orderbook_imbalance_momentum_long · strategy

210

closed trades

36%

win rate

-114.73

total pnl ($)

1.225

weight

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

Backtest evidence run: 2026-06-03 16:58:10 (23.9d ago) · src: canon

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

n: 1137 · wr: 36.4% · total_bps: -12821.1 · mean_bps: -11.28 · sharpe: -0.30 · max_dd_bps: -12821.1

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 06:02	BTC	Buy	73438.3→73336.7	-1.14	timeout
06-01 04:51	BTC	Buy	73855.3→73448.7	-3.20	timeout
06-01 03:27	BTC	Buy	73464.3→73909.7	+2.58	timeout
06-01 02:27	BTC	Buy	73616.3→73497.7	-1.26	timeout
06-01 00:53	BTC	Buy	73657.3→73980.7	+1.75	timeout
05-31 23:04	BTC	Buy	73675.3→74138.7	+2.70	timeout
05-31 21:57	BTC	Buy	73738.3→73878.7	+0.50	timeout
05-31 20:57	BTC	Buy	73546.3→73747.7	+0.92	timeout
05-31 19:54	BTC	Buy	73583.3→73517.7	-0.90	timeout
05-31 18:35	BTC	Buy	73646.3→73644.7	-0.46	timeout
05-31 17:17	BTC	Buy	73591.3→73531.7	-0.86	timeout
05-31 16:33	BTC	Buy	73697.3→73413.7	-2.38	timeout
05-31 15:51	BTC	Buy	73649.3→73634.7	-0.55	timeout
05-31 15:00	BTC	Buy	73815.3→73601.7	-1.90	timeout
05-31 14:19	BTC	Buy	73942.3→73535.7	-3.20	timeout
05-31 13:35	BTC	Buy	73887.3→73934.7	-0.13	timeout
05-31 12:57	BTC	Buy	73923.3→73886.7	-0.70	timeout
05-31 12:12	BTC	Buy	73873.3→73870.7	-0.47	timeout
05-31 10:48	BTC	Buy	73950.3→73780.7	-1.60	timeout
05-31 10:10	BTC	Buy	73883.3→73831.7	-0.81	timeout
05-31 09:11	BTC	Buy	73844.3→73890.7	-0.14	timeout
05-31 08:39	BTC	Buy	73841.3→73859.7	-0.33	timeout
05-31 07:48	BTC	Buy	74034.3→73854.7	-1.67	timeout
05-31 07:17	BTC	Buy	73972.3→73925.7	-0.77	timeout
05-31 05:21	BTC	Buy	74149.3→74154.7	-0.42	timeout
05-31 04:09	BTC	Buy	74042.3→74114.7	+0.04	timeout
05-31 02:40	BTC	Buy	74062.3→73915.7	-1.44	timeout
05-31 01:58	BTC	Buy	73992.3→74027.7	-0.21	timeout
05-31 01:23	BTC	Buy	73898.3→74189.7	+1.52	timeout
05-30 22:24	BTC	Buy	73952.3→73834.7	-1.25	timeout
05-30 21:18	BTC	Buy	73927.3→73964.7	-0.20	timeout
05-30 20:45	BTC	Buy	73984.3→73895.7	-1.05	timeout
05-30 19:26	BTC	Buy	73952.3→73989.7	-0.20	timeout
05-30 18:46	BTC	Buy	73948.3→74018.7	+0.02	timeout
05-30 16:19	BTC	Buy	73896.3→73877.7	-0.58	timeout
05-30 15:48	BTC	Buy	73977.3→73881.7	-1.10	timeout
05-30 15:16	BTC	Buy	73871.3→73991.7	+0.36	timeout
05-30 14:44	BTC	Buy	73718.3→73968.7	+1.24	timeout
05-30 13:56	BTC	Buy	73637.3→73808.7	+0.71	timeout
05-30 12:58	BTC	Buy	73561.3→73677.7	+0.34	timeout
05-30 12:25	BTC	Buy	73554.3→73624.7	+0.03	timeout
05-30 11:51	BTC	Buy	73617.3→73559.7	-0.84	timeout
05-30 10:08	BTC	Buy	73486.3→73607.7	+0.37	timeout
05-30 07:42	BTC	Buy	73601.3→73462.7	-1.39	timeout
05-30 04:38	BTC	Buy	73563.3→73228.7	-2.73	timeout
05-30 00:50	BTC	Buy	73396.3→73498.7	+0.25	timeout
05-30 00:05	BTC	Buy	73436.3→73415.7	-0.59	timeout
05-29 23:17	BTC	Buy	73407.3→73367.7	-0.72	timeout
05-29 22:05	BTC	Buy	73670.3→73367.7	-2.51	timeout
05-29 20:26	BTC	Buy	73295.3→73694.7	+2.27	timeout
05-29 18:32	BTC	Buy	74232.3→73797.7	-3.38	timeout
05-29 17:58	BTC	Buy	73996.3→73949.7	-0.77	timeout
05-29 17:23	BTC	Buy	73673.3→74215.7	+3.23	timeout
05-29 16:40	BTC	Buy	74085.3→74040.7	-0.75	timeout
05-29 15:55	BTC	Buy	72922.4→73727.7	+5.07	timeout
05-29 12:29	BTC	Buy	73529.3→73290.7	-2.07	timeout
05-29 11:32	BTC	Buy	73554.3→73489.7	-0.89	timeout
05-29 10:41	BTC	Buy	73807.3→73612.7	-1.77	timeout
05-29 09:57	BTC	Buy	73615.3→73700.7	+0.13	timeout
05-29 09:15	BTC	Buy	73676.3→73784.7	+0.28	timeout
05-29 08:07	BTC	Buy	73739.3→73632.7	-1.17	timeout
05-29 04:40	BTC	Buy	73296.3→73394.7	+0.22	timeout
05-29 04:05	BTC	Buy	73264.3→73325.7	-0.04	timeout
05-29 03:27	BTC	Buy	73408.3→73369.7	-0.72	timeout
05-29 02:53	BTC	Buy	73473.3→73278.7	-1.78	timeout
05-29 02:18	BTC	Buy	73739.3→73598.7	-1.41	timeout
05-29 01:29	BTC	Buy	73748.3→73587.7	-1.55	timeout
05-29 00:55	BTC	Buy	73544.3→73669.7	+0.40	timeout
05-29 00:24	BTC	Buy	73563.3→73822.7	+1.31	timeout
05-28 23:44	BTC	Buy	73477.3→73569.7	+0.17	timeout
05-28 23:11	BTC	Buy	73703.3→73556.7	-1.45	timeout
05-28 22:33	BTC	Buy	73679.3→73557.7	-1.28	timeout
05-28 21:46	BTC	Buy	73620.3→73817.7	+0.88	timeout
05-28 20:55	BTC	Buy	73465.3→73625.7	+0.64	timeout
05-28 20:23	BTC	Buy	73466.3→73616.7	+0.57	timeout
05-28 19:46	BTC	Buy	73542.3→73444.7	-1.12	timeout
05-28 19:14	BTC	Buy	73598.3→73436.7	-1.55	timeout
05-28 18:38	BTC	Buy	73446.3→73576.7	+0.43	timeout
05-28 17:53	BTC	Buy	73379.3→73516.7	+0.48	timeout
05-28 17:18	BTC	Buy	73140.3→73382.7	+1.20	timeout
05-28 16:27	BTC	Buy	72887.4→73223.7	+1.85	timeout
05-28 15:49	BTC	Buy	72765.4→72930.6	+0.68	timeout
05-28 15:16	BTC	Buy	73378.3→72807.6	-4.34	timeout
05-28 14:35	BTC	Buy	72887.4→72898.6	-0.38	timeout
05-28 13:44	BTC	Buy	73466.3→72754.6	-5.30	timeout
05-28 13:07	BTC	Buy	73465.3→73373.7	-1.08	timeout
05-28 12:24	BTC	Buy	73380.3→73233.7	-1.45	timeout
05-28 11:40	BTC	Buy	73446.3→73368.7	-0.98	timeout
05-28 11:07	BTC	Buy	73514.3→73383.7	-1.34	timeout
05-28 10:16	BTC	Buy	73271.3→73539.7	+1.38	timeout
05-28 09:37	BTC	Buy	73235.3→73426.7	+0.86	timeout
05-28 08:51	BTC	Buy	73352.3→73332.7	-0.58	timeout
05-28 08:15	BTC	Buy	73190.3→73400.7	+0.99	timeout
05-28 07:41	BTC	Buy	72778.4→73383.7	+3.71	timeout
05-28 07:07	BTC	Buy	72948.4→73171.7	+1.08	timeout
05-28 06:29	BTC	Buy	72919.4→72901.6	-0.57	timeout
05-28 05:57	BTC	Buy	73131.3→72991.6	-1.41	timeout
05-28 05:20	BTC	Buy	72938.4→72945.6	-0.40	timeout
05-28 04:47	BTC	Buy	73495.3→73140.7	-2.86	timeout
05-28 03:56	BTC	Buy	74177.3→73107.2	-7.66	stop_loss

Paper vs Live

Paper (trades.jsonl)

210

closed

36%

win rate

-114.73

total pnl ($)

-10.9 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	210	36%	-10.9	-114.73

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…