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ftdt-quant-lab/backtests/results/queue_imb_20260804-071501.json
T
ramseshk ecfdd56d8f Add fee-toggle for backtests, CSV trade download, fee simulation in runner 
Backtest runner: added per-trade fee simulation (maker 2bps, taker 5bps).
Each trade now records pnl_gross, pnl_net, and fee. New --no-fees flag
excludes fees from PnL. Output includes pnl_gross/pnl_gross_pct and
fees_total alongside existing pnl (net). Regenerated all 12 backtests.

Server: added /api/backtest/{name}/csv endpoint — returns trades as CSV
with columns time,side,size,price,pnl_gross,pnl_net,fee.
Content-Disposition: attachment triggers browser download.

Dashboard: added "Inc. fees" checkbox toggle in backtest detail panel.
Unchecking shows gross PnL (before fees). "↓ CSV" button downloads
the trade history. Both hidden when detail is closed.
2026-08-04 07:16:41 +00:00

3809 lines
70 KiB
JSON
Raw Blame History

{
"strategy": "Queue Imbalance",
"strategy_key": "queue_imb",
"description": "Weighted LOB queue dynamics \u2014 Stoikov-Sa\u011flam framework",
"allocation": 100.0,
"start_time": "2026-07-05T07:15:01.663264",
"end_time": "2026-08-04T06:15:01.663264",
"start_equity": 100.0,
"end_equity": 79.9798,
"pnl": -20.0448,
"pnl_pct": -20.0448,
"pnl_gross": -2.3061,
"pnl_gross_pct": -2.3061,
"fees_total": 17.7387,
"fee_model": "taker",
"ann_return_pct": -240.54,
"sharpe": -1.0018,
"sortino": -1.4755,
"max_dd": 0.0705,
"max_dd_pct": 7.05,
"win_rate": 0.0,
"total_trades": 222,
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}
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