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

Backtest Report

Run ID evt-498d8f170a3ee9272dbbb66c

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-tcmr-v1 / llmcs-tcmr-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-tcmr-v1
Factor Versionv1
Compute Intervalstrategy_specific
effort / ParameterMax
model / ParameterKimi K3
strategy_name / ParameterTri-Blend Carry-Momentum-Reversal
submission_id / Parameterkimi-k3-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 NameKimi K3 Max — Tri-Blend Carry-Momentum-Reversal
Run IDevt-498d8f170a3ee9272dbbb66c
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-47.06%
Ending Equity52,944.2520
Maximum Drawdown-53.15%
Annualized Return-47.08%
Annualized Volatility36.73%
Sharpe Ratio-1.5488
Sortino Ratio-2.2157
Calmar Ratio-0.8858
Positive-period Rate49.65%
Observations525,601
Result Start2025-09-01T00:00:00Z
Result End2026-09-01T00:00:00Z

Risk & Exposure

Average Gross Exposure51.29%
Maximum Gross Exposure114.79%
Average Absolute Net Exposure0.38%
Maximum Absolute Net Exposure7.33%
Average Turnover0.10%
Maximum Turnover100.05%
Total Turnover535.4585

Return Attribution

Gross Price Contribution-102.73%
Fee Contribution26.77%
Actual Fee Deduction20,980.8152 USDT
Slippage Contribution10.71%
Actual Slippage Deduction8,392.3261 USDT
Funding Contribution83.35%
Net Contribution-56.85%
Total Profit & Loss-47,055.7480 USDT
Maximum Identity Error8.674e-19

TRADES

Trade Details

Total Trades53600
Buy Trades28205
Sell Trades25395
Traded Symbols575
First Fill2025-09-01T00:01:00Z
Last Fill2026-09-01T00:00:00Z
Ending Positions20
Ending Position Time2026-09-01T00:00:00Z

Latest 10 Trades

Fill TimeSymbolSideOld WeightFilled WeightReferenceFillNormalized Notional
2026-09-01T00:00:00ZZKPUSDTSELL2.46%0.00%0.04550.04551,302.0640
2026-09-01T00:00:00ZZKCUSDTSELL2.45%0.00%0.05230.05231,295.2955
2026-09-01T00:00:00ZXMRUSDTBUY-2.50%0.00%522.1300522.13001,323.1636
2026-09-01T00:00:00ZWLDUSDTSELL2.52%0.00%0.36470.36471,332.7505
2026-09-01T00:00:00ZUAIUSDTBUY-2.48%0.00%0.37700.37701,312.6453
2026-09-01T00:00:00ZTRXUSDTSELL2.50%0.00%0.33220.33221,323.0873
2026-09-01T00:00:00ZTRUMPUSDTSELL2.50%0.00%2.42202.42201,324.5346
2026-09-01T00:00:00ZTNSRUSDTSELL2.50%0.00%0.03590.03591,321.3733
2026-09-01T00:00:00ZONGUSDTSELL2.41%0.00%0.08730.08731,274.8268
2026-09-01T00:00:00ZHEMIUSDTBUY-2.49%0.00%0.01600.01601,316.4012

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
ARBUSDTSHORT0.000000000.00%0.10940.00000.000000
AUCTIONUSDTSHORT0.000000000.00%3.39400.00000.000000
BCHUSDTSHORT0.000000000.00%246.99000.00000.000000
BTWUSDTSHORT0.000000000.00%0.40670.00000.000000
CLOUSDTSHORT0.000000000.00%0.14070.00000.000000
DOGSUSDTSHORT0.000000000.00%0.00000.00000.000000
ERAUSDTSHORT0.000000000.00%0.06020.00000.000000
FARTCOINUSDTSHORT0.000000000.00%0.17590.00000.000000
HBARUSDTSHORT0.000000000.00%0.07360.00000.000000
HEMIUSDTSHORT0.000000000.00%0.01600.00000.000000
ONGUSDTSHORT0.000000000.00%0.08730.00000.000000
TNSRUSDTSHORT0.000000000.00%0.03590.00000.000000
TRUMPUSDTSHORT0.000000000.00%2.42200.00000.000000
TRXUSDTSHORT0.000000000.00%0.33220.00000.000000
UAIUSDTSHORT0.000000000.00%0.37700.00000.000000
WLDUSDTSHORT0.000000000.00%0.36470.00000.000000
XMRUSDTSHORT0.000000000.00%522.13000.00000.000000
ZKCUSDTSHORT0.000000000.00%0.05230.00000.000000
ZKPUSDTSHORT0.000000000.00%0.04550.00000.000000

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.