orderbook_imbalance_breakout · strategy

1532

closed trades

39%

win rate

-858.47

total pnl ($)

0.263

weight

7d window — n=286 wr=42% pnl=-159.29 · venues=(unknown) · horizon=— · SL=— · TP=— · class=? in ?

Backtest evidence run: 2026-06-04 08:08:51 (23.5d ago) · src: canon

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

n: 1494 · wr: 42.4% · total_bps: -6581.0 · mean_bps: -4.40 · sharpe: -0.06 · max_dd_bps: -8439.2

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
06-27 19:30	ATOM	Buy	1.57999→1.56303	-5.81	stop_loss
06-27 19:25	SUI	Buy	0.701125→0.693879	-5.61	stop_loss
06-27 18:53	BTC	Sell	60571→60500	+0.13	timeout
06-27 18:37	BTC	Buy	60517→60524	-0.39	timeout
06-27 18:22	SOL	Sell	72.7241→71.8798	+5.36	timeout
06-27 17:02	SOL	Buy	72.8679→72.1541	-5.36	stop_loss
06-27 17:02	NEAR	Buy	1.92398→1.90397	-5.65	stop_loss
06-27 16:49	AVAX	Buy	6.63326→6.61974	-1.46	timeout
06-27 16:48	BTC	Buy	60749→60780	-0.20	timeout
06-27 15:29	AVAX	Buy	6.57694→6.63434	+3.90	timeout
06-27 15:10	SOL	Sell	72.2692→72.9814	-5.38	stop_loss
06-27 15:01	BTC	Sell	60425→60587	-1.79	timeout
06-27 12:31	SUI	Sell	0.701555→0.699905	+0.72	timeout
06-27 12:30	DOGE	Sell	0.0752872→0.0754068	-1.25	timeout
06-27 12:11	AVAX	Sell	6.53067→6.53363	-0.67	timeout
06-27 09:32	SUI	Sell	0.709213→0.701055	+5.29	timeout
06-27 09:20	AVAX	Sell	6.55636→6.52923	+1.62	timeout
06-27 09:14	BNB	Sell	565.079→564.381	+0.17	timeout
06-27 06:48	SOL	Sell	71.8862→72.2508	-2.98	timeout
06-27 06:35	BNB	Sell	564.989→565.041	-0.49	timeout
06-27 06:30	BTC	Sell	60215→60193	-0.27	timeout
06-27 04:09	SUI	Buy	0.706837→0.709413	+1.37	timeout
06-27 03:46	BTC	Buy	60135→60283	+0.78	timeout
06-27 03:39	AVAX	Buy	6.64286→6.57397	-5.64	stop_loss
06-27 01:31	DOGE	Sell	0.075786→0.0753478	+2.43	timeout
06-27 01:31	SOL	Sell	71.9052→71.6617	+1.24	timeout
06-27 00:56	SOL	Sell	71.7832→71.8038	-0.60	timeout
06-26 22:53	SOL	Buy	72.0648→71.7272	-2.80	timeout
06-26 22:42	TRX	Buy	0.31961→0.32018	+0.44	timeout
06-26 22:25	AVAX	Sell	6.36111→6.35409	+0.11	timeout
06-26 20:23	BTC	Sell	59605→59701	-1.25	timeout
06-26 20:12	AVAX	Sell	6.42379→6.3999	+1.42	timeout
06-26 19:48	BTC	Buy	59980→59835	-1.67	timeout
06-26 18:00	LINK	Buy	7.34103→7.36236	+1.00	timeout
06-26 17:48	BTC	Sell	60165→60054	+0.48	timeout
06-26 17:24	AVAX	Sell	6.4055→6.47165	-5.61	stop_loss
06-26 15:37	BNB	Sell	560.78→566.535	-5.58	stop_loss
06-26 15:24	BTC	Sell	59621→60202.1	-5.32	stop_loss
06-26 15:24	SOL	Sell	70.9933→71.6906	-5.36	stop_loss
06-26 13:54	BTC	Sell	59256→59825.9	-5.26	stop_loss
06-26 13:54	BTC	Buy	58873.9→59752	+7.01	take_profit
06-26 13:51	SUI	Buy	0.673308→0.683109	+6.83	take_profit
06-26 12:33	BTC	Sell	59378→59949	-5.26	stop_loss
06-26 12:22	SOL	Sell	68.6257→68.9003	-2.44	timeout
06-26 11:58	BTC	Sell	59746→59359	+2.79	timeout
06-26 11:12	BTC	Sell	60027→59451	+4.35	timeout
06-26 09:48	SOL	Buy	69.9275→69.241	-5.36	stop_loss
06-26 09:10	BTC	Sell	60699→60061	+4.81	timeout
06-26 08:35	DOGE	Sell	0.0748043→0.0743406	+2.66	timeout
06-26 08:06	BTC	Buy	60028→60298	+1.80	timeout
06-26 06:46	LINK	Buy	7.16629→7.27078	+6.84	take_profit
06-26 06:05	TRX	Buy	0.32203→0.32133	-1.54	timeout
06-26 05:40	BTC	Buy	59945→59912	-0.72	timeout
06-26 05:30	AVAX	Sell	6.12267→6.11623	+0.07	timeout
06-26 03:45	LINK	Buy	7.07287→7.14791	+4.85	timeout
06-26 03:13	BNB	Sell	552.352→557.898	-5.47	stop_loss
06-26 03:12	OP	Buy	0.101475→0.103014	+7.13	take_profit
06-26 02:21	BTC	Sell	59266→58377.9	+7.04	take_profit
06-26 02:16	BTC	Sell	59477→58588.9	+7.01	take_profit
06-26 01:30	SOL	Buy	67.7652→67.1709	-4.84	timeout
06-26 01:29	SOL	Buy	67.8832→67.2093	-5.42	stop_loss
06-26 00:35	TRX	Buy	0.323801→0.323539	-0.85	timeout
06-26 00:08	BTC	Sell	59832→59807	-0.24	timeout
06-25 23:29	DOGE	Sell	0.0748113→0.0751308	-2.58	timeout
06-25 22:35	BTC	Buy	59479→59757	+1.89	timeout
06-25 22:12	SUI	Buy	0.673878→0.6799	+4.01	timeout
06-25 21:38	NEAR	Sell	1.82314→1.84158	-5.50	stop_loss
06-25 20:46	ATOM	Buy	1.5844→1.5912	+1.70	timeout
06-25 20:26	SOL	Sell	66.1401→66.7934	-5.39	stop_loss
06-25 20:01	AVAX	Sell	6.07878→6.1403	-5.52	stop_loss
06-25 19:09	BNB	Sell	558.93→554.239	+3.76	timeout
06-25 19:04	BTC	Sell	59502→59398	+0.42	timeout
06-25 18:41	SOL	Buy	66.378→65.9881	-3.38	timeout
06-25 17:22	DOGE	Sell	0.0741994→0.0749462	-5.48	stop_loss
06-25 17:13	AVAX	Sell	6.13197→6.19484	-5.59	stop_loss
06-25 16:45	SOL	Sell	66.62→65.6258	+7.01	take_profit
06-25 16:45	APT	Buy	0.592348→0.58566	-6.09	stop_loss
06-25 16:10	BTC	Sell	59461→60033	-5.26	stop_loss
06-25 16:09	BNB	Sell	550.992→556.617	-5.56	stop_loss
06-25 16:06	ARB	Sell	0.0728318→0.0735751	-5.56	stop_loss
06-25 15:14	DOT	Buy	0.849752→0.840689	-5.78	stop_loss
06-25 15:02	BTC	Buy	59736→59162.4	-5.25	stop_loss
06-25 14:33	SOL	Buy	65.6508→66.64	+7.08	take_profit
06-25 14:33	ETH	Sell	1558.44→1573.64	-5.33	stop_loss
06-25 13:58	ETH	Buy	1552.96→1537.58	-5.40	stop_loss
06-25 13:39	SOL	Buy	68.0432→67.3752	-5.36	stop_loss
06-25 13:38	BTC	Buy	61335.1→60742.6	-5.28	stop_loss
06-25 12:57	BTC	Sell	61256.9→61157.1	+0.36	timeout
06-25 11:56	BTC	Buy	61567.1→61198.9	-3.44	timeout
06-25 11:33	ARB	Sell	0.0768208→0.076159	+3.85	timeout
06-25 10:38	SOL	Sell	69.0086→68.4853	+3.35	timeout
06-25 09:38	SUI	Buy	0.698645→0.697086	-1.57	timeout
06-25 09:16	BNB	Sell	570.267→569.732	+0.03	timeout
06-25 08:18	BTC	Sell	61742.9→61726.1	-0.31	timeout
06-25 07:17	DOT	Buy	0.893193→0.890347	-2.04	timeout
06-25 07:02	ETH	Buy	1650.06→1651.13	-0.13	timeout
06-25 06:13	BTC	Buy	60910→61702.9	+6.06	timeout
06-25 05:08	SOL	Buy	67.9202→68.9197	+6.91	take_profit
06-25 04:53	SOL	Sell	67.5999→68.2643	-5.37	stop_loss
06-25 04:07	AVAX	Sell	6.4164→6.4121	-0.12	timeout

Paper vs Live

Paper (trades.jsonl)

1532

closed

39%

win rate

-858.47

total pnl ($)

-11.6 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	489	42%	-7.6	-184.22
SOL	251	40%	-10.3	-128.91
LINK	123	41%	-11.8	-71.98
SUI	111	46%	-5.2	-27.60
ARB	90	29%	-24.6	-94.59
NEAR	85	21%	-39.1	-139.01
DOGE	76	41%	-4.7	-17.39
BNB	61	36%	-17.5	-50.74
AVAX	54	48%	-6.9	-18.82
ETH	47	34%	-9.8	-21.61
APT	32	34%	-19.7	-27.58
OP	31	35%	-9.4	-11.68
DOT	19	16%	-43.8	-32.89
TRX	15	53%	-14.6	-10.92
LTC	12	50%	-3.8	-2.30
ATOM	11	55%	+2.0	+0.98
BCH	11	18%	-44.3	-22.17
XRP	8	12%	-49.2	-19.67
ADA	6	67%	+90.5	+22.62

Recent bounces (last 20 of 13)

time	sym	side	reason
06-27 19:37	BTC	Buy	circuit_breaker
06-27 19:37	SOL	Sell	circuit_breaker
06-27 19:02	SUI	Buy	circuit_breaker
06-27 17:23	BTC	Sell	circuit_breaker
06-27 17:12	BTC	Buy	circuit_breaker
06-27 17:01	NEAR	Buy	circuit_breaker
06-27 17:01	SOL	Sell	circuit_breaker
06-27 15:20	AVAX	Buy	circuit_breaker
06-27 15:20	BTC	Buy	circuit_breaker
06-27 13:32	BTC	Sell	circuit_breaker
06-27 11:10	SUI	Sell	circuit_breaker
06-27 11:10	DOGE	Sell	circuit_breaker
06-27 10:45	AVAX	Sell	circuit_breaker

Postmortem feed (last 10)

time	sym	side	pnl	narrative
no postmortems

More…