Files
signal-platform/reports/backtest-20260713-gtl-tuning-matrix.json
2026-07-13 14:07:42 +02:00

2012 lines
55 KiB
JSON

{
"status": "complete",
"generated_at": "2026-07-13T11:23:35.612125+00:00",
"snapshot": "/Users/taathde3/git/lab/signal_platform/backtest_snapshots/prod.sqlite",
"workers": 12,
"holdout_split": "2024-07-01",
"arm_count": 20,
"arms": [
{
"name": "control",
"config": {
"lookback_bars": null,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.005,
"strength_scale": 500.0,
"zone_tolerance": 0.02,
"candidate_limit": 5,
"max_target_atr": null,
"name": "control"
},
"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_tuning",
"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
},
"cohort_vs_control": null,
"description": "Frozen explicit GTL defaults.",
"screen": {
"checks": {},
"passed": 0,
"total": 0,
"advances": false
}
},
{
"name": "lookback_252",
"config": {
"lookback_bars": 252,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.005,
"strength_scale": 500.0,
"zone_tolerance": 0.02,
"candidate_limit": 5,
"max_target_atr": null,
"name": "lookback_252"
},
"candidates": 199236,
"qualified": 593,
"qualified_net_avg_r": 0.283,
"qualified_net_avg_r_ex_top5": 0.152,
"full_book": {
"sharpe": 1.43,
"cagr_pct": 26.0,
"max_drawdown_pct": 22.8,
"trades": 241,
"win_rate": 36.9,
"avg_hold_days": 15.0,
"skipped_book_full": 7
},
"holdout": {
"train": {
"sharpe": 0.78,
"cagr_pct": 12.6,
"max_drawdown_pct": 22.8,
"trades": 128,
"win_rate": 35.2,
"avg_hold_days": 14.9,
"skipped_book_full": 0
},
"test": {
"sharpe": 2.07,
"cagr_pct": 40.2,
"max_drawdown_pct": 12.6,
"trades": 113,
"win_rate": 38.9,
"avg_hold_days": 15.1,
"skipped_book_full": 7
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 199236,
"primary_source_counts": {
"pivot_point": 189817,
"range_grid": 193502
},
"primary_round_only": 0,
"primary_strength_100": 142393,
"avg_primary_strength": 83.036,
"avg_primary_distance_atr": 2.201,
"avg_primary_rejection_count": 26.089,
"avg_raw_level_count": 35.534,
"avg_gate_level_count": 35.534,
"avg_range_504_log": 0.607,
"range_factor_pass": 19045,
"structural_overlay_rows": 0,
"structural_overlay_pass": 0,
"structural_overlay_weight": null
},
"cohort_vs_control": {
"retained": {
"count": 332,
"net_avg_r": 0.2614,
"net_avg_r_ex_top5": 0.1227
},
"added": {
"count": 261,
"net_avg_r": 0.3103,
"net_avg_r_ex_top5": 0.1845
},
"removed": {
"count": 754,
"net_avg_r": 0.2014,
"net_avg_r_ex_top5": 0.0316
}
},
"description": "One-year GTL history.",
"screen": {
"checks": {
"full_sharpe_not_worse": false,
"train_sharpe_not_worse": false,
"test_sharpe_not_worse": false,
"drawdown_not_worse": false,
"retains_80pct_trades": false,
"robust_expectancy_positive": true
},
"passed": 1,
"total": 6,
"advances": false
}
},
{
"name": "lookback_504",
"config": {
"lookback_bars": 504,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.005,
"strength_scale": 500.0,
"zone_tolerance": 0.02,
"candidate_limit": 5,
"max_target_atr": null,
"name": "lookback_504"
},
"candidates": 202556,
"qualified": 870,
"qualified_net_avg_r": 0.203,
"qualified_net_avg_r_ex_top5": 0.055,
"full_book": {
"sharpe": 1.75,
"cagr_pct": 38.8,
"max_drawdown_pct": 21.4,
"trades": 289,
"win_rate": 37.4,
"avg_hold_days": 14.9,
"skipped_book_full": 30
},
"holdout": {
"train": {
"sharpe": 1.32,
"cagr_pct": 28.6,
"max_drawdown_pct": 21.4,
"trades": 171,
"win_rate": 34.5,
"avg_hold_days": 14.0,
"skipped_book_full": 0
},
"test": {
"sharpe": 2.2,
"cagr_pct": 48.9,
"max_drawdown_pct": 11.4,
"trades": 120,
"win_rate": 41.7,
"avg_hold_days": 16.3,
"skipped_book_full": 30
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 202556,
"primary_source_counts": {
"pivot_point": 194957,
"range_grid": 188683
},
"primary_round_only": 0,
"primary_strength_100": 140722,
"avg_primary_strength": 81.123,
"avg_primary_distance_atr": 2.248,
"avg_primary_rejection_count": 34.874,
"avg_raw_level_count": 45.439,
"avg_gate_level_count": 45.439,
"avg_range_504_log": 0.609,
"range_factor_pass": 19344,
"structural_overlay_rows": 0,
"structural_overlay_pass": 0,
"structural_overlay_weight": null
},
"cohort_vs_control": {
"retained": {
"count": 717,
"net_avg_r": 0.2191,
"net_avg_r_ex_top5": 0.0714
},
"added": {
"count": 153,
"net_avg_r": 0.1268,
"net_avg_r_ex_top5": -0.0247
},
"removed": {
"count": 369,
"net_avg_r": 0.2249,
"net_avg_r_ex_top5": 0.0467
}
},
"description": "Two-year GTL history.",
"screen": {
"checks": {
"full_sharpe_not_worse": false,
"train_sharpe_not_worse": true,
"test_sharpe_not_worse": false,
"drawdown_not_worse": true,
"retains_80pct_trades": true,
"robust_expectancy_positive": true
},
"passed": 4,
"total": 6,
"advances": false
}
},
{
"name": "lookback_756",
"config": {
"lookback_bars": 756,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.005,
"strength_scale": 500.0,
"zone_tolerance": 0.02,
"candidate_limit": 5,
"max_target_atr": null,
"name": "lookback_756"
},
"candidates": 202997,
"qualified": 1033,
"qualified_net_avg_r": 0.17,
"qualified_net_avg_r_ex_top5": 0.013,
"full_book": {
"sharpe": 1.6,
"cagr_pct": 36.4,
"max_drawdown_pct": 21.4,
"trades": 318,
"win_rate": 35.8,
"avg_hold_days": 15.1,
"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": 1.81,
"cagr_pct": 40.4,
"max_drawdown_pct": 11.4,
"trades": 144,
"win_rate": 38.2,
"avg_hold_days": 16.2,
"skipped_book_full": 0
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 202997,
"primary_source_counts": {
"pivot_point": 196209,
"range_grid": 183679
},
"primary_round_only": 0,
"primary_strength_100": 139717,
"avg_primary_strength": 80.592,
"avg_primary_distance_atr": 2.273,
"avg_primary_rejection_count": 39.305,
"avg_raw_level_count": 50.819,
"avg_gate_level_count": 50.819,
"avg_range_504_log": 0.611,
"range_factor_pass": 19491,
"structural_overlay_rows": 0,
"structural_overlay_pass": 0,
"structural_overlay_weight": null
},
"cohort_vs_control": {
"retained": {
"count": 949,
"net_avg_r": 0.19,
"net_avg_r_ex_top5": 0.0317
},
"added": {
"count": 84,
"net_avg_r": -0.0558,
"net_avg_r_ex_top5": -0.2232
},
"removed": {
"count": 137,
"net_avg_r": 0.3309,
"net_avg_r_ex_top5": 0.1628
}
},
"description": "Three-year GTL history.",
"screen": {
"checks": {
"full_sharpe_not_worse": false,
"train_sharpe_not_worse": true,
"test_sharpe_not_worse": false,
"drawdown_not_worse": true,
"retains_80pct_trades": true,
"robust_expectancy_positive": true
},
"passed": 4,
"total": 6,
"advances": false
}
},
{
"name": "candidates_8",
"config": {
"lookback_bars": null,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.005,
"strength_scale": 500.0,
"zone_tolerance": 0.02,
"candidate_limit": 8,
"max_target_atr": null,
"name": "candidates_8"
},
"candidates": 202765,
"qualified": 1045,
"qualified_net_avg_r": 0.189,
"qualified_net_avg_r_ex_top5": 0.024,
"full_book": {
"sharpe": 1.91,
"cagr_pct": 44.5,
"max_drawdown_pct": 18.9,
"trades": 320,
"win_rate": 37.5,
"avg_hold_days": 15.2,
"skipped_book_full": 0
},
"holdout": {
"train": {
"sharpe": 1.44,
"cagr_pct": 32.6,
"max_drawdown_pct": 18.9,
"trades": 170,
"win_rate": 35.3,
"avg_hold_days": 14.6,
"skipped_book_full": 0
},
"test": {
"sharpe": 2.39,
"cagr_pct": 55.5,
"max_drawdown_pct": 10.3,
"trades": 154,
"win_rate": 40.3,
"avg_hold_days": 15.9,
"skipped_book_full": 0
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 202765,
"primary_source_counts": {
"pivot_point": 196292,
"range_grid": 179878
},
"primary_round_only": 0,
"primary_strength_100": 138377,
"avg_primary_strength": 80.113,
"avg_primary_distance_atr": 2.279,
"avg_primary_rejection_count": 41.888,
"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
},
"cohort_vs_control": {
"retained": {
"count": 1034,
"net_avg_r": 0.1868,
"net_avg_r_ex_top5": 0.0224
},
"added": {
"count": 11,
"net_avg_r": 0.4325,
"net_avg_r_ex_top5": 0.2377
},
"removed": {
"count": 52,
"net_avg_r": 0.9709,
"net_avg_r_ex_top5": 0.857
}
},
"description": "Retain up to eight candidates before probability.",
"screen": {
"checks": {
"full_sharpe_not_worse": false,
"train_sharpe_not_worse": true,
"test_sharpe_not_worse": false,
"drawdown_not_worse": true,
"retains_80pct_trades": true,
"robust_expectancy_positive": true
},
"passed": 4,
"total": 6,
"advances": false
}
},
{
"name": "candidates_all",
"config": {
"lookback_bars": null,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.005,
"strength_scale": 500.0,
"zone_tolerance": 0.02,
"candidate_limit": null,
"max_target_atr": null,
"name": "candidates_all"
},
"candidates": 202765,
"qualified": 1004,
"qualified_net_avg_r": 0.155,
"qualified_net_avg_r_ex_top5": 0.014,
"full_book": {
"sharpe": 1.74,
"cagr_pct": 39.0,
"max_drawdown_pct": 18.9,
"trades": 322,
"win_rate": 37.0,
"avg_hold_days": 15.2,
"skipped_book_full": 0
},
"holdout": {
"train": {
"sharpe": 1.15,
"cagr_pct": 23.8,
"max_drawdown_pct": 18.9,
"trades": 173,
"win_rate": 34.7,
"avg_hold_days": 14.6,
"skipped_book_full": 0
},
"test": {
"sharpe": 2.31,
"cagr_pct": 54.6,
"max_drawdown_pct": 10.3,
"trades": 153,
"win_rate": 39.9,
"avg_hold_days": 16.0,
"skipped_book_full": 0
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 202765,
"primary_source_counts": {
"pivot_point": 196351,
"range_grid": 179648
},
"primary_round_only": 0,
"primary_strength_100": 137597,
"avg_primary_strength": 80.06,
"avg_primary_distance_atr": 2.245,
"avg_primary_rejection_count": 41.795,
"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
},
"cohort_vs_control": {
"retained": {
"count": 991,
"net_avg_r": 0.1573,
"net_avg_r_ex_top5": 0.0166
},
"added": {
"count": 13,
"net_avg_r": 0.0134,
"net_avg_r_ex_top5": -0.1839
},
"removed": {
"count": 95,
"net_avg_r": 0.7774,
"net_avg_r_ex_top5": 0.5033
}
},
"description": "Score every eligible target before primary selection.",
"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": "max_atr_5_5",
"config": {
"lookback_bars": null,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.005,
"strength_scale": 500.0,
"zone_tolerance": 0.02,
"candidate_limit": 5,
"max_target_atr": 5.5,
"name": "max_atr_5_5"
},
"candidates": 210504,
"qualified": 1300,
"qualified_net_avg_r": 0.126,
"qualified_net_avg_r_ex_top5": -0.011,
"full_book": {
"sharpe": 1.61,
"cagr_pct": 37.0,
"max_drawdown_pct": 23.1,
"trades": 348,
"win_rate": 35.1,
"avg_hold_days": 14.9,
"skipped_book_full": 0
},
"holdout": {
"train": {
"sharpe": 1.15,
"cagr_pct": 25.3,
"max_drawdown_pct": 23.1,
"trades": 186,
"win_rate": 33.3,
"avg_hold_days": 14.3,
"skipped_book_full": 0
},
"test": {
"sharpe": 2.09,
"cagr_pct": 49.1,
"max_drawdown_pct": 11.4,
"trades": 168,
"win_rate": 37.5,
"avg_hold_days": 15.6,
"skipped_book_full": 0
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 210504,
"primary_source_counts": {
"pivot_point": 203903,
"range_grid": 187133
},
"primary_round_only": 0,
"primary_strength_100": 143500,
"avg_primary_strength": 80.175,
"avg_primary_distance_atr": 2.342,
"avg_primary_rejection_count": 42.395,
"avg_raw_level_count": 52.527,
"avg_gate_level_count": 52.527,
"avg_range_504_log": 0.605,
"range_factor_pass": 19590,
"structural_overlay_rows": 0,
"structural_overlay_pass": 0,
"structural_overlay_weight": null
},
"cohort_vs_control": {
"retained": {
"count": 991,
"net_avg_r": 0.1743,
"net_avg_r_ex_top5": 0.0405
},
"added": {
"count": 309,
"net_avg_r": -0.0305,
"net_avg_r_ex_top5": -0.183
},
"removed": {
"count": 95,
"net_avg_r": 0.7416,
"net_avg_r_ex_top5": 0.4563
}
},
"description": "Universal 5.5 ATR maximum target distance.",
"screen": {
"checks": {
"full_sharpe_not_worse": false,
"train_sharpe_not_worse": false,
"test_sharpe_not_worse": false,
"drawdown_not_worse": false,
"retains_80pct_trades": true,
"robust_expectancy_positive": false
},
"passed": 1,
"total": 6,
"advances": false
}
},
{
"name": "max_atr_8",
"config": {
"lookback_bars": null,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.005,
"strength_scale": 500.0,
"zone_tolerance": 0.02,
"candidate_limit": 5,
"max_target_atr": 8.0,
"name": "max_atr_8"
},
"candidates": 211901,
"qualified": 1357,
"qualified_net_avg_r": 0.151,
"qualified_net_avg_r_ex_top5": 0.003,
"full_book": {
"sharpe": 1.89,
"cagr_pct": 46.3,
"max_drawdown_pct": 19.7,
"trades": 348,
"win_rate": 36.2,
"avg_hold_days": 14.9,
"skipped_book_full": 0
},
"holdout": {
"train": {
"sharpe": 1.51,
"cagr_pct": 35.4,
"max_drawdown_pct": 19.7,
"trades": 185,
"win_rate": 35.1,
"avg_hold_days": 14.7,
"skipped_book_full": 0
},
"test": {
"sharpe": 2.27,
"cagr_pct": 56.9,
"max_drawdown_pct": 12.0,
"trades": 168,
"win_rate": 38.1,
"avg_hold_days": 15.3,
"skipped_book_full": 0
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 211901,
"primary_source_counts": {
"pivot_point": 205378,
"range_grid": 188637
},
"primary_round_only": 0,
"primary_strength_100": 145688,
"avg_primary_strength": 80.513,
"avg_primary_distance_atr": 2.392,
"avg_primary_rejection_count": 43.044,
"avg_raw_level_count": 52.347,
"avg_gate_level_count": 52.347,
"avg_range_504_log": 0.603,
"range_factor_pass": 19592,
"structural_overlay_rows": 0,
"structural_overlay_pass": 0,
"structural_overlay_weight": null
},
"cohort_vs_control": {
"retained": {
"count": 1039,
"net_avg_r": 0.217,
"net_avg_r_ex_top5": 0.0695
},
"added": {
"count": 318,
"net_avg_r": -0.0654,
"net_avg_r_ex_top5": -0.2152
},
"removed": {
"count": 47,
"net_avg_r": 0.6191,
"net_avg_r_ex_top5": 0.2066
}
},
"description": "Universal 8 ATR maximum target distance.",
"screen": {
"checks": {
"full_sharpe_not_worse": false,
"train_sharpe_not_worse": true,
"test_sharpe_not_worse": false,
"drawdown_not_worse": true,
"retains_80pct_trades": true,
"robust_expectancy_positive": true
},
"passed": 4,
"total": 6,
"advances": false
}
},
{
"name": "touch_0",
"config": {
"lookback_bars": null,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.0,
"merge_tolerance": 0.005,
"strength_scale": 500.0,
"zone_tolerance": 0.02,
"candidate_limit": 5,
"max_target_atr": null,
"name": "touch_0"
},
"candidates": 202765,
"qualified": 1050,
"qualified_net_avg_r": 0.208,
"qualified_net_avg_r_ex_top5": 0.053,
"full_book": {
"sharpe": 1.88,
"cagr_pct": 45.5,
"max_drawdown_pct": 22.0,
"trades": 321,
"win_rate": 38.6,
"avg_hold_days": 15.3,
"skipped_book_full": 0
},
"holdout": {
"train": {
"sharpe": 1.25,
"cagr_pct": 27.8,
"max_drawdown_pct": 22.0,
"trades": 175,
"win_rate": 36.0,
"avg_hold_days": 14.3,
"skipped_book_full": 0
},
"test": {
"sharpe": 2.48,
"cagr_pct": 63.4,
"max_drawdown_pct": 12.0,
"trades": 151,
"win_rate": 42.4,
"avg_hold_days": 16.5,
"skipped_book_full": 0
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 202765,
"primary_source_counts": {
"pivot_point": 196085,
"range_grid": 180301
},
"primary_round_only": 0,
"primary_strength_100": 126106,
"avg_primary_strength": 75.738,
"avg_primary_distance_atr": 2.283,
"avg_primary_rejection_count": 30.837,
"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
},
"cohort_vs_control": {
"retained": {
"count": 1029,
"net_avg_r": 0.218,
"net_avg_r_ex_top5": 0.063
},
"added": {
"count": 21,
"net_avg_r": -0.2854,
"net_avg_r_ex_top5": -0.6105
},
"removed": {
"count": 57,
"net_avg_r": 0.0039,
"net_avg_r_ex_top5": -0.1774
}
},
"description": "Strict candle-range crossings with no touch padding.",
"screen": {
"checks": {
"full_sharpe_not_worse": false,
"train_sharpe_not_worse": false,
"test_sharpe_not_worse": false,
"drawdown_not_worse": false,
"retains_80pct_trades": true,
"robust_expectancy_positive": true
},
"passed": 2,
"total": 6,
"advances": false
}
},
{
"name": "touch_0_25pct",
"config": {
"lookback_bars": null,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.0025,
"merge_tolerance": 0.005,
"strength_scale": 500.0,
"zone_tolerance": 0.02,
"candidate_limit": 5,
"max_target_atr": null,
"name": "touch_0_25pct"
},
"candidates": 202765,
"qualified": 1067,
"qualified_net_avg_r": 0.206,
"qualified_net_avg_r_ex_top5": 0.05,
"full_book": {
"sharpe": 1.94,
"cagr_pct": 47.9,
"max_drawdown_pct": 20.8,
"trades": 323,
"win_rate": 38.1,
"avg_hold_days": 15.4,
"skipped_book_full": 0
},
"holdout": {
"train": {
"sharpe": 1.27,
"cagr_pct": 28.0,
"max_drawdown_pct": 20.8,
"trades": 175,
"win_rate": 34.3,
"avg_hold_days": 14.3,
"skipped_book_full": 0
},
"test": {
"sharpe": 2.57,
"cagr_pct": 69.5,
"max_drawdown_pct": 11.7,
"trades": 152,
"win_rate": 42.8,
"avg_hold_days": 16.6,
"skipped_book_full": 0
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 202765,
"primary_source_counts": {
"pivot_point": 196168,
"range_grid": 180144
},
"primary_round_only": 0,
"primary_strength_100": 133202,
"avg_primary_strength": 78.165,
"avg_primary_distance_atr": 2.288,
"avg_primary_rejection_count": 36.414,
"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
},
"cohort_vs_control": {
"retained": {
"count": 1049,
"net_avg_r": 0.2137,
"net_avg_r_ex_top5": 0.0583
},
"added": {
"count": 18,
"net_avg_r": -0.2354,
"net_avg_r_ex_top5": -0.4229
},
"removed": {
"count": 37,
"net_avg_r": -0.056,
"net_avg_r_ex_top5": -0.2361
}
},
"description": "Use 0.25% padding when counting price traffic.",
"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": "merge_0_25pct",
"config": {
"lookback_bars": null,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.0025,
"strength_scale": 500.0,
"zone_tolerance": 0.02,
"candidate_limit": 5,
"max_target_atr": null,
"name": "merge_0_25pct"
},
"candidates": 205900,
"qualified": 1156,
"qualified_net_avg_r": 0.214,
"qualified_net_avg_r_ex_top5": 0.062,
"full_book": {
"sharpe": 1.82,
"cagr_pct": 43.4,
"max_drawdown_pct": 20.8,
"trades": 327,
"win_rate": 37.9,
"avg_hold_days": 16.0,
"skipped_book_full": 0
},
"holdout": {
"train": {
"sharpe": 1.78,
"cagr_pct": 44.9,
"max_drawdown_pct": 20.8,
"trades": 167,
"win_rate": 38.9,
"avg_hold_days": 15.6,
"skipped_book_full": 0
},
"test": {
"sharpe": 1.71,
"cagr_pct": 37.2,
"max_drawdown_pct": 14.4,
"trades": 163,
"win_rate": 36.2,
"avg_hold_days": 16.3,
"skipped_book_full": 0
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 205900,
"primary_source_counts": {
"pivot_point": 199555,
"range_grid": 186549
},
"primary_round_only": 0,
"primary_strength_100": 142506,
"avg_primary_strength": 80.433,
"avg_primary_distance_atr": 2.267,
"avg_primary_rejection_count": 42.583,
"avg_raw_level_count": 89.563,
"avg_gate_level_count": 89.563,
"avg_range_504_log": 0.608,
"range_factor_pass": 19552,
"structural_overlay_rows": 0,
"structural_overlay_pass": 0,
"structural_overlay_weight": null
},
"cohort_vs_control": {
"retained": {
"count": 791,
"net_avg_r": 0.238,
"net_avg_r_ex_top5": 0.0779
},
"added": {
"count": 365,
"net_avg_r": 0.1605,
"net_avg_r_ex_top5": 0.0227
},
"removed": {
"count": 295,
"net_avg_r": 0.1288,
"net_avg_r_ex_top5": -0.0077
}
},
"description": "Merge GTL proposals within 0.25%.",
"screen": {
"checks": {
"full_sharpe_not_worse": false,
"train_sharpe_not_worse": true,
"test_sharpe_not_worse": false,
"drawdown_not_worse": true,
"retains_80pct_trades": true,
"robust_expectancy_positive": true
},
"passed": 4,
"total": 6,
"advances": false
}
},
{
"name": "merge_1pct",
"config": {
"lookback_bars": null,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.01,
"strength_scale": 500.0,
"zone_tolerance": 0.02,
"candidate_limit": 5,
"max_target_atr": null,
"name": "merge_1pct"
},
"candidates": 186131,
"qualified": 1060,
"qualified_net_avg_r": 0.213,
"qualified_net_avg_r_ex_top5": 0.045,
"full_book": {
"sharpe": 1.52,
"cagr_pct": 34.8,
"max_drawdown_pct": 19.4,
"trades": 319,
"win_rate": 37.0,
"avg_hold_days": 15.5,
"skipped_book_full": 0
},
"holdout": {
"train": {
"sharpe": 1.49,
"cagr_pct": 34.5,
"max_drawdown_pct": 19.4,
"trades": 160,
"win_rate": 39.4,
"avg_hold_days": 15.9,
"skipped_book_full": 0
},
"test": {
"sharpe": 1.42,
"cagr_pct": 31.3,
"max_drawdown_pct": 13.5,
"trades": 164,
"win_rate": 34.1,
"avg_hold_days": 14.9,
"skipped_book_full": 0
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 186131,
"primary_source_counts": {
"pivot_point": 179198,
"range_grid": 167582
},
"primary_round_only": 0,
"primary_strength_100": 119239,
"avg_primary_strength": 77.534,
"avg_primary_distance_atr": 2.869,
"avg_primary_rejection_count": 40.345,
"avg_raw_level_count": 25.382,
"avg_gate_level_count": 25.382,
"avg_range_504_log": 0.631,
"range_factor_pass": 19584,
"structural_overlay_rows": 0,
"structural_overlay_pass": 0,
"structural_overlay_weight": null
},
"cohort_vs_control": {
"retained": {
"count": 638,
"net_avg_r": 0.2875,
"net_avg_r_ex_top5": 0.1083
},
"added": {
"count": 422,
"net_avg_r": 0.0995,
"net_avg_r_ex_top5": -0.0542
},
"removed": {
"count": 448,
"net_avg_r": 0.1261,
"net_avg_r_ex_top5": -0.0203
}
},
"description": "Merge GTL proposals within 1%.",
"screen": {
"checks": {
"full_sharpe_not_worse": false,
"train_sharpe_not_worse": true,
"test_sharpe_not_worse": false,
"drawdown_not_worse": true,
"retains_80pct_trades": true,
"robust_expectancy_positive": true
},
"passed": 4,
"total": 6,
"advances": false
}
},
{
"name": "zones_1pct",
"config": {
"lookback_bars": null,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.005,
"strength_scale": 500.0,
"zone_tolerance": 0.01,
"candidate_limit": 5,
"max_target_atr": null,
"name": "zones_1pct"
},
"candidates": 213509,
"qualified": 760,
"qualified_net_avg_r": 0.121,
"qualified_net_avg_r_ex_top5": -0.044,
"full_book": {
"sharpe": 1.71,
"cagr_pct": 38.3,
"max_drawdown_pct": 20.3,
"trades": 291,
"win_rate": 38.8,
"avg_hold_days": 15.5,
"skipped_book_full": 0
},
"holdout": {
"train": {
"sharpe": 1.43,
"cagr_pct": 30.0,
"max_drawdown_pct": 20.3,
"trades": 154,
"win_rate": 39.0,
"avg_hold_days": 15.4,
"skipped_book_full": 0
},
"test": {
"sharpe": 1.91,
"cagr_pct": 44.6,
"max_drawdown_pct": 11.8,
"trades": 141,
"win_rate": 38.3,
"avg_hold_days": 15.5,
"skipped_book_full": 0
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 213509,
"primary_source_counts": {
"pivot_point": 199283,
"range_grid": 150577
},
"primary_round_only": 0,
"primary_strength_100": 122481,
"avg_primary_strength": 72.734,
"avg_primary_distance_atr": 2.114,
"avg_primary_rejection_count": 38.91,
"avg_raw_level_count": 52.528,
"avg_gate_level_count": 52.528,
"avg_range_504_log": 0.604,
"range_factor_pass": 19865,
"structural_overlay_rows": 0,
"structural_overlay_pass": 0,
"structural_overlay_weight": null
},
"cohort_vs_control": {
"retained": {
"count": 535,
"net_avg_r": 0.2276,
"net_avg_r_ex_top5": 0.0588
},
"added": {
"count": 225,
"net_avg_r": -0.1329,
"net_avg_r_ex_top5": -0.3012
},
"removed": {
"count": 551,
"net_avg_r": 0.1695,
"net_avg_r_ex_top5": 0.007
}
},
"description": "Cluster target zones within 1%.",
"screen": {
"checks": {
"full_sharpe_not_worse": false,
"train_sharpe_not_worse": true,
"test_sharpe_not_worse": false,
"drawdown_not_worse": true,
"retains_80pct_trades": true,
"robust_expectancy_positive": false
},
"passed": 3,
"total": 6,
"advances": false
}
},
{
"name": "zones_3pct",
"config": {
"lookback_bars": null,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.005,
"strength_scale": 500.0,
"zone_tolerance": 0.03,
"candidate_limit": 5,
"max_target_atr": null,
"name": "zones_3pct"
},
"candidates": 186146,
"qualified": 1308,
"qualified_net_avg_r": 0.149,
"qualified_net_avg_r_ex_top5": -0.006,
"full_book": {
"sharpe": 1.71,
"cagr_pct": 41.9,
"max_drawdown_pct": 17.8,
"trades": 339,
"win_rate": 37.5,
"avg_hold_days": 15.9,
"skipped_book_full": 0
},
"holdout": {
"train": {
"sharpe": 1.34,
"cagr_pct": 33.2,
"max_drawdown_pct": 17.8,
"trades": 182,
"win_rate": 36.8,
"avg_hold_days": 15.7,
"skipped_book_full": 0
},
"test": {
"sharpe": 1.92,
"cagr_pct": 44.5,
"max_drawdown_pct": 14.4,
"trades": 165,
"win_rate": 37.0,
"avg_hold_days": 15.9,
"skipped_book_full": 0
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 186146,
"primary_source_counts": {
"pivot_point": 182946,
"range_grid": 175975
},
"primary_round_only": 0,
"primary_strength_100": 138190,
"avg_primary_strength": 83.944,
"avg_primary_distance_atr": 2.476,
"avg_primary_rejection_count": 44.341,
"avg_raw_level_count": 54.41,
"avg_gate_level_count": 54.41,
"avg_range_504_log": 0.626,
"range_factor_pass": 19293,
"structural_overlay_rows": 0,
"structural_overlay_pass": 0,
"structural_overlay_weight": null
},
"cohort_vs_control": {
"retained": {
"count": 725,
"net_avg_r": 0.1912,
"net_avg_r_ex_top5": 0.0249
},
"added": {
"count": 583,
"net_avg_r": 0.0957,
"net_avg_r_ex_top5": -0.0501
},
"removed": {
"count": 361,
"net_avg_r": 0.2126,
"net_avg_r_ex_top5": 0.051
}
},
"description": "Cluster target zones within 3%.",
"screen": {
"checks": {
"full_sharpe_not_worse": false,
"train_sharpe_not_worse": true,
"test_sharpe_not_worse": false,
"drawdown_not_worse": true,
"retains_80pct_trades": true,
"robust_expectancy_positive": false
},
"passed": 3,
"total": 6,
"advances": false
}
},
{
"name": "grid_12",
"config": {
"lookback_bars": null,
"grid_bins": 12,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.005,
"strength_scale": 500.0,
"zone_tolerance": 0.02,
"candidate_limit": 5,
"max_target_atr": null,
"name": "grid_12"
},
"candidates": 203988,
"qualified": 1129,
"qualified_net_avg_r": 0.171,
"qualified_net_avg_r_ex_top5": 0.023,
"full_book": {
"sharpe": 1.74,
"cagr_pct": 42.7,
"max_drawdown_pct": 22.0,
"trades": 337,
"win_rate": 38.3,
"avg_hold_days": 15.5,
"skipped_book_full": 0
},
"holdout": {
"train": {
"sharpe": 1.25,
"cagr_pct": 28.7,
"max_drawdown_pct": 22.0,
"trades": 181,
"win_rate": 36.5,
"avg_hold_days": 15.1,
"skipped_book_full": 0
},
"test": {
"sharpe": 2.16,
"cagr_pct": 54.3,
"max_drawdown_pct": 12.6,
"trades": 159,
"win_rate": 39.0,
"avg_hold_days": 15.6,
"skipped_book_full": 0
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 203988,
"primary_source_counts": {
"pivot_point": 199113,
"range_grid": 144898
},
"primary_round_only": 0,
"primary_strength_100": 136888,
"avg_primary_strength": 79.004,
"avg_primary_distance_atr": 2.306,
"avg_primary_rejection_count": 41.737,
"avg_raw_level_count": 51.693,
"avg_gate_level_count": 51.693,
"avg_range_504_log": 0.612,
"range_factor_pass": 19681,
"structural_overlay_rows": 0,
"structural_overlay_pass": 0,
"structural_overlay_weight": null
},
"cohort_vs_control": {
"retained": {
"count": 756,
"net_avg_r": 0.1968,
"net_avg_r_ex_top5": 0.0438
},
"added": {
"count": 373,
"net_avg_r": 0.1183,
"net_avg_r_ex_top5": -0.0159
},
"removed": {
"count": 330,
"net_avg_r": 0.1998,
"net_avg_r_ex_top5": 0.0632
}
},
"description": "Use 12 evenly spaced range centers.",
"screen": {
"checks": {
"full_sharpe_not_worse": false,
"train_sharpe_not_worse": false,
"test_sharpe_not_worse": false,
"drawdown_not_worse": false,
"retains_80pct_trades": true,
"robust_expectancy_positive": true
},
"passed": 2,
"total": 6,
"advances": false
}
},
{
"name": "grid_32",
"config": {
"lookback_bars": null,
"grid_bins": 32,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.005,
"strength_scale": 500.0,
"zone_tolerance": 0.02,
"candidate_limit": 5,
"max_target_atr": null,
"name": "grid_32"
},
"candidates": 201793,
"qualified": 1068,
"qualified_net_avg_r": 0.2,
"qualified_net_avg_r_ex_top5": 0.043,
"full_book": {
"sharpe": 1.63,
"cagr_pct": 37.8,
"max_drawdown_pct": 17.3,
"trades": 325,
"win_rate": 36.9,
"avg_hold_days": 15.4,
"skipped_book_full": 0
},
"holdout": {
"train": {
"sharpe": 1.54,
"cagr_pct": 37.7,
"max_drawdown_pct": 17.3,
"trades": 168,
"win_rate": 40.5,
"avg_hold_days": 15.7,
"skipped_book_full": 0
},
"test": {
"sharpe": 1.57,
"cagr_pct": 32.9,
"max_drawdown_pct": 12.1,
"trades": 161,
"win_rate": 32.9,
"avg_hold_days": 14.9,
"skipped_book_full": 0
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 201793,
"primary_source_counts": {
"pivot_point": 194811,
"range_grid": 194396
},
"primary_round_only": 0,
"primary_strength_100": 141377,
"avg_primary_strength": 81.52,
"avg_primary_distance_atr": 2.296,
"avg_primary_rejection_count": 42.006,
"avg_raw_level_count": 55.378,
"avg_gate_level_count": 55.378,
"avg_range_504_log": 0.613,
"range_factor_pass": 19596,
"structural_overlay_rows": 0,
"structural_overlay_pass": 0,
"structural_overlay_weight": null
},
"cohort_vs_control": {
"retained": {
"count": 658,
"net_avg_r": 0.24,
"net_avg_r_ex_top5": 0.0731
},
"added": {
"count": 410,
"net_avg_r": 0.1354,
"net_avg_r_ex_top5": -0.0013
},
"removed": {
"count": 428,
"net_avg_r": 0.1655,
"net_avg_r_ex_top5": 0.0242
}
},
"description": "Use 32 evenly spaced range centers.",
"screen": {
"checks": {
"full_sharpe_not_worse": false,
"train_sharpe_not_worse": true,
"test_sharpe_not_worse": false,
"drawdown_not_worse": true,
"retains_80pct_trades": true,
"robust_expectancy_positive": true
},
"passed": 4,
"total": 6,
"advances": false
}
},
{
"name": "pivots_none",
"config": {
"lookback_bars": null,
"grid_bins": 20,
"include_pivots": false,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.005,
"strength_scale": 500.0,
"zone_tolerance": 0.02,
"candidate_limit": 5,
"max_target_atr": null,
"name": "pivots_none"
},
"candidates": 207885,
"qualified": 820,
"qualified_net_avg_r": 0.206,
"qualified_net_avg_r_ex_top5": 0.077,
"full_book": {
"sharpe": 1.89,
"cagr_pct": 44.7,
"max_drawdown_pct": 17.3,
"trades": 309,
"win_rate": 38.2,
"avg_hold_days": 15.5,
"skipped_book_full": 19
},
"holdout": {
"train": {
"sharpe": 1.72,
"cagr_pct": 41.8,
"max_drawdown_pct": 16.8,
"trades": 166,
"win_rate": 36.7,
"avg_hold_days": 15.0,
"skipped_book_full": 0
},
"test": {
"sharpe": 1.96,
"cagr_pct": 43.2,
"max_drawdown_pct": 14.2,
"trades": 147,
"win_rate": 39.5,
"avg_hold_days": 16.0,
"skipped_book_full": 19
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 207885,
"primary_source_counts": {
"range_grid": 207885
},
"primary_round_only": 0,
"primary_strength_100": 29291,
"avg_primary_strength": 39.712,
"avg_primary_distance_atr": 1.997,
"avg_primary_rejection_count": 37.988,
"avg_raw_level_count": 19.992,
"avg_gate_level_count": 19.992,
"avg_range_504_log": 0.601,
"range_factor_pass": 18896,
"structural_overlay_rows": 0,
"structural_overlay_pass": 0,
"structural_overlay_weight": null
},
"cohort_vs_control": {
"retained": {
"count": 428,
"net_avg_r": 0.2324,
"net_avg_r_ex_top5": 0.1001
},
"added": {
"count": 392,
"net_avg_r": 0.1763,
"net_avg_r_ex_top5": 0.0456
},
"removed": {
"count": 658,
"net_avg_r": 0.2082,
"net_avg_r_ex_top5": 0.0406
}
},
"description": "Range grid only; omit swing pivots.",
"screen": {
"checks": {
"full_sharpe_not_worse": false,
"train_sharpe_not_worse": true,
"test_sharpe_not_worse": false,
"drawdown_not_worse": true,
"retains_80pct_trades": true,
"robust_expectancy_positive": true
},
"passed": 4,
"total": 6,
"advances": false
}
},
{
"name": "pivots_11bar",
"config": {
"lookback_bars": null,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 5,
"touch_tolerance": 0.005,
"merge_tolerance": 0.005,
"strength_scale": 500.0,
"zone_tolerance": 0.02,
"candidate_limit": 5,
"max_target_atr": null,
"name": "pivots_11bar"
},
"candidates": 206198,
"qualified": 1027,
"qualified_net_avg_r": 0.152,
"qualified_net_avg_r_ex_top5": 0.011,
"full_book": {
"sharpe": 1.31,
"cagr_pct": 27.9,
"max_drawdown_pct": 18.7,
"trades": 334,
"win_rate": 32.9,
"avg_hold_days": 14.6,
"skipped_book_full": 0
},
"holdout": {
"train": {
"sharpe": 1.15,
"cagr_pct": 24.3,
"max_drawdown_pct": 18.7,
"trades": 177,
"win_rate": 35.0,
"avg_hold_days": 14.4,
"skipped_book_full": 0
},
"test": {
"sharpe": 1.43,
"cagr_pct": 29.5,
"max_drawdown_pct": 16.8,
"trades": 161,
"win_rate": 30.4,
"avg_hold_days": 14.6,
"skipped_book_full": 0
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 206198,
"primary_source_counts": {
"pivot_point": 185893,
"range_grid": 189257
},
"primary_round_only": 0,
"primary_strength_100": 117068,
"avg_primary_strength": 72.559,
"avg_primary_distance_atr": 2.241,
"avg_primary_rejection_count": 41.637,
"avg_raw_level_count": 48.82,
"avg_gate_level_count": 48.82,
"avg_range_504_log": 0.607,
"range_factor_pass": 19452,
"structural_overlay_rows": 0,
"structural_overlay_pass": 0,
"structural_overlay_weight": null
},
"cohort_vs_control": {
"retained": {
"count": 592,
"net_avg_r": 0.1861,
"net_avg_r_ex_top5": 0.0413
},
"added": {
"count": 435,
"net_avg_r": 0.1063,
"net_avg_r_ex_top5": -0.0309
},
"removed": {
"count": 494,
"net_avg_r": 0.2013,
"net_avg_r_ex_top5": 0.0472
}
},
"description": "Use an 11-bar swing-pivot window.",
"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_250",
"config": {
"lookback_bars": null,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.005,
"strength_scale": 250.0,
"zone_tolerance": 0.02,
"candidate_limit": 5,
"max_target_atr": null,
"name": "strength_250"
},
"candidates": 202765,
"qualified": 1009,
"qualified_net_avg_r": 0.2,
"qualified_net_avg_r_ex_top5": 0.056,
"full_book": {
"sharpe": 1.82,
"cagr_pct": 45.1,
"max_drawdown_pct": 18.9,
"trades": 326,
"win_rate": 35.3,
"avg_hold_days": 14.8,
"skipped_book_full": 0
},
"holdout": {
"train": {
"sharpe": 1.29,
"cagr_pct": 29.4,
"max_drawdown_pct": 18.9,
"trades": 176,
"win_rate": 33.0,
"avg_hold_days": 13.8,
"skipped_book_full": 0
},
"test": {
"sharpe": 2.32,
"cagr_pct": 60.4,
"max_drawdown_pct": 12.7,
"trades": 154,
"win_rate": 38.3,
"avg_hold_days": 15.9,
"skipped_book_full": 0
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 202765,
"primary_source_counts": {
"pivot_point": 195892,
"range_grid": 180487
},
"primary_round_only": 0,
"primary_strength_100": 112495,
"avg_primary_strength": 70.923,
"avg_primary_distance_atr": 2.263,
"avg_primary_rejection_count": 42.362,
"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
},
"cohort_vs_control": {
"retained": {
"count": 959,
"net_avg_r": 0.216,
"net_avg_r_ex_top5": 0.0755
},
"added": {
"count": 50,
"net_avg_r": -0.1081,
"net_avg_r_ex_top5": -0.3057
},
"removed": {
"count": 127,
"net_avg_r": 0.1075,
"net_avg_r_ex_top5": -0.1239
}
},
"description": "Slower traffic-strength saturation.",
"screen": {
"checks": {
"full_sharpe_not_worse": false,
"train_sharpe_not_worse": true,
"test_sharpe_not_worse": false,
"drawdown_not_worse": true,
"retains_80pct_trades": true,
"robust_expectancy_positive": true
},
"passed": 4,
"total": 6,
"advances": false
}
},
{
"name": "strength_1000",
"config": {
"lookback_bars": null,
"grid_bins": 20,
"include_pivots": true,
"pivot_window": 2,
"touch_tolerance": 0.005,
"merge_tolerance": 0.005,
"strength_scale": 1000.0,
"zone_tolerance": 0.02,
"candidate_limit": 5,
"max_target_atr": null,
"name": "strength_1000"
},
"candidates": 202765,
"qualified": 1159,
"qualified_net_avg_r": 0.233,
"qualified_net_avg_r_ex_top5": 0.08,
"full_book": {
"sharpe": 1.88,
"cagr_pct": 46.7,
"max_drawdown_pct": 18.5,
"trades": 338,
"win_rate": 37.0,
"avg_hold_days": 15.1,
"skipped_book_full": 10
},
"holdout": {
"train": {
"sharpe": 1.42,
"cagr_pct": 34.5,
"max_drawdown_pct": 18.5,
"trades": 182,
"win_rate": 34.6,
"avg_hold_days": 14.3,
"skipped_book_full": 10
},
"test": {
"sharpe": 2.32,
"cagr_pct": 57.0,
"max_drawdown_pct": 12.3,
"trades": 158,
"win_rate": 39.9,
"avg_hold_days": 15.9,
"skipped_book_full": 0
}
},
"gtl_diagnostics": {
"variant": "gtl_tuning",
"candidate_count": 202765,
"primary_source_counts": {
"pivot_point": 196548,
"range_grid": 179583
},
"primary_round_only": 0,
"primary_strength_100": 158748,
"avg_primary_strength": 86.761,
"avg_primary_distance_atr": 2.308,
"avg_primary_rejection_count": 41.521,
"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
},
"cohort_vs_control": {
"retained": {
"count": 1037,
"net_avg_r": 0.2254,
"net_avg_r_ex_top5": 0.0692
},
"added": {
"count": 122,
"net_avg_r": 0.3009,
"net_avg_r_ex_top5": 0.1521
},
"removed": {
"count": 49,
"net_avg_r": 0.1417,
"net_avg_r_ex_top5": -0.0437
}
},
"description": "Faster traffic-strength saturation.",
"screen": {
"checks": {
"full_sharpe_not_worse": false,
"train_sharpe_not_worse": true,
"test_sharpe_not_worse": false,
"drawdown_not_worse": true,
"retains_80pct_trades": true,
"robust_expectancy_positive": true
},
"passed": 4,
"total": 6,
"advances": false
}
}
],
"caveat": "The split is a robustness check, not a pristine holdout; post-2024 data has already informed earlier research.",
"completed_at": "2026-07-13T12:04:38.588817+00:00",
"advancing_arms": [],
"ranking_by_full_sharpe": [
"control",
"touch_0_25pct",
"candidates_8",
"max_atr_8",
"pivots_none",
"touch_0",
"strength_1000",
"merge_0_25pct",
"strength_250",
"lookback_504",
"candidates_all",
"grid_12",
"zones_1pct",
"zones_3pct",
"grid_32",
"max_atr_5_5",
"lookback_756",
"merge_1pct",
"lookback_252",
"pivots_11bar"
]
}