rams/ftdt-quant-lab
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
162c535c7ca28c6fdd7ec607a8b3f0d487d12d76
ftdt-quant-lab/backtests/results/historical/kalman_pairs_ETH_20260805-073152.json
T
ramseshk f7f47b5484 Fix Kalman Pairs historical backtest: real BTC/ETH pair data 
Root cause: Kalman filter needs a cointegrated pair, but the
historical runner was feeding it synthetic noise (close vs SMA).
The Kalman filter found no mean-reverting spread, producing 0 signals.

Fix: Intercept kalman_pairs in main(), fetch real ETH candles,
run the full backtest_kalman_pairs() with BTC/ETH or X/ETH data.

Results (30-day, 720h candles, BTC/ETH pair):
  BTC: 35 trades, -0.36% PnL
  ETH: 34 trades, -0.01% PnL  (ETH/BTC pair)
  HYPE: 27 trades, -0.00% PnL (HYPE/BTC pair)
  VVV: 33 trades, -0.01% PnL  (VVV/BTC pair)

Total: 32 historical backtests (8 strategies x 4 coins)
2026-08-05 07:32:41 +00:00

3391 lines
46 KiB
JSON
Raw Blame History

{
"strategy": "Kalman Pairs",
"strategy_key": "kalman_pairs",
"coin": "ETH",
"allocation": 100.0,
"start_time": "0",
"end_time": "720",
"start_equity": 100.0,
"end_equity": 9999.2478,
"pnl": -0.7522,
"pnl_pct": -0.01,
"pnl_gross": 0.1225,
"pnl_gross_pct": -0.01,
"fees_total": 0.8747,
"fee_tier": 0,
"staking_tier": "none",
"fee_model": "taker",
"sharpe": -0.4348,
"sortino": -0.224,
"max_dd": 0.0002,
"max_dd_pct": 0.02,
"win_rate": 0.0,
"total_trades": 34,
"equity_curve": [
{
"t": 0,
"v": 10000.0
},
{
"t": 1,
"v": 10000.0
},
{
"t": 2,
"v": 10000.0
},
{
"t": 3,
"v": 10000.0
},
{
"t": 4,
"v": 10000.0
},
{
"t": 5,
"v": 10000.0
},
{
"t": 6,
"v": 10000.0
},
{
"t": 7,
"v": 10000.0
},
{
"t": 8,
"v": 10000.0
},
{
"t": 9,
"v": 10000.0
},
{
"t": 10,
"v": 10000.0
},
{
"t": 11,
"v": 10000.0
},
{
"t": 12,
"v": 10000.0
},
{
"t": 13,
"v": 10000.0
},
{
"t": 14,
"v": 10000.0
},
{
"t": 15,
"v": 10000.0
},
{
"t": 16,
"v": 10000.0
},
{
"t": 17,
"v": 10000.0
},
{
"t": 18,
"v": 10000.0
},
{
"t": 19,
"v": 10000.0
},
{
"t": 20,
"v": 10000.0
},
{
"t": 21,
"v": 10000.0
},
{
"t": 22,
"v": 10000.0
},
{
"t": 23,
"v": 10000.0
},
{
"t": 24,
"v": 10000.0
},
{
"t": 25,
"v": 10000.0
},
{
"t": 26,
"v": 10000.0
},
{
"t": 27,
"v": 10000.0
},
{
"t": 28,
"v": 10000.0
},
{
"t": 29,
"v": 10000.0
},
{
"t": 30,
"v": 10000.0
},
{
"t": 31,
"v": 9999.9871
},
{
"t": 32,
"v": 9999.7478
},
{
"t": 33,
"v": 9999.7478
},
{
"t": 34,
"v": 9999.7478
},
{
"t": 35,
"v": 9999.735
},
{
"t": 36,
"v": 9999.8225
},
{
"t": 37,
"v": 9999.8225
},
{
"t": 38,
"v": 9999.8225
},
{
"t": 39,
"v": 9999.8225
},
{
"t": 40,
"v": 9999.8225
},
{
"t": 41,
"v": 9999.8225
},
{
"t": 42,
"v": 9999.8096
},
{
"t": 43,
"v": 9999.8233
},
{
"t": 44,
"v": 9999.8233
},
{
"t": 45,
"v": 9999.8233
},
{
"t": 46,
"v": 9999.8233
},
{
"t": 47,
"v": 9999.8233
},
{
"t": 48,
"v": 9999.8233
},
{
"t": 49,
"v": 9999.8233
},
{
"t": 50,
"v": 9999.8233
},
{
"t": 51,
"v": 9999.8233
},
{
"t": 52,
"v": 9999.8233
},
{
"t": 53,
"v": 9999.8233
},
{
"t": 54,
"v": 9999.8233
},
{
"t": 55,
"v": 9999.8105
},
{
"t": 56,
"v": 9999.6167
},
{
"t": 57,
"v": 9999.6167
},
{
"t": 58,
"v": 9999.6167
},
{
"t": 59,
"v": 9999.6167
},
{
"t": 60,
"v": 9999.6167
},
{
"t": 61,
"v": 9999.6167
},
{
"t": 62,
"v": 9999.6167
},
{
"t": 63,
"v": 9999.6167
},
{
"t": 64,
"v": 9999.6167
},
{
"t": 65,
"v": 9999.6167
},
{
"t": 66,
"v": 9999.6167
},
{
"t": 67,
"v": 9999.6167
},
{
"t": 68,
"v": 9999.6167
},
{
"t": 69,
"v": 9999.6167
},
{
"t": 70,
"v": 9999.6167
},
{
"t": 71,
"v": 9999.6167
},
{
"t": 72,
"v": 9999.6167
},
{
"t": 73,
"v": 9999.6167
},
{
"t": 74,
"v": 9999.6167
},
{
"t": 75,
"v": 9999.6167
},
{
"t": 76,
"v": 9999.6167
},
{
"t": 77,
"v": 9999.6167
},
{
"t": 78,
"v": 9999.6167
},
{
"t": 79,
"v": 9999.6167
},
{
"t": 80,
"v": 9999.6167
},
{
"t": 81,
"v": 9999.6167
},
{
"t": 82,
"v": 9999.6167
},
{
"t": 83,
"v": 9999.6167
},
{
"t": 84,
"v": 9999.6167
},
{
"t": 85,
"v": 9999.6167
},
{
"t": 86,
"v": 9999.6167
},
{
"t": 87,
"v": 9999.6167
},
{
"t": 88,
"v": 9999.6167
},
{
"t": 89,
"v": 9999.6167
},
{
"t": 90,
"v": 9999.6038
},
{
"t": 91,
"v": 9999.4398
},
{
"t": 92,
"v": 9999.4398
},
{
"t": 93,
"v": 9999.4398
},
{
"t": 94,
"v": 9999.4398
},
{
"t": 95,
"v": 9999.4398
},
{
"t": 96,
"v": 9999.4398
},
{
"t": 97,
"v": 9999.4398
},
{
"t": 98,
"v": 9999.4398
},
{
"t": 99,
"v": 9999.4398
},
{
"t": 100,
"v": 9999.4398
},
{
"t": 101,
"v": 9999.4398
},
{
"t": 102,
"v": 9999.4398
},
{
"t": 103,
"v": 9999.4398
},
{
"t": 104,
"v": 9999.4398
},
{
"t": 105,
"v": 9999.4398
},
{
"t": 106,
"v": 9999.4398
},
{
"t": 107,
"v": 9999.4398
},
{
"t": 108,
"v": 9999.4398
},
{
"t": 109,
"v": 9999.4398
},
{
"t": 110,
"v": 9999.4398
},
{
"t": 111,
"v": 9999.4398
},
{
"t": 112,
"v": 9999.4398
},
{
"t": 113,
"v": 9999.4398
},
{
"t": 114,
"v": 9999.4398
},
{
"t": 115,
"v": 9999.4398
},
{
"t": 116,
"v": 9999.4398
},
{
"t": 117,
"v": 9999.4398
},
{
"t": 118,
"v": 9999.4398
},
{
"t": 119,
"v": 9999.4398
},
{
"t": 120,
"v": 9999.4398
},
{
"t": 121,
"v": 9999.4398
},
{
"t": 122,
"v": 9999.4398
},
{
"t": 123,
"v": 9999.4398
},
{
"t": 124,
"v": 9999.4398
},
{
"t": 125,
"v": 9999.4398
},
{
"t": 126,
"v": 9999.4398
},
{
"t": 127,
"v": 9999.4398
},
{
"t": 128,
"v": 9999.4269
},
{
"t": 129,
"v": 9999.1899
},
{
"t": 130,
"v": 9999.1416
},
{
"t": 131,
"v": 9999.1416
},
{
"t": 132,
"v": 9999.1416
},
{
"t": 133,
"v": 9999.1416
},
{
"t": 134,
"v": 9999.1416
},
{
"t": 135,
"v": 9999.1416
},
{
"t": 136,
"v": 9999.1287
},
{
"t": 137,
"v": 9999.1493
},
{
"t": 138,
"v": 9999.1365
},
{
"t": 139,
"v": 9999.1584
},
{
"t": 140,
"v": 9999.1584
},
{
"t": 141,
"v": 9999.1584
},
{
"t": 142,
"v": 9999.1584
},
{
"t": 143,
"v": 9999.1584
},
{
"t": 144,
"v": 9999.1584
},
{
"t": 145,
"v": 9999.1584
},
{
"t": 146,
"v": 9999.1584
},
{
"t": 147,
"v": 9999.1584
},
{
"t": 148,
"v": 9999.1584
},
{
"t": 149,
"v": 9999.1584
},
{
"t": 150,
"v": 9999.1584
},
{
"t": 151,
"v": 9999.1456
},
{
"t": 152,
"v": 9999.1091
},
{
"t": 153,
"v": 9999.0799
},
{
"t": 154,
"v": 9999.0799
},
{
"t": 155,
"v": 9999.0799
},
{
"t": 156,
"v": 9999.0799
},
{
"t": 157,
"v": 9999.0799
},
{
"t": 158,
"v": 9999.0799
},
{
"t": 159,
"v": 9999.0799
},
{
"t": 160,
"v": 9999.0799
},
{
"t": 161,
"v": 9999.0671
},
{
"t": 162,
"v": 9999.5873
},
{
"t": 163,
"v": 9999.5873
},
{
"t": 164,
"v": 9999.5744
},
{
"t": 165,
"v": 9999.5083
},
{
"t": 166,
"v": 9999.5083
},
{
"t": 167,
"v": 9999.5083
},
{
"t": 168,
"v": 9999.5083
},
{
"t": 169,
"v": 9999.5083
},
{
"t": 170,
"v": 9999.5083
},
{
"t": 171,
"v": 9999.5083
},
{
"t": 172,
"v": 9999.5083
},
{
"t": 173,
"v": 9999.5083
},
{
"t": 174,
"v": 9999.4954
},
{
"t": 175,
"v": 9999.1945
},
{
"t": 176,
"v": 9999.1945
},
{
"t": 177,
"v": 9999.1945
},
{
"t": 178,
"v": 9999.1816
},
{
"t": 179,
"v": 9999.4911
},
{
"t": 180,
"v": 9999.4911
},
{
"t": 181,
"v": 9999.4911
},
{
"t": 182,
"v": 9999.4911
},
{
"t": 183,
"v": 9999.4911
},
{
"t": 184,
"v": 9999.4911
},
{
"t": 185,
"v": 9999.4911
},
{
"t": 186,
"v": 9999.4911
},
{
"t": 187,
"v": 9999.4911
},
{
"t": 188,
"v": 9999.4911
},
{
"t": 189,
"v": 9999.4911
},
{
"t": 190,
"v": 9999.4911
},
{
"t": 191,
"v": 9999.4911
},
{
"t": 192,
"v": 9999.4911
},
{
"t": 193,
"v": 9999.4911
},
{
"t": 194,
"v": 9999.4911
},
{
"t": 195,
"v": 9999.4782
},
{
"t": 196,
"v": 9999.5223
},
{
"t": 197,
"v": 9999.5094
},
{
"t": 198,
"v": 9999.2275
},
{
"t": 199,
"v": 9998.9513
},
{
"t": 200,
"v": 9998.9385
},
{
"t": 201,
"v": 9998.8863
},
{
"t": 202,
"v": 9998.8863
},
{
"t": 203,
"v": 9998.8863
},
{
"t": 204,
"v": 9998.8863
},
{
"t": 205,
"v": 9998.8863
},
{
"t": 206,
"v": 9998.8863
},
{
"t": 207,
"v": 9998.8863
},
{
"t": 208,
"v": 9998.8863
},
{
"t": 209,
"v": 9998.8863
},
{
"t": 210,
"v": 9998.8863
},
{
"t": 211,
"v": 9998.8863
},
{
"t": 212,
"v": 9998.8863
},
{
"t": 213,
"v": 9998.8863
},
{
"t": 214,
"v": 9998.8863
},
{
"t": 215,
"v": 9998.8863
},
{
"t": 216,
"v": 9998.8863
},
{
"t": 217,
"v": 9998.8863
},
{
"t": 218,
"v": 9998.8863
},
{
"t": 219,
"v": 9998.8863
},
{
"t": 220,
"v": 9998.8863
},
{
"t": 221,
"v": 9998.8735
},
{
"t": 222,
"v": 9998.888
},
{
"t": 223,
"v": 9998.888
},
{
"t": 224,
"v": 9998.888
},
{
"t": 225,
"v": 9998.888
},
{
"t": 226,
"v": 9998.888
},
{
"t": 227,
"v": 9998.888
},
{
"t": 228,
"v": 9998.888
},
{
"t": 229,
"v": 9998.888
},
{
"t": 230,
"v": 9998.888
},
{
"t": 231,
"v": 9998.888
},
{
"t": 232,
"v": 9998.888
},
{
"t": 233,
"v": 9998.888
},
{
"t": 234,
"v": 9998.888
},
{
"t": 235,
"v": 9998.888
},
{
"t": 236,
"v": 9998.888
},
{
"t": 237,
"v": 9998.888
},
{
"t": 238,
"v": 9998.888
},
{
"t": 239,
"v": 9998.888
},
{
"t": 240,
"v": 9998.888
},
{
"t": 241,
"v": 9998.8751
},
{
"t": 242,
"v": 9998.8074
},
{
"t": 243,
"v": 9998.8074
},
{
"t": 244,
"v": 9998.8074
},
{
"t": 245,
"v": 9998.8074
},
{
"t": 246,
"v": 9998.8074
},
{
"t": 247,
"v": 9998.8074
},
{
"t": 248,
"v": 9998.8074
},
{
"t": 249,
"v": 9998.8074
},
{
"t": 250,
"v": 9998.8074
},
{
"t": 251,
"v": 9998.8074
},
{
"t": 252,
"v": 9998.8074
},
{
"t": 253,
"v": 9998.8074
},
{
"t": 254,
"v": 9998.8074
},
{
"t": 255,
"v": 9998.8074
},
{
"t": 256,
"v": 9998.8074
},
{
"t": 257,
"v": 9998.8074
},
{
"t": 258,
"v": 9998.8074
},
{
"t": 259,
"v": 9998.8074
},
{
"t": 260,
"v": 9998.8074
},
{
"t": 261,
"v": 9998.8074
},
{
"t": 262,
"v": 9998.8074
},
{
"t": 263,
"v": 9998.8074
},
{
"t": 264,
"v": 9998.8074
},
{
"t": 265,
"v": 9998.8074
},
{
"t": 266,
"v": 9998.8074
},
{
"t": 267,
"v": 9998.8074
},
{
"t": 268,
"v": 9998.8074
},
{
"t": 269,
"v": 9998.8074
},
{
"t": 270,
"v": 9998.8074
},
{
"t": 271,
"v": 9998.8074
},
{
"t": 272,
"v": 9998.8074
},
{
"t": 273,
"v": 9998.8074
},
{
"t": 274,
"v": 9998.8074
},
{
"t": 275,
"v": 9998.8074
},
{
"t": 276,
"v": 9998.8074
},
{
"t": 277,
"v": 9998.8074
},
{
"t": 278,
"v": 9998.8074
},
{
"t": 279,
"v": 9998.8074
},
{
"t": 280,
"v": 9998.8074
},
{
"t": 281,
"v": 9998.8074
},
{
"t": 282,
"v": 9998.8074
},
{
"t": 283,
"v": 9998.8074
},
{
"t": 284,
"v": 9998.8074
},
{
"t": 285,
"v": 9998.8074
},
{
"t": 286,
"v": 9998.8074
},
{
"t": 287,
"v": 9998.8074
},
{
"t": 288,
"v": 9998.8074
},
{
"t": 289,
"v": 9998.8074
},
{
"t": 290,
"v": 9998.8074
},
{
"t": 291,
"v": 9998.8074
},
{
"t": 292,
"v": 9998.8074
},
{
"t": 293,
"v": 9998.8074
},
{
"t": 294,
"v": 9998.8074
},
{
"t": 295,
"v": 9998.8074
},
{
"t": 296,
"v": 9998.8074
},
{
"t": 297,
"v": 9998.8074
},
{
"t": 298,
"v": 9998.8074
},
{
"t": 299,
"v": 9998.8074
},
{
"t": 300,
"v": 9998.8074
},
{
"t": 301,
"v": 9998.8074
},
{
"t": 302,
"v": 9998.8074
},
{
"t": 303,
"v": 9998.8074
},
{
"t": 304,
"v": 9998.8074
},
{
"t": 305,
"v": 9998.8074
},
{
"t": 306,
"v": 9998.8074
},
{
"t": 307,
"v": 9998.7945
},
{
"t": 308,
"v": 9998.8885
},
{
"t": 309,
"v": 9998.8885
},
{
"t": 310,
"v": 9998.8885
},
{
"t": 311,
"v": 9998.8885
},
{
"t": 312,
"v": 9998.8885
},
{
"t": 313,
"v": 9998.8885
},
{
"t": 314,
"v": 9998.8885
},
{
"t": 315,
"v": 9998.8885
},
{
"t": 316,
"v": 9998.8885
},
{
"t": 317,
"v": 9998.8885
},
{
"t": 318,
"v": 9998.8885
},
{
"t": 319,
"v": 9998.8885
},
{
"t": 320,
"v": 9998.8885
},
{
"t": 321,
"v": 9998.8885
},
{
"t": 322,
"v": 9998.8885
},
{
"t": 323,
"v": 9998.8885
},
{
"t": 324,
"v": 9998.8885
},
{
"t": 325,
"v": 9998.8885
},
{
"t": 326,
"v": 9998.8885
},
{
"t": 327,
"v": 9998.8885
},
{
"t": 328,
"v": 9998.8885
},
{
"t": 329,
"v": 9998.8885
},
{
"t": 330,
"v": 9998.8885
},
{
"t": 331,
"v": 9998.8885
},
{
"t": 332,
"v": 9998.8885
},
{
"t": 333,
"v": 9998.8885
},
{
"t": 334,
"v": 9998.8885
},
{
"t": 335,
"v": 9998.8885
},
{
"t": 336,
"v": 9998.8885
},
{
"t": 337,
"v": 9998.8885
},
{
"t": 338,
"v": 9998.8885
},
{
"t": 339,
"v": 9998.8885
},
{
"t": 340,
"v": 9998.8885
},
{
"t": 341,
"v": 9998.8757
},
{
"t": 342,
"v": 9998.5756
},
{
"t": 343,
"v": 9998.7054
},
{
"t": 344,
"v": 9998.7054
},
{
"t": 345,
"v": 9998.7054
},
{
"t": 346,
"v": 9998.7054
},
{
"t": 347,
"v": 9998.7054
},
{
"t": 348,
"v": 9998.7054
},
{
"t": 349,
"v": 9998.7054
},
{
"t": 350,
"v": 9998.7054
},
{
"t": 351,
"v": 9998.7054
},
{
"t": 352,
"v": 9998.7054
},
{
"t": 353,
"v": 9998.7054
},
{
"t": 354,
"v": 9998.7054
},
{
"t": 355,
"v": 9998.7054
},
{
"t": 356,
"v": 9998.7054
},
{
"t": 357,
"v": 9998.7054
},
{
"t": 358,
"v": 9998.7054
},
{
"t": 359,
"v": 9998.7054
},
{
"t": 360,
"v": 9998.6925
},
{
"t": 361,
"v": 9998.8213
},
{
"t": 362,
"v": 9998.8213
},
{
"t": 363,
"v": 9998.8213
},
{
"t": 364,
"v": 9998.8213
},
{
"t": 365,
"v": 9998.8213
},
{
"t": 366,
"v": 9998.8084
},
{
"t": 367,
"v": 9998.5752
},
{
"t": 368,
"v": 9998.5865
},
{
"t": 369,
"v": 9998.5865
},
{
"t": 370,
"v": 9998.5865
},
{
"t": 371,
"v": 9998.5865
},
{
"t": 372,
"v": 9998.5865
},
{
"t": 373,
"v": 9998.5865
},
{
"t": 374,
"v": 9998.5865
},
{
"t": 375,
"v": 9998.5865
},
{
"t": 376,
"v": 9998.5865
},
{
"t": 377,
"v": 9998.5865
},
{
"t": 378,
"v": 9998.5865
},
{
"t": 379,
"v": 9998.5865
},
{
"t": 380,
"v": 9998.5865
},
{
"t": 381,
"v": 9998.5865
},
{
"t": 382,
"v": 9998.5865
},
{
"t": 383,
"v": 9998.5865
},
{
"t": 384,
"v": 9998.5865
},
{
"t": 385,
"v": 9998.5865
},
{
"t": 386,
"v": 9998.5865
},
{
"t": 387,
"v": 9998.5865
},
{
"t": 388,
"v": 9998.5865
},
{
"t": 389,
"v": 9998.5865
},
{
"t": 390,
"v": 9998.5737
},
{
"t": 391,
"v": 9998.73
},
{
"t": 392,
"v": 9998.73
},
{
"t": 393,
"v": 9998.73
},
{
"t": 394,
"v": 9998.73
},
{
"t": 395,
"v": 9998.73
},
{
"t": 396,
"v": 9998.73
},
{
"t": 397,
"v": 9998.73
},
{
"t": 398,
"v": 9998.73
},
{
"t": 399,
"v": 9998.73
},
{
"t": 400,
"v": 9998.73
},
{
"t": 401,
"v": 9998.73
},
{
"t": 402,
"v": 9998.73
},
{
"t": 403,
"v": 9998.73
},
{
"t": 404,
"v": 9998.73
},
{
"t": 405,
"v": 9998.73
},
{
"t": 406,
"v": 9998.73
},
{
"t": 407,
"v": 9998.73
},
{
"t": 408,
"v": 9998.73
},
{
"t": 409,
"v": 9998.73
},
{
"t": 410,
"v": 9998.73
},
{
"t": 411,
"v": 9998.73
},
{
"t": 412,
"v": 9998.73
},
{
"t": 413,
"v": 9998.7171
},
{
"t": 414,
"v": 9998.5716
},
{
"t": 415,
"v": 9998.5716
},
{
"t": 416,
"v": 9998.5716
},
{
"t": 417,
"v": 9998.5716
},
{
"t": 418,
"v": 9998.5716
},
{
"t": 419,
"v": 9998.5716
},
{
"t": 420,
"v": 9998.5716
},
{
"t": 421,
"v": 9998.5716
},
{
"t": 422,
"v": 9998.5716
},
{
"t": 423,
"v": 9998.5716
},
{
"t": 424,
"v": 9998.5716
},
{
"t": 425,
"v": 9998.5716
},
{
"t": 426,
"v": 9998.5716
},
{
"t": 427,
"v": 9998.5716
},
{
"t": 428,
"v": 9998.5716
},
{
"t": 429,
"v": 9998.5716
},
{
"t": 430,
"v": 9998.5716
},
{
"t": 431,
"v": 9998.5716
},
{
"t": 432,
"v": 9998.5716
},
{
"t": 433,
"v": 9998.5716
},
{
"t": 434,
"v": 9998.5716
},
{
"t": 435,
"v": 9998.5716
},
{
"t": 436,
"v": 9998.5716
},
{
"t": 437,
"v": 9998.5716
},
{
"t": 438,
"v": 9998.5716
},
{
"t": 439,
"v": 9998.5716
},
{
"t": 440,
"v": 9998.5716
},
{
"t": 441,
"v": 9998.5716
},
{
"t": 442,
"v": 9998.5716
},
{
"t": 443,
"v": 9998.5716
},
{
"t": 444,
"v": 9998.5716
},
{
"t": 445,
"v": 9998.5716
},
{
"t": 446,
"v": 9998.5716
},
{
"t": 447,
"v": 9998.5716
},
{
"t": 448,
"v": 9998.5716
},
{
"t": 449,
"v": 9998.5716
},
{
"t": 450,
"v": 9998.5716
},
{
"t": 451,
"v": 9998.5716
},
{
"t": 452,
"v": 9998.5716
},
{
"t": 453,
"v": 9998.5716
},
{
"t": 454,
"v": 9998.5716
},
{
"t": 455,
"v": 9998.5716
},
{
"t": 456,
"v": 9998.5716
},
{
"t": 457,
"v": 9998.5716
},
{
"t": 458,
"v": 9998.5716
},
{
"t": 459,
"v": 9998.5716
},
{
"t": 460,
"v": 9998.5716
},
{
"t": 461,
"v": 9998.5716
},
{
"t": 462,
"v": 9998.5716
},
{
"t": 463,
"v": 9998.5716
},
{
"t": 464,
"v": 9998.5716
},
{
"t": 465,
"v": 9998.5716
},
{
"t": 466,
"v": 9998.5716
},
{
"t": 467,
"v": 9998.5716
},
{
"t": 468,
"v": 9998.5716
},
{
"t": 469,
"v": 9998.5716
},
{
"t": 470,
"v": 9998.5716
},
{
"t": 471,
"v": 9998.5716
},
{
"t": 472,
"v": 9998.5716
},
{
"t": 473,
"v": 9998.5716
},
{
"t": 474,
"v": 9998.5716
},
{
"t": 475,
"v": 9998.5716
},
{
"t": 476,
"v": 9998.5716
},
{
"t": 477,
"v": 9998.5716
},
{
"t": 478,
"v": 9998.5716
},
{
"t": 479,
"v": 9998.5716
},
{
"t": 480,
"v": 9998.5716
},
{
"t": 481,
"v": 9998.5716
},
{
"t": 482,
"v": 9998.5716
},
{
"t": 483,
"v": 9998.5716
},
{
"t": 484,
"v": 9998.5716
},
{
"t": 485,
"v": 9998.5716
},
{
"t": 486,
"v": 9998.5716
},
{
"t": 487,
"v": 9998.5716
},
{
"t": 488,
"v": 9998.5588
},
{
"t": 489,
"v": 9998.5031
},
{
"t": 490,
"v": 9998.6305
},
{
"t": 491,
"v": 9998.6305
},
{
"t": 492,
"v": 9998.6305
},
{
"t": 493,
"v": 9998.6305
},
{
"t": 494,
"v": 9998.6305
},
{
"t": 495,
"v": 9998.6305
},
{
"t": 496,
"v": 9998.6305
},
{
"t": 497,
"v": 9998.6305
},
{
"t": 498,
"v": 9998.6305
},
{
"t": 499,
"v": 9998.6305
},
{
"t": 500,
"v": 9998.6305
},
{
"t": 501,
"v": 9998.6305
},
{
"t": 502,
"v": 9998.6305
},
{
"t": 503,
"v": 9998.6305
},
{
"t": 504,
"v": 9998.6305
},
{
"t": 505,
"v": 9998.6305
},
{
"t": 506,
"v": 9998.6305
},
{
"t": 507,
"v": 9998.6305
},
{
"t": 508,
"v": 9998.6305
},
{
"t": 509,
"v": 9998.6305
},
{
"t": 510,
"v": 9998.6305
},
{
"t": 511,
"v": 9998.6176
},
{
"t": 512,
"v": 9998.497
},
{
"t": 513,
"v": 9998.497
},
{
"t": 514,
"v": 9998.497
},
{
"t": 515,
"v": 9998.497
},
{
"t": 516,
"v": 9998.497
},
{
"t": 517,
"v": 9998.497
},
{
"t": 518,
"v": 9998.497
},
{
"t": 519,
"v": 9998.4841
},
{
"t": 520,
"v": 9998.4509
},
{
"t": 521,
"v": 9998.4509
},
{
"t": 522,
"v": 9998.4509
},
{
"t": 523,
"v": 9998.4509
},
{
"t": 524,
"v": 9998.4509
},
{
"t": 525,
"v": 9998.4509
},
{
"t": 526,
"v": 9998.4509
},
{
"t": 527,
"v": 9998.4509
},
{
"t": 528,
"v": 9998.4509
},
{
"t": 529,
"v": 9998.4509
},
{
"t": 530,
"v": 9998.4509
},
{
"t": 531,
"v": 9998.4509
},
{
"t": 532,
"v": 9998.4509
},
{
"t": 533,
"v": 9998.438
},
{
"t": 534,
"v": 9998.901
},
{
"t": 535,
"v": 9998.901
},
{
"t": 536,
"v": 9998.8881
},
{
"t": 537,
"v": 9998.7268
},
{
"t": 538,
"v": 9998.7139
},
{
"t": 539,
"v": 9998.9448
},
{
"t": 540,
"v": 9998.9448
},
{
"t": 541,
"v": 9998.9448
},
{
"t": 542,
"v": 9998.9448
},
{
"t": 543,
"v": 9998.9448
},
{
"t": 544,
"v": 9998.9448
},
{
"t": 545,
"v": 9998.9448
},
{
"t": 546,
"v": 9998.9448
},
{
"t": 547,
"v": 9998.9448
},
{
"t": 548,
"v": 9998.9319
},
{
"t": 549,
"v": 9999.2653
},
{
"t": 550,
"v": 9999.2653
},
{
"t": 551,
"v": 9999.2653
},
{
"t": 552,
"v": 9999.2653
},
{
"t": 553,
"v": 9999.2653
},
{
"t": 554,
"v": 9999.2653
},
{
"t": 555,
"v": 9999.2653
},
{
"t": 556,
"v": 9999.2653
},
{
"t": 557,
"v": 9999.2653
},
{
"t": 558,
"v": 9999.2653
},
{
"t": 559,
"v": 9999.2653
},
{
"t": 560,
"v": 9999.2653
},
{
"t": 561,
"v": 9999.2653
},
{
"t": 562,
"v": 9999.2653
},
{
"t": 563,
"v": 9999.2653
},
{
"t": 564,
"v": 9999.2653
},
{
"t": 565,
"v": 9999.2653
},
{
"t": 566,
"v": 9999.2653
},
{
"t": 567,
"v": 9999.2653
},
{
"t": 568,
"v": 9999.2653
},
{
"t": 569,
"v": 9999.2653
},
{
"t": 570,
"v": 9999.2653
},
{
"t": 571,
"v": 9999.2653
},
{
"t": 572,
"v": 9999.2653
},
{
"t": 573,
"v": 9999.2653
},
{
"t": 574,
"v": 9999.2653
},
{
"t": 575,
"v": 9999.2653
},
{
"t": 576,
"v": 9999.2653
},
{
"t": 577,
"v": 9999.2653
},
{
"t": 578,
"v": 9999.2653
},
{
"t": 579,
"v": 9999.2653
},
{
"t": 580,
"v": 9999.2653
},
{
"t": 581,
"v": 9999.2653
},
{
"t": 582,
"v": 9999.2653
},
{
"t": 583,
"v": 9999.2653
},
{
"t": 584,
"v": 9999.2653
},
{
"t": 585,
"v": 9999.2653
},
{
"t": 586,
"v": 9999.2653
},
{
"t": 587,
"v": 9999.2653
},
{
"t": 588,
"v": 9999.2653
},
{
"t": 589,
"v": 9999.2653
},
{
"t": 590,
"v": 9999.2653
},
{
"t": 591,
"v": 9999.2653
},
{
"t": 592,
"v": 9999.2653
},
{
"t": 593,
"v": 9999.2653
},
{
"t": 594,
"v": 9999.2653
},
{
"t": 595,
"v": 9999.2653
},
{
"t": 596,
"v": 9999.2653
},
{
"t": 597,
"v": 9999.2653
},
{
"t": 598,
"v": 9999.2653
},
{
"t": 599,
"v": 9999.2653
},
{
"t": 600,
"v": 9999.2653
},
{
"t": 601,
"v": 9999.2653
},
{
"t": 602,
"v": 9999.2653
},
{
"t": 603,
"v": 9999.2653
},
{
"t": 604,
"v": 9999.2653
},
{
"t": 605,
"v": 9999.2653
},
{
"t": 606,
"v": 9999.2653
},
{
"t": 607,
"v": 9999.2525
},
{
"t": 608,
"v": 9999.1651
},
{
"t": 609,
"v": 9999.1651
},
{
"t": 610,
"v": 9999.1651
},
{
"t": 611,
"v": 9999.1651
},
{
"t": 612,
"v": 9999.1651
},
{
"t": 613,
"v": 9999.1651
},
{
"t": 614,
"v": 9999.1651
},
{
"t": 615,
"v": 9999.1651
},
{
"t": 616,
"v": 9999.1651
},
{
"t": 617,
"v": 9999.1651
},
{
"t": 618,
"v": 9999.1651
},
{
"t": 619,
"v": 9999.1651
},
{
"t": 620,
"v": 9999.1651
},
{
"t": 621,
"v": 9999.1651
},
{
"t": 622,
"v": 9999.1651
},
{
"t": 623,
"v": 9999.1651
},
{
"t": 624,
"v": 9999.1651
},
{
"t": 625,
"v": 9999.1651
},
{
"t": 626,
"v": 9999.1651
},
{
"t": 627,
"v": 9999.1651
},
{
"t": 628,
"v": 9999.1651
},
{
"t": 629,
"v": 9999.1651
},
{
"t": 630,
"v": 9999.1651
},
{
"t": 631,
"v": 9999.1651
},
{
"t": 632,
"v": 9999.1651
},
{
"t": 633,
"v": 9999.1651
},
{
"t": 634,
"v": 9999.1651
},
{
"t": 635,
"v": 9999.1523
},
{
"t": 636,
"v": 9999.1514
},
{
"t": 637,
"v": 9999.1514
},
{
"t": 638,
"v": 9999.1514
},
{
"t": 639,
"v": 9999.1514
},
{
"t": 640,
"v": 9999.1514
},
{
"t": 641,
"v": 9999.1514
},
{
"t": 642,
"v": 9999.1514
},
{
"t": 643,
"v": 9999.1514
},
{
"t": 644,
"v": 9999.1514
},
{
"t": 645,
"v": 9999.1514
},
{
"t": 646,
"v": 9999.1514
},
{
"t": 647,
"v": 9999.1514
},
{
"t": 648,
"v": 9999.1514
},
{
"t": 649,
"v": 9999.1514
},
{
"t": 650,
"v": 9999.1514
},
{
"t": 651,
"v": 9999.1514
},
{
"t": 652,
"v": 9999.1385
},
{
"t": 653,
"v": 9999.2478
},
{
"t": 654,
"v": 9999.2478
},
{
"t": 655,
"v": 9999.2478
},
{
"t": 656,
"v": 9999.2478
},
{
"t": 657,
"v": 9999.2478
},
{
"t": 658,
"v": 9999.2478
},
{
"t": 659,
"v": 9999.2478
},
{
"t": 660,
"v": 9999.2478
},
{
"t": 661,
"v": 9999.2478
},
{
"t": 662,
"v": 9999.2478
},
{
"t": 663,
"v": 9999.2478
},
{
"t": 664,
"v": 9999.2478
},
{
"t": 665,
"v": 9999.2478
},
{
"t": 666,
"v": 9999.2478
},
{
"t": 667,
"v": 9999.2478
},
{
"t": 668,
"v": 9999.2478
},
{
"t": 669,
"v": 9999.2478
},
{
"t": 670,
"v": 9999.2478
},
{
"t": 671,
"v": 9999.2478
},
{
"t": 672,
"v": 9999.2478
},
{
"t": 673,
"v": 9999.2478
},
{
"t": 674,
"v": 9999.2478
},
{
"t": 675,
"v": 9999.2478
},
{
"t": 676,
"v": 9999.2478
},
{
"t": 677,
"v": 9999.2478
},
{
"t": 678,
"v": 9999.2478
},
{
"t": 679,
"v": 9999.2478
},
{
"t": 680,
"v": 9999.2478
},
{
"t": 681,
"v": 9999.2478
},
{
"t": 682,
"v": 9999.2478
},
{
"t": 683,
"v": 9999.2478
},
{
"t": 684,
"v": 9999.2478
},
{
"t": 685,
"v": 9999.2478
},
{
"t": 686,
"v": 9999.2478
},
{
"t": 687,
"v": 9999.2478
},
{
"t": 688,
"v": 9999.2478
},
{
"t": 689,
"v": 9999.2478
},
{
"t": 690,
"v": 9999.2478
},
{
"t": 691,
"v": 9999.2478
},
{
"t": 692,
"v": 9999.2478
},
{
"t": 693,
"v": 9999.2478
},
{
"t": 694,
"v": 9999.2478
},
{
"t": 695,
"v": 9999.2478
},
{
"t": 696,
"v": 9999.2478
},
{
"t": 697,
"v": 9999.2478
},
{
"t": 698,
"v": 9999.2478
},
{
"t": 699,
"v": 9999.2478
},
{
"t": 700,
"v": 9999.2478
},
{
"t": 701,
"v": 9999.2478
},
{
"t": 702,
"v": 9999.2478
},
{
"t": 703,
"v": 9999.2478
},
{
"t": 704,
"v": 9999.2478
},
{
"t": 705,
"v": 9999.2478
},
{
"t": 706,
"v": 9999.2478
},
{
"t": 707,
"v": 9999.2478
},
{
"t": 708,
"v": 9999.2478
},
{
"t": 709,
"v": 9999.2478
},
{
"t": 710,
"v": 9999.2478
},
{
"t": 711,
"v": 9999.2478
},
{
"t": 712,
"v": 9999.2478
},
{
"t": 713,
"v": 9999.2478
},
{
"t": 714,
"v": 9999.2478
},
{
"t": 715,
"v": 9999.2478
},
{
"t": 716,
"v": 9999.2478
},
{
"t": 717,
"v": 9999.2478
},
{
"t": 718,
"v": 9999.2478
},
{
"t": 719,
"v": 9999.2478
},
{
"t": 720,
"v": 9999.2478
}
],
"trades": [
{
"entry_time": 31,
"exit_time": 32,
"signal": -1,
"entry_x": 63569.0,
"exit_x": 63942.0,
"entry_y": 1789.6,
"exit_y": 1798.0,
"beta": 0.028152086949455767,
"gross_pnl": -0.2264,
"net_pnl": -0.2393,
"fee": 0.025765,
"duration_bars": 1
},
{
"entry_time": 35,
"exit_time": 36,
"signal": 1,
"entry_x": 63683.0,
"exit_x": 63825.0,
"entry_y": 1786.8,
"exit_y": 1790.5,
"beta": 0.02805772366052387,
"gross_pnl": 0.1004,
"net_pnl": 0.0875,
"fee": 0.025728,
"duration_bars": 1
},
{
"entry_time": 42,
"exit_time": 43,
"signal": 1,
"entry_x": 63015.0,
"exit_x": 62974.0,
"entry_y": 1756.2,
"exit_y": 1757.1,
"beta": 0.02786955512254003,
"gross_pnl": 0.0265,
"net_pnl": 0.0137,
"fee": 0.025703,
"duration_bars": 1
},
{
"entry_time": 55,
"exit_time": 56,
"signal": 1,
"entry_x": 61885.0,
"exit_x": 61705.0,
"entry_y": 1729.3,
"exit_y": 1722.9,
"beta": 0.02794376692098846,
"gross_pnl": -0.181,
"net_pnl": -0.1938,
"fee": 0.025651,
"duration_bars": 1
},
{
"entry_time": 90,
"exit_time": 91,
"signal": -1,
"entry_x": 63754.0,
"exit_x": 63958.0,
"entry_y": 1767.2,
"exit_y": 1772.7,
"beta": 0.027719045322255696,
"gross_pnl": -0.1512,
"net_pnl": -0.1641,
"fee": 0.025733,
"duration_bars": 1
},
{
"entry_time": 128,
"exit_time": 130,
"signal": -1,
"entry_x": 64175.0,
"exit_x": 64319.0,
"entry_y": 1814.3,
"exit_y": 1824.3,
"beta": 0.028271133862594184,
"gross_pnl": -0.2724,
"net_pnl": -0.2853,
"fee": 0.025776,
"duration_bars": 2
},
{
"entry_time": 136,
"exit_time": 137,
"signal": 1,
"entry_x": 63823.0,
"exit_x": 63829.0,
"entry_y": 1787.2,
"exit_y": 1788.4,
"beta": 0.028002444518194215,
"gross_pnl": 0.0334,
"net_pnl": 0.0206,
"fee": 0.025708,
"duration_bars": 1
},
{
"entry_time": 138,
"exit_time": 139,
"signal": -1,
"entry_x": 64135.0,
"exit_x": 64081.0,
"entry_y": 1806.4,
"exit_y": 1805.1,
"beta": 0.02816558846159141,
"gross_pnl": 0.0348,
"net_pnl": 0.022,
"fee": 0.025695,
"duration_bars": 1
},
{
"entry_time": 151,
"exit_time": 153,
"signal": -1,
"entry_x": 64202.0,
"exit_x": 64176.0,
"entry_y": 1819.8,
"exit_y": 1821.7,
"beta": 0.02834491162419102,
"gross_pnl": -0.0528,
"net_pnl": -0.0656,
"fee": 0.025722,
"duration_bars": 2
},
{
"entry_time": 161,
"exit_time": 162,
"signal": -1,
"entry_x": 64058.0,
"exit_x": 63404.0,
"entry_y": 1826.5,
"exit_y": 1806.5,
"beta": 0.02851322264412587,
"gross_pnl": 0.5329,
"net_pnl": 0.5202,
"fee": 0.025572,
"duration_bars": 1
},
{
"entry_time": 164,
"exit_time": 165,
"signal": 1,
"entry_x": 62811.0,
"exit_x": 62685.0,
"entry_y": 1780.3,
"exit_y": 1778.3,
"beta": 0.02834376171326746,
"gross_pnl": -0.0533,
"net_pnl": -0.0662,
"fee": 0.025694,
"duration_bars": 1
},
{
"entry_time": 174,
"exit_time": 175,
"signal": -1,
"entry_x": 62326.0,
"exit_x": 62814.0,
"entry_y": 1771.8,
"exit_y": 1782.4,
"beta": 0.02842794365726904,
"gross_pnl": -0.288,
"net_pnl": -0.3009,
"fee": 0.025788,
"duration_bars": 1
},
{
"entry_time": 178,
"exit_time": 179,
"signal": 1,
"entry_x": 61908.0,
"exit_x": 62027.0,
"entry_y": 1753.3,
"exit_y": 1764.7,
"beta": 0.028321057323850755,
"gross_pnl": 0.3224,
"net_pnl": 0.3094,
"fee": 0.02579,
"duration_bars": 1
},
{
"entry_time": 195,
"exit_time": 196,
"signal": -1,
"entry_x": 62773.0,
"exit_x": 62833.0,
"entry_y": 1800.4,
"exit_y": 1798.4,
"beta": 0.028681121129028337,
"gross_pnl": 0.0569,
"net_pnl": 0.0441,
"fee": 0.025703,
"duration_bars": 1
},
{
"entry_time": 197,
"exit_time": 199,
"signal": -1,
"entry_x": 63927.0,
"exit_x": 64294.0,
"entry_y": 1861.2,
"exit_y": 1881.8,
"beta": 0.02911445895252681,
"gross_pnl": -0.545,
"net_pnl": -0.5581,
"fee": 0.025868,
"duration_bars": 2
},
{
"entry_time": 200,
"exit_time": 201,
"signal": 1,
"entry_x": 64727.0,
"exit_x": 64696.0,
"entry_y": 1875.2,
"exit_y": 1873.7,
"beta": 0.028970908867144606,
"gross_pnl": -0.0393,
"net_pnl": -0.0522,
"fee": 0.025714,
"duration_bars": 1
},
{
"entry_time": 221,
"exit_time": 222,
"signal": -1,
"entry_x": 65157.0,
"exit_x": 65106.0,
"entry_y": 1927.4,
"exit_y": 1926.3,
"beta": 0.029580858813292327,
"gross_pnl": 0.0274,
"net_pnl": 0.0145,
"fee": 0.025732,
"duration_bars": 1
},
{
"entry_time": 241,
"exit_time": 242,
"signal": 1,
"entry_x": 64104.0,
"exit_x": 64070.0,
"entry_y": 1886.6,
"exit_y": 1884.5,
"beta": 0.029430301055691575,
"gross_pnl": -0.0549,
"net_pnl": -0.0677,
"fee": 0.025722,
"duration_bars": 1
},
{
"entry_time": 307,
"exit_time": 308,
"signal": -1,
"entry_x": 64814.0,
"exit_x": 64694.0,
"entry_y": 1871.8,
"exit_y": 1867.7,
"beta": 0.028879563338271966,
"gross_pnl": 0.1068,
"net_pnl": 0.094,
"fee": 0.025694,
"duration_bars": 1
},
{
"entry_time": 341,
"exit_time": 343,
"signal": 1,
"entry_x": 64629.0,
"exit_x": 64392.0,
"entry_y": 1873.6,
"exit_y": 1867.5,
"beta": 0.02899008214637941,
"gross_pnl": -0.1575,
"net_pnl": -0.1703,
"fee": 0.025683,
"duration_bars": 2
},
{
"entry_time": 360,
"exit_time": 361,
"signal": 1,
"entry_x": 66170.0,
"exit_x": 66194.0,
"entry_y": 1933.9,
"exit_y": 1939.4,
"beta": 0.029226235742228355,
"gross_pnl": 0.1417,
"net_pnl": 0.1288,
"fee": 0.025766,
"duration_bars": 1
},
{
"entry_time": 366,
"exit_time": 368,
"signal": 1,
"entry_x": 66748.0,
"exit_x": 66644.0,
"entry_y": 1939.9,
"exit_y": 1931.7,
"beta": 0.02906304337232235,
"gross_pnl": -0.2091,
"net_pnl": -0.2219,
"fee": 0.025673,
"duration_bars": 2
},
{
"entry_time": 390,
"exit_time": 391,
"signal": -1,
"entry_x": 65939.0,
"exit_x": 65780.0,
"entry_y": 1939.7,
"exit_y": 1933.0,
"beta": 0.029416582276404795,
"gross_pnl": 0.1692,
"net_pnl": 0.1563,
"fee": 0.025691,
"duration_bars": 1
},
{
"entry_time": 413,
"exit_time": 414,
"signal": 1,
"entry_x": 65153.0,
"exit_x": 64860.0,
"entry_y": 1903.4,
"exit_y": 1898.1,
"beta": 0.029214311229864176,
"gross_pnl": -0.1327,
"net_pnl": -0.1455,
"fee": 0.025694,
"duration_bars": 1
},
{
"entry_time": 488,
"exit_time": 490,
"signal": -1,
"entry_x": 64737.0,
"exit_x": 64666.0,
"entry_y": 1914.0,
"exit_y": 1910.7,
"beta": 0.029565781839550373,
"gross_pnl": 0.0846,
"net_pnl": 0.0717,
"fee": 0.025717,
"duration_bars": 2
},
{
"entry_time": 511,
"exit_time": 512,
"signal": 1,
"entry_x": 64667.0,
"exit_x": 64514.0,
"entry_y": 1931.5,
"exit_y": 1927.2,
"beta": 0.029868403052012705,
"gross_pnl": -0.1078,
"net_pnl": -0.1206,
"fee": 0.025718,
"duration_bars": 1
},
{
"entry_time": 519,
"exit_time": 520,
"signal": 1,
"entry_x": 63769.0,
"exit_x": 63736.0,
"entry_y": 1892.4,
"exit_y": 1891.6,
"beta": 0.029675861642589195,
"gross_pnl": -0.0204,
"net_pnl": -0.0332,
"fee": 0.025736,
"duration_bars": 1
},
{
"entry_time": 533,
"exit_time": 534,
"signal": -1,
"entry_x": 63543.0,
"exit_x": 63089.0,
"entry_y": 1891.6,
"exit_y": 1873.2,
"beta": 0.02976881828669214,
"gross_pnl": 0.4757,
"net_pnl": 0.463,
"fee": 0.02562,
"duration_bars": 1
},
{
"entry_time": 536,
"exit_time": 537,
"signal": -1,
"entry_x": 63911.0,
"exit_x": 64025.0,
"entry_y": 1919.2,
"exit_y": 1925.0,
"beta": 0.030029259764541016,
"gross_pnl": -0.1484,
"net_pnl": -0.1613,
"fee": 0.025789,
"duration_bars": 1
},
{
"entry_time": 538,
"exit_time": 539,
"signal": 1,
"entry_x": 63664.0,
"exit_x": 63701.0,
"entry_y": 1900.6,
"exit_y": 1909.9,
"beta": 0.02985360677540415,
"gross_pnl": 0.2438,
"net_pnl": 0.2309,
"fee": 0.025808,
"duration_bars": 1
},
{
"entry_time": 548,
"exit_time": 549,
"signal": 1,
"entry_x": 63721.0,
"exit_x": 63944.0,
"entry_y": 1891.4,
"exit_y": 1904.7,
"beta": 0.029682522590172723,
"gross_pnl": 0.3464,
"net_pnl": 0.3334,
"fee": 0.025831,
"duration_bars": 1
},
{
"entry_time": 607,
"exit_time": 608,
"signal": -1,
"entry_x": 62669.0,
"exit_x": 62705.0,
"entry_y": 1859.1,
"exit_y": 1861.9,
"beta": 0.029665385144647994,
"gross_pnl": -0.0745,
"net_pnl": -0.0873,
"fee": 0.025761,
"duration_bars": 1
},
{
"entry_time": 635,
"exit_time": 636,
"signal": 1,
"entry_x": 62550.0,
"exit_x": 62503.0,
"entry_y": 1836.0,
"exit_y": 1836.4,
"beta": 0.029352518345594898,
"gross_pnl": 0.012,
"net_pnl": -0.0009,
"fee": 0.025736,
"duration_bars": 1
},
{
"entry_time": 652,
"exit_time": 653,
"signal": 1,
"entry_x": 63011.0,
"exit_x": 63097.0,
"entry_y": 1851.7,
"exit_y": 1856.3,
"beta": 0.029386932797484337,
"gross_pnl": 0.1222,
"net_pnl": 0.1093,
"fee": 0.025766,
"duration_bars": 1
}
],
"num_periods": 721,
"data_source": "Hyperliquid Mainnet (BTC/ETH pair)",
"generated_at": "2026-08-05T07:31:52.206097"
}
Reference in New Issue View Git Blame Copy Permalink