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

Backtest Report

Run ID evt-c7bdf2892da257893f46be6c

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-rmcb-v1 / llmcs-rmcb-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-rmcb-v1
Factor Versionv1
Compute Intervalstrategy_specific
effort / ParameterXHigh
model / ParameterGrok 4.7
strategy_name / ParameterResidual Momentum-Carry Buffer
submission_id / Parametergrok-4.7-xhigh
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 NameGrok 4.7 XHigh — Residual Momentum-Carry Buffer
Run IDevt-c7bdf2892da257893f46be6c
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
Symbols99–100 ranked per minute / 100 maximum
Valid Factor CoverageN/A

METRICS

All Performance Metrics

Performance

Total Return-3.91%
Ending Equity96,088.0953
Maximum Drawdown-43.88%
Annualized Return-3.91%
Annualized Volatility47.93%
Sharpe Ratio0.1563
Sortino Ratio0.2231
Calmar Ratio-0.0892
Positive-period Rate49.88%
Observations525,601
Result Start2025-09-01T00:00:00Z
Result End2026-09-01T00:00:00Z

Risk & Exposure

Average Gross Exposure86.44%
Maximum Gross Exposure106.84%
Average Absolute Net Exposure4.08%
Maximum Absolute Net Exposure23.03%
Average Turnover0.05%
Maximum Turnover100.02%
Total Turnover270.0295

Return Attribution

Gross Price Contribution-65.02%
Fee Contribution13.50%
Actual Fee Deduction14,532.9719 USDT
Slippage Contribution5.40%
Actual Slippage Deduction5,813.1888 USDT
Funding Contribution91.41%
Net Contribution7.49%
Total Profit & Loss-3,911.9047 USDT
Maximum Identity Error1.301e-18

TRADES

Trade Details

Total Trades32200
Buy Trades14172
Sell Trades18028
Traded Symbols527
First Fill2025-09-01T00:01:00Z
Last Fill2026-09-01T00:00:00Z
Ending Positions23
Ending Position Time2026-09-01T00:00:00Z

Latest 10 Trades

Fill TimeSymbolSideOld WeightFilled WeightReferenceFillNormalized Notional
2026-09-01T00:00:00ZZROUSDTBUY-3.20%0.00%1.02701.02703,078.3190
2026-09-01T00:00:00ZZKPUSDTSELL2.82%0.00%0.04550.04552,713.9873
2026-09-01T00:00:00ZZENUSDTBUY-3.46%0.00%5.63805.63803,320.8041
2026-09-01T00:00:00ZXPLUSDTBUY-3.20%0.00%0.08380.08383,078.0029
2026-09-01T00:00:00ZUAIUSDTBUY-3.12%0.00%0.37700.37702,999.4823
2026-09-01T00:00:00ZTRXUSDTSELL3.14%0.00%0.33220.33223,020.5491
2026-09-01T00:00:00ZTRUMPUSDTSELL3.29%0.00%2.42202.42203,162.6624
2026-09-01T00:00:00ZSOLUSDTSELL3.22%0.00%102.9900102.99003,093.3263
2026-09-01T00:00:00ZSKRUSDTSELL3.68%0.00%0.02800.02803,533.0943
2026-09-01T00:00:00ZRIVERUSDTBUY-3.13%0.00%1.42201.42203,010.5151

POSITIONS

Ending Positions

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

SymbolPositionQuantityActual WeightMark PriceNormalized NotionalUnrealized PnL
1000PEPEUSDTSHORT0.000000000.00%0.00360.00000.000000
AKEUSDTSHORT0.000000000.00%0.00810.00000.000000
BCHUSDTSHORT0.000000000.00%246.99000.00000.000000
BEATUSDTSHORT0.000000000.00%0.12430.00000.000000
BICOUSDTSHORT0.000000000.00%0.02350.00000.000000
BNBUSDTSHORT0.000000000.00%691.67000.00000.000000
BTWUSDTSHORT0.000000000.00%0.40670.00000.000000
DASHUSDTSHORT0.000000000.00%44.86000.00000.000000
ETHUSDTSHORT0.000000000.00%2,466.52000.00000.000000
LINKUSDTSHORT0.000000000.00%11.31500.00000.000000
ONGUSDTSHORT0.000000000.00%0.08730.00000.000000
PENGUUSDTSHORT0.000000000.00%0.00870.00000.000000
PROMUSDTSHORT0.000000000.00%5.40900.00000.000000
RIVERUSDTSHORT0.000000000.00%1.42200.00000.000000
SKRUSDTSHORT0.000000000.00%0.02800.00000.000000
SOLUSDTSHORT0.000000000.00%102.99000.00000.000000
TRUMPUSDTSHORT0.000000000.00%2.42200.00000.000000
TRXUSDTSHORT0.000000000.00%0.33220.00000.000000
UAIUSDTSHORT0.000000000.00%0.37700.00000.000000
XPLUSDTSHORT0.000000000.00%0.08380.00000.000000
ZENUSDTSHORT0.000000000.00%5.63800.00000.000000
ZKPUSDTSHORT0.000000000.00%0.04550.00000.000000
ZROUSDTSHORT0.000000000.00%1.02700.00000.000000

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.