options_iv_skew_extreme_reversion · strategy

closed trades

45%

win rate

-6.90

total pnl ($)

1.235

weight

7d window — n=18 wr=44% pnl=+1.44 · venues=(unknown) · horizon=— · SL=— · TP=— · class=? in ?

Backtest evidence run: 2026-06-04 05:13:26 (23.6d ago) · src: canon

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

n: 97 · wr: 53.6% · total_bps: +45.4 · mean_bps: +0.47 · sharpe: +0.01 · max_dd_bps: -835.9

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

Cumulative P&L (last 97 closed)

Last 100 trades

time	sym	side	entry→exit	pnl	close
06-27 18:17	BTC	Sell	60368→60520	-0.77	timeout
06-27 09:16	BTC	Sell	60378→60285	+0.14	timeout
06-27 00:17	BTC	Sell	59938→60049	-0.62	timeout
06-26 15:27	BTC	Sell	59750→60243	-2.05	timeout
06-26 06:17	BTC	Sell	59603→59751	-0.76	timeout
06-25 21:08	BTC	Sell	59656→59500	+0.39	timeout
06-25 12:11	BTC	Sell	61707.9→61209.1	+1.62	timeout
06-25 03:06	BTC	Sell	61057.9→60713	+1.07	timeout
06-24 16:06	BTC	Sell	62175.9→60187	+6.99	take_profit
06-24 09:08	BTC	Sell	62645.9→62716.1	-0.45	timeout
06-24 00:09	BTC	Sell	62293.9→62818.1	-2.10	timeout
06-23 15:01	BTC	Sell	62379.9→62418.1	-0.35	timeout
06-23 06:07	BTC	Sell	64165.8→63286.2	+2.89	timeout
06-22 21:04	BTC	Sell	64708.8→64428.2	+0.77	timeout
06-22 11:52	BTC	Sell	63915.8→64649.2	-2.77	timeout
06-22 02:46	BTC	Sell	63805.8→64444.2	-2.45	timeout
06-21 17:43	BTC	Sell	64038.8→64087.2	-0.38	timeout
06-21 08:35	BTC	Sell	64325.8→63931.2	+1.19	timeout
06-20 23:34	BTC	Sell	63823.8→64245.2	-1.69	timeout
06-20 14:31	BTC	Sell	63539.8→63356.2	+0.45	timeout
06-20 05:31	BTC	Sell	63569.8→63642.2	-0.46	timeout
06-19 20:29	BTC	Sell	63038.8→63050.2	-0.24	timeout
06-19 11:29	BTC	Sell	62798.9→62641.1	+0.36	timeout
06-19 02:50	BTC	Sell	62916.9→62897.1	-0.14	timeout
06-18 18:49	BTC	Sell	63925.8→62734.1	+3.97	timeout
06-18 09:10	BTC	Sell	64056.8→64317.2	-1.11	timeout
06-18 00:20	BTC	Sell	64616.8→64649.2	-0.31	timeout
06-17 13:43	BTC	Sell	64964.8→65202.3	-1.02	timeout
06-15 16:25	BTC	Buy	66308.3→67173.6	+2.72	timeout
06-14 17:27	BTC	Sell	64462.8→63886.2	+1.82	timeout
06-14 08:15	BTC	Sell	64464.8→64438.2	-0.11	timeout
06-13 22:53	BTC	Sell	63975.8→64470.2	-1.94	timeout
06-13 13:29	BTC	Sell	63785.8→64205.2	-1.68	timeout
06-13 04:31	BTC	Sell	63453.8→63524.2	-0.45	timeout
06-12 19:22	BTC	Sell	63346.8→63668.2	-1.34	timeout
06-12 10:10	BTC	Sell	63534.8→63759.2	-0.99	timeout
06-12 01:08	BTC	Sell	63549.8→63486.2	+0.04	timeout
06-11 16:07	BTC	Sell	63078.8→62767.1	+0.92	timeout
06-11 07:04	BTC	Sell	62204.9→62663.1	-1.85	timeout
06-10 21:54	BTC	Sell	62159.9→61232.1	+3.16	timeout
06-10 12:50	BTC	Sell	61674.9→61734.1	-0.42	timeout
06-09 19:39	BTC	Sell	61410.9→61869.1	-1.87	timeout
06-09 10:32	BTC	Sell	63387.8→62691.1	+2.27	timeout
06-09 01:23	BTC	Sell	63266.8→62813.1	+1.41	timeout
06-08 16:23	BTC	Sell	63617.8→63929.2	-1.30	timeout
06-08 07:17	BTC	Sell	63050.8→63109.2	-0.41	timeout
06-07 22:11	BTC	Sell	62218.9→61880.1	+1.02	timeout
06-07 13:03	BTC	Sell	62395.9→61795.1	+1.97	timeout
06-07 03:19	BTC	Sell	60573→61700.9	-4.39	stop_loss
06-06 18:57	BTC	Sell	60767→60623	+0.33	timeout
06-06 08:28	BTC	Sell	60176→61301.7	-4.41	stop_loss
06-05 20:47	BTC	Sell	60268→61389.7	-4.39	stop_loss
06-05 14:06	BTC	Sell	62472.9→60474	+7.00	take_profit
06-05 07:22	BTC	Sell	62807.9→61781.1	+3.47	timeout
06-04 21:49	BTC	Sell	63713.8→63402.2	+0.90	timeout
06-04 12:44	BTC	Sell	63896.8→63610.2	+0.80	timeout
06-04 01:50	BTC	Sell	64499.8→62441.1	+6.98	take_profit
06-03 23:04	BTC	Sell	66050.7→64680.2	+4.47	timeout
06-03 09:31	BTC	Sell	66333.7→66804.3	-1.79	timeout
06-02 21:26	BTC	Sell	66677.7→67920.3	-4.39	stop_loss
06-02 12:08	BTC	Sell	69944.5→69471.5	+1.33	timeout
06-02 03:07	BTC	Sell	70829.5→70994.5	-0.71	timeout
06-01 04:15	BTC	Sell	73940.3→73577.7	+0.90	timeout
05-31 14:51	BTC	Sell	73918.3→73660.7	+0.58	timeout
05-31 04:43	BTC	Sell	73771.3→74148.7	-1.35	timeout
05-30 14:40	BTC	Sell	73526.3→74016.7	-1.69	timeout
05-29 23:19	BTC	Sell	73860.3→73388.7	+1.23	timeout
05-29 11:39	BTC	Sell	73643.3→73467.7	+0.34	timeout
05-29 02:44	BTC	Sell	73887.3→73309.7	+1.57	timeout
05-28 17:35	BTC	Sell	73446.3→73449.7	-0.20	timeout
05-28 08:22	BTC	Sell	73762.3→73272.7	+1.29	timeout
05-26 16:35	BTC	Buy	77233.9→76590.2	-2.08	timeout
05-26 07:35	BTC	Buy	76639.8→76578.2	-0.38	timeout
05-25 22:34	BTC	Buy	77553.9→77064.1	-1.63	timeout
05-25 13:35	BTC	Buy	77290.9→77287.1	-0.22	timeout
05-25 04:35	BTC	Buy	76952.8→77101.1	+0.23	timeout
05-24 19:35	BTC	Buy	76437.8→76609.2	+0.30	timeout
05-24 10:34	BTC	Buy	76681.8→77147.1	+1.15	timeout
05-24 01:33	BTC	Buy	76208.8→76861.2	+1.72	timeout
05-22 20:37	BTC	Buy	76875.8→75880.2	-3.12	timeout
05-22 11:35	BTC	Sell	77369.1→77280.9	+0.06	timeout
05-21 21:45	BTC	Sell	77044.1→77690.9	-2.08	timeout
05-21 12:45	BTC	Sell	77697.1→77220.9	+1.19	timeout
05-21 03:44	BTC	Sell	77416.1→78001.9	-1.90	timeout
05-20 18:44	BTC	Sell	77024.1→77492.9	-1.56	timeout
05-20 09:44	BTC	Sell	76732.2→77486.9	-2.40	timeout
05-20 00:43	BTC	Sell	76852.2→76642.8	+0.42	timeout
05-19 15:43	BTC	Sell	76781.2→76465.8	+0.73	timeout
05-19 06:43	BTC	Sell	76809.2→77037.9	-0.87	timeout
05-18 21:42	BTC	Sell	76423.2→77042.9	-2.02	timeout
05-18 12:43	BTC	Sell	76915.2→77700.9	-2.49	timeout
05-12 03:43	BTC	Buy	81724.1→81715.9	-0.22	timeout
05-11 23:05	BTC	Buy	81946.1→81715.9	-0.84	timeout
05-11 03:14	BTC	Buy	82060.1→80538.7	-4.38	stop_loss
05-10 20:04	BTC	Buy	81038.1→81359.9	+0.69	timeout
05-10 11:03	BTC	Buy	80682→80945	+0.53	timeout
05-10 02:02	BTC	Buy	80783→80594	-0.73	timeout

Paper vs Live

Paper (trades.jsonl)

closed

45%

win rate

-6.90

total pnl ($)

-3.3 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	97	45%	-3.3	-6.90

Recent bounces (last 20 of 1)

time	sym	side	reason
06-27 13:22	BTC	Sell	circuit_breaker

Postmortem feed (last 10)

time	sym	side	pnl	narrative
05-10 11:03	BTC	Buy	+0.53	The market was in a mild uptrend with BTC gaining 2.52% over 24 hours and positive funding. The thesis failed because the trade was closed by timeout, indicating the expected move did not materialize within the holding period.
05-10 02:02	BTC	Buy	-0.73	The market was in a low-funding, sideways consolidation with no clear directional bias. The thesis failed because the trade was closed due to a timeout, indicating the expected move did not materialize within the allowed timeframe.

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