hl_orderbook_imbalance_mean_reversion · strategy

3720

closed trades

26%

win rate

-2809.82

total pnl ($)

0.250

weight

7d window — n=553 wr=27% pnl=-369.71 · venues=(unknown) · horizon=— · SL=— · TP=— · class=? in ?

Backtest evidence run: 2026-05-24 08:03:35 (34.7d ago) · src: canon

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

n: 743 · wr: 19.4% · total_bps: -5283.0 · mean_bps: -7.11 · sharpe: -0.40 · max_dd_bps: -5296.7

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
06-28 00:18	BTC	Buy	59997→60132	+0.68	timeout
06-28 00:17	AVAX	Sell	6.4079→6.43321	-2.43	timeout
06-27 23:42	BTC	Sell	59957→60052	-1.24	timeout
06-27 23:41	NEAR	Sell	1.86293→1.87737	-4.33	timeout
06-27 23:07	SUI	Sell	0.686728→0.689102	-2.18	timeout
06-27 23:01	DOGE	Sell	0.0745903→0.0748157	-1.96	timeout
06-27 22:37	LTC	Sell	42.0385→42.2496	-2.96	timeout
06-27 22:32	BTC	Sell	59856→60128	-2.72	timeout
06-27 22:10	ETH	Sell	1575.64→1575.06	-0.26	timeout
06-27 21:58	BTC	Buy	60263→60170	-1.22	timeout
06-27 21:44	TRX	Sell	0.32066→0.32086	-0.76	timeout
06-27 21:30	SUI	Buy	0.686131→0.686208	-0.39	timeout
06-27 21:10	NEAR	Buy	1.88677→1.89623	+2.06	timeout
06-27 20:48	AVAX	Sell	6.43459→6.43421	-0.42	timeout
06-27 20:42	BNB	Buy	559.68→559.42	-0.68	timeout
06-27 20:21	BTC	Sell	60229→60260	-0.71	timeout
06-27 20:15	LINK	Sell	7.31867→7.34103	-1.98	timeout
06-27 19:52	BTC	Buy	60139→60156	-0.31	timeout
06-27 19:46	AVAX	Sell	6.42119→6.43591	-1.60	timeout
06-27 19:25	SUI	Sell	0.700445→0.694934	+3.48	timeout
06-27 19:18	BTC	Buy	60569→60534	-0.74	timeout
06-27 18:50	NEAR	Buy	1.87837→1.87453	-1.47	timeout
06-27 18:49	SUI	Sell	0.700595→0.700485	-0.37	timeout
06-27 18:20	SOL	Buy	71.9838→72.0452	-0.02	timeout
06-27 18:20	DOGE	Buy	0.0753788→0.0754011	-0.30	timeout
06-27 17:51	BTC	Buy	60559→60558	-0.46	timeout
06-27 17:43	DOGE	Buy	0.0757479→0.07579	-0.17	timeout
06-27 17:29	NEAR	Sell	1.89253→1.88667	+1.09	timeout
06-27 17:22	ETH	Sell	1592.14→1596.36	-1.77	timeout
06-27 17:07	BTC	Buy	60795→60514	-2.76	timeout
06-27 16:52	BTC	Sell	60693→60782	-1.18	timeout
06-27 16:30	SOL	Buy	72.7319→72.7681	-0.20	timeout
06-27 16:14	ETH	Buy	1604.56→1603.04	-0.92	timeout
06-27 16:00	BTC	Buy	60752→60794	-0.11	timeout
06-27 15:45	BTC	Sell	60755→60727	-0.22	timeout
06-27 15:38	NEAR	Buy	1.88457→1.89833	+3.20	timeout
06-27 15:22	XRP	Sell	1.06923→1.07167	-1.59	timeout
06-27 14:59	LINK	Sell	7.40955→7.40635	-0.23	timeout
06-27 14:51	BTC	Buy	60560→60582	-0.27	timeout
06-27 14:36	BTC	Sell	60585→60512	+0.15	timeout
06-27 14:28	AVAX	Buy	6.63506→6.62454	-1.24	timeout
06-27 14:21	SUI	Sell	0.703144→0.704666	-1.53	timeout
06-27 14:06	BTC	Sell	60531→60525	-0.40	timeout
06-27 14:06	DOGE	Sell	0.0757091→0.0758179	-1.17	timeout
06-27 13:46	LTC	Sell	43.0022→43.0648	-1.18	timeout
06-27 12:17	XRP	Buy	1.05896→1.05794	-0.94	timeout
06-27 12:17	BTC	Sell	60305→60266	-0.13	timeout
06-27 10:56	LTC	Sell	42.5584→42.6817	-1.90	timeout
06-27 10:50	BTC	Sell	60393→60380	-0.34	timeout
06-27 09:36	BTC	Buy	60322→60386	+0.08	timeout
06-27 09:30	BTC	Sell	60252→60338	-1.16	timeout
06-27 08:18	BTC	Sell	60427→60433	-0.50	timeout
06-27 08:10	TRX	Sell	0.3209→0.3209	-0.45	timeout
06-27 07:00	BTC	Sell	60406→60365	-0.11	timeout
06-27 07:00	SOL	Sell	72.1852→72.1098	+0.07	timeout
06-27 05:49	BTC	Buy	60185→60217	-0.18	timeout
06-27 05:37	SOL	Buy	71.9778→71.7022	-2.36	timeout
06-27 04:48	AVAX	Buy	6.56214→6.56726	-0.06	timeout
06-27 04:37	BTC	Buy	60375→60357	-0.60	timeout
06-27 03:41	SOL	Sell	72.1652→72.2278	-0.89	timeout
06-27 03:35	BTC	Sell	60219→60303	-1.15	timeout
06-27 02:37	NEAR	Buy	1.81215→1.82544	+3.22	timeout
06-27 02:27	BTC	Sell	60008→60326	-3.10	timeout
06-27 01:29	BTC	Sell	59937→59962	-0.66	timeout
06-27 01:12	SUI	Buy	0.698745→0.698635	-0.53	timeout
06-27 00:22	LINK	Buy	7.37834→7.35116	-2.29	timeout
06-27 00:11	BTC	Sell	60042→60132	-1.20	timeout
06-26 23:10	BTC	Buy	60008→60035	-0.23	timeout
06-26 22:59	DOGE	Buy	0.0756079→0.0756281	-0.32	timeout
06-26 21:58	BTC	Sell	60020→59905	+0.51	timeout
06-26 21:53	DOGE	Buy	0.0756539→0.0755801	-0.94	timeout
06-26 20:51	BTC	Buy	59572→59741	+0.97	timeout
06-26 20:46	AVAX	Buy	6.37389→6.34851	-2.44	timeout
06-26 19:44	BTC	Buy	59897→59849	-0.85	timeout
06-26 19:33	SOL	Buy	73.166→73.7689	+3.67	timeout
06-26 18:42	ETH	Buy	1576.56→1574.84	-1.00	timeout
06-26 18:31	BTC	Buy	60040→59778	-2.63	timeout
06-26 17:44	SOL	Sell	72.5451→72.6189	-0.96	timeout
06-26 17:32	BTC	Buy	60133→60125	-0.52	timeout
06-26 16:44	AVAX	Buy	6.3871→6.4074	+1.14	timeout
06-26 16:31	BTC	Buy	60237→60117	-1.45	timeout
06-26 15:43	BTC	Buy	60138→60451	+2.15	timeout
06-26 15:26	BTC	Sell	59800→60375.2	-5.26	stop_loss
06-26 14:37	BTC	Buy	59984→59610	-3.57	timeout
06-26 14:25	BTC	Sell	60008→60030	-0.63	timeout
06-26 13:32	SOL	Buy	68.7783→68.9976	+1.14	timeout
06-26 13:19	BTC	Buy	59017→58449.8	-5.25	stop_loss
06-26 12:23	BNB	Buy	559.34→558.82	-0.92	timeout
06-26 12:17	BTC	Buy	59394→59577	+1.09	timeout
06-26 11:09	BTC	Buy	59342→59447	+0.43	timeout
06-26 11:08	DOGE	Sell	0.0736596→0.0738565	-1.78	timeout
06-26 09:57	BTC	Buy	60023→59731	-2.88	timeout
06-26 09:46	ETH	Buy	1561.96→1562.34	-0.33	timeout
06-26 08:26	SUI	Sell	0.693567→0.691193	+1.26	timeout
06-26 08:20	BTC	Buy	60346→60162	-1.97	timeout
06-26 07:24	ETH	Sell	1573.44→1576.76	-1.50	timeout
06-26 07:18	AVAX	Buy	6.25826→6.28573	+1.75	timeout
06-26 06:21	SOL	Sell	68.0698→68.7387	-5.36	stop_loss
06-26 06:12	BTC	Sell	59923→59739	+1.09	timeout
06-26 05:21	ETH	Buy	1548.35→1553.94	+1.35	timeout

Paper vs Live

Paper (trades.jsonl)

3720

closed

26%

win rate

-2809.82

total pnl ($)

-15.1 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	1078	24%	-11.4	-613.04
SOL	539	27%	-15.8	-425.58
ETH	396	26%	-15.0	-297.46
ARB	276	29%	-15.4	-212.96
NEAR	224	39%	-23.6	-264.48
SUI	200	34%	-11.4	-113.50
LINK	179	28%	-17.2	-153.94
LTC	159	15%	-20.9	-165.85
DOGE	137	26%	-17.5	-120.02
BNB	114	25%	-12.1	-68.88
OP	88	39%	-11.1	-48.97
AVAX	73	21%	-25.4	-92.74
DOT	63	35%	-8.3	-26.25
TRX	53	8%	-15.6	-41.41
XRP	37	30%	-8.9	-16.39
BCH	32	19%	-32.8	-52.53
ATOM	28	18%	-22.8	-31.86
APT	22	27%	-28.9	-31.80
ADA	22	18%	-29.2	-32.15

Recent bounces (last 20 of 14)

time	sym	side	reason
06-28 00:49	NEAR	Buy	circuit_breaker
06-28 00:49	BTC	Buy	circuit_breaker
06-28 00:05	AVAX	Sell	circuit_breaker
06-28 00:05	BTC	Buy	circuit_breaker
06-27 23:30	NEAR	Sell	circuit_breaker
06-27 23:30	BTC	Sell	circuit_breaker
06-27 22:54	SUI	Sell	circuit_breaker
06-27 22:48	DOGE	Sell	circuit_breaker
06-27 22:29	LTC	Sell	circuit_breaker
06-27 22:22	BTC	Sell	circuit_breaker
06-27 22:01	ETH	Sell	circuit_breaker
06-27 21:46	BTC	Buy	circuit_breaker
06-27 21:32	TRX	Sell	circuit_breaker
06-27 21:17	SUI	Buy	circuit_breaker

Postmortem feed (last 10)

time	sym	side	pnl	narrative
no postmortems

More…