A-S MM backtest: 4 assets with FIFO round-trip PnL

Browse Source

Results on real 5m candle data (7 days):
  BTC: +0.65% PnL | 506 matched | 72% win | 1044 fills
  ETH: 0.00% PnL | 505 matched | 57% win
  HYPE: 0.00% PnL | 510 matched | 61% win
  VVV: 0.00% PnL | 512 matched | 42% win

Side-selection via reservation price reduces adverse fills.
BTC shows clear edge: spreads are wider in absolute terms.

...

This commit is contained in:

ramseshk

2026-08-06 08:11:46 +00:00

parent f9bed72b1c

commit 74113ab624

6 changed files with 6 additions and 0 deletions

Show all changes Ignore whitespace when comparing lines Ignore changes in amount of whitespace Ignore changes in whitespace at EOL

Download Patch File Download Diff File Expand all files Collapse all files

backtests/results/historical/as_mm_BTC_20260806-081121.json

+1

File diff suppressed because one or more lines are too long