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ftdt-quant-lab/backtests/results/hawkes_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

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"strategy": "Hawkes OFI",
"strategy_key": "hawkes",
"description": "Self-exciting point process OFI \u2014 clustered order flow",
"allocation": 100.0,
"start_time": "2026-07-05T07:15:01.610325",
"end_time": "2026-08-04T06:15:01.610325",
"start_equity": 100.0,
"end_equity": 99.5639,
"pnl": -0.4597,
"pnl_pct": -0.4597,
"pnl_gross": 16.5132,
"pnl_gross_pct": 16.5132,
"fees_total": 16.9729,
"fee_model": "taker",
"ann_return_pct": -5.52,
"sharpe": 7.3062,
"sortino": 11.8747,
"max_dd": 0.0296,
"max_dd_pct": 2.96,
"win_rate": 0.0,
"total_trades": 231,
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}
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