done
This commit is contained in:
Dennis Thiessen
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"train_sharpe_not_worse": true,
|
||||
"test_sharpe_not_worse": true,
|
||||
"drawdown_not_worse": false,
|
||||
"retains_80pct_trades": true,
|
||||
"robust_expectancy_positive": true
|
||||
},
|
||||
"passed": 5,
|
||||
"total": 6,
|
||||
"advances": false
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "strength_1125_intersection",
|
||||
"config": {
|
||||
"name": "strength_1125_intersection",
|
||||
"mode": "intersection",
|
||||
"confirmations": [
|
||||
{
|
||||
"name": "strength_1125",
|
||||
"strength_scale": 1125.0
|
||||
}
|
||||
]
|
||||
},
|
||||
"candidates": 202765,
|
||||
"qualified": 1026,
|
||||
"qualified_net_avg_r": 0.206,
|
||||
"qualified_net_avg_r_ex_top5": 0.047,
|
||||
"full_book": {
|
||||
"sharpe": 2.0,
|
||||
"cagr_pct": 48.4,
|
||||
"max_drawdown_pct": 21.5,
|
||||
"trades": 316,
|
||||
"win_rate": 38.6,
|
||||
"avg_hold_days": 15.3,
|
||||
"skipped_book_full": 0
|
||||
},
|
||||
"holdout": {
|
||||
"train": {
|
||||
"sharpe": 1.2,
|
||||
"cagr_pct": 26.0,
|
||||
"max_drawdown_pct": 21.5,
|
||||
"trades": 173,
|
||||
"win_rate": 35.3,
|
||||
"avg_hold_days": 14.3,
|
||||
"skipped_book_full": 0
|
||||
},
|
||||
"test": {
|
||||
"sharpe": 2.82,
|
||||
"cagr_pct": 73.4,
|
||||
"max_drawdown_pct": 10.2,
|
||||
"trades": 146,
|
||||
"win_rate": 43.2,
|
||||
"avg_hold_days": 16.7,
|
||||
"skipped_book_full": 0
|
||||
}
|
||||
},
|
||||
"gtl_diagnostics": {
|
||||
"variant": "gtl_confirmation",
|
||||
"candidate_count": 202765,
|
||||
"primary_source_counts": {
|
||||
"pivot_point": 196290,
|
||||
"range_grid": 180036
|
||||
},
|
||||
"primary_round_only": 0,
|
||||
"primary_strength_100": 138596,
|
||||
"avg_primary_strength": 80.109,
|
||||
"avg_primary_distance_atr": 2.293,
|
||||
"avg_primary_rejection_count": 41.908,
|
||||
"avg_raw_level_count": 53.204,
|
||||
"avg_gate_level_count": 53.204,
|
||||
"avg_range_504_log": 0.612,
|
||||
"range_factor_pass": 19566,
|
||||
"structural_overlay_rows": 0,
|
||||
"structural_overlay_pass": 0,
|
||||
"structural_overlay_weight": null,
|
||||
"gtl_confirmation_rows": 202765,
|
||||
"gtl_confirmation_pass": 14845,
|
||||
"gtl_confirmation_tuned_additions": 0
|
||||
},
|
||||
"cohort_vs_control": {
|
||||
"retained": {
|
||||
"count": 1026,
|
||||
"net_avg_r": 0.2061,
|
||||
"net_avg_r_ex_top5": 0.0471
|
||||
},
|
||||
"added": {
|
||||
"count": 0,
|
||||
"net_avg_r": null,
|
||||
"net_avg_r_ex_top5": null
|
||||
},
|
||||
"removed": {
|
||||
"count": 60,
|
||||
"net_avg_r": 0.2517,
|
||||
"net_avg_r_ex_top5": 0.0922
|
||||
}
|
||||
},
|
||||
"description": "Require control confirmation at traffic-strength scale 1125.",
|
||||
"screen": {
|
||||
"checks": {
|
||||
"full_sharpe_not_worse": false,
|
||||
"train_sharpe_not_worse": false,
|
||||
"test_sharpe_not_worse": true,
|
||||
"drawdown_not_worse": false,
|
||||
"retains_80pct_trades": true,
|
||||
"robust_expectancy_positive": true
|
||||
},
|
||||
"passed": 3,
|
||||
"total": 6,
|
||||
"advances": false
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "strength_1250_intersection",
|
||||
"config": {
|
||||
"name": "strength_1250_intersection",
|
||||
"mode": "intersection",
|
||||
"confirmations": [
|
||||
{
|
||||
"name": "strength_1250",
|
||||
"strength_scale": 1250.0
|
||||
}
|
||||
]
|
||||
},
|
||||
"candidates": 202765,
|
||||
"qualified": 1025,
|
||||
"qualified_net_avg_r": 0.205,
|
||||
"qualified_net_avg_r_ex_top5": 0.046,
|
||||
"full_book": {
|
||||
"sharpe": 2.01,
|
||||
"cagr_pct": 49.0,
|
||||
"max_drawdown_pct": 21.5,
|
||||
"trades": 316,
|
||||
"win_rate": 38.6,
|
||||
"avg_hold_days": 15.4,
|
||||
"skipped_book_full": 0
|
||||
},
|
||||
"holdout": {
|
||||
"train": {
|
||||
"sharpe": 1.2,
|
||||
"cagr_pct": 26.0,
|
||||
"max_drawdown_pct": 21.5,
|
||||
"trades": 173,
|
||||
"win_rate": 35.3,
|
||||
"avg_hold_days": 14.3,
|
||||
"skipped_book_full": 0
|
||||
},
|
||||
"test": {
|
||||
"sharpe": 2.82,
|
||||
"cagr_pct": 74.9,
|
||||
"max_drawdown_pct": 11.7,
|
||||
"trades": 147,
|
||||
"win_rate": 42.9,
|
||||
"avg_hold_days": 16.7,
|
||||
"skipped_book_full": 0
|
||||
}
|
||||
},
|
||||
"gtl_diagnostics": {
|
||||
"variant": "gtl_confirmation",
|
||||
"candidate_count": 202765,
|
||||
"primary_source_counts": {
|
||||
"pivot_point": 196290,
|
||||
"range_grid": 180036
|
||||
},
|
||||
"primary_round_only": 0,
|
||||
"primary_strength_100": 138596,
|
||||
"avg_primary_strength": 80.109,
|
||||
"avg_primary_distance_atr": 2.293,
|
||||
"avg_primary_rejection_count": 41.908,
|
||||
"avg_raw_level_count": 53.204,
|
||||
"avg_gate_level_count": 53.204,
|
||||
"avg_range_504_log": 0.612,
|
||||
"range_factor_pass": 19566,
|
||||
"structural_overlay_rows": 0,
|
||||
"structural_overlay_pass": 0,
|
||||
"structural_overlay_weight": null,
|
||||
"gtl_confirmation_rows": 202765,
|
||||
"gtl_confirmation_pass": 14846,
|
||||
"gtl_confirmation_tuned_additions": 0
|
||||
},
|
||||
"cohort_vs_control": {
|
||||
"retained": {
|
||||
"count": 1025,
|
||||
"net_avg_r": 0.2054,
|
||||
"net_avg_r_ex_top5": 0.0463
|
||||
},
|
||||
"added": {
|
||||
"count": 0,
|
||||
"net_avg_r": null,
|
||||
"net_avg_r_ex_top5": null
|
||||
},
|
||||
"removed": {
|
||||
"count": 61,
|
||||
"net_avg_r": 0.2622,
|
||||
"net_avg_r_ex_top5": 0.0578
|
||||
}
|
||||
},
|
||||
"description": "Require control confirmation at traffic-strength scale 1250.",
|
||||
"screen": {
|
||||
"checks": {
|
||||
"full_sharpe_not_worse": false,
|
||||
"train_sharpe_not_worse": false,
|
||||
"test_sharpe_not_worse": true,
|
||||
"drawdown_not_worse": false,
|
||||
"retains_80pct_trades": true,
|
||||
"robust_expectancy_positive": true
|
||||
},
|
||||
"passed": 3,
|
||||
"total": 6,
|
||||
"advances": false
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "strength_1500_intersection",
|
||||
"config": {
|
||||
"name": "strength_1500_intersection",
|
||||
"mode": "intersection",
|
||||
"confirmations": [
|
||||
{
|
||||
"name": "strength_1500",
|
||||
"strength_scale": 1500.0
|
||||
}
|
||||
]
|
||||
},
|
||||
"candidates": 202765,
|
||||
"qualified": 1010,
|
||||
"qualified_net_avg_r": 0.188,
|
||||
"qualified_net_avg_r_ex_top5": 0.034,
|
||||
"full_book": {
|
||||
"sharpe": 2.03,
|
||||
"cagr_pct": 48.8,
|
||||
"max_drawdown_pct": 20.9,
|
||||
"trades": 313,
|
||||
"win_rate": 39.0,
|
||||
"avg_hold_days": 15.4,
|
||||
"skipped_book_full": 0
|
||||
},
|
||||
"holdout": {
|
||||
"train": {
|
||||
"sharpe": 1.28,
|
||||
"cagr_pct": 27.9,
|
||||
"max_drawdown_pct": 20.9,
|
||||
"trades": 171,
|
||||
"win_rate": 35.7,
|
||||
"avg_hold_days": 14.5,
|
||||
"skipped_book_full": 0
|
||||
},
|
||||
"test": {
|
||||
"sharpe": 2.79,
|
||||
"cagr_pct": 71.5,
|
||||
"max_drawdown_pct": 10.2,
|
||||
"trades": 145,
|
||||
"win_rate": 43.4,
|
||||
"avg_hold_days": 16.7,
|
||||
"skipped_book_full": 0
|
||||
}
|
||||
},
|
||||
"gtl_diagnostics": {
|
||||
"variant": "gtl_confirmation",
|
||||
"candidate_count": 202765,
|
||||
"primary_source_counts": {
|
||||
"pivot_point": 196290,
|
||||
"range_grid": 180036
|
||||
},
|
||||
"primary_round_only": 0,
|
||||
"primary_strength_100": 138596,
|
||||
"avg_primary_strength": 80.109,
|
||||
"avg_primary_distance_atr": 2.293,
|
||||
"avg_primary_rejection_count": 41.908,
|
||||
"avg_raw_level_count": 53.204,
|
||||
"avg_gate_level_count": 53.204,
|
||||
"avg_range_504_log": 0.612,
|
||||
"range_factor_pass": 19566,
|
||||
"structural_overlay_rows": 0,
|
||||
"structural_overlay_pass": 0,
|
||||
"structural_overlay_weight": null,
|
||||
"gtl_confirmation_rows": 202765,
|
||||
"gtl_confirmation_pass": 14866,
|
||||
"gtl_confirmation_tuned_additions": 0
|
||||
},
|
||||
"cohort_vs_control": {
|
||||
"retained": {
|
||||
"count": 1010,
|
||||
"net_avg_r": 0.1876,
|
||||
"net_avg_r_ex_top5": 0.0342
|
||||
},
|
||||
"added": {
|
||||
"count": 0,
|
||||
"net_avg_r": null,
|
||||
"net_avg_r_ex_top5": null
|
||||
},
|
||||
"removed": {
|
||||
"count": 76,
|
||||
"net_avg_r": 0.4876,
|
||||
"net_avg_r_ex_top5": 0.2554
|
||||
}
|
||||
},
|
||||
"description": "Require control confirmation at traffic-strength scale 1500.",
|
||||
"screen": {
|
||||
"checks": {
|
||||
"full_sharpe_not_worse": true,
|
||||
"train_sharpe_not_worse": true,
|
||||
"test_sharpe_not_worse": true,
|
||||
"drawdown_not_worse": true,
|
||||
"retains_80pct_trades": true,
|
||||
"robust_expectancy_positive": true
|
||||
},
|
||||
"passed": 6,
|
||||
"total": 6,
|
||||
"advances": true
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "strength_2000_intersection",
|
||||
"config": {
|
||||
"name": "strength_2000_intersection",
|
||||
"mode": "intersection",
|
||||
"confirmations": [
|
||||
{
|
||||
"name": "strength_2000",
|
||||
"strength_scale": 2000.0
|
||||
}
|
||||
]
|
||||
},
|
||||
"candidates": 202765,
|
||||
"qualified": 990,
|
||||
"qualified_net_avg_r": 0.174,
|
||||
"qualified_net_avg_r_ex_top5": 0.02,
|
||||
"full_book": {
|
||||
"sharpe": 1.95,
|
||||
"cagr_pct": 46.3,
|
||||
"max_drawdown_pct": 18.0,
|
||||
"trades": 313,
|
||||
"win_rate": 38.3,
|
||||
"avg_hold_days": 15.4,
|
||||
"skipped_book_full": 0
|
||||
},
|
||||
"holdout": {
|
||||
"train": {
|
||||
"sharpe": 1.23,
|
||||
"cagr_pct": 26.4,
|
||||
"max_drawdown_pct": 18.0,
|
||||
"trades": 170,
|
||||
"win_rate": 34.7,
|
||||
"avg_hold_days": 14.2,
|
||||
"skipped_book_full": 0
|
||||
},
|
||||
"test": {
|
||||
"sharpe": 2.68,
|
||||
"cagr_pct": 67.9,
|
||||
"max_drawdown_pct": 10.2,
|
||||
"trades": 146,
|
||||
"win_rate": 43.2,
|
||||
"avg_hold_days": 16.8,
|
||||
"skipped_book_full": 0
|
||||
}
|
||||
},
|
||||
"gtl_diagnostics": {
|
||||
"variant": "gtl_confirmation",
|
||||
"candidate_count": 202765,
|
||||
"primary_source_counts": {
|
||||
"pivot_point": 196290,
|
||||
"range_grid": 180036
|
||||
},
|
||||
"primary_round_only": 0,
|
||||
"primary_strength_100": 138596,
|
||||
"avg_primary_strength": 80.109,
|
||||
"avg_primary_distance_atr": 2.293,
|
||||
"avg_primary_rejection_count": 41.908,
|
||||
"avg_raw_level_count": 53.204,
|
||||
"avg_gate_level_count": 53.204,
|
||||
"avg_range_504_log": 0.612,
|
||||
"range_factor_pass": 19566,
|
||||
"structural_overlay_rows": 0,
|
||||
"structural_overlay_pass": 0,
|
||||
"structural_overlay_weight": null,
|
||||
"gtl_confirmation_rows": 202765,
|
||||
"gtl_confirmation_pass": 14873,
|
||||
"gtl_confirmation_tuned_additions": 0
|
||||
},
|
||||
"cohort_vs_control": {
|
||||
"retained": {
|
||||
"count": 990,
|
||||
"net_avg_r": 0.174,
|
||||
"net_avg_r_ex_top5": 0.0196
|
||||
},
|
||||
"added": {
|
||||
"count": 0,
|
||||
"net_avg_r": null,
|
||||
"net_avg_r_ex_top5": null
|
||||
},
|
||||
"removed": {
|
||||
"count": 96,
|
||||
"net_avg_r": 0.5661,
|
||||
"net_avg_r_ex_top5": 0.3608
|
||||
}
|
||||
},
|
||||
"description": "Require control confirmation at traffic-strength scale 2000.",
|
||||
"screen": {
|
||||
"checks": {
|
||||
"full_sharpe_not_worse": false,
|
||||
"train_sharpe_not_worse": false,
|
||||
"test_sharpe_not_worse": false,
|
||||
"drawdown_not_worse": true,
|
||||
"retains_80pct_trades": true,
|
||||
"robust_expectancy_positive": true
|
||||
},
|
||||
"passed": 3,
|
||||
"total": 6,
|
||||
"advances": false
|
||||
}
|
||||
}
|
||||
],
|
||||
"promotion_rule": "At least two adjacent non-control scales must pass all six original guardrails.",
|
||||
"control_parity": "pass",
|
||||
"completed_at": "2026-07-13T14:21:42.222381+00:00",
|
||||
"strength_1000_replication": "pass",
|
||||
"advancing_arms": [
|
||||
"strength_1500_intersection"
|
||||
],
|
||||
"stable_plateau_pairs": [],
|
||||
"stable_candidate": false,
|
||||
"ranking_by_full_sharpe": [
|
||||
"strength_1000_intersection",
|
||||
"strength_875_intersection",
|
||||
"control",
|
||||
"strength_750_intersection",
|
||||
"strength_1500_intersection",
|
||||
"strength_1250_intersection",
|
||||
"strength_1125_intersection",
|
||||
"strength_625_intersection",
|
||||
"strength_2000_intersection"
|
||||
]
|
||||
}
|
||||
@@ -0,0 +1,21 @@
|
||||
# GTL strength-confirmation sensitivity
|
||||
|
||||
Status: **complete**
|
||||
Holdout split: `2024-07-01`
|
||||
Completed arms: 9/9
|
||||
|
||||
| Arm | Qualified | Full Sharpe | CAGR | Max DD | Trades | Train Sharpe | Test Sharpe | Ex-top-5% R | Screen |
|
||||
|---|---:|---:|---:|---:|---:|---:|---:|---:|---:|
|
||||
| control | 1086 | 2.03 | 50.0 | 21.4 | 321 | 1.28 | 2.78 | 0.049 | 0/0 |
|
||||
| strength_625_intersection | 1070 | 1.96 | 47.6 | 21.4 | 318 | 1.22 | 2.71 | 0.047 | 3/6 |
|
||||
| strength_750_intersection | 1061 | 2.03 | 50.0 | 21.2 | 316 | 1.36 | 2.71 | 0.050 | 5/6 |
|
||||
| strength_875_intersection | 1044 | 2.04 | 49.7 | 21.2 | 316 | 1.31 | 2.77 | 0.051 | 5/6 |
|
||||
| strength_1000_intersection | 1037 | 2.06 | 50.7 | 21.7 | 316 | 1.30 | 2.82 | 0.054 | 5/6 |
|
||||
| strength_1125_intersection | 1026 | 2.00 | 48.4 | 21.5 | 316 | 1.20 | 2.82 | 0.047 | 3/6 |
|
||||
| strength_1250_intersection | 1025 | 2.01 | 49.0 | 21.5 | 316 | 1.20 | 2.82 | 0.046 | 3/6 |
|
||||
| strength_1500_intersection | 1010 | 2.03 | 48.8 | 20.9 | 313 | 1.28 | 2.79 | 0.034 | 6/6 |
|
||||
| strength_2000_intersection | 990 | 1.95 | 46.3 | 18.0 | 313 | 1.23 | 2.68 | 0.020 | 3/6 |
|
||||
|
||||
## Pre-registered interpretation
|
||||
|
||||
The six original guardrails remain unchanged. A stable candidate requires at least two adjacent non-control scales to pass all six; an isolated passing scale is rejected as sensitivity, not promoted.
|
||||
Reference in New Issue
Block a user