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

回测报告

运行编号evt-ed4f9aeb18febee2690b12d4

配置区间[2025-09-01T00:00:00+00:00, 2026-09-01T00:00:00+00:00)
数据集BFBT-event-llm-cs-202509-202608-v1

PRIMARY WORKSPACE

净值走势与时点审计

账户权益 事件 已选择
曲线
成交
持仓
审计点

SNAPSHOT

事件与持仓记录

每笔成交均保留；成交点显示完整账本中真实相邻时点的受影响持仓状态。

持仓变化

快照时点

关联成交

精确成交时刻

FACTOR

因子说明

llmcs-tfcr-v1 / llmcs-tfcr-v1

该因子尚未提供中文说明，请在因子注册信息中补充。

因子公式 未在因子注册表中提供 / Not documented in factor registry

因子参数

因子标识llmcs-tfcr-v1
因子版本v1
计算频率strategy_specific
effort / ParameterMax
model / ParameterClaude Fable 5.1
strategy_name / ParameterTrailing-Funding Carry Reversal
submission_id / Parameterclaude-fable-5.1-max
截面预处理无

EXECUTION

信号、下单与持仓

按照配置选择多空合约；暂无

1仅用已收盘数据计算因子
Closed bars only
2在合格合约中截面排序
Rank eligible symbols
3下一根开盘执行调仓
Fill at next bar open
4标记估值并计入全部成本
Mark and charge costs

完整执行参数

组合与下单规则按照配置选择多空合约；暂无
因子计算频率strategy_specific
调仓频率strategy_specific
基础 K 线1m
信号延迟1 根基础 K 线
成交位置next_minute_open
目标总敞口暂无
目标净敞口暂无
杠杆上限1.0
手续费fixed_bps；taker 5.00 bps
滑点fixed_bps；2.00 bps
资金费率启用；缺失策略：fail_held_required
持仓估值latest_completed_trade_close
账本结束时间2026-09-01T00:00:00Z

持仓会持续到后续调仓将目标权重改为零或反向。当前引擎在回测边界不会 额外生成强制平仓交易；期末持仓是最后估值时刻仍在账面的持仓。

OVERVIEW

数据与运行概览

运行名称Claude Fable 5.1 Max — Trailing-Funding Carry Reversal
正式运行 IDevt-ed4f9aeb18febee2690b12d4
数据集BFBT-event-llm-cs-202509-202608-v1
数据版本a49846e623dee5ef16cebe28a48a12e384c07582237a782eeef311208ab75e96
市场binance / usd_m_futures / perpetual
计价与保证金USDT / USDT
配置回测区间[2025-09-01T00:00:00+00:00, 2026-09-01T00:00:00+00:00)
实际账本区间2025-09-01T00:00:00Z → 2026-09-01T00:00:00Z
区间语义left_closed_right_open_plus_terminal_execution
时区UTC
执行模式chunked_event
来源矩阵研究暂无
逐时点等价审计not requested
合约数量100–100 ranked per minute / 100 maximum
有效因子覆盖暂无

METRICS

全部表现指标

表现指标

总收益率-38.69%
期末净值61,307.9788
最大回撤-49.03%
年化收益率-38.71%
年化波动率25.89%
夏普比率-1.7620
索提诺比率-2.5027
卡玛比率-0.7896
正收益周期占比50.01%
观测数量525,601
结果开始时间2025-09-01T00:00:00Z
结果结束时间2026-09-01T00:00:00Z

风险与敞口

平均总敞口99.90%
最大总敞口106.94%
平均绝对净敞口0.49%
最大绝对净敞口18.25%
平均换手率0.10%
最大换手率100.02%
累计换手538.5375

收益归因

价格收益贡献-107.57%
手续费拖累26.93%
手续费实际扣除21,065.7215 USDT
滑点拖累10.77%
滑点实际扣除8,426.2886 USDT
资金费率贡献99.69%
净收益贡献-45.58%
总盈利/亏损-38,692.0212 USDT
收益恒等式最大误差4.337e-19

TRADES

成交详情

成交总数115847
买入57880
卖出57967
交易合约数569
第一笔成交2025-09-01T00:01:00Z
最后一笔成交2026-09-01T00:00:00Z
期末持仓数39
期末估值时刻2026-09-01T00:00:00Z

最近十笔成交

成交时间合约方向原权重成交后权重参考价成交价标准化名义价值
2026-09-01T00:00:00Z龙虾USDT买入-1.04%0.00%0.06280.0628636.7482
2026-09-01T00:00:00ZZORAUSDT卖出1.05%0.00%0.00880.0088645.0958
2026-09-01T00:00:00ZZKPUSDT卖出1.27%0.00%0.04550.0455779.4788
2026-09-01T00:00:00ZZKCUSDT卖出1.03%0.00%0.05230.0523631.4652
2026-09-01T00:00:00ZXPLUSDT买入-3.55%0.00%0.08380.08382,178.9692
2026-09-01T00:00:00ZXMRUSDT买入-3.98%0.00%522.1300522.13002,438.1419
2026-09-01T00:00:00ZWLFIUSDT买入-4.93%0.00%0.05750.05753,020.3756
2026-09-01T00:00:00ZWLDUSDT卖出2.82%0.00%0.36470.36471,731.3683
2026-09-01T00:00:00ZWIFUSDT买入-2.90%0.00%0.19710.19711,776.7299
2026-09-01T00:00:00ZUAIUSDT买入-1.96%0.00%0.37700.37701,198.9198

POSITIONS

期末持仓

最后估值时刻仍在账面的持仓；没有额外执行强制平仓。

合约方向数量实际权重标记价格标准化名义价值未实现盈亏
4USDT空头0.000000000.00%0.01350.00000.000000
ACEUSDT空头0.000000000.00%0.16730.00000.000000
AKEUSDT空头0.000000000.00%0.00810.00000.000000
ANIMEUSDT空头0.000000000.00%0.00290.00000.000000
APTUSDT空头0.000000000.00%0.53580.00000.000000
AUCTIONUSDT空头0.000000000.00%3.39400.00000.000000
BEATUSDT空头0.000000000.00%0.12430.00000.000000
BICOUSDT空头0.000000000.00%0.02350.00000.000000
BLESSUSDT空头0.000000000.00%0.01040.00000.000000
BNBUSDT空头0.000000000.00%691.67000.00000.000000
BTRUSDT空头0.000000000.00%0.09530.00000.000000
BTWUSDT空头0.000000000.00%0.40670.00000.000000
CLOUSDT空头0.000000000.00%0.14070.00000.000000
CRVUSDT空头0.000000000.00%0.33740.00000.000000
DASHUSDT空头0.000000000.00%44.86000.00000.000000
DOTUSDT空头0.000000000.00%0.83980.00000.000000
ERAUSDT空头0.000000000.00%0.06020.00000.000000
FARTCOINUSDT空头0.000000000.00%0.17590.00000.000000
FETUSDT空头0.000000000.00%0.15350.00000.000000
FILUSDT空头0.000000000.00%0.68200.00000.000000
FLOCKUSDT空头0.000000000.00%0.04050.00000.000000
GRAMUSDT空头0.000000000.00%1.38700.00000.000000
LITUSDT空头0.000000000.00%3.56390.00000.000000
MAGMAUSDT空头0.000000000.00%0.36200.00000.000000
NEARUSDT空头0.000000000.00%1.92100.00000.000000
PENGUUSDT空头0.000000000.00%0.00870.00000.000000
RIVERUSDT空头0.000000000.00%1.42200.00000.000000
SOLUSDT空头0.000000000.00%102.99000.00000.000000
TUTUSDT空头0.000000000.00%0.03020.00000.000000
UAIUSDT空头0.000000000.00%0.37700.00000.000000
WIFUSDT空头0.000000000.00%0.19710.00000.000000
WLDUSDT空头0.000000000.00%0.36470.00000.000000
WLFIUSDT空头0.000000000.00%0.05750.00000.000000
XMRUSDT空头0.000000000.00%522.13000.00000.000000
XPLUSDT空头0.000000000.00%0.08380.00000.000000
ZKCUSDT空头0.000000000.00%0.05230.00000.000000
ZKPUSDT空头0.000000000.00%0.04550.00000.000000
ZORAUSDT空头0.000000000.00%0.00880.00000.000000
龙虾USDT空头0.000000000.00%0.06280.00000.000000

WARNINGS

运行警告

  • 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.