funding_spread_persistence_filter_rescue_v2 · strategy

422

closed trades

48%

win rate

+222.93

total pnl ($)

1.770

weight

7d window — n=57 wr=49% pnl=+95.60 · venues=(unknown) · horizon=— · SL=— · TP=— · class=? in ?

Backtest evidence run: 2026-06-04 00:53:57 (23.1d ago) · src: canon

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

n: 430 · wr: 44.0% · total_bps: -566.9 · mean_bps: -1.32 · sharpe: -0.01 · max_dd_bps: -4647.8

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
06-26 20:27	BTC	Buy	59755→59713	-1.09	timeout
06-26 16:00	SOL	Sell	70.6574→72.4371	-16.89	stop_loss
06-26 15:58	ETH	Buy	1555.86→1580.04	+9.44	timeout
06-26 15:58	BTC	Sell	59906→60304	-4.84	timeout
06-26 06:22	SOL	Sell	67.2289→68.9038	-16.76	stop_loss
06-26 05:11	SOL	Buy	65.9579→68.0988	+20.43	timeout
06-26 03:16	BTC	Buy	59467→58877.1	-7.01	timeout
06-26 02:13	ETH	Buy	1571.66→1532.78	-16.60	stop_loss
06-26 00:58	SOL	Buy	66.393→67.7138	+12.31	timeout
06-25 13:48	ETH	Sell	1647.74→1575.46	+27.90	take_profit
06-25 13:44	BTC	Buy	61623.1→60107.9	-16.52	stop_loss
06-25 13:42	BTC	Buy	61729.1→60210.9	-16.55	stop_loss
06-25 13:38	SOL	Buy	69.3374→67.615	-16.71	stop_loss
06-25 06:52	BTC	Buy	61104.1→61735.9	+6.17	timeout
06-25 06:52	ETH	Buy	1616.46→1652.83	+13.99	timeout
06-25 04:29	SOL	Buy	66.1529→67.5699	+13.38	timeout
06-25 02:55	BTC	Buy	59866→60738	+8.89	timeout
06-24 17:46	BTC	Sell	61977.9→59238	+28.11	take_profit
06-24 16:51	ETH	Sell	1666.63→1593.56	+27.84	take_profit
06-24 16:51	BTC	Sell	62663.9→59903	+27.98	take_profit
06-24 15:25	BTC	Sell	62852.9→60882	+19.74	timeout
06-24 11:13	BTC	Sell	62938.9→62328.1	+5.73	timeout
06-24 06:51	ETH	Sell	1662.53→1673.67	-4.95	timeout
06-24 06:50	BTC	Sell	62419.9→62716.1	-3.65	timeout
06-24 02:31	BTC	Sell	62552.9→62741.1	-2.51	timeout
06-23 22:10	BTC	Buy	62435.1→62678.9	+1.96	timeout
06-23 18:35	SOL	Buy	68.6693→68.8577	+1.32	timeout
06-23 18:00	BTC	Sell	62846.9→62370.1	+4.35	timeout
06-23 14:34	BTC	Sell	63865.8→62540.1	+12.87	timeout
06-23 10:36	BTC	Sell	63963.8→62323.1	+15.98	timeout
06-23 08:24	ETH	Buy	1680.07→1636.42	-17.47	stop_loss
06-23 06:30	BTC	Sell	64381.8→62704.1	+16.37	timeout
06-23 06:29	ETH	Sell	1732.83→1686.47	+16.75	timeout
06-23 02:16	BTC	Sell	64667.8→64175.2	+4.37	timeout
06-22 22:12	BTC	Sell	64741.8→64332.2	+3.53	timeout
06-22 18:09	BTC	Sell	64264.8→64644.2	-4.39	timeout
06-22 18:08	ETH	Sell	1745.13→1745.37	-0.62	timeout
06-22 13:49	BTC	Sell	63951.8→65528	-16.53	stop_loss
06-22 10:04	BTC	Sell	63399.8→64175.2	-8.48	timeout
06-22 06:07	BTC	Sell	64221.8→64121.2	+0.44	timeout
06-22 06:06	ETH	Buy	1734.27→1733.93	-0.73	timeout
06-22 01:58	BTC	Sell	64192.8→64571.2	-4.37	timeout
06-21 21:46	BTC	Sell	64224.8→63821.2	+3.49	timeout
06-21 17:32	BTC	Sell	64162.8→64071.2	+0.30	timeout
06-21 17:31	ETH	Sell	1732.73→1726.57	+1.76	timeout
06-21 13:27	BTC	Sell	64399.8→64112.2	+2.28	timeout
06-21 09:22	BTC	Sell	64252.8→63989.2	+2.15	timeout
06-21 05:25	BTC	Sell	63879.8→64259.2	-4.45	timeout
06-21 05:24	ETH	Sell	1726.13→1734.17	-3.60	timeout
06-21 01:16	BTC	Sell	63998.8→64229.2	-2.90	timeout
06-20 21:11	BTC	Sell	63626.8→63922.2	-3.61	timeout
06-20 17:05	ETH	Sell	1724.63→1731.17	-3.05	timeout
06-20 17:04	BTC	Sell	63632.8→63936.2	-3.67	timeout
06-20 13:01	BTC	Sell	63301.8→63600.2	-3.63	timeout
06-20 08:57	BTC	Sell	63303.8→63406.2	-1.57	timeout
06-20 04:55	ETH	Sell	1700.83→1713.37	-5.35	timeout
06-20 04:55	BTC	Sell	63041.8→63543.2	-5.76	timeout
06-20 00:51	BTC	Buy	63292.2→63520.8	+1.77	timeout
06-19 20:45	BTC	Buy	62392.1→63062.8	+6.38	timeout
06-19 16:40	ETH	Buy	1697.77→1704.93	+2.16	timeout
06-19 16:40	BTC	Sell	62740.9→63265.2	-6.03	timeout
06-19 12:36	BTC	Buy	62894.1→62449.9	-5.13	timeout
06-19 08:35	BTC	Sell	62745.9→62645.1	+0.39	timeout
06-19 04:30	BTC	Buy	62788.1→62690.9	-1.57	timeout
06-19 04:30	ETH	Buy	1684.87→1694.53	+3.12	timeout
06-19 00:44	BTC	Sell	63876.8→63030.2	+8.01	timeout
06-18 20:29	BTC	Sell	63933.8→63104.2	+7.76	timeout
06-18 16:30	BTC	Sell	63994.8→62570.1	+13.69	timeout
06-18 15:44	ETH	Buy	1740.37→1697.28	-16.66	stop_loss
06-18 12:31	BTC	Sell	64682.8→64123.2	+5.07	timeout
06-18 12:31	ETH	Sell	1756.62→1749.27	+2.17	timeout
06-18 08:30	BTC	Sell	64342.8→64536.2	-2.54	timeout
06-18 05:01	SOL	Buy	72.6189→70.808	-16.78	stop_loss
06-18 00:24	BTC	Buy	65287.3→64605.8	-7.38	timeout
06-18 00:24	ETH	Sell	1758.72→1755.08	+0.77	timeout
06-18 00:24	SOL	Buy	72.5019→72.2272	-2.92	timeout
06-17 20:11	BTC	Buy	64869.2→64295.8	-6.33	timeout
06-17 12:00	BTC	Sell	65890.7→64780.2	+10.41	timeout
06-17 12:00	ETH	Sell	1795.62→1764.08	+10.82	timeout
06-17 12:00	SOL	Sell	73.8489→72.0378	+15.29	timeout
06-17 08:04	BTC	Sell	65725.7→65462.3	+2.00	timeout
06-16 23:55	SOL	Sell	74.0799→73.464	+4.81	timeout
06-16 23:55	ETH	Sell	1799.82→1792.18	+2.26	timeout
06-16 23:55	BTC	Sell	66003.7→65642.3	+3.04	timeout
06-16 20:00	BTC	Buy	66498.3→65620.7	-9.22	timeout
06-16 11:49	BTC	Buy	66358.3→66375.7	-0.46	timeout
06-16 11:49	ETH	Buy	1795.98→1795.42	-0.86	timeout
06-16 11:49	SOL	Buy	74.1671→74.3988	+1.41	timeout
06-16 07:43	BTC	Sell	66415.7→66296.3	+0.66	timeout
06-15 23:38	ETH	Buy	1817.18→1787.42	-11.26	timeout
06-15 23:38	SOL	Buy	73.8231→73.7939	-0.90	timeout
06-15 23:38	BTC	Buy	66727.3→66160.7	-6.13	timeout
06-15 19:28	BTC	Buy	65651.3→66589.7	+8.66	timeout
06-15 11:24	ETH	Buy	1712.37→1754.42	+15.35	timeout
06-15 11:24	BTC	Buy	65407.3→66311.7	+8.40	timeout
06-15 11:20	SOL	Sell	70.8564→72.6432	-17.04	stop_loss
06-15 07:22	BTC	Sell	64661.8→65864.3	-12.66	timeout
06-14 23:12	BTC	Buy	64333.2→65543.7	+11.62	timeout
06-14 21:50	ETH	Sell	1689.53→1731.34	-16.67	stop_loss
06-14 21:25	ETH	Sell	1665.73→1706.92	-16.62	stop_loss

Paper vs Live

Paper (trades.jsonl)

422

closed

48%

win rate

+222.93

total pnl ($)

+8.1 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	206	46%	+6.1	+83.54
ETH	150	47%	+3.0	+27.59
SOL	66	58%	+25.7	+111.80

Recent bounces (last 20 of 12)

time	sym	side	reason
06-26 10:41	BTC	Buy	below_min_notional_skip
06-26 08:02	SOL	Sell	stale_intent
06-25 19:15	SOL	Buy	below_min_notional_skip
06-25 15:09	SOL	Buy	below_min_notional_skip
06-25 09:55	BTC	Buy	below_min_notional_skip
06-25 05:38	BTC	Buy	below_min_notional_skip
06-24 20:58	ETH	Buy	below_min_notional_skip
06-24 20:58	BTC	Buy	below_min_notional_skip
06-24 17:10	BTC	Buy	stale_intent
06-24 13:28	BTC	Sell	trigger_already_opened
06-24 09:45	ETH	Sell	stale_intent
06-24 09:45	BTC	Sell	stale_intent

Postmortem feed (last 10)

time	sym	side	pnl	narrative
05-10 10:41	BTC	Sell	-0.87	The market was in a mild uptrend with BTC up 0.19% on the hour and 1.70% over 24 hours, while funding remained slightly negative. The thesis failed because the trade was closed by timeout, indicating the expected move did not materialize within the allotted…
05-10 10:41	BTC	Sell	-0.87	The market was in a low-volatility consolidation across major coins with neutral funding, offering no clear directional edge. The thesis failed because the trade expired without reaching a trigger, as the sideways regime provided no breakout to capitalize on.
05-10 10:41	BTC	Sell	-0.87	BTC was trading in a narrow range with low volatility and slightly positive momentum across timeframes. The short thesis failed because the market did not move within the timeout period, resulting in a small loss from funding costs.
05-10 10:41	BTC	Sell	-0.87	The market was in a neutral range with low funding and moderate open interest, offering no clear directional bias. The thesis failed because the trade expired without reaching a target or stop, resulting in a small loss from the timeout close reason.
05-10 10:41	BTC	Sell	-0.87	BTC was trading in a tight range with low volatility, showing minimal directional bias across timeframes. The short thesis failed because the market lacked the momentum to trigger a profitable exit before the timeout closed the trade.
05-10 10:41	BTC	Sell	-0.87	BTC was trading in a tight range near $80,532 with low volatility across timeframes. The short thesis failed because the market did not move within the timeout period, resulting in a small loss from funding costs.
05-10 10:41	BTC	Sell	-0.87	BTC was trading in a narrow range with low volatility, showing minimal directional bias across timeframes. The thesis failed because the trade expired via timeout without reaching the target or stop, as the market lacked the momentum to trigger an exit.
05-10 10:41	BTC	Sell	-0.87	The market was in a neutral range with low funding and moderate open interest, showing no clear directional bias. The thesis failed because the timeout close_reason indicates the trade was not executed or exited before the opportunity expired, resulting in …
05-10 10:41	BTC	Sell	-0.87	The market was in a low-volatility, sideways grind with BTC oscillating near $80,500 and minimal directional conviction across timeframes. The thesis failed because the trade was closed by timeout, indicating the expected move never materialized in the give…
05-10 10:41	BTC	Sell	-0.87	BTC traded in a narrow range with low volatility, showing minimal directional bias. The thesis failed because the trade was closed by timeout without reaching a target or stop, as the market lacked the momentum needed to trigger an exit.

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