perp_perp_basis_volatility_spike_fade · strategy

910

closed trades

43%

win rate

-536.34

total pnl ($)

0.343

weight

7d window — n=121 wr=37% pnl=-146.56 · venues=(unknown) · horizon=— · SL=— · TP=— · class=? in ?

Backtest evidence run: 2026-05-18 23:47:09 (39.3d ago) · src: canon

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

n: 281 · wr: 34.9% · total_bps: -4288.1 · mean_bps: -15.26 · sharpe: -0.25 · max_dd_bps: -4686.7

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
06-27 03:23	LINK	Sell	7.35246→7.38054	-2.38	timeout
06-27 02:27	NEAR	Sell	1.79505→1.82137	-7.78	stop_loss
06-27 02:15	SUI	Sell	0.697915→0.70773	-7.47	stop_loss
06-27 02:06	APT	Buy	0.59905→0.596951	-2.22	timeout
06-26 21:15	LINK	Sell	7.36616→7.30573	+3.66	timeout
06-26 21:05	NEAR	Buy	1.81175→1.78596	-7.58	stop_loss
06-26 20:43	SUI	Buy	0.697694→0.696056	-1.64	timeout
06-26 19:51	APT	Buy	0.607652→0.604849	-2.74	timeout
06-26 15:32	NEAR	Sell	1.78745→1.81266	-7.48	stop_loss
06-26 14:00	SUI	Buy	0.677039→0.691867	+10.49	take_profit
06-26 13:58	UNI	Sell	2.85829→2.89837	-7.46	stop_loss
06-26 13:19	APT	Buy	0.585546→0.577067	-7.68	stop_loss
06-26 11:37	AVAX	Sell	6.23714→6.14073	+7.27	timeout
06-26 09:36	AAVE	Sell	85.4786→86.683	-7.49	stop_loss
06-26 07:11	APT	Buy	0.588847→0.60155	+10.33	take_profit
06-26 06:47	NEAR	Buy	1.82306→1.86283	+10.46	take_profit
06-26 06:39	SUI	Sell	0.68117→0.691018	-7.67	stop_loss
06-26 06:15	BNB	Sell	556.881→559.14	-2.46	timeout
06-26 02:12	UNI	Sell	2.86978→2.808	+10.31	take_profit
06-26 02:12	SOL	Sell	68.1008→66.61	+10.50	take_profit
06-26 02:02	SUI	Buy	0.68046→0.674441	-4.87	timeout
06-26 00:57	NEAR	Buy	1.83486→1.80904	-7.49	stop_loss
06-25 23:24	BNB	Sell	554.951→562.732	-7.44	stop_loss
06-25 21:59	LINK	Sell	7.1821→7.28396	-7.53	stop_loss
06-25 21:50	UNI	Buy	2.83901→2.87948	+6.68	timeout
06-25 21:13	LTC	Buy	40.8702→40.8638	-0.55	timeout
06-25 19:21	NEAR	Buy	1.85826→1.83173	-7.60	stop_loss
06-25 18:47	SUI	Buy	0.68046→0.670907	-7.47	stop_loss
06-25 17:15	APT	Buy	0.584746→0.597551	+10.51	take_profit
06-25 13:46	DOGE	Sell	0.07595→0.0742816	+10.53	take_profit
06-25 13:44	SUI	Buy	0.690973→0.681249	-7.48	stop_loss
06-25 13:42	XRP	Buy	1.07367→1.05861	-7.46	stop_loss
06-25 13:40	APT	Buy	0.626357→0.617237	-7.72	stop_loss
06-25 09:24	XRP	Buy	1.08797→1.08083	-3.73	timeout
06-25 09:19	DOGE	Buy	0.0773813→0.0770067	-2.87	timeout
06-25 09:10	SUI	Buy	0.693663→0.696276	+1.42	timeout
06-25 08:25	APT	Buy	0.632058→0.635841	+2.54	timeout
06-25 02:58	BTC	Buy	61067.1→60719	-3.30	timeout
06-25 02:50	XRP	Buy	1.07307→1.06903	-2.32	timeout
06-25 01:53	APT	Buy	0.630458→0.626543	-3.55	timeout
06-25 01:03	SUI	Buy	0.686762→0.677142	-7.44	stop_loss
06-24 20:06	LTC	Sell	40.003→40.5774	-7.64	stop_loss
06-24 20:01	BTC	Sell	59410→60220.1	-7.28	stop_loss
06-24 20:01	AAVE	Sell	74.6633→75.7438	-7.69	stop_loss
06-24 20:01	UNI	Sell	2.7962→2.83663	-7.68	stop_loss
06-24 17:21	APT	Buy	0.59865→0.589957	-7.70	stop_loss
06-24 16:51	DOGE	Buy	0.0754609→0.0744012	-7.47	stop_loss
06-24 16:47	UNI	Sell	2.86348→2.8007	+10.51	take_profit
06-24 15:47	LTC	Sell	41.6246→40.7242	+10.37	take_profit
06-24 13:12	DOGE	Buy	0.0786567→0.0775288	-7.61	stop_loss
06-24 13:08	APT	Buy	0.64156→0.632525	-7.49	stop_loss
06-24 10:55	LTC	Buy	42.0515→41.8765	-2.53	timeout
06-24 10:05	AAVE	Sell	71.6771→72.7175	-7.71	stop_loss
06-24 08:44	APT	Buy	0.646061→0.648138	+1.15	timeout
06-24 08:16	DOGE	Sell	0.0791782→0.0789667	+0.88	timeout
06-24 05:37	AAVE	Buy	71.911→72.128	+1.06	timeout
06-24 04:07	LTC	Buy	42.2246→41.6328	-7.45	stop_loss
06-24 02:08	APT	Buy	0.645961→0.648938	+1.86	timeout
06-24 01:42	DOGE	Sell	0.0787763→0.0795639	-5.45	timeout
06-23 23:51	UNI	Buy	2.91283→2.91977	+0.74	timeout
06-23 21:54	LTC	Buy	41.9755→41.9285	-1.00	timeout
06-23 19:25	APT	Buy	0.634959→0.634941	-0.48	timeout
06-23 18:54	DOGE	Buy	0.0785826→0.0785813	-0.42	timeout
06-23 18:28	BNB	Buy	573.203→574.636	+0.83	timeout
06-23 16:18	NEAR	Sell	1.9928→1.9908	+0.06	timeout
06-23 14:37	AAVE	Sell	72.181→73.2449	-7.82	stop_loss
06-23 13:27	AVAX	Buy	6.19905→6.25054	+3.71	timeout
06-23 13:12	APT	Buy	0.629057→0.629243	-0.30	timeout
06-23 11:41	UNI	Buy	2.83291→2.88248	+8.30	timeout
06-23 10:48	SUI	Buy	0.683631→0.698565	+10.48	take_profit
06-23 08:28	NEAR	Buy	1.9916→1.96373	-7.45	stop_loss
06-23 08:24	LINK	Sell	7.65838→7.47247	+11.67	take_profit
06-23 06:20	APT	Buy	0.650163→0.641019	-7.48	stop_loss
06-23 06:08	DOGE	Buy	0.0814924→0.0803427	-7.50	stop_loss
06-23 05:13	NEAR	Buy	2.04071→2.03389	-2.14	timeout
06-23 02:13	ETH	Buy	1724.57→1727.63	+0.44	timeout
06-23 01:33	LINK	Buy	7.86096→7.91042	+2.69	timeout
06-23 01:17	DOGE	Buy	0.0827117→0.0824904	-1.77	timeout
06-22 23:26	APT	Sell	0.652637→0.662397	-7.92	stop_loss
06-22 20:18	XRP	Buy	1.13688→1.13252	-2.35	timeout
06-22 20:18	SUI	Buy	0.72081→0.726208	+3.32	timeout
06-22 19:46	ETH	Buy	1734.47→1731.93	-1.18	timeout
06-22 18:56	DOGE	Sell	0.0834791→0.0828617	+3.26	timeout
06-22 14:43	ETH	Buy	1762.98→1755.82	-2.47	timeout
06-22 14:33	AAVE	Sell	76.6598→74.9937	+10.42	take_profit
06-22 14:32	SOL	Buy	74.4632→73.4362	-7.35	stop_loss
06-22 13:56	DOGE	Buy	0.0836249→0.0848888	+7.10	timeout
06-22 11:42	AAVE	Buy	75.6279→76.5799	+5.84	timeout
06-22 11:31	NEAR	Sell	2.15326→2.14744	+0.91	timeout
06-22 08:05	DOGE	Buy	0.0832138→0.0833212	+0.20	timeout
06-22 05:53	SOL	Buy	73.8051→73.8399	-0.23	timeout
06-22 03:49	BNB	Sell	587.493→590.878	-3.32	timeout
06-22 03:46	NEAR	Buy	2.17724→2.14679	-7.44	stop_loss
06-22 01:02	AAVE	Buy	74.4626→76.064	+10.30	take_profit
06-21 21:23	BNB	Sell	589.093→587.647	+0.77	timeout
06-21 21:09	LINK	Buy	7.88417→7.77187	-7.57	stop_loss
06-21 20:54	AAVE	Buy	74.3136→74.2064	-1.17	timeout
06-21 20:47	NEAR	Buy	2.18135→2.15059	-7.50	stop_loss
06-21 18:03	LINK	Buy	7.9828→7.90482	-5.35	timeout
06-21 15:18	BNB	Buy	585.816→589.523	+2.69	timeout

Paper vs Live

Paper (trades.jsonl)

910

closed

43%

win rate

-536.34

total pnl ($)

-11.8 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 ($)
ETH	91	42%	-3.9	-17.84
BTC	88	47%	-1.9	-8.40
BNB	86	48%	-1.6	-7.02
LTC	84	37%	-12.3	-52.13
SOL	79	43%	-21.6	-85.69
UNI	65	51%	+0.0	+0.09
LINK	63	40%	-11.2	-35.60
SUI	59	54%	+0.6	+1.72
NEAR	48	40%	-27.7	-66.59
AAVE	47	45%	-16.2	-37.99
AVAX	44	45%	-13.5	-29.78
DOGE	44	34%	-27.1	-59.63
XRP	42	36%	-21.6	-45.36
INJ	26	46%	+6.9	+8.78
ADA	22	27%	-50.2	-55.28
APT	16	31%	-36.2	-28.91
FIL	5	20%	-82.7	-20.68
ATOM	1	100%	+80.0	+3.98

Recent bounces (last 20 of 26)

time	sym	side	reason
06-27 06:59	NEAR	Buy	trigger_already_opened
06-27 06:41	LINK	Sell	trigger_already_opened
06-27 06:11	SUI	Buy	trigger_already_opened
06-27 00:53	NEAR	Sell	trigger_already_opened
06-27 00:37	LINK	Sell	trigger_already_opened
06-27 00:10	SUI	Sell	stale_intent
06-26 18:52	NEAR	Buy	stale_intent
06-26 18:31	LINK	Sell	stale_intent
06-26 17:58	SUI	Buy	trigger_already_opened
06-26 13:54	UNI	Sell	trigger_already_opened
06-26 12:17	SUI	Buy	stale_intent
06-26 08:22	AAVE	Sell	trigger_already_opened
06-26 06:37	NEAR	Buy	trigger_already_opened
06-25 23:53	NEAR	Buy	below_min_notional_skip
06-25 18:18	LTC	Buy	below_min_notional_skip
06-25 12:40	SUI	Buy	below_min_notional_skip
06-25 06:24	DOGE	Buy	below_min_notional_skip
06-24 23:40	SUI	Buy	below_min_notional_skip
06-24 17:06	APT	Buy	below_min_notional_skip
06-24 16:45	DOGE	Buy	below_min_notional_skip

Postmortem feed (last 10)

time	sym	side	pnl	narrative
05-10 08:06	ETH	Buy	-1.01	The market was in a mild uptrend with ETH and BTC both showing positive hourly and daily gains, while funding rates remained low. The thesis failed because the trade was closed due to a timeout, likely indicating the expected move did not materialize within…
05-10 08:06	BTC	Sell	-0.28	The market was in a mild uptrend with BTC up 2.47% over 24 hours and positive short-term momentum. The sell thesis failed because the trade expired without a favorable entry, as the timeout prevented capturing any potential downside.
05-10 02:04	ETH	Sell	+1.70	The market was in a neutral range with low funding and stable open interest, offering no clear directional bias. The thesis failed because the trade expired without reaching a target or stop, as the lack of volatility prevented any meaningful move.
05-10 02:04	BTC	Sell	+0.66	The market was in a low-funding, sideways consolidation with moderate open interest, offering no clear directional bias. The thesis failed because the trade expired via timeout without hitting any target or stop, as the lack of volatility prevented the shor…
05-09 20:05	BTC	Buy	+1.06	The market was in a low-volatility, sideways regime with neutral funding and stable open interest. The thesis failed because the trade was closed by timeout without reaching target or stop, indicating the expected directional move did not materialize within…
05-09 20:03	ETH	Buy	+1.96	The market was in a mild downtrend over the past week with low volatility, as ETH traded near $2258 with minimal hourly movement. The thesis failed because the trade was closed due to a timeout, indicating the expected directional move did not materialize w…
05-09 14:03	ETH	Sell	-0.80	ETH was trading in a mild downtrend with negative 24h and 7d performance, while funding remained slightly positive. The thesis failed because the timeout close captured a small loss in a sideways-to-bearish regime where the short lacked sufficient momentum …
05-09 14:02	BTC	Buy	+0.33	BTC traded in a narrow, low-volatility range with slight bearish bias over the 1h/24h/7d periods. The thesis failed because the trade was closed by timeout, indicating the expected directional move did not materialize within the allowed time window.
05-09 08:03	BTC	Sell	-0.14	BTC was in a tight intraday consolidation with low volatility and slightly negative weekly momentum. The short thesis failed because the timeout closed the trade before any directional move materialized, capturing only negligible funding cost.
05-09 08:01	ETH	Sell	-0.95	The market was in a mild downtrend with ETH losing 1.86% over 24 hours and 3.16% over 7 days, while funding remained slightly positive. The thesis failed because the trade was closed by timeout before the expected move materialized, likely due to insufficie…

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