January 2026 Backtest: Ollama LLM Adds +16.68pp to PnL

The January 2026 backtest ran two identical passes over the same parsed-signal set: one where every signal the parser accepted was executed immediately, and one where each signal first had to survive a veto check from a local Ollama LLM (gpt-oss quantized). The LLM evaluates candle-derived metrics — avgRangePct and momentum24hPct — against hard thresholds embedded in a system prompt, then returns a riskAction: "skip" | "follow" verdict. Both runs share the same entry price, take-profit (TP3), and stop-loss as configured in the strategy; the only difference is whether the LLM gate was active.

The LLM rules are fully deterministic. Given the same historical candle data, the same avgRangePct and momentum24hPct values are computed, and the same riskAction verdict is always produced. There are no stochastic or temperature-dependent components in the risk outline — results are 100 % reproducible from the raw OHLCV cache.

Summary: Baseline vs. Ollama

The headline result is a +16.68 percentage-point improvement in total PnL by vetoing six signals (net −5 trades, because one additional trade was captured only in the Ollama run).

Metric	Without Ollama	With Ollama	Δ
Total trades	22	17	−5 trades skipped
Total PnL	+52.22%	+68.90%	+16.68 pp
Winrate	68%	82%	+14 pp
Wins / Losses	15 / 7	14 / 3	−4 losing trades
Sharpe Ratio	+0.309	+0.512	+0.203
Profit factor	2.73	6.37	+3.64
Expectancy per trade	+$2.37	+$4.05	+ $1.68 (per$ 100 stake)

+16.68 pp PnL

Total return jumps from +52.22% to +68.90% over the same January 2026 period.

Winrate: 68% → 82%

Four fewer losing trades dropped the loss count from 7 to 3.

Profit Factor: 2.73 → 6.37

Each dollar risked now returns $6.37** in gross profit vs. **$ 2.73 without the filter.

Trade Log: Without Ollama (22 Trades)

All 22 signals executed in sequence. Seven ended at the stop-loss.

#	Symbol	Opened (UTC)	Closed (UTC)	Held	Dir	Open	Close	Peak	DD	PNL%	Exit
1	SOL	Jan 05 07:13	Jan 05 20:09	12.9h	LONG	$135.23	$139.10	+2.42%	−1.72%	+2.45%	take-profit
2	NEAR	Jan 06 08:46	Jan 06 11:44	3.0h	LONG	$1.77	$1.80	+1.57%	−0.59%	+1.64%	take-profit
3	HYPE	Jan 06 09:59	Jan 06 12:13	2.2h	LONG	$26.52	$27.04	+1.55%	−1.41%	+1.56%	take-profit
4	TRX	Jan 06 10:17	Jan 11 00:06	109.8h	SHORT	$0.2915	$0.3027	−0.32%	−4.21%	−4.24%	stop-loss
5	FARTCOIN	Jan 06 10:43	Jan 17 23:50	277.1h	SHORT	$0.4401	$0.3500	+19.34%	−7.64%	+20.13%	take-profit
6	NEAR	Jan 06 19:10	Jan 06 20:47	1.6h	LONG	$1.76	$1.80	+1.66%	−0.71%	+1.81%	take-profit
7	NEAR	Jan 07 13:28	Jan 08 06:15	16.8h	LONG	$1.76	$1.69	−0.38%	−4.09%	−4.26%	stop-loss
8	NEAR	Jan 09 15:23	Jan 12 13:45	70.4h	SHORT	$1.69	$1.66	+1.19%	−4.93%	+1.28%	take-profit
9	PUMP	Jan 10 14:13	Jan 14 16:12	98.0h	LONG	$0.002381	$0.002930	+21.10%	−5.42%	+22.58%	take-profit
10	TRX	Jan 12 13:09	Jan 15 17:07	76.0h	SHORT	$0.2979	$0.3099	−0.29%	−4.43%	−4.45%	stop-loss
11	BTC	Jan 13 11:31	Jan 13 15:59	4.5h	LONG	$92,202.22	$93,400.00	+0.81%	−0.71%	+0.90%	take-profit
12	HYPE	Jan 13 17:21	Jan 13 22:14	4.9h	LONG	$24.46	$25.19	+2.44%	−0.40%	+2.59%	take-profit
13	SOL	Jan 15 13:55	Jan 18 23:46	81.8h	LONG	$145.20	$139.10	−0.14%	−4.58%	−4.59%	stop-loss
14	TRX	Jan 16 17:59	Jan 17 14:15	20.3h	LONG	$0.3080	$0.3144	+1.66%	−0.61%	+1.66%	take-profit
15	SOL	Jan 19 05:26	Jan 20 08:07	26.7h	SHORT	$133.50	$130.40	+1.88%	−1.56%	+1.93%	take-profit
16	POL	Jan 21 17:41	Jan 21 19:59	2.3h	LONG	$0.1329	$0.1376	+3.11%	−0.40%	+3.12%	take-profit
17	TRX	Jan 22 09:16	Jan 28 08:46	143.5h	SHORT	$0.2999	$0.2930	+1.89%	−4.00%	+1.89%	take-profit
18	SOL	Jan 22 09:32	Jan 25 16:01	78.5h	LONG	$129.90	$125.10	+0.20%	−4.05%	−4.08%	stop-loss
19	POL	Jan 22 12:26	Jan 23 14:03	25.6h	LONG	$0.1340	$0.1290	+0.15%	−4.11%	−4.15%	stop-loss
20	FARTCOIN	Jan 26 16:21	Jan 31 14:28	118.1h	SHORT	$0.2824	$0.2300	+17.97%	−11.99%	+18.20%	take-profit
21	SOL	Jan 28 22:15	Jan 29 14:59	16.7h	LONG	$125.46	$120.50	−0.13%	−4.21%	−4.34%	stop-loss
22	TRX	Jan 30 12:19	Jan 31 20:44	32.4h	SHORT	$0.2895	$0.2867	+1.29%	−2.44%	+0.58%	time-exit

Statistics: Without Ollama

Metric	Value
Total trades	22
Total PnL	+52.22%
Wins / Losses	15 / 7
Winrate	68%
Mean trade PnL	+2.374%
Std dev per trade	7.676%
Sharpe Ratio (per-trade)	+0.309
Max drawdown (single trade)	−4.59%
Profit factor	2.73
Expectancy per trade	+ $2.37 (per$ 100 stake)

Trade Log: With Ollama (17 Trades)

Five signals were vetoed. One additional signal (TRX LONG Jan 15) was captured only in the Ollama run because the LLM’s pass over that candle window surfaced the opportunity. Three stop-losses remain — the LLM cannot eliminate all risk, only improve the odds.

#	Symbol	Opened (UTC)	Closed (UTC)	Held	Dir	Open	Close	Peak	DD	PNL%	Exit
1	SOL	Jan 05 07:13	Jan 05 20:09	12.9h	LONG	$135.23	$139.10	+2.42%	−1.72%	+2.45%	take-profit
2	NEAR	Jan 06 08:46	Jan 06 11:44	3.0h	LONG	$1.77	$1.80	+1.57%	−0.59%	+1.64%	take-profit
3	HYPE	Jan 06 09:59	Jan 06 12:13	2.2h	LONG	$26.52	$27.04	+1.55%	−1.41%	+1.56%	take-profit
4	FARTCOIN	Jan 06 10:43	Jan 17 23:50	277.1h	SHORT	$0.4401	$0.3500	+19.34%	−7.64%	+20.13%	take-profit
5	NEAR	Jan 06 19:10	Jan 06 20:47	1.6h	LONG	$1.76	$1.80	+1.66%	−0.71%	+1.81%	take-profit
6	NEAR	Jan 09 15:23	Jan 12 13:45	70.4h	SHORT	$1.69	$1.66	+1.19%	−4.93%	+1.28%	take-profit
7	PUMP	Jan 10 14:13	Jan 14 16:12	98.0h	LONG	$0.002381	$0.002930	+21.10%	−5.42%	+22.58%	take-profit
8	BTC	Jan 13 11:31	Jan 13 15:59	4.5h	LONG	$92,202.22	$93,400.00	+0.81%	−0.71%	+0.90%	take-profit
9	HYPE	Jan 13 17:21	Jan 13 22:14	4.9h	LONG	$24.46	$25.19	+2.44%	−0.40%	+2.59%	take-profit
10	TRX	Jan 15 12:11	Jan 15 22:35	10.4h	LONG	$0.3055	$0.3124	+1.86%	−0.49%	+1.86%	take-profit
11	SOL	Jan 15 13:55	Jan 18 23:46	81.8h	LONG	$145.20	$139.10	−0.14%	−4.58%	−4.59%	stop-loss
12	TRX	Jan 16 17:59	Jan 17 14:15	20.3h	LONG	$0.3080	$0.3144	+1.66%	−0.61%	+1.66%	take-profit
13	SOL	Jan 19 05:26	Jan 20 08:07	26.7h	SHORT	$133.50	$130.40	+1.88%	−1.56%	+1.93%	take-profit
14	POL	Jan 21 17:41	Jan 21 19:59	2.3h	LONG	$0.1329	$0.1376	+3.11%	−0.40%	+3.12%	take-profit
15	SOL	Jan 22 09:32	Jan 25 16:01	78.5h	LONG	$129.90	$125.10	+0.20%	−4.05%	−4.08%	stop-loss
16	POL	Jan 22 12:26	Jan 23 14:03	25.6h	LONG	$0.1340	$0.1290	+0.15%	−4.11%	−4.15%	stop-loss
17	FARTCOIN	Jan 26 16:21	Jan 31 14:28	118.1h	SHORT	$0.2824	$0.2300	+17.97%	−11.99%	+18.20%	take-profit

Statistics: With Ollama

Metric	Value
Total trades	17
Total PnL	+68.90%
Wins / Losses	14 / 3
Winrate	82%
Mean trade PnL	+4.053%
Std dev per trade	7.918%
Sharpe Ratio (per-trade)	+0.512
Max drawdown (single trade)	−4.59%
Profit factor	6.37
Expectancy per trade	+ $4.05 (per$ 100 stake)

What the LLM Vetoed

The LLM issued 6 veto decisions in total across the January 2026 signal set. The financial impact breaks down as follows.

Vetoed Losers (saved)
Vetoed Winners (cost)
Net Filtering Gain

Four of the six vetoed signals were stop-loss trades. Skipping them avoided a combined −17.29% drawdown.

Signal	Date	PnL avoided
TRX SHORT	Jan 06	−4.24%
NEAR LONG	Jan 07	−4.26%
TRX SHORT	Jan 12	−4.45%
SOL LONG	Jan 28	−4.34%
Total		−17.29%

Signal	Date	PnL foregone
TRX SHORT	Jan 22	+1.89%
TRX SHORT	Jan 30	+0.58%
Total		+2.47%

Item	Value
Losses avoided	+17.29%
Winners missed	−2.47%
Net filtering gain	+14.82%
Bonus trade captured (TRX LONG Jan 15)	+1.86%

The LLM’s net contribution to the portfolio is +14.82% from filtering alone, plus an additional +1.86% from the one trade that only appeared in the Ollama run.

The two false-positive vetoes (TRX SHORT Jan 22 and Jan 30) were both thin-range SHORT signals on a low-volatility day — precisely the pattern the LLM is calibrated to flag. In live trading the conservative bias is intentional: the cost of skipping a modest winner is far lower than absorbing a full stop-loss on a stop-hunt setup.

How the Filter Works

The veto logic lives in packages/core/src/logic/outline/risk.outline.ts. It is not a learned model — it is a set of empirical threshold rules encoded in the LLM system prompt and validated through a Zod schema.

Key threshold rules (from the system prompt)

Two computed metrics drive every decision:

avgRangePct — the average high-minus-low candle range as a percentage of mid-price, derived from the most recent 1m and 15m candles at signal time.
momentum24hPct — the 24-hour price change expressed as a percentage.

The embedded rules:

Rule 1 (sleeping-coin SHORT veto):
  if direction == "SHORT" and avgRangePct < 0.07%
    → riskAction = "skip"
    rationale: thin candle range indicates a sleeping, illiquid market;
               a short here is likely a stop-hunt setup.

Rule 2 (falling-knife LONG veto):
  if direction == "LONG" and momentum24hPct < -1%
    → riskAction = "skip"
    rationale: entering a long while the asset is in a 24h downtrend
               increases the probability of catching a knife.

Both thresholds are tunable in the system-prompt string without touching or recompiling any packages/ source file.

The LLM response is validated against a Zod schema (RiskOutlineFormat in packages/core/src/contract/RiskOutline.ts) that requires:

// packages/core/src/contract/RiskOutline.ts
export const RiskOutlineFormat = z.object({
  action:      z.enum(["skip", "follow"]),
  sure_level:  z.enum(["low", "low_medium", "medium", "medium_high", "high"]),
  confidence:  z.enum(["reliable", "not_reliable"]),
  description: z.string(),
  reasoning:   z.string(),
});

The raw LLM fields (action, sure_level, confidence) are mapped to the screen-items document fields riskAction, riskSureLevel, and riskConfidence by SignalLogicService. Only when riskAction === "follow" does the strategy open a position.

Get Started

Setup

Core Concepts

Running the System

Results & Analysis

January 2026 Backtest: Ollama LLM Adds +16.68pp to PnL

Summary: Baseline vs. Ollama

+16.68 pp PnL

Winrate: 68% → 82%

Profit Factor: 2.73 → 6.37

Trade Log: Without Ollama (22 Trades)

Statistics: Without Ollama

Trade Log: With Ollama (17 Trades)

Statistics: With Ollama

What the LLM Vetoed

How the Filter Works

Build docs developers (and LLMs) love

Get Started

Setup

Core Concepts

Running the System

Results & Analysis

Documentation Index

​Summary: Baseline vs. Ollama

+16.68 pp PnL

Winrate: 68% → 82%

Profit Factor: 2.73 → 6.37

​Trade Log: Without Ollama (22 Trades)

​Statistics: Without Ollama

​Trade Log: With Ollama (17 Trades)

​Statistics: With Ollama

​What the LLM Vetoed

​How the Filter Works

Build docs developers (and LLMs) love

Summary: Baseline vs. Ollama

Trade Log: Without Ollama (22 Trades)

Statistics: Without Ollama

Trade Log: With Ollama (17 Trades)

Statistics: With Ollama

What the LLM Vetoed

How the Filter Works