BFBT · a40-report-v19-localized-public-output

Backtest Report

Run ID evt-a01175782a0fa6997144d0da

Range[2025-09-01T00:00:00+00:00, 2026-09-01T00:00:00+00:00)
DatasetBFBT-event-llm-cs-202509-202608-v1

PRIMARY WORKSPACE

Equity & Point-in-time Audit

Equity Event Selected
Curve
Trades
Positions
Audit

SNAPSHOT

Event & Position Record

Every fill is retained; trade points show affected positions at the true adjacent ledger timestamps.

Position State

At snapshot

Trades

Exact trade timestamps

FACTOR

Factor Definition

llmcs-brm-v1 / llmcs-brm-v1

该Factor尚未提供中文说明，请在Factor注册信息中补充。

Factor Formula 未在因子注册表中提供 / Not documented in factor registry

Factor Parameters

Factor IDllmcs-brm-v1
Factor Versionv1
Compute Intervalstrategy_specific
effort / ParameterUltra
model / ParameterChatGPT 6 Astra
strategy_name / ParameterBuffered Relative Momentum
submission_id / Parameterchatgpt-6-astra-ultra
PreprocessNone

EXECUTION

Signal, Orders & Positions

N/A。

1Compute factors from closed bars only
Closed bars only
2Rank cross-sectionally among eligible contracts
Rank eligible symbols
3Rebalance at the next bar open
Fill at next bar open
4Mark to market and include all costs
Mark and charge costs

Execution Parameters

Portfolio RuleN/A。
Factor Intervalstrategy_specific
Rebalance Intervalstrategy_specific
Base Bar1m
Signal Delaybase bar(s)
Fill Locationnext_minute_open
Gross ExposureN/A
Net ExposureN/A
Leverage Limit1.0
Feefixed_bps；taker 5.00 bps
Slippagefixed_bps；2.00 bps
FundingEnabled; missing policy: fail_held_required
Position Valuationlatest_completed_trade_close
Ledger End2026-09-01T00:00:00Z

Positions remain until a later rebalance changes the target. No synthetic forced-close trade is added at the backtest boundary.

OVERVIEW

Data & Run Overview

Run NameChatGPT 6 Astra Ultra — Buffered Relative Momentum
Run IDevt-a01175782a0fa6997144d0da
DatasetBFBT-event-llm-cs-202509-202608-v1
Dataset Versiona49846e623dee5ef16cebe28a48a12e384c07582237a782eeef311208ab75e96
Marketbinance / usd_m_futures / perpetual
Quote & MarginUSDT / USDT
Configured Range[2025-09-01T00:00:00+00:00, 2026-09-01T00:00:00+00:00)
Actual Ledger Range2025-09-01T00:00:00Z → 2026-09-01T00:00:00Z
Range Semanticsleft_closed_right_open_plus_terminal_execution
TimezoneUTC
Execution Modechunked_event
Source Matrix ResearchN/A
Equivalence Auditnot requested
Symbols98–100 ranked per minute / 100 maximum
Valid Factor CoverageN/A

METRICS

All Performance Metrics

Performance

Total Return42.32%
Ending Equity142,318.6888
Maximum Drawdown-24.67%
Annualized Return42.35%
Annualized Volatility42.78%
Sharpe Ratio1.0393
Sortino Ratio1.4904
Calmar Ratio1.7170
Positive-period Rate49.89%
Observations525,601
Result Start2025-09-01T00:00:00Z
Result End2026-09-01T00:00:00Z

Risk & Exposure

Average Gross Exposure88.01%
Maximum Gross Exposure100.00%
Average Absolute Net Exposure4.19%
Maximum Absolute Net Exposure25.54%
Average Turnover0.04%
Maximum Turnover99.96%
Total Turnover196.1384

Return Attribution

Gross Price Contribution19.19%
Fee Contribution9.81%
Actual Fee Deduction12,273.7233 USDT
Slippage Contribution3.92%
Actual Slippage Deduction4,909.4893 USDT
Funding Contribution38.96%
Net Contribution44.43%
Total Profit & Loss42,318.6888 USDT
Maximum Identity Error4.337e-19

TRADES

Trade Details

Total Trades24058
Buy Trades11839
Sell Trades12219
Traded Symbols426
First Fill2025-09-01T00:01:00Z
Last Fill2026-09-01T00:00:00Z
Ending Positions24
Ending Position Time2026-09-01T00:00:00Z

Latest 10 Trades

Fill TimeSymbolSideOld WeightFilled WeightReferenceFillNormalized Notional
2026-09-01T00:00:00ZZKCUSDTBUY-2.92%0.00%0.05230.05234,153.6507
2026-09-01T00:00:00ZZECUSDTSELL3.35%0.00%847.7100847.71004,766.2550
2026-09-01T00:00:00ZXAUTUSDTSELL3.30%0.00%4,441.73004,441.73004,702.0481
2026-09-01T00:00:00ZUAIUSDTBUY-3.23%0.00%0.37700.37704,590.4669
2026-09-01T00:00:00ZSOLUSDTSELL3.36%0.00%102.9900102.99004,788.2207
2026-09-01T00:00:00ZRIVERUSDTBUY-3.23%0.00%1.42201.42204,597.8045
2026-09-01T00:00:00ZPUMPUSDTSELL3.30%0.00%0.00440.00444,694.5754
2026-09-01T00:00:00ZONDOUSDTBUY-3.34%0.00%0.34590.34594,749.3275
2026-09-01T00:00:00ZLINKUSDTSELL3.37%0.00%11.315011.31504,798.2108
2026-09-01T00:00:00ZHYPEUSDTSELL3.48%0.00%84.169084.16904,960.8689

POSITIONS

Ending Positions

Positions remaining at the final valuation timestamp; no forced close is implied.

SymbolPositionQuantityActual WeightMark PriceNormalized NotionalUnrealized PnL
ACEUSDTSHORT0.000000000.00%0.16730.00000.000000
APTUSDTSHORT0.000000000.00%0.53580.00000.000000
BEATUSDTSHORT0.000000000.00%0.12430.00000.000000
BNBUSDTSHORT0.000000000.00%691.67000.00000.000000
BTCUSDTSHORT0.000000000.00%78,549.60000.00000.000000
BTRUSDTSHORT0.000000000.00%0.09530.00000.000000
BTWUSDTSHORT0.000000000.00%0.40670.00000.000000
CRVUSDTSHORT0.000000000.00%0.33740.00000.000000
CYSUSDTSHORT0.000000000.00%0.62280.00000.000000
ENAUSDTSHORT0.000000000.00%0.14950.00000.000000
ERAUSDTSHORT0.000000000.00%0.06020.00000.000000
ETHUSDTSHORT0.000000000.00%2,466.52000.00000.000000
FILUSDTSHORT0.000000000.00%0.68200.00000.000000
GIGGLEUSDTSHORT0.000000000.00%38.16000.00000.000000
HYPEUSDTSHORT0.000000000.00%84.16900.00000.000000
LINKUSDTSHORT0.000000000.00%11.31500.00000.000000
ONDOUSDTSHORT0.000000000.00%0.34590.00000.000000
PUMPUSDTSHORT0.000000000.00%0.00440.00000.000000
RIVERUSDTSHORT0.000000000.00%1.42200.00000.000000
SOLUSDTSHORT0.000000000.00%102.99000.00000.000000
UAIUSDTSHORT0.000000000.00%0.37700.00000.000000
XAUTUSDTSHORT0.000000000.00%4,441.73000.00000.000000
ZECUSDTSHORT0.000000000.00%847.71000.00000.000000
ZKCUSDTSHORT0.000000000.00%0.05230.00000.000000

WARNINGS

Run Warnings

  • Derived standard-report view: immutable source artifacts are linked read-only; compatibility metadata is report-only.
  • Position rows are sparse fill-time audit records for this benchmark adapter; unchanged holdings are not expanded into synthetic minute snapshots.