ORDER BOOK · ES_F
4892.2541212,418
4892.0028812,006
4891.7519611,718
4891.5014411,522
4891.259811,378
4891.00— mid —
4890.7512211,280
4890.5020811,158
4890.2531610,950
4890.0048810,634
4889.7537210,146
∂V/∂t + ½σ²S² ∂²V/∂S² + rS ∂V/∂S − rV = 0
[09:32:14] agent.alpha exploring factor.momentum_12_1
[09:32:14] agent.alpha ic 0.087 · ir 1.42 · turnover 18%
[09:32:15] agent.risk var(1d, 99%) = $214,820 ok
[09:32:15] agent.exec slippage_p95 = 0.42 bps ok
[09:32:16] model.gpt-q fine-tune step 04812 · loss 0.0024
[09:32:16] scheduler rebalancing 312 positions across 7 venues
[09:32:17] backtest sharpe 2.14 · max_dd 6.8% · cagr 38.2%
Σ portfolio $ 1,284,402,118
Δ pnl 24h + $ 4,218,802 + 0.328 %
sharpe ttm 2.14
vol annualized 14.6 %
beta SPX 0.21
positions 312 / 42 venues