rams/ftdt-quant-lab
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
cdc7a019867f0f47a75f902d353530dd498eb38b
ftdt-quant-lab/backtests/results/as_mm_BTC_1h_168_20260810-082842.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
14 KiB
JSON
Raw Blame History

{"strategy": "as_mm", "interval": "1h", "n_bars": 169, "start_equity": 10000.0, "end_equity": 9757.34, "total_return_pct": -2.43, "pnl": -242.66, "sharpe": -10.476, "sortino": -14.729, "max_drawdown_pct": 3.5, "win_rate": 0.381, "profit_factor": 0.324, "expectancy": -11.555, "trades": [{"time": "2026-08-04 11:00:00", "side": "BUY", "asset": "BTC", "size": 0.156936, "entry_px": 63710.65, "exit_px": 63835.1, "pnl_gross": 16.5288, "pnl_net": 13.5264, "fee": 3.002478, "fee_rate_pct": 0.015, "return_pct": 0.165, "duration": ""}, {"time": "2026-08-04 18:00:00", "side": "BUY", "asset": "BTC", "size": 0.156092, "entry_px": 64161.1, "exit_px": 64203.73, "pnl_gross": 3.6495, "pnl_net": 0.644, "fee": 3.005508, "fee_rate_pct": 0.015, "return_pct": 0.036, "duration": ""}, {"time": "2026-08-05 01:00:00", "side": "BUY", "asset": "BTC", "size": 0.155988, "entry_px": 64227.16, "exit_px": 64239.7, "pnl_gross": -1.0509, "pnl_net": -4.0568, "fee": 3.005893, "fee_rate_pct": 0.015, "return_pct": -0.01, "duration": ""}, {"time": "2026-08-05 05:00:00", "side": "BUY", "asset": "BTC", "size": 0.156008, "entry_px": 64212.15, "exit_px": 64250.68, "pnl_gross": 3.0059, "pnl_net": -0.0003, "fee": 3.006184, "fee_rate_pct": 0.015, "return_pct": 0.03, "duration": ""}, {"time": "2026-08-05 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.156191, "entry_px": 64156.09, "exit_px": 64226.71, "pnl_gross": 8.0219, "pnl_net": 5.0141, "fee": 3.007836, "fee_rate_pct": 0.015, "return_pct": 0.08, "duration": ""}, {"time": "2026-08-05 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.155687, "entry_px": 64415.35, "exit_px": 64729.21, "pnl_gross": 45.8473, "pnl_net": 42.8314, "fee": 3.015919, "fee_rate_pct": 0.015, "return_pct": 0.457, "duration": ""}, {"time": "2026-08-06 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.155736, "entry_px": 64689.62, "exit_px": 64638.3, "pnl_gross": -11.0148, "pnl_net": -14.0359, "fee": 3.021152, "fee_rate_pct": 0.015, "return_pct": -0.109, "duration": ""}, {"time": "2026-08-06 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.155184, "entry_px": 64848.78, "exit_px": 64328.61, "pnl_gross": -83.73, "pnl_net": -86.7369, "fee": 3.00694, "fee_rate_pct": 0.015, "return_pct": -0.832, "duration": ""}, {"time": "2026-08-06 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.154336, "entry_px": 64662.6, "exit_px": 64341.59, "pnl_gross": -52.5289, "pnl_net": -55.5154, "fee": 2.986499, "fee_rate_pct": 0.015, "return_pct": -0.526, "duration": ""}, {"time": "2026-08-07 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.154252, "entry_px": 64357.29, "exit_px": 64163.77, "pnl_gross": -32.8247, "pnl_net": -35.7984, "fee": 2.973695, "fee_rate_pct": 0.015, "return_pct": -0.331, "duration": ""}, {"time": "2026-08-07 08:00:00", "side": "BUY", "asset": "BTC", "size": 0.153754, "entry_px": 64352.29, "exit_px": 64505.43, "pnl_gross": 20.5743, "pnl_net": 17.6025, "fee": 2.971858, "fee_rate_pct": 0.015, "return_pct": 0.208, "duration": ""}, {"time": "2026-08-07 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.1524, "entry_px": 65058.99, "exit_px": 65188.75, "pnl_gross": 16.7967, "pnl_net": 13.8193, "fee": 2.977463, "fee_rate_pct": 0.015, "return_pct": 0.169, "duration": ""}, {"time": "2026-08-07 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.152936, "entry_px": 64940.88, "exit_px": 64875.06, "pnl_gross": -13.0436, "pnl_net": -16.0217, "fee": 2.97803, "fee_rate_pct": 0.015, "return_pct": -0.131, "duration": ""}, {"time": "2026-08-08 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.152714, "entry_px": 64949.88, "exit_px": 64909.03, "pnl_gross": -9.2144, "pnl_net": -12.1891, "fee": 2.974691, "fee_rate_pct": 0.015, "return_pct": -0.093, "duration": ""}, {"time": "2026-08-08 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.152476, "entry_px": 64990.93, "exit_px": 64905.03, "pnl_gross": -16.0679, "pnl_net": -19.0388, "fee": 2.970902, "fee_rate_pct": 0.015, "return_pct": -0.162, "duration": ""}, {"time": "2026-08-08 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.151936, "entry_px": 65116.05, "exit_px": 64979.96, "pnl_gross": -23.6428, "pnl_net": -26.6077, "fee": 2.96494, "fee_rate_pct": 0.015, "return_pct": -0.239, "duration": ""}, {"time": "2026-08-09 04:00:00", "side": "BUY", "asset": "BTC", "size": 0.151848, "entry_px": 64997.93, "exit_px": 64692.24, "pnl_gross": -49.3725, "pnl_net": -52.3265, "fee": 2.953979, "fee_rate_pct": 0.015, "return_pct": -0.5, "duration": ""}, {"time": "2026-08-09 10:00:00", "side": "BUY", "asset": "BTC", "size": 0.151411, "entry_px": 64859.79, "exit_px": 64862.07, "pnl_gross": -2.6013, "pnl_net": -5.5475, "fee": 2.946197, "fee_rate_pct": 0.015, "return_pct": -0.026, "duration": ""}, {"time": "2026-08-09 18:00:00", "side": "BUY", "asset": "BTC", "size": 0.150451, "entry_px": 65256.19, "exit_px": 65096.84, "pnl_gross": -26.9166, "pnl_net": -29.8583, "fee": 2.941762, "fee_rate_pct": 0.015, "return_pct": -0.274, "duration": ""}, {"time": "2026-08-10 02:00:00", "side": "BUY", "asset": "BTC", "size": 0.150078, "entry_px": 65239.17, "exit_px": 65011.92, "pnl_gross": -37.0375, "pnl_net": -39.9697, "fee": 2.932173, "fee_rate_pct": 0.015, "return_pct": -0.378, "duration": ""}, {"time": "2026-08-10 06:00:00", "side": "BUY", "asset": "BTC", "size": 0.14968, "entry_px": 65165.1, "exit_px": 65197.74, "pnl_gross": 1.9582, "pnl_net": -0.9687, "fee": 2.926906, "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": "2026-08-03T08:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T09:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T10:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T11:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T12:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T13:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T14:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T15:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T16:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T17:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T18:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T19:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T20:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T21:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T22:00:00+00:00", "v": 10000.0}, {"t": "2026-08-03T23:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T00:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T01:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T02:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T03:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T04:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T05:00:00+00:00", "v": 10000.0}, {"t": "2026-08-04T06:00:00+00:00", "v": 9988.51}, {"t": "2026-08-04T07:00:00+00:00", "v": 9990.39}, {"t": "2026-08-04T08:00:00+00:00", "v": 9974.39}, {"t": "2026-08-04T09:00:00+00:00", "v": 9976.27}, {"t": "2026-08-04T10:00:00+00:00", "v": 10002.95}, {"t": "2026-08-04T11:00:00+00:00", "v": 10016.53}, {"t": "2026-08-04T12:00:00+00:00", "v": 10016.53}, {"t": "2026-08-04T13:00:00+00:00", "v": 10016.53}, {"t": "2026-08-04T14:00:00+00:00", "v": 10005.02}, {"t": "2026-08-04T15:00:00+00:00", "v": 10004.09}, {"t": "2026-08-04T16:00:00+00:00", "v": 9977.86}, {"t": "2026-08-04T17:00:00+00:00", "v": 9980.98}, {"t": "2026-08-04T18:00:00+00:00", "v": 10020.18}, {"t": "2026-08-04T19:00:00+00:00", "v": 10020.18}, {"t": "2026-08-04T20:00:00+00:00", "v": 10020.18}, {"t": "2026-08-04T21:00:00+00:00", "v": 10008.67}, {"t": "2026-08-04T22:00:00+00:00", "v": 10020.99}, {"t": "2026-08-04T23:00:00+00:00", "v": 9993.85}, {"t": "2026-08-05T00:00:00+00:00", "v": 9977.31}, {"t": "2026-08-05T01:00:00+00:00", "v": 10019.13}, {"t": "2026-08-05T02:00:00+00:00", "v": 10019.13}, {"t": "2026-08-05T03:00:00+00:00", "v": 10019.13}, {"t": "2026-08-05T04:00:00+00:00", "v": 10007.62}, {"t": "2026-08-05T05:00:00+00:00", "v": 10022.13}, {"t": "2026-08-05T06:00:00+00:00", "v": 10022.13}, {"t": "2026-08-05T07:00:00+00:00", "v": 10022.13}, {"t": "2026-08-05T08:00:00+00:00", "v": 10010.62}, {"t": "2026-08-05T09:00:00+00:00", "v": 10016.09}, {"t": "2026-08-05T10:00:00+00:00", "v": 10001.25}, {"t": "2026-08-05T11:00:00+00:00", "v": 10002.65}, {"t": "2026-08-05T12:00:00+00:00", "v": 10030.16}, {"t": "2026-08-05T13:00:00+00:00", "v": 10030.16}, {"t": "2026-08-05T14:00:00+00:00", "v": 10030.16}, {"t": "2026-08-05T15:00:00+00:00", "v": 10018.63}, {"t": "2026-08-05T16:00:00+00:00", "v": 10061.76}, {"t": "2026-08-05T17:00:00+00:00", "v": 10077.64}, {"t": "2026-08-05T18:00:00+00:00", "v": 10083.24}, {"t": "2026-08-05T19:00:00+00:00", "v": 10087.91}, {"t": "2026-08-05T20:00:00+00:00", "v": 10076.0}, {"t": "2026-08-05T21:00:00+00:00", "v": 10076.0}, {"t": "2026-08-05T22:00:00+00:00", "v": 10076.0}, {"t": "2026-08-05T23:00:00+00:00", "v": 10064.43}, {"t": "2026-08-06T00:00:00+00:00", "v": 10063.34}, {"t": "2026-08-06T01:00:00+00:00", "v": 10055.08}, {"t": "2026-08-06T02:00:00+00:00", "v": 10053.06}, {"t": "2026-08-06T03:00:00+00:00", "v": 10046.67}, {"t": "2026-08-06T04:00:00+00:00", "v": 10064.99}, {"t": "2026-08-06T05:00:00+00:00", "v": 10064.99}, {"t": "2026-08-06T06:00:00+00:00", "v": 10064.99}, {"t": "2026-08-06T07:00:00+00:00", "v": 10053.42}, {"t": "2026-08-06T08:00:00+00:00", "v": 10073.44}, {"t": "2026-08-06T09:00:00+00:00", "v": 10033.25}, {"t": "2026-08-06T10:00:00+00:00", "v": 10023.16}, {"t": "2026-08-06T11:00:00+00:00", "v": 10024.56}, {"t": "2026-08-06T12:00:00+00:00", "v": 9981.26}, {"t": "2026-08-06T13:00:00+00:00", "v": 9981.26}, {"t": "2026-08-06T14:00:00+00:00", "v": 9981.26}, {"t": "2026-08-06T15:00:00+00:00", "v": 9969.79}, {"t": "2026-08-06T16:00:00+00:00", "v": 9989.24}, {"t": "2026-08-06T17:00:00+00:00", "v": 9967.78}, {"t": "2026-08-06T18:00:00+00:00", "v": 9937.69}, {"t": "2026-08-06T19:00:00+00:00", "v": 9941.7}, {"t": "2026-08-06T20:00:00+00:00", "v": 9928.73}, {"t": "2026-08-06T21:00:00+00:00", "v": 9928.73}, {"t": "2026-08-06T22:00:00+00:00", "v": 9928.73}, {"t": "2026-08-06T23:00:00+00:00", "v": 9917.32}, {"t": "2026-08-07T00:00:00+00:00", "v": 9916.55}, {"t": "2026-08-07T01:00:00+00:00", "v": 9932.75}, {"t": "2026-08-07T02:00:00+00:00", "v": 9928.12}, {"t": "2026-08-07T03:00:00+00:00", "v": 9912.08}, {"t": "2026-08-07T04:00:00+00:00", "v": 9895.9}, {"t": "2026-08-07T05:00:00+00:00", "v": 9895.9}, {"t": "2026-08-07T06:00:00+00:00", "v": 9895.9}, {"t": "2026-08-07T07:00:00+00:00", "v": 9884.54}, {"t": "2026-08-07T08:00:00+00:00", "v": 9916.48}, {"t": "2026-08-07T09:00:00+00:00", "v": 9916.48}, {"t": "2026-08-07T10:00:00+00:00", "v": 9916.48}, {"t": "2026-08-07T11:00:00+00:00", "v": 9905.09}, {"t": "2026-08-07T12:00:00+00:00", "v": 9933.28}, {"t": "2026-08-07T13:00:00+00:00", "v": 9933.28}, {"t": "2026-08-07T14:00:00+00:00", "v": 9933.28}, {"t": "2026-08-07T15:00:00+00:00", "v": 9921.86}, {"t": "2026-08-07T16:00:00+00:00", "v": 9906.57}, {"t": "2026-08-07T17:00:00+00:00", "v": 9900.45}, {"t": "2026-08-07T18:00:00+00:00", "v": 9893.42}, {"t": "2026-08-07T19:00:00+00:00", "v": 9928.44}, {"t": "2026-08-07T20:00:00+00:00", "v": 9920.23}, {"t": "2026-08-07T21:00:00+00:00", "v": 9920.23}, {"t": "2026-08-07T22:00:00+00:00", "v": 9920.23}, {"t": "2026-08-07T23:00:00+00:00", "v": 9908.83}, {"t": "2026-08-08T00:00:00+00:00", "v": 9909.29}, {"t": "2026-08-08T01:00:00+00:00", "v": 9908.83}, {"t": "2026-08-08T02:00:00+00:00", "v": 9909.14}, {"t": "2026-08-08T03:00:00+00:00", "v": 9926.09}, {"t": "2026-08-08T04:00:00+00:00", "v": 9911.02}, {"t": "2026-08-08T05:00:00+00:00", "v": 9911.02}, {"t": "2026-08-08T06:00:00+00:00", "v": 9911.02}, {"t": "2026-08-08T07:00:00+00:00", "v": 9899.63}, {"t": "2026-08-08T08:00:00+00:00", "v": 9904.97}, {"t": "2026-08-08T09:00:00+00:00", "v": 9904.66}, {"t": "2026-08-08T10:00:00+00:00", "v": 9908.02}, {"t": "2026-08-08T11:00:00+00:00", "v": 9901.61}, {"t": "2026-08-08T12:00:00+00:00", "v": 9894.95}, {"t": "2026-08-08T13:00:00+00:00", "v": 9894.95}, {"t": "2026-08-08T14:00:00+00:00", "v": 9894.95}, {"t": "2026-08-08T15:00:00+00:00", "v": 9883.58}, {"t": "2026-08-08T16:00:00+00:00", "v": 9885.25}, {"t": "2026-08-08T17:00:00+00:00", "v": 9889.2}, {"t": "2026-08-08T18:00:00+00:00", "v": 9877.96}, {"t": "2026-08-08T19:00:00+00:00", "v": 9882.52}, {"t": "2026-08-08T20:00:00+00:00", "v": 9871.31}, {"t": "2026-08-08T21:00:00+00:00", "v": 9871.31}, {"t": "2026-08-08T22:00:00+00:00", "v": 9871.31}, {"t": "2026-08-08T23:00:00+00:00", "v": 9859.97}, {"t": "2026-08-09T00:00:00+00:00", "v": 9861.94}, {"t": "2026-08-09T01:00:00+00:00", "v": 9845.54}, {"t": "2026-08-09T02:00:00+00:00", "v": 9839.01}, {"t": "2026-08-09T03:00:00+00:00", "v": 9833.54}, {"t": "2026-08-09T04:00:00+00:00", "v": 9821.93}, {"t": "2026-08-09T05:00:00+00:00", "v": 9821.93}, {"t": "2026-08-09T06:00:00+00:00", "v": 9821.93}, {"t": "2026-08-09T07:00:00+00:00", "v": 9810.65}, {"t": "2026-08-09T08:00:00+00:00", "v": 9809.74}, {"t": "2026-08-09T09:00:00+00:00", "v": 9819.58}, {"t": "2026-08-09T10:00:00+00:00", "v": 9819.33}, {"t": "2026-08-09T11:00:00+00:00", "v": 9819.33}, {"t": "2026-08-09T12:00:00+00:00", "v": 9819.33}, {"t": "2026-08-09T13:00:00+00:00", "v": 9808.05}, {"t": "2026-08-09T14:00:00+00:00", "v": 9814.07}, {"t": "2026-08-09T15:00:00+00:00", "v": 9809.41}, {"t": "2026-08-09T16:00:00+00:00", "v": 9808.95}, {"t": "2026-08-09T17:00:00+00:00", "v": 9803.54}, {"t": "2026-08-09T18:00:00+00:00", "v": 9792.42}, {"t": "2026-08-09T19:00:00+00:00", "v": 9792.42}, {"t": "2026-08-09T20:00:00+00:00", "v": 9792.42}, {"t": "2026-08-09T21:00:00+00:00", "v": 9781.17}, {"t": "2026-08-09T22:00:00+00:00", "v": 9761.66}, {"t": "2026-08-09T23:00:00+00:00", "v": 9735.24}, {"t": "2026-08-10T00:00:00+00:00", "v": 9745.0}, {"t": "2026-08-10T01:00:00+00:00", "v": 9779.97}, {"t": "2026-08-10T02:00:00+00:00", "v": 9755.38}, {"t": "2026-08-10T03:00:00+00:00", "v": 9755.38}, {"t": "2026-08-10T04:00:00+00:00", "v": 9755.38}, {"t": "2026-08-10T05:00:00+00:00", "v": 9744.17}, {"t": "2026-08-10T06:00:00+00:00", "v": 9757.34}, {"t": "2026-08-10T07:00:00+00:00", "v": 9757.34}, {"t": "2026-08-10T08:00:00+00:00", "v": 9757.34}], "total_trades": 21, "generated_at": "2026-08-10T08:28:42.474443+00:00", "asset": "BTC"}
Reference in New Issue View Git Blame Copy Permalink