{ "audit": { "as_of": "2026-08-10T07:02:46.583522Z", "bot": "bot1", "strategy": "VolatilityBreakoutRiskCap", "mode": "dry_run", "timeframe": "5m", "database": "/freqtrade/user_data/tradesv3-v5.sqlite", "database_access": "sqlite URI mode=ro", "remote_mutations": 0, "runtime_command_verified": true }, "runtime": { "dry_run_wallet": 1000.0, "tradable_balance_ratio": 0.99, "max_open_trades": 4, "stake_amount": "unlimited", "risk_fraction": 0.0075, "hard_stop_fraction": 0.05, "wallet_cap_fraction": 0.18, "leverage": 2.0, "all_time_realized_profit": 44.41772514, "current_unrealized_profit": -3.08120498, "all_time_total_profit": 41.33652016, "open_trade_ids": [47, 50], "open_trade_count": 2, "open_stake": 287.3439, "open_risk_at_hard_stop": 14.367195, "active_entry_or_exit_orders": 0, "active_protective_stop_orders": 2 }, "formulas": { "cash_denominator": "C0 = dry_run_wallet + sum(close_profit_abs where close_date < window_start)", "simple_monthly_return": "Rm = realized_profit_abs / C0 * 30 / window_days", "target_period_profit": "Ptarget = C0 * 0.15 * window_days / 30", "same_path_multiplier": "k = Ptarget / realized_profit_abs", "scaled_risk": "risk_scaled = 0.0075 * k", "hard_stop_margin_fraction": "margin_fraction = risk_scaled / 0.05", "unchanged_wallet_cap_multiplier": "k_cap = 0.18 / (0.0075 / 0.05) = 1.2", "cash_denominator_limit": "30d C0 is an exact realized-cash denominator, not historical mark-to-market equity; the database does not retain start-window unrealized PnL for carried-in positions" }, "windows": { "30d": { "start": "2026-07-11T07:02:46.583522Z", "end": "2026-08-10T07:02:46.583522Z", "days": 30, "cash_denominator": { "initial_wallet": 1000.0, "pre_window_closed_trade_count": 5, "pre_window_realized_profit": -9.0782592, "cash_at_start": 990.9217408 }, "realized": { "closed_trade_count": 42, "wins": 24, "losses": 18, "profit_abs": 53.49598434, "return_fraction": 0.053986084003779286, "monthly_return_fraction": 0.053986084003779286, "profit_factor": 1.3723127504051567, "max_drawdown_abs": 42.99701856, "max_drawdown_fraction": 0.04206836828396304 }, "cohorts": { "carried_in_closed_trade_count": 2, "carried_in_closed_profit": -2.73274672, "opened_and_closed_in_window_count": 40, "opened_and_closed_in_window_profit": 56.22873106, "current_open_count": 2, "current_open_unrealized_profit": -3.08120498 }, "orders": { "submitted_entry_denominator": 48, "filled_entry_orders_retained_in_database": 42, "zero_fill_deleted_entries_recovered_from_logs": 6, "partial_entry_orders": 0, "fill_fraction": 0.875 }, "target_15pct_monthly_realized": { "target_period_profit": 148.63826112, "required_stake_and_pnl_multiplier": 2.7784938057277735, "scaled_risk_fraction": 0.0208387035429583, "risk_budget_at_start_wallet": 20.649524390803364, "single_trade_margin_fraction_at_hard_stop": 0.41677407085916596, "projected_realized_max_drawdown_abs": 119.466949733722, "projected_realized_max_drawdown_fraction": 0.11087622776908353, "max_concurrent_trades_on_observed_path": 2, "max_concurrent_scaled_margin": 1173.454625743278, "max_margin_to_cash_fraction": 1.2327089477081077, "first_margin_infeasible_at": "2026-07-11T07:02:46.583522Z", "first_margin_infeasible_trade_ids": [3, 8], "carried_in_warning": "The first capital breach is caused by two pre-RiskCap carried-in positions, so it is not a pure current-RiskCap steady-state sample; the unchanged 18% per-trade cap independently blocks k above 1.2.", "maximum_monthly_return_with_unchanged_18pct_cap": 0.06478330080453514 }, "target_15pct_monthly_including_current_unrealized_approximation": { "end_total_pnl": 50.41477936, "required_multiplier": 2.948307282247719, "warning": "Not an exact equity return because start-window carried-in mark-to-market PnL is unavailable." } }, "45d": { "start": "2026-06-26T07:02:46.583522Z", "end": "2026-08-10T07:02:46.583522Z", "days": 45, "cash_denominator": { "initial_wallet": 1000.0, "pre_window_closed_trade_count": 0, "pre_window_realized_profit": 0.0, "cash_at_start": 1000.0, "is_exact_start_equity": true }, "realized": { "closed_trade_count": 47, "wins": 26, "losses": 21, "profit_abs": 44.41772514, "return_fraction": 0.04441772514, "monthly_return_fraction": 0.02961181676, "profit_factor": 1.2718092648581256, "max_drawdown_abs": 42.99701856, "max_drawdown_fraction": 0.042068368283963035 }, "orders": { "submitted_entry_denominator": 57, "filled_entry_orders_retained_in_database": 49, "zero_fill_deleted_entries_recovered_from_logs": 8, "partial_entry_orders": 0, "fill_fraction": 0.8596491228070176 }, "target_15pct_monthly_realized": { "target_period_profit": 225.0, "required_stake_and_pnl_multiplier": 5.0655453265745525, "scaled_risk_fraction": 0.037991589949309144, "risk_budget_at_start_wallet": 37.991589949309144, "single_trade_margin_fraction_at_hard_stop": 0.7598317989861828, "projected_realized_max_drawdown_abs": 217.80334642324715, "projected_realized_max_drawdown_fraction": 0.19589788172685313, "max_concurrent_trades_on_observed_path": 4, "max_concurrent_scaled_margin": 5003.100171149377, "max_margin_to_start_wallet_fraction": 5.003100171149377, "first_trade_scaled_margin": 1253.6677604376748, "first_trade_already_infeasible": true }, "target_15pct_monthly_including_current_unrealized": { "end_total_pnl": 41.33652016, "required_multiplier": 5.443128718360892 } } }, "liquidity": { "matched_entry_candles": 24, "total_database_entries": 49, "coverage_fraction": 0.4897959183673469, "coverage_limit": "The normal 5m datadir ends on 2026-07-23, so August entries cannot be assessed from it.", "binding_sample": { "trade_id": 17, "pair": "POWER/USDT:USDT", "entry_bar": "2026-07-18T09:05:00Z", "entry_bar_quote_volume": 9183.3256, "actual_stake": 176.349375, "actual_notional": 352.69875, "actual_participation_fraction_of_5m_bar": 0.03840642980142183, "scaled_30d_target_notional": 979.9712921629286, "scaled_30d_target_participation": 0.10671202730336912, "wallet_capacity_at_1pct_for_30d_target_risk": 110.17150828347933, "scaled_45d_target_notional": 1786.6115047511864, "scaled_45d_target_participation": 0.19454951099100595, "wallet_capacity_at_1pct_for_45d_target_risk": 60.42998998102602 } }, "candle_freshness": { "normal_datadir_all_12_pairs_present": true, "oldest_pair_latest_candle": "2026-07-23T11:05:00Z", "newest_pair_latest_candle": "2026-07-23T11:10:00Z", "lag_hours_at_audit": 427.96, "usable_for_backtest_through_2026_08_10": false, "recommendation": "Download 20260701-20260811 futures 5m and informative 1d into an isolated binance_recent_20260810 datadir; pass that datadir explicitly with --timeframe 5m --fee 0.00035 --cache none, and do not overwrite the production-normal datadir." }, "recent30_backtest_vs_live_database": { "backtest_archive": "artifacts/high-return-2026-08-10/recent30.zip", "backtest_strategy": "VolatilityBreakoutRiskCapMatchedBaseline", "backtest_timerange": { "start": "2026-07-10T00:00:00Z", "end": "2026-08-10T06:55:00Z" }, "live_database_cohort": { "definition": "42 trades with close_date in the exact trailing 30d window ending 2026-08-10T07:02:46.583522Z", "start": "2026-07-11T07:02:46.583522Z", "end": "2026-08-10T07:02:46.583522Z" }, "headline": { "backtest_trade_count": 42, "backtest_profit_abs": -61.28682067, "live_closed_trade_count": 42, "live_realized_profit_abs": 53.49598434, "profit_difference_live_minus_backtest": 114.78280501, "same_pair_and_5m_entry_count": 14, "same_pair_and_5m_entry_fraction": 0.3333333333333333, "count_equality_is_path_equality": false }, "first_divergence": { "backtest_first_entries": [ {"pair": "ETH/USDT:USDT", "time": "2026-07-10T00:35:00Z"}, {"pair": "DOGE/USDT:USDT", "time": "2026-07-10T00:35:00Z"} ], "live_positions_at_backtest_start": [ {"trade_id": 3, "pair": "BNB/USDT:USDT", "open_time": "2026-07-08T02:05:09.060420Z"}, {"trade_id": 8, "pair": "ADA/USDT:USDT", "open_time": "2026-07-09T16:30:10.115601Z"} ], "live_first_new_entry_after_backtest_start": { "trade_id": 9, "pair": "BTC/USDT:USDT", "time": "2026-07-11T15:40:09.075998Z" }, "classification": "STARTING_EXPOSURE_AND_SLOT_PATH_MISMATCH", "explanation": "The backtest starts flat and can accept ETH and DOGE shorts. Live already holds BNB and ADA shorts, filling the same-side limit of two, so those orders cannot share the same path. ADA closes at 15:02 on July 11 and live next enters BTC at 15:40. The slot path then cascades into different later accepted signals." }, "pair_counts": { "live": { "ADA/USDT:USDT": 2, "BNB/USDT:USDT": 2, "BTC/USDT:USDT": 4, "DOGE/USDT:USDT": 1, "EDGE/USDT:USDT": 8, "ETH/USDT:USDT": 2, "POWER/USDT:USDT": 6, "SOL/USDT:USDT": 1, "UNI/USDT:USDT": 4, "VANRY/USDT:USDT": 4, "XRP/USDT:USDT": 4, "ZEC/USDT:USDT": 4 }, "backtest": { "ADA/USDT:USDT": 1, "BNB/USDT:USDT": 5, "BTC/USDT:USDT": 5, "DOGE/USDT:USDT": 4, "EDGE/USDT:USDT": 8, "ETH/USDT:USDT": 4, "POWER/USDT:USDT": 5, "SOL/USDT:USDT": 1, "UNI/USDT:USDT": 4, "VANRY/USDT:USDT": 0, "XRP/USDT:USDT": 2, "ZEC/USDT:USDT": 3 } }, "attribution": { "same_pair_and_entry_live_profit": -17.42139191, "same_pair_and_entry_backtest_profit": -30.88943382, "same_pair_and_entry_difference": 13.46804191, "unmatched_live_profit": 70.91737625, "unmatched_backtest_profit": -30.39738685, "unmatched_path_difference": 101.3147631, "unmatched_path_share_of_total_difference": 0.8826649871, "interpretation": "About 88.3% of the PnL gap is cohort/order-path composition, not different sizing on the same 42 trades." }, "matched_trade_execution_discontinuity_example": { "pair": "EDGE/USDT:USDT", "entry_5m": "2026-07-14T18:20:00Z", "live": { "open_rate": 0.3938, "close_rate": 0.3896, "profit_abs": 2.56882972, "exit_reason": "trailing_stop_loss" }, "backtest": { "open_rate": 0.3927, "close_rate": 0.4025, "profit_abs": -6.46779876, "exit_reason": "stop_loss", "min_rate": 0.3834 }, "profit_difference": 9.03662848, "causal_inference": "The live short fill was about 0.28% higher/better. Against the same observed low near 0.3834, that difference can move leveraged MFE across the 5% trailing activation threshold; live activated trailing while the candle-model backtest did not and later hit the hard stop. This is a threshold/execution-model discontinuity, not proof of live alpha." }, "other_non_equivalences": [ "The live 42-trade cohort includes two carried-in positions opened before the trailing-30d start; the backtest starts flat.", "The backtest uses 2026-07-10 to 2026-08-10 06:55, while the database statistic uses the exact trailing window starting 2026-07-11 07:02:46.", "The live database spans historical deployed strategy labels VolatilityBreakoutV5, VolatilityBreakout, and VolatilityBreakoutRiskCap; the backtest reruns the current matched RiskCap baseline for the whole interval.", "The live denominator includes only closed trades and excludes currently open XRP #47 and BTC #50; the backtest closes remaining positions at its timerange end.", "Dry-run order-book fills and stop updates are event-driven; backtest uses candle-level fill and stop assumptions, so even identical 5m entries can cross trailing thresholds differently." ], "decision": "The recent30 archive is a valid current-code retrospective on its own assumptions, but it is not a replay of the database's 42 closed trades. Its -61.29 USDT must not be used to falsify the live +53.50 USDT, and the live +53.50 must not be used as expected backtest edge. A fair comparison requires identical start time and starting positions, or a flat-start post-liquidation cohort, plus an execution-aware replay." } }