:00:00+00:00", "v": 9162.41}, {"t": "2026-07-20T00:00:00+00:00", "v": 9234.33}, {"t": "2026-07-21T00:00:00+00:00", "v": 9418.52}, {"t": "2026-07-22T00:00:00+00:00", "v": 9356.08}, {"t": "2026-07-23T00:00:00+00:00", "v": 9212.1}, {"t": "2026-07-24T00:00:00+00:00", "v": 9065.01}, {"t": "2026-07-25T00:00:00+00:00", "v": 9065.01}, {"t": "2026-07-26T00:00:00+00:00", "v": 9065.01}, {"t": "2026-07-27T00:00:00+00:00", "v": 9065.01}, {"t": "2026-07-28T00:00:00+00:00", "v": 9065.01}, {"t": "2026-07-29T00:00:00+00:00", "v": 9065.01}, {"t": "2026-07-30T00:00:00+00:00", "v": 9065.01}, {"t": "2026-07-31T00:00:00+00:00", "v": 9051.88}, {"t": "2026-08-01T00:00:00+00:00", "v": 9042.38}, {"t": "2026-08-02T00:00:00+00:00", "v": 9152.69}, {"t": "2026-08-03T00:00:00+00:00", "v": 9143.47}, {"t": "2026-08-04T00:00:00+00:00", "v": 9213.05}, {"t": "2026-08-05T00:00:00+00:00", "v": 9213.05}, {"t": "2026-08-06T00:00:00+00:00", "v": 9213.05}, {"t": "2026-08-07T00:00:00+00:00", "v": 9213.05}, {"t": "2026-08-08T00:00:00+00:00", "v": 9213.05}, {"t": "2026-08-09T00:00:00+00:00", "v": 9213.05}, {"t": "2026-08-10T00:00:00+00:00", "v": 9199.71}], "total_trades": 13, "generated_at": "2026-08-10T08:34:27.685354+00:00", "asset": "BTC"}
Reference in New Issue View Git Blame Copy Permalink