913 lines
25 KiB
JSON
913 lines
25 KiB
JSON
{
|
|
"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"
|
|
]
|
|
}
|