btc_orderbook_imbalance_momentum · strategy

396

closed trades

33%

win rate

-167.97

total pnl ($)

1.224

weight

7d window — n=0 wr=0% pnl=+0.00 · venues=(unknown) · horizon=— · SL=— · TP=— · class=? in ?

Backtest evidence run: 2026-05-22 16:39:09 (36.0d ago) · src: canon

verdict: REJECT · strict: STRICT-FAIL · batch: aus

n: 246 · wr: 35.8% · total_bps: -1672.8 · mean_bps: -6.80 · sharpe: -0.31 · max_dd_bps: -1674.9

gate: min_trades=— min_wr=— min_total_bps=— min_sharpe=— effective_days=—

Cumulative P&L (last 100 closed)

Last 100 trades

time	sym	side	entry→exit	pnl	close
06-01 04:38	BTC	Sell	73639.3→73428.7	+0.98	timeout
06-01 04:04	BTC	Buy	73910.3→73764.7	-1.44	timeout
06-01 02:51	BTC	Sell	73496.3→73762.7	-2.26	timeout
06-01 02:03	BTC	Sell	73583.3→73303.7	+1.45	timeout
06-01 00:23	BTC	Sell	73657.3→73758.7	-1.14	timeout
05-31 22:20	BTC	Sell	73818.3→73878.7	-0.86	timeout
05-31 21:50	BTC	Buy	73649.3→73826.7	+0.75	timeout
05-31 20:52	BTC	Buy	73722.3→73704.7	-0.57	timeout
05-31 20:06	BTC	Buy	73447.3→73635.7	+0.83	timeout
05-31 18:44	BTC	Sell	73651.3→73608.7	-0.16	timeout
05-31 17:02	BTC	Buy	73524.3→73532.7	-0.39	timeout
05-31 16:40	BTC	Sell	73669.3→73494.7	+0.74	timeout
05-31 16:11	BTC	Buy	73642.3→73675.7	-0.22	timeout
05-31 15:36	BTC	Buy	73636.3→73705.7	+0.02	timeout
05-31 14:44	BTC	Sell	73668.3→73596.7	+0.04	timeout
05-31 13:44	BTC	Sell	73916.3→73861.7	-0.08	timeout
05-31 13:24	BTC	Buy	73857.3→73954.7	+0.21	timeout
05-31 13:11	BTC	Sell	73925.3→73919.7	-0.41	timeout
05-31 12:40	BTC	Sell	73881.3→73911.7	-0.65	timeout
05-31 12:08	BTC	Buy	73916.3→73883.7	-0.67	timeout
05-31 11:23	BTC	Sell	73818.3→73884.7	-0.90	timeout
05-31 11:04	BTC	Buy	73801.3→73892.7	+0.17	timeout
05-31 10:44	BTC	Sell	73824.3→73786.7	-0.19	timeout
05-31 10:32	BTC	Buy	73797.3→73788.7	-0.51	timeout
05-31 10:06	BTC	Sell	73920.3→73821.7	+0.22	timeout
05-31 09:28	BTC	Buy	73937.3→73928.7	-0.51	timeout
05-31 09:15	BTC	Sell	73849.3→73862.7	-0.54	timeout
05-31 08:43	BTC	Buy	73844.3→73845.7	-0.44	timeout
05-31 08:36	BTC	Sell	73923.3→73887.7	-0.21	timeout
05-31 08:09	BTC	Buy	73841.3→73857.7	-0.34	timeout
05-31 07:51	BTC	Sell	73909.3→73842.7	+0.00	timeout
05-31 07:07	BTC	Sell	74045.3→73973.7	+0.03	timeout
05-31 06:47	BTC	Buy	73972.3→74041.7	+0.02	timeout
05-31 06:19	BTC	Sell	74060.3→73991.7	+0.01	timeout
05-31 06:14	BTC	Buy	74063.3→73982.7	-1.00	timeout
05-31 05:43	BTC	Sell	74175.3→74060.7	+0.32	timeout
05-31 04:27	BTC	Sell	74132.3→74178.7	-0.76	timeout
05-31 03:44	BTC	Sell	74128.3→74144.7	-0.56	timeout
05-31 03:10	BTC	Sell	73899.3→74068.7	-1.59	timeout
05-31 03:02	BTC	Buy	73921.3→74088.7	+0.68	timeout
05-31 02:37	BTC	Sell	74066.3→73899.7	+0.68	timeout
05-31 01:56	BTC	Sell	74197.3→74033.7	+0.65	timeout
05-31 01:14	BTC	Buy	73921.3→74107.7	+0.81	timeout
05-31 01:06	BTC	Sell	73956.3→74077.7	-1.27	timeout
05-31 00:24	BTC	Buy	73805.3→73906.7	+0.24	timeout
05-31 00:13	BTC	Sell	73771.3→73876.7	-1.16	timeout
05-30 21:04	BTC	Buy	73910.3→73953.7	-0.16	timeout
05-30 19:35	BTC	Sell	73996.3→73968.7	-0.26	timeout
05-30 18:26	BTC	Sell	73977.3→73959.7	-0.33	timeout
05-30 17:01	BTC	Buy	73872.3→73885.7	-0.36	timeout
05-30 16:43	BTC	Sell	73929.3→73925.7	-0.42	timeout
05-30 15:16	BTC	Buy	73906.3→73991.7	+0.12	timeout
05-30 14:30	BTC	Sell	73814.3→74009.7	-1.77	timeout
05-30 13:54	BTC	Buy	73758.3→73786.7	-0.26	timeout
05-30 13:06	BTC	Sell	73641.3→73717.7	-0.97	timeout
05-30 12:56	BTC	Buy	73623.3→73655.7	-0.23	timeout
05-30 12:08	BTC	Buy	73587.3→73571.7	-0.56	timeout
05-30 11:22	BTC	Buy	73625.3→73547.7	-0.98	timeout
05-30 11:03	BTC	Sell	73601.3→73617.7	-0.56	timeout
05-30 10:33	BTC	Buy	73562.3→73609.7	-0.13	timeout
05-30 10:11	BTC	Sell	73522.3→73622.7	-1.13	timeout
05-30 10:02	BTC	Buy	73515.3→73567.7	-0.09	timeout
05-30 07:35	BTC	Sell	73494.3→73516.7	-0.60	timeout
05-30 03:00	BTC	Buy	73612.3→73752.7	+0.50	timeout
05-30 02:51	BTC	Sell	73617.3→73704.7	-1.04	timeout
05-30 01:25	BTC	Sell	73499.3→73618.7	-1.26	timeout
05-30 00:02	BTC	Sell	73344.3→73429.7	-1.03	timeout
05-29 22:37	BTC	Sell	73351.3→73439.7	-1.05	timeout
05-29 20:11	BTC	Buy	73694.3→73640.7	-0.82	timeout
05-29 20:01	BTC	Sell	73398.3→73546.7	-1.46	timeout
05-29 19:07	BTC	Buy	73776.3→73442.7	-2.71	timeout
05-29 18:32	BTC	Sell	73962.3→73798.7	+0.66	timeout
05-29 17:49	BTC	Sell	74214.3→74056.7	+0.61	timeout
05-29 16:21	BTC	Buy	73770.3→73728.7	-0.73	timeout
05-29 16:04	BTC	Sell	74070.3→73811.7	+1.30	timeout
05-29 15:36	BTC	Buy	73301.3→74177.7	+5.53	timeout
05-29 15:26	BTC	Sell	72998.3→73499.7	-3.88	timeout
05-29 15:03	BTC	Buy	72748.4→73121.7	+2.11	timeout
05-29 14:07	BTC	Buy	73085.3→72979.6	-1.17	timeout
05-29 13:19	BTC	Sell	73243.3→73094.7	+0.57	timeout
05-29 13:09	BTC	Buy	73219.3→73172.7	-0.77	timeout
05-29 12:34	BTC	Sell	73402.3→73228.7	+0.73	timeout
05-29 12:28	BTC	Buy	73419.3→73290.7	-1.33	timeout
05-29 11:55	BTC	Sell	73622.3→73421.7	+0.91	timeout
05-29 11:50	BTC	Buy	73640.3→73420.7	-1.94	timeout
05-29 11:21	BTC	Sell	73602.3→73668.7	-0.90	timeout
05-29 11:04	BTC	Buy	73547.3→73608.7	-0.03	timeout
05-29 10:41	BTC	Sell	73655.3→73612.7	-0.16	timeout
05-29 10:06	BTC	Buy	73806.3→73682.7	-1.29	timeout
05-29 09:48	BTC	Sell	73806.3→73773.7	-0.23	timeout
05-29 09:27	BTC	Buy	73615.3→73823.7	+0.96	timeout
05-29 09:15	BTC	Sell	73776.3→73784.7	-0.51	timeout
05-29 08:45	BTC	Buy	73673.3→73783.7	+0.30	timeout
05-29 08:30	BTC	Sell	73540.3→73747.7	-1.86	timeout
05-29 07:43	BTC	Sell	73774.3→73406.7	+2.04	timeout
05-29 07:38	BTC	Buy	73739.3→73451.7	-2.40	timeout
05-29 07:04	BTC	Sell	73678.3→73744.7	-0.90	timeout
05-29 04:40	BTC	Buy	73199.3→73387.7	+0.83	timeout
05-29 04:03	BTC	Buy	73381.3→73323.7	-0.85	timeout
05-29 03:47	BTC	Sell	73388.3→73320.7	+0.01	timeout

Paper vs Live

Paper (trades.jsonl)

396

closed

33%

win rate

-167.97

total pnl ($)

-8.6 bps

avg bps net

Live (dry_run=0)

closed

—

win rate

—

total pnl ($)

—

avg bps net

Live: 0 trades, insufficient sample

Per-symbol breakdown (paper)

symbol	n	wr	net bps	total pnl ($)
BTC	396	33%	-8.6	-167.97

Recent bounces (last 20 of 0)

time	sym	side	reason
no bounces recorded

Postmortem feed (last 10)

time	sym	side	pnl	narrative
no postmortems

More…