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ftdt-quant-lab/backtests/results/obi_BTC_1h_5000_20260810-082942.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": "obi", "interval": "1h", "n_bars": 5001, "start_equity": 10000.0, "end_equity": 5749.81, "total_return_pct": -42.5, "pnl": -4250.19, "sharpe": -3.107, "sortino": -4.158, "max_drawdown_pct": 42.74, "win_rate": 0.333, "profit_factor": 0.484, "expectancy": -33.732, "trades": [{"time": "2026-01-15 10:00:00", "side": "BUY", "asset": "BTC", "size": 0.10228, "entry_px": 97726.63, "exit_px": 96709.19, "pnl_gross": -113.0126, "pnl_net": -121.9617, "fee": 8.949103, "fee_rate_pct": 0.045, "return_pct": -1.131, "duration": ""}, {"time": "2026-01-17 11:00:00", "side": "BUY", "asset": "BTC", "size": 0.103394, "entry_px": 95581.49, "exit_px": 95240.66, "pnl_gross": -44.1173, "pnl_net": -52.9958, "fee": 8.878439, "fee_rate_pct": 0.045, "return_pct": -0.446, "duration": ""}, {"time": "2026-01-18 18:00:00", "side": "BUY", "asset": "BTC", "size": 0.103508, "entry_px": 95049.95, "exit_px": 95342.56, "pnl_gross": 21.419, "pnl_net": 12.5508, "fee": 8.868217, "fee_rate_pct": 0.045, "return_pct": 0.218, "duration": ""}, {"time": "2026-01-19 20:00:00", "side": "BUY", "asset": "BTC", "size": 0.105211, "entry_px": 93714.62, "exit_px": 93005.9, "pnl_gross": -83.4058, "pnl_net": -92.2461, "fee": 8.840274, "fee_rate_pct": 0.045, "return_pct": -0.846, "duration": ""}, {"time": "2026-01-21 18:00:00", "side": "BUY", "asset": "BTC", "size": 0.106669, "entry_px": 91652.56, "exit_px": 88340.57, "pnl_gross": -361.9264, "pnl_net": -370.5663, "fee": 8.639859, "fee_rate_pct": 0.045, "return_pct": -3.702, "duration": ""}, {"time": "2026-01-22 19:00:00", "side": "BUY", "asset": "BTC", "size": 0.10573, "entry_px": 89044.96, "exit_px": 89648.26, "pnl_gross": 55.2856, "pnl_net": 46.7836, "fee": 8.501955, "fee_rate_pct": 0.045, "return_pct": 0.587, "duration": ""}, {"time": "2026-01-24 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.105905, "entry_px": 89419.33, "exit_px": 89150.76, "pnl_gross": -36.9532, "pnl_net": -45.4633, "fee": 8.510159, "fee_rate_pct": 0.045, "return_pct": -0.39, "duration": ""}, {"time": "2026-01-26 14:00:00", "side": "BUY", "asset": "BTC", "size": 0.106343, "entry_px": 88703.61, "exit_px": 88068.84, "pnl_gross": -75.9632, "pnl_net": -84.4225, "fee": 8.459331, "fee_rate_pct": 0.045, "return_pct": -0.805, "duration": ""}, {"time": "2026-01-30 14:00:00", "side": "BUY", "asset": "BTC", "size": 0.10619, "entry_px": 88117.03, "exit_px": 82969.95, "pnl_gross": -554.7422, "pnl_net": -562.9177, "fee": 8.175477, "fee_rate_pct": 0.045, "return_pct": -5.929, "duration": ""}, {"time": "2026-01-30 21:00:00", "side": "BUY", "asset": "BTC", "size": 0.106066, "entry_px": 82991.91, "exit_px": 84203.71, "pnl_gross": 120.5509, "pnl_net": 112.5707, "fee": 7.980197, "fee_rate_pct": 0.045, "return_pct": 1.369, "duration": ""}, {"time": "2026-02-02 23:00:00", "side": "BUY", "asset": "BTC", "size": 0.109444, "entry_px": 81531.45, "exit_px": 78605.32, "pnl_gross": -328.1342, "pnl_net": -336.0209, "fee": 7.886704, "fee_rate_pct": 0.045, "return_pct": -3.677, "duration": ""}, {"time": "2026-02-03 19:00:00", "side": "BUY", "asset": "BTC", "size": 0.117429, "entry_px": 73194.12, "exit_px": 74822.1, "pnl_gross": 183.3511, "pnl_net": 175.5295, "fee": 7.821629, "fee_rate_pct": 0.045, "return_pct": 2.133, "duration": ""}, {"time": "2026-02-06 11:00:00", "side": "BUY", "asset": "BTC", "size": 0.119123, "entry_px": 73691.62, "exit_px": 66522.41, "pnl_gross": -861.5371, "pnl_net": -869.0533, "fee": 7.516222, "fee_rate_pct": 0.045, "return_pct": -9.814, "duration": ""}, {"time": "2026-02-07 10:00:00", "side": "BUY", "asset": "BTC", "size": 0.113141, "entry_px": 69976.91, "exit_px": 67887.04, "pnl_gross": -243.468, "pnl_net": -250.4872, "fee": 7.019129, "fee_rate_pct": 0.045, "return_pct": -3.075, "duration": ""}, {"time": "2026-02-08 06:00:00", "side": "BUY", "asset": "BTC", "size": 0.110726, "entry_px": 69305.24, "exit_px": 69245.68, "pnl_gross": -13.4974, "pnl_net": -20.4009, "fee": 6.903535, "fee_rate_pct": 0.045, "return_pct": -0.176, "duration": 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