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

Backtest Report

Run ID evt-ed4f9aeb18febee2690b12d4

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-tfcr-v1 / llmcs-tfcr-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-tfcr-v1
Factor Versionv1
Compute Intervalstrategy_specific
effort / ParameterMax
model / ParameterClaude Fable 5.1
strategy_name / ParameterTrailing-Funding Carry Reversal
submission_id / Parameterclaude-fable-5.1-max
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 NameClaude Fable 5.1 Max — Trailing-Funding Carry Reversal
Run IDevt-ed4f9aeb18febee2690b12d4
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
Symbols100–100 ranked per minute / 100 maximum
Valid Factor CoverageN/A

METRICS

All Performance Metrics

Performance

Total Return-38.69%
Ending Equity61,307.9788
Maximum Drawdown-49.03%
Annualized Return-38.71%
Annualized Volatility25.89%
Sharpe Ratio-1.7620
Sortino Ratio-2.5027
Calmar Ratio-0.7896
Positive-period Rate50.01%
Observations525,601
Result Start2025-09-01T00:00:00Z
Result End2026-09-01T00:00:00Z

Risk & Exposure

Average Gross Exposure99.90%
Maximum Gross Exposure106.94%
Average Absolute Net Exposure0.49%
Maximum Absolute Net Exposure18.25%
Average Turnover0.10%
Maximum Turnover100.02%
Total Turnover538.5375

Return Attribution

Gross Price Contribution-107.57%
Fee Contribution26.93%
Actual Fee Deduction21,065.7215 USDT
Slippage Contribution10.77%
Actual Slippage Deduction8,426.2886 USDT
Funding Contribution99.69%
Net Contribution-45.58%
Total Profit & Loss-38,692.0212 USDT
Maximum Identity Error4.337e-19

TRADES

Trade Details

Total Trades115847
Buy Trades57880
Sell Trades57967
Traded Symbols569
First Fill2025-09-01T00:01:00Z
Last Fill2026-09-01T00:00:00Z
Ending Positions39
Ending Position Time2026-09-01T00:00:00Z

Latest 10 Trades

Fill TimeSymbolSideOld WeightFilled WeightReferenceFillNormalized Notional
2026-09-01T00:00:00Z龙虾USDTBUY-1.04%0.00%0.06280.0628636.7482
2026-09-01T00:00:00ZZORAUSDTSELL1.05%0.00%0.00880.0088645.0958
2026-09-01T00:00:00ZZKPUSDTSELL1.27%0.00%0.04550.0455779.4788
2026-09-01T00:00:00ZZKCUSDTSELL1.03%0.00%0.05230.0523631.4652
2026-09-01T00:00:00ZXPLUSDTBUY-3.55%0.00%0.08380.08382,178.9692
2026-09-01T00:00:00ZXMRUSDTBUY-3.98%0.00%522.1300522.13002,438.1419
2026-09-01T00:00:00ZWLFIUSDTBUY-4.93%0.00%0.05750.05753,020.3756
2026-09-01T00:00:00ZWLDUSDTSELL2.82%0.00%0.36470.36471,731.3683
2026-09-01T00:00:00ZWIFUSDTBUY-2.90%0.00%0.19710.19711,776.7299
2026-09-01T00:00:00ZUAIUSDTBUY-1.96%0.00%0.37700.37701,198.9198

POSITIONS

Ending Positions

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

SymbolPositionQuantityActual WeightMark PriceNormalized NotionalUnrealized PnL
4USDTSHORT0.000000000.00%0.01350.00000.000000
ACEUSDTSHORT0.000000000.00%0.16730.00000.000000
AKEUSDTSHORT0.000000000.00%0.00810.00000.000000
ANIMEUSDTSHORT0.000000000.00%0.00290.00000.000000
APTUSDTSHORT0.000000000.00%0.53580.00000.000000
AUCTIONUSDTSHORT0.000000000.00%3.39400.00000.000000
BEATUSDTSHORT0.000000000.00%0.12430.00000.000000
BICOUSDTSHORT0.000000000.00%0.02350.00000.000000
BLESSUSDTSHORT0.000000000.00%0.01040.00000.000000
BNBUSDTSHORT0.000000000.00%691.67000.00000.000000
BTRUSDTSHORT0.000000000.00%0.09530.00000.000000
BTWUSDTSHORT0.000000000.00%0.40670.00000.000000
CLOUSDTSHORT0.000000000.00%0.14070.00000.000000
CRVUSDTSHORT0.000000000.00%0.33740.00000.000000
DASHUSDTSHORT0.000000000.00%44.86000.00000.000000
DOTUSDTSHORT0.000000000.00%0.83980.00000.000000
ERAUSDTSHORT0.000000000.00%0.06020.00000.000000
FARTCOINUSDTSHORT0.000000000.00%0.17590.00000.000000
FETUSDTSHORT0.000000000.00%0.15350.00000.000000
FILUSDTSHORT0.000000000.00%0.68200.00000.000000
FLOCKUSDTSHORT0.000000000.00%0.04050.00000.000000
GRAMUSDTSHORT0.000000000.00%1.38700.00000.000000
LITUSDTSHORT0.000000000.00%3.56390.00000.000000
MAGMAUSDTSHORT0.000000000.00%0.36200.00000.000000
NEARUSDTSHORT0.000000000.00%1.92100.00000.000000
PENGUUSDTSHORT0.000000000.00%0.00870.00000.000000
RIVERUSDTSHORT0.000000000.00%1.42200.00000.000000
SOLUSDTSHORT0.000000000.00%102.99000.00000.000000
TUTUSDTSHORT0.000000000.00%0.03020.00000.000000
UAIUSDTSHORT0.000000000.00%0.37700.00000.000000
WIFUSDTSHORT0.000000000.00%0.19710.00000.000000
WLDUSDTSHORT0.000000000.00%0.36470.00000.000000
WLFIUSDTSHORT0.000000000.00%0.05750.00000.000000
XMRUSDTSHORT0.000000000.00%522.13000.00000.000000
XPLUSDTSHORT0.000000000.00%0.08380.00000.000000
ZKCUSDTSHORT0.000000000.00%0.05230.00000.000000
ZKPUSDTSHORT0.000000000.00%0.04550.00000.000000
ZORAUSDTSHORT0.000000000.00%0.00880.00000.000000
龙虾USDTSHORT0.000000000.00%0.06280.00000.000000

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.