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Dennis Thiessen
2026-07-18 16:57:19 +02:00
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reports/execution_recovery_matrix.json
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}
}
reports/execution_recovery_matrix.md
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# Execution recovery matrix — 2026-07-18T16:56:10.007302
Validation split: **2024-07-01**. N for DSR: **4**.
| arm | window | Sharpe | SE | CAGR | MaxDD | trades | gap/drift |
|---|---|---:|---:|---:|---:|---:|---|
| close_control | train | 1.75 | 0.675 | 49.8 | 17.9 | 240 | — |
| close_control | validation | 1.68 | 0.716 | 41.6 | 20.9 | 239 | — |
| close_control | full | 1.77 | 0.496 | 48.3 | 21.6 | 472 | — |
| next_open | train | 0.94 | 0.688 | 22.2 | 18.1 | 260 | mean -0.063% n=260 |
| next_open | validation | 1.44 | 0.719 | 36.3 | 28.2 | 243 | mean -0.519% n=243 |
| next_open | full | 1.2 | 0.504 | 30.0 | 28.2 | 502 | mean -0.2566% n=502 |
| stale_close | train | 1.36 | 0.685 | 34.8 | 17.0 | 246 | mean -0.3836% n=246 |
| stale_close | validation | 1.74 | 0.702 | 43.3 | 21.6 | 234 | mean -0.5217% n=234 |
| stale_close | full | 1.57 | 0.5 | 40.6 | 21.8 | 483 | mean -0.4799% n=483 |
| next_open_gap2 | train | 0.72 | 0.686 | 15.5 | 21.5 | 274 | mean -0.4245% n=274; gap_skips=146 |
| next_open_gap2 | validation | 1.41 | 0.715 | 34.3 | 28.2 | 251 | mean -0.7233% n=251; gap_skips=116 |
| next_open_gap2 | full | 1.06 | 0.502 | 25.2 | 27.8 | 523 | mean -0.5565% n=523; gap_skips=262 |
## Recovery decision (stale_close)
- **recover: False** — stale_close does not meet recovery criteria — see flags
- flags: {'near_close_control': True, 'beats_next_open': True, 'train_ok': False, 'validation_delta_vs_close': 0.06, 'validation_delta_vs_next_open': 0.3, 'half_se': 0.358}