From 39acf2280885b84116088bb1e38d73265b87a5b9 Mon Sep 17 00:00:00 2001 From: Dennis Thiessen Date: Mon, 13 Jul 2026 16:22:30 +0200 Subject: [PATCH] done --- ...est-20260713-gtl-strength-sensitivity.json | 912 ++++++++++++++++++ ...ktest-20260713-gtl-strength-sensitivity.md | 21 + 2 files changed, 933 insertions(+) create mode 100644 reports/backtest-20260713-gtl-strength-sensitivity.json create mode 100644 reports/backtest-20260713-gtl-strength-sensitivity.md diff --git a/reports/backtest-20260713-gtl-strength-sensitivity.json b/reports/backtest-20260713-gtl-strength-sensitivity.json new file mode 100644 index 0000000..93399df --- /dev/null +++ b/reports/backtest-20260713-gtl-strength-sensitivity.json @@ -0,0 +1,912 @@ +{ + "status": "complete", + "generated_at": "2026-07-13T13:48:09.363544+00:00", + "snapshot": "/Users/taathde3/git/lab/signal_platform/backtest_snapshots/prod.sqlite", + "workers": 12, + "holdout_split": "2024-07-01", + "arm_count": 9, + "strength_scales": [ + 625.0, + 750.0, + 875.0, + 1000.0, + 1125.0, + 1250.0, + 1500.0, + 2000.0 + ], + "arms": [ + { + "name": "control", + "config": { + "name": "control", + "mode": "intersection", + "confirmations": [] + }, + "candidates": 202765, + "qualified": 1086, + "qualified_net_avg_r": 0.209, + "qualified_net_avg_r_ex_top5": 0.049, + "full_book": { + "sharpe": 2.03, + "cagr_pct": 50.0, + "max_drawdown_pct": 21.4, + "trades": 321, + "win_rate": 37.4, + "avg_hold_days": 15.3, + "skipped_book_full": 0 + }, + "holdout": { + "train": { + "sharpe": 1.28, + "cagr_pct": 28.8, + "max_drawdown_pct": 21.4, + "trades": 175, + "win_rate": 33.7, + "avg_hold_days": 14.2, + "skipped_book_full": 0 + }, + "test": { + "sharpe": 2.78, + "cagr_pct": 73.3, + "max_drawdown_pct": 11.7, + "trades": 150, + "win_rate": 42.0, + "avg_hold_days": 16.6, + "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": 202765, + "gtl_confirmation_tuned_additions": 0 + }, + "cohort_vs_control": null, + "description": "Frozen GTL composition-path parity control.", + "screen": { + "checks": {}, + "passed": 0, + "total": 0, + "advances": false + } + }, + { + "name": "strength_625_intersection", + "config": { + "name": "strength_625_intersection", + "mode": "intersection", + "confirmations": [ + { + "name": "strength_625", + "strength_scale": 625.0 + } + ] + }, + "candidates": 202765, + "qualified": 1070, + "qualified_net_avg_r": 0.206, + "qualified_net_avg_r_ex_top5": 0.047, + "full_book": { + "sharpe": 1.96, + "cagr_pct": 47.6, + "max_drawdown_pct": 21.4, + "trades": 318, + "win_rate": 37.7, + "avg_hold_days": 15.4, + "skipped_book_full": 0 + }, + "holdout": { + "train": { + "sharpe": 1.22, + "cagr_pct": 27.1, + "max_drawdown_pct": 21.4, + "trades": 173, + "win_rate": 34.1, + "avg_hold_days": 14.3, + "skipped_book_full": 0 + }, + "test": { + "sharpe": 2.71, + "cagr_pct": 70.3, + "max_drawdown_pct": 11.7, + "trades": 149, + "win_rate": 42.3, + "avg_hold_days": 16.6, + "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": 14682, + "gtl_confirmation_tuned_additions": 0 + }, + "cohort_vs_control": { + "retained": { + "count": 1070, + "net_avg_r": 0.2063, + "net_avg_r_ex_top5": 0.0468 + }, + "added": { + "count": 0, + "net_avg_r": null, + "net_avg_r_ex_top5": null + }, + "removed": { + "count": 16, + "net_avg_r": 0.3605, + "net_avg_r_ex_top5": 0.2131 + } + }, + "description": "Require control confirmation at traffic-strength scale 625.", + "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 + } + }, + { + "name": "strength_750_intersection", + "config": { + "name": "strength_750_intersection", + "mode": "intersection", + "confirmations": [ + { + "name": "strength_750", + "strength_scale": 750.0 + } + ] + }, + "candidates": 202765, + "qualified": 1061, + "qualified_net_avg_r": 0.209, + "qualified_net_avg_r_ex_top5": 0.05, + "full_book": { + "sharpe": 2.03, + "cagr_pct": 50.0, + "max_drawdown_pct": 21.2, + "trades": 316, + "win_rate": 38.6, + "avg_hold_days": 15.5, + "skipped_book_full": 0 + }, + "holdout": { + "train": { + "sharpe": 1.36, + "cagr_pct": 31.0, + "max_drawdown_pct": 21.2, + "trades": 171, + "win_rate": 35.7, + "avg_hold_days": 14.6, + "skipped_book_full": 0 + }, + "test": { + "sharpe": 2.71, + "cagr_pct": 70.3, + "max_drawdown_pct": 11.7, + "trades": 149, + "win_rate": 42.3, + "avg_hold_days": 16.6, + "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": 14738, + "gtl_confirmation_tuned_additions": 0 + }, + "cohort_vs_control": { + "retained": { + "count": 1061, + "net_avg_r": 0.2095, + "net_avg_r_ex_top5": 0.0499 + }, + "added": { + "count": 0, + "net_avg_r": null, + "net_avg_r_ex_top5": null + }, + "removed": { + "count": 25, + "net_avg_r": 0.1722, + "net_avg_r_ex_top5": -0.0891 + } + }, + "description": "Require control confirmation at traffic-strength scale 750.", + "screen": { + "checks": { + "full_sharpe_not_worse": true, + "train_sharpe_not_worse": true, + "test_sharpe_not_worse": false, + "drawdown_not_worse": true, + "retains_80pct_trades": true, + "robust_expectancy_positive": true + }, + "passed": 5, + "total": 6, + "advances": false + } + }, + { + "name": "strength_875_intersection", + "config": { + "name": "strength_875_intersection", + "mode": "intersection", + "confirmations": [ + { + "name": "strength_875", + "strength_scale": 875.0 + } + ] + }, + "candidates": 202765, + "qualified": 1044, + "qualified_net_avg_r": 0.21, + "qualified_net_avg_r_ex_top5": 0.051, + "full_book": { + "sharpe": 2.04, + "cagr_pct": 49.7, + "max_drawdown_pct": 21.2, + "trades": 316, + "win_rate": 38.3, + "avg_hold_days": 15.4, + "skipped_book_full": 0 + }, + "holdout": { + "train": { + "sharpe": 1.31, + "cagr_pct": 28.8, + "max_drawdown_pct": 21.2, + "trades": 171, + "win_rate": 35.1, + "avg_hold_days": 14.3, + "skipped_book_full": 0 + }, + "test": { + "sharpe": 2.77, + "cagr_pct": 72.6, + "max_drawdown_pct": 11.7, + "trades": 149, + "win_rate": 42.3, + "avg_hold_days": 16.6, + "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": 14787, + "gtl_confirmation_tuned_additions": 0 + }, + "cohort_vs_control": { + "retained": { + "count": 1044, + "net_avg_r": 0.2103, + "net_avg_r_ex_top5": 0.0506 + }, + "added": { + "count": 0, + "net_avg_r": null, + "net_avg_r_ex_top5": null + }, + "removed": { + "count": 42, + "net_avg_r": 0.1665, + "net_avg_r_ex_top5": -0.0502 + } + }, + "description": "Require control confirmation at traffic-strength scale 875.", + "screen": { + "checks": { + "full_sharpe_not_worse": true, + "train_sharpe_not_worse": true, + "test_sharpe_not_worse": false, + "drawdown_not_worse": true, + "retains_80pct_trades": true, + "robust_expectancy_positive": true + }, + "passed": 5, + "total": 6, + "advances": false + } + }, + { + "name": "strength_1000_intersection", + "config": { + "name": "strength_1000_intersection", + "mode": "intersection", + "confirmations": [ + { + "name": "strength_1000", + "strength_scale": 1000.0 + } + ] + }, + "candidates": 202765, + "qualified": 1037, + "qualified_net_avg_r": 0.212, + "qualified_net_avg_r_ex_top5": 0.054, + "full_book": { + "sharpe": 2.06, + "cagr_pct": 50.7, + "max_drawdown_pct": 21.7, + "trades": 316, + "win_rate": 38.6, + "avg_hold_days": 15.5, + "skipped_book_full": 0 + }, + "holdout": { + "train": { + "sharpe": 1.3, + "cagr_pct": 28.7, + "max_drawdown_pct": 21.7, + "trades": 173, + "win_rate": 35.3, + "avg_hold_days": 14.4, + "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": 14821, + "gtl_confirmation_tuned_additions": 0 + }, + "cohort_vs_control": { + "retained": { + "count": 1037, + "net_avg_r": 0.2118, + "net_avg_r_ex_top5": 0.0536 + }, + "added": { + "count": 0, + "net_avg_r": null, + "net_avg_r_ex_top5": null + }, + "removed": { + "count": 49, + "net_avg_r": 0.1417, + "net_avg_r_ex_top5": -0.0437 + } + }, + "description": "Require control confirmation at traffic-strength scale 1000.", + "screen": { + "checks": { + "full_sharpe_not_worse": true, + "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" + ] +} diff --git a/reports/backtest-20260713-gtl-strength-sensitivity.md b/reports/backtest-20260713-gtl-strength-sensitivity.md new file mode 100644 index 0000000..f32eee0 --- /dev/null +++ b/reports/backtest-20260713-gtl-strength-sensitivity.md @@ -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.