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Dennis Thiessen
2026-07-13 08:18:40 +02:00
parent 87e01e260b
commit f8e1107851
4 changed files with 246611 additions and 792 deletions
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reports/backtest-sr-v2-validation-legacy_range_grid_neutral.json
+246002
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reports/backtest-sr-v2-validation-production_control.json
+1 -1
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@@ -1,5 +1,5 @@
{ {
"generated_at": "2026-07-12T21:07:35.078188+00:00", "generated_at": "2026-07-13T06:16:02.999956+00:00",
"tickers": 506, "tickers": 506,
"candidates": 83534, "candidates": 83534,
"qualified": 410, "qualified": 410,
reports/sr-v2-validation-cohorts.csv
+589 -772
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reports/sr-v2-validation-comparison.json
+19 -19
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@@ -1,25 +1,25 @@
{ {
"control_report": "/Users/taathde3/git/lab/signal_platform/reports/backtest-sr-v2-validation-production_control.json", "control_report": "/Users/taathde3/git/lab/signal_platform/reports/backtest-sr-v2-validation-production_control.json",
"variant_report": "/Users/taathde3/git/lab/signal_platform/reports/backtest-sr-v2-validation-rr_aligned_control.json", "variant_report": "/Users/taathde3/git/lab/signal_platform/reports/backtest-sr-v2-validation-legacy_range_grid_neutral.json",
"control_variant": "production_control", "control_variant": "production_control",
"variant": "rr_aligned_control", "variant": "legacy_range_grid_neutral",
"retained": { "retained": {
"count": 410, "count": 193,
"net_avg_r": 0.1742, "net_avg_r": 0.23,
"net_avg_r_ex_top5": 0.0219, "net_avg_r_ex_top5": 0.0924,
"hold30_avg_r": 0.6363 "hold30_avg_r": 0.7591
}, },
"added": { "added": {
"count": 362, "count": 179,
"net_avg_r": -0.0433, "net_avg_r": 0.1223,
"net_avg_r_ex_top5": -0.2028, "net_avg_r_ex_top5": -0.0191,
"hold30_avg_r": 0.254 "hold30_avg_r": 0.4528
}, },
"removed": { "removed": {
"count": 0, "count": 217,
"net_avg_r": null, "net_avg_r": 0.1318,
"net_avg_r_ex_top5": null, "net_avg_r_ex_top5": -0.0093,
"hold30_avg_r": null "hold30_avg_r": 0.527
}, },
"control_book": { "control_book": {
"sharpe": 2.78, "sharpe": 2.78,
@@ -29,10 +29,10 @@
"skipped_book_full": 0 "skipped_book_full": 0
}, },
"variant_book": { "variant_book": {
"sharpe": 1.32, "sharpe": 1.85,
"cagr_pct": 33.1, "cagr_pct": 43.2,
"max_drawdown_pct": 18.4, "max_drawdown_pct": 15.2,
"trades": 201, "trades": 154,
"skipped_book_full": 80 "skipped_book_full": 0
} }
} }