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ecfdd56d8fec3effd685084c45f382f4b61347f5
ftdt-quant-lab/backtests/results/ofi_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
71 KiB
JSON
Raw Blame History

{
"strategy": "Order Book Imbalance",
"strategy_key": "ofi",
"description": "L2 bid/ask skew \u2014 buys when bids dominate",
"allocation": 100.0,
"start_time": "2026-07-05T07:15:01.484662",
"end_time": "2026-08-04T06:15:01.484662",
"start_equity": 100.0,
"end_equity": 86.1295,
"pnl": -13.8963,
"pnl_pct": -13.8963,
"pnl_gross": 4.6703,
"pnl_gross_pct": 4.6703,
"fees_total": 18.5666,
"fee_model": "taker",
"ann_return_pct": -166.76,
"sharpe": 2.1147,
"sortino": 3.4373,
"max_dd": 0.0408,
"max_dd_pct": 4.08,
"win_rate": 0.0,
"total_trades": 235,
"equity_curve": [
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}
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