1322 lines
36 KiB
JSON
1322 lines
36 KiB
JSON
{
|
|
"status": "complete",
|
|
"generated_at": "2026-07-13T12:28:39.430667+00:00",
|
|
"snapshot": "/Users/taathde3/git/lab/signal_platform/backtest_snapshots/prod.sqlite",
|
|
"workers": 12,
|
|
"holdout_split": "2024-07-01",
|
|
"arm_count": 13,
|
|
"reference_matrix": "/Users/taathde3/git/lab/signal_platform/reports/backtest-20260713-gtl-tuning-matrix.json",
|
|
"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 explicit GTL; composition-path parity control.",
|
|
"screen": {
|
|
"checks": {},
|
|
"passed": 0,
|
|
"total": 0,
|
|
"advances": false
|
|
}
|
|
},
|
|
{
|
|
"name": "touch_intersection",
|
|
"config": {
|
|
"name": "touch_intersection",
|
|
"mode": "intersection",
|
|
"confirmations": [
|
|
{
|
|
"name": "touch_0_25pct",
|
|
"touch_tolerance": 0.0025
|
|
}
|
|
]
|
|
},
|
|
"candidates": 202765,
|
|
"qualified": 1049,
|
|
"qualified_net_avg_r": 0.218,
|
|
"qualified_net_avg_r_ex_top5": 0.06,
|
|
"full_book": {
|
|
"sharpe": 1.94,
|
|
"cagr_pct": 47.1,
|
|
"max_drawdown_pct": 21.7,
|
|
"trades": 323,
|
|
"win_rate": 37.8,
|
|
"avg_hold_days": 15.2,
|
|
"skipped_book_full": 0
|
|
},
|
|
"holdout": {
|
|
"train": {
|
|
"sharpe": 1.26,
|
|
"cagr_pct": 27.6,
|
|
"max_drawdown_pct": 21.7,
|
|
"trades": 175,
|
|
"win_rate": 34.3,
|
|
"avg_hold_days": 14.2,
|
|
"skipped_book_full": 0
|
|
},
|
|
"test": {
|
|
"sharpe": 2.59,
|
|
"cagr_pct": 68.3,
|
|
"max_drawdown_pct": 11.7,
|
|
"trades": 152,
|
|
"win_rate": 42.1,
|
|
"avg_hold_days": 16.4,
|
|
"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": 14521,
|
|
"gtl_confirmation_tuned_additions": 0
|
|
},
|
|
"cohort_vs_control": {
|
|
"retained": {
|
|
"count": 1049,
|
|
"net_avg_r": 0.218,
|
|
"net_avg_r_ex_top5": 0.0597
|
|
},
|
|
"added": {
|
|
"count": 0,
|
|
"net_avg_r": null,
|
|
"net_avg_r_ex_top5": null
|
|
},
|
|
"removed": {
|
|
"count": 37,
|
|
"net_avg_r": -0.056,
|
|
"net_avg_r_ex_top5": -0.2361
|
|
}
|
|
},
|
|
"description": "Retain control setups also qualified with 0.25% 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_union",
|
|
"config": {
|
|
"name": "touch_union",
|
|
"mode": "union",
|
|
"confirmations": [
|
|
{
|
|
"name": "touch_0_25pct",
|
|
"touch_tolerance": 0.0025
|
|
}
|
|
]
|
|
},
|
|
"candidates": 202765,
|
|
"qualified": 1104,
|
|
"qualified_net_avg_r": 0.201,
|
|
"qualified_net_avg_r_ex_top5": 0.042,
|
|
"full_book": {
|
|
"sharpe": 2.01,
|
|
"cagr_pct": 50.1,
|
|
"max_drawdown_pct": 20.8,
|
|
"trades": 322,
|
|
"win_rate": 37.6,
|
|
"avg_hold_days": 15.4,
|
|
"skipped_book_full": 0
|
|
},
|
|
"holdout": {
|
|
"train": {
|
|
"sharpe": 1.29,
|
|
"cagr_pct": 29.0,
|
|
"max_drawdown_pct": 20.8,
|
|
"trades": 175,
|
|
"win_rate": 33.7,
|
|
"avg_hold_days": 14.3,
|
|
"skipped_book_full": 0
|
|
},
|
|
"test": {
|
|
"sharpe": 2.73,
|
|
"cagr_pct": 73.3,
|
|
"max_drawdown_pct": 11.7,
|
|
"trades": 151,
|
|
"win_rate": 42.4,
|
|
"avg_hold_days": 16.8,
|
|
"skipped_book_full": 0
|
|
}
|
|
},
|
|
"gtl_diagnostics": {
|
|
"variant": "gtl_confirmation",
|
|
"candidate_count": 202765,
|
|
"primary_source_counts": {
|
|
"pivot_point": 196294,
|
|
"range_grid": 180057
|
|
},
|
|
"primary_round_only": 0,
|
|
"primary_strength_100": 138663,
|
|
"avg_primary_strength": 80.122,
|
|
"avg_primary_distance_atr": 2.295,
|
|
"avg_primary_rejection_count": 41.915,
|
|
"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": 14521,
|
|
"gtl_confirmation_tuned_additions": 190
|
|
},
|
|
"cohort_vs_control": {
|
|
"retained": {
|
|
"count": 1086,
|
|
"net_avg_r": 0.2086,
|
|
"net_avg_r_ex_top5": 0.0492
|
|
},
|
|
"added": {
|
|
"count": 18,
|
|
"net_avg_r": -0.2354,
|
|
"net_avg_r_ex_top5": -0.4229
|
|
},
|
|
"removed": {
|
|
"count": 0,
|
|
"net_avg_r": null,
|
|
"net_avg_r_ex_top5": null
|
|
}
|
|
},
|
|
"description": "Keep control and admit additions from 0.25% touch padding.",
|
|
"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_intersection",
|
|
"config": {
|
|
"name": "strength_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": "Retain control setups also qualified at 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_union",
|
|
"config": {
|
|
"name": "strength_union",
|
|
"mode": "union",
|
|
"confirmations": [
|
|
{
|
|
"name": "strength_1000",
|
|
"strength_scale": 1000.0
|
|
}
|
|
]
|
|
},
|
|
"candidates": 202765,
|
|
"qualified": 1208,
|
|
"qualified_net_avg_r": 0.218,
|
|
"qualified_net_avg_r_ex_top5": 0.062,
|
|
"full_book": {
|
|
"sharpe": 1.91,
|
|
"cagr_pct": 47.2,
|
|
"max_drawdown_pct": 18.7,
|
|
"trades": 338,
|
|
"win_rate": 37.3,
|
|
"avg_hold_days": 15.2,
|
|
"skipped_book_full": 10
|
|
},
|
|
"holdout": {
|
|
"train": {
|
|
"sharpe": 1.44,
|
|
"cagr_pct": 35.7,
|
|
"max_drawdown_pct": 18.7,
|
|
"trades": 181,
|
|
"win_rate": 35.9,
|
|
"avg_hold_days": 14.7,
|
|
"skipped_book_full": 10
|
|
},
|
|
"test": {
|
|
"sharpe": 2.37,
|
|
"cagr_pct": 56.3,
|
|
"max_drawdown_pct": 12.3,
|
|
"trades": 161,
|
|
"win_rate": 39.8,
|
|
"avg_hold_days": 15.7,
|
|
"skipped_book_full": 0
|
|
}
|
|
},
|
|
"gtl_diagnostics": {
|
|
"variant": "gtl_confirmation",
|
|
"candidate_count": 202765,
|
|
"primary_source_counts": {
|
|
"pivot_point": 196331,
|
|
"range_grid": 180061
|
|
},
|
|
"primary_round_only": 0,
|
|
"primary_strength_100": 138695,
|
|
"avg_primary_strength": 80.199,
|
|
"avg_primary_distance_atr": 2.303,
|
|
"avg_primary_rejection_count": 41.872,
|
|
"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": 897
|
|
},
|
|
"cohort_vs_control": {
|
|
"retained": {
|
|
"count": 1086,
|
|
"net_avg_r": 0.2086,
|
|
"net_avg_r_ex_top5": 0.0492
|
|
},
|
|
"added": {
|
|
"count": 122,
|
|
"net_avg_r": 0.3009,
|
|
"net_avg_r_ex_top5": 0.1521
|
|
},
|
|
"removed": {
|
|
"count": 0,
|
|
"net_avg_r": null,
|
|
"net_avg_r_ex_top5": null
|
|
}
|
|
},
|
|
"description": "Keep control and admit additions from strength scale 1000.",
|
|
"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_intersection",
|
|
"config": {
|
|
"name": "merge_intersection",
|
|
"mode": "intersection",
|
|
"confirmations": [
|
|
{
|
|
"name": "merge_0_25pct",
|
|
"merge_tolerance": 0.0025
|
|
}
|
|
]
|
|
},
|
|
"candidates": 202765,
|
|
"qualified": 791,
|
|
"qualified_net_avg_r": 0.238,
|
|
"qualified_net_avg_r_ex_top5": 0.071,
|
|
"full_book": {
|
|
"sharpe": 2.01,
|
|
"cagr_pct": 47.5,
|
|
"max_drawdown_pct": 18.8,
|
|
"trades": 293,
|
|
"win_rate": 39.2,
|
|
"avg_hold_days": 15.9,
|
|
"skipped_book_full": 0
|
|
},
|
|
"holdout": {
|
|
"train": {
|
|
"sharpe": 1.44,
|
|
"cagr_pct": 32.3,
|
|
"max_drawdown_pct": 18.8,
|
|
"trades": 160,
|
|
"win_rate": 35.6,
|
|
"avg_hold_days": 15.0,
|
|
"skipped_book_full": 0
|
|
},
|
|
"test": {
|
|
"sharpe": 2.56,
|
|
"cagr_pct": 62.3,
|
|
"max_drawdown_pct": 11.8,
|
|
"trades": 137,
|
|
"win_rate": 43.8,
|
|
"avg_hold_days": 17.1,
|
|
"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": 14749,
|
|
"gtl_confirmation_tuned_additions": 0
|
|
},
|
|
"cohort_vs_control": {
|
|
"retained": {
|
|
"count": 791,
|
|
"net_avg_r": 0.2384,
|
|
"net_avg_r_ex_top5": 0.0714
|
|
},
|
|
"added": {
|
|
"count": 0,
|
|
"net_avg_r": null,
|
|
"net_avg_r_ex_top5": null
|
|
},
|
|
"removed": {
|
|
"count": 295,
|
|
"net_avg_r": 0.1288,
|
|
"net_avg_r_ex_top5": -0.0077
|
|
}
|
|
},
|
|
"description": "Retain control setups also qualified with 0.25% proposal merging.",
|
|
"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_union",
|
|
"config": {
|
|
"name": "merge_union",
|
|
"mode": "union",
|
|
"confirmations": [
|
|
{
|
|
"name": "merge_0_25pct",
|
|
"merge_tolerance": 0.0025
|
|
}
|
|
]
|
|
},
|
|
"candidates": 202765,
|
|
"qualified": 1418,
|
|
"qualified_net_avg_r": 0.194,
|
|
"qualified_net_avg_r_ex_top5": 0.042,
|
|
"full_book": {
|
|
"sharpe": 1.72,
|
|
"cagr_pct": 41.0,
|
|
"max_drawdown_pct": 19.7,
|
|
"trades": 342,
|
|
"win_rate": 35.1,
|
|
"avg_hold_days": 15.0,
|
|
"skipped_book_full": 0
|
|
},
|
|
"holdout": {
|
|
"train": {
|
|
"sharpe": 1.4,
|
|
"cagr_pct": 33.4,
|
|
"max_drawdown_pct": 19.7,
|
|
"trades": 176,
|
|
"win_rate": 35.2,
|
|
"avg_hold_days": 14.6,
|
|
"skipped_book_full": 0
|
|
},
|
|
"test": {
|
|
"sharpe": 1.89,
|
|
"cagr_pct": 43.6,
|
|
"max_drawdown_pct": 13.7,
|
|
"trades": 171,
|
|
"win_rate": 34.5,
|
|
"avg_hold_days": 15.4,
|
|
"skipped_book_full": 0
|
|
}
|
|
},
|
|
"gtl_diagnostics": {
|
|
"variant": "gtl_confirmation",
|
|
"candidate_count": 202765,
|
|
"primary_source_counts": {
|
|
"pivot_point": 196286,
|
|
"range_grid": 180092
|
|
},
|
|
"primary_round_only": 0,
|
|
"primary_strength_100": 138410,
|
|
"avg_primary_strength": 80.047,
|
|
"avg_primary_distance_atr": 2.32,
|
|
"avg_primary_rejection_count": 41.784,
|
|
"avg_raw_level_count": 54.196,
|
|
"avg_gate_level_count": 54.196,
|
|
"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": 14749,
|
|
"gtl_confirmation_tuned_additions": 5109
|
|
},
|
|
"cohort_vs_control": {
|
|
"retained": {
|
|
"count": 1086,
|
|
"net_avg_r": 0.2086,
|
|
"net_avg_r_ex_top5": 0.0492
|
|
},
|
|
"added": {
|
|
"count": 332,
|
|
"net_avg_r": 0.147,
|
|
"net_avg_r_ex_top5": 0.0123
|
|
},
|
|
"removed": {
|
|
"count": 0,
|
|
"net_avg_r": null,
|
|
"net_avg_r_ex_top5": null
|
|
}
|
|
},
|
|
"description": "Keep control and admit additions from 0.25% proposal merging.",
|
|
"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": "grid_intersection",
|
|
"config": {
|
|
"name": "grid_intersection",
|
|
"mode": "intersection",
|
|
"confirmations": [
|
|
{
|
|
"name": "pivots_none",
|
|
"include_pivots": false
|
|
}
|
|
]
|
|
},
|
|
"candidates": 202765,
|
|
"qualified": 429,
|
|
"qualified_net_avg_r": 0.214,
|
|
"qualified_net_avg_r_ex_top5": 0.069,
|
|
"full_book": {
|
|
"sharpe": 1.6,
|
|
"cagr_pct": 29.8,
|
|
"max_drawdown_pct": 13.6,
|
|
"trades": 224,
|
|
"win_rate": 40.6,
|
|
"avg_hold_days": 15.5,
|
|
"skipped_book_full": 0
|
|
},
|
|
"holdout": {
|
|
"train": {
|
|
"sharpe": 1.48,
|
|
"cagr_pct": 26.5,
|
|
"max_drawdown_pct": 13.5,
|
|
"trades": 114,
|
|
"win_rate": 45.6,
|
|
"avg_hold_days": 15.6,
|
|
"skipped_book_full": 0
|
|
},
|
|
"test": {
|
|
"sharpe": 1.68,
|
|
"cagr_pct": 31.9,
|
|
"max_drawdown_pct": 10.7,
|
|
"trades": 110,
|
|
"win_rate": 35.5,
|
|
"avg_hold_days": 15.3,
|
|
"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": 9980,
|
|
"gtl_confirmation_tuned_additions": 0
|
|
},
|
|
"cohort_vs_control": {
|
|
"retained": {
|
|
"count": 429,
|
|
"net_avg_r": 0.214,
|
|
"net_avg_r_ex_top5": 0.0687
|
|
},
|
|
"added": {
|
|
"count": 0,
|
|
"net_avg_r": null,
|
|
"net_avg_r_ex_top5": null
|
|
},
|
|
"removed": {
|
|
"count": 657,
|
|
"net_avg_r": 0.2051,
|
|
"net_avg_r_ex_top5": 0.0371
|
|
}
|
|
},
|
|
"description": "Retain control setups also qualified by the range grid without 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": false,
|
|
"robust_expectancy_positive": true
|
|
},
|
|
"passed": 3,
|
|
"total": 6,
|
|
"advances": false
|
|
}
|
|
},
|
|
{
|
|
"name": "grid_union",
|
|
"config": {
|
|
"name": "grid_union",
|
|
"mode": "union",
|
|
"confirmations": [
|
|
{
|
|
"name": "pivots_none",
|
|
"include_pivots": false
|
|
}
|
|
]
|
|
},
|
|
"candidates": 202765,
|
|
"qualified": 1454,
|
|
"qualified_net_avg_r": 0.204,
|
|
"qualified_net_avg_r_ex_top5": 0.053,
|
|
"full_book": {
|
|
"sharpe": 2.05,
|
|
"cagr_pct": 54.3,
|
|
"max_drawdown_pct": 22.0,
|
|
"trades": 348,
|
|
"win_rate": 39.4,
|
|
"avg_hold_days": 15.8,
|
|
"skipped_book_full": 0
|
|
},
|
|
"holdout": {
|
|
"train": {
|
|
"sharpe": 2.06,
|
|
"cagr_pct": 58.2,
|
|
"max_drawdown_pct": 22.0,
|
|
"trades": 184,
|
|
"win_rate": 39.1,
|
|
"avg_hold_days": 15.3,
|
|
"skipped_book_full": 0
|
|
},
|
|
"test": {
|
|
"sharpe": 1.95,
|
|
"cagr_pct": 47.1,
|
|
"max_drawdown_pct": 14.7,
|
|
"trades": 168,
|
|
"win_rate": 39.3,
|
|
"avg_hold_days": 16.4,
|
|
"skipped_book_full": 0
|
|
}
|
|
},
|
|
"gtl_diagnostics": {
|
|
"variant": "gtl_confirmation",
|
|
"candidate_count": 202765,
|
|
"primary_source_counts": {
|
|
"pivot_point": 191909,
|
|
"range_grid": 180701
|
|
},
|
|
"primary_round_only": 0,
|
|
"primary_strength_100": 135667,
|
|
"avg_primary_strength": 79.092,
|
|
"avg_primary_distance_atr": 2.316,
|
|
"avg_primary_rejection_count": 41.794,
|
|
"avg_raw_level_count": 52.376,
|
|
"avg_gate_level_count": 52.376,
|
|
"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": 9980,
|
|
"gtl_confirmation_tuned_additions": 4400
|
|
},
|
|
"cohort_vs_control": {
|
|
"retained": {
|
|
"count": 1086,
|
|
"net_avg_r": 0.2086,
|
|
"net_avg_r_ex_top5": 0.0492
|
|
},
|
|
"added": {
|
|
"count": 368,
|
|
"net_avg_r": 0.1893,
|
|
"net_avg_r_ex_top5": 0.0582
|
|
},
|
|
"removed": {
|
|
"count": 0,
|
|
"net_avg_r": null,
|
|
"net_avg_r_ex_top5": null
|
|
}
|
|
},
|
|
"description": "Keep control and admit additions from the range grid without pivots.",
|
|
"screen": {
|
|
"checks": {
|
|
"full_sharpe_not_worse": true,
|
|
"train_sharpe_not_worse": true,
|
|
"test_sharpe_not_worse": false,
|
|
"drawdown_not_worse": false,
|
|
"retains_80pct_trades": true,
|
|
"robust_expectancy_positive": true
|
|
},
|
|
"passed": 4,
|
|
"total": 6,
|
|
"advances": false
|
|
}
|
|
},
|
|
{
|
|
"name": "touch_strength_intersection",
|
|
"config": {
|
|
"name": "touch_strength_intersection",
|
|
"mode": "intersection",
|
|
"confirmations": [
|
|
{
|
|
"name": "touch_0_25pct",
|
|
"touch_tolerance": 0.0025
|
|
},
|
|
{
|
|
"name": "strength_1000",
|
|
"strength_scale": 1000.0
|
|
}
|
|
]
|
|
},
|
|
"candidates": 202765,
|
|
"qualified": 1009,
|
|
"qualified_net_avg_r": 0.226,
|
|
"qualified_net_avg_r_ex_top5": 0.068,
|
|
"full_book": {
|
|
"sharpe": 1.99,
|
|
"cagr_pct": 47.9,
|
|
"max_drawdown_pct": 18.7,
|
|
"trades": 317,
|
|
"win_rate": 38.5,
|
|
"avg_hold_days": 15.3,
|
|
"skipped_book_full": 0
|
|
},
|
|
"holdout": {
|
|
"train": {
|
|
"sharpe": 1.35,
|
|
"cagr_pct": 29.5,
|
|
"max_drawdown_pct": 18.7,
|
|
"trades": 170,
|
|
"win_rate": 35.3,
|
|
"avg_hold_days": 14.2,
|
|
"skipped_book_full": 0
|
|
},
|
|
"test": {
|
|
"sharpe": 2.59,
|
|
"cagr_pct": 67.5,
|
|
"max_drawdown_pct": 11.7,
|
|
"trades": 151,
|
|
"win_rate": 42.4,
|
|
"avg_hold_days": 16.4,
|
|
"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": 13712,
|
|
"gtl_confirmation_tuned_additions": 0
|
|
},
|
|
"cohort_vs_control": {
|
|
"retained": {
|
|
"count": 1009,
|
|
"net_avg_r": 0.2261,
|
|
"net_avg_r_ex_top5": 0.068
|
|
},
|
|
"added": {
|
|
"count": 0,
|
|
"net_avg_r": null,
|
|
"net_avg_r_ex_top5": null
|
|
},
|
|
"removed": {
|
|
"count": 77,
|
|
"net_avg_r": -0.0203,
|
|
"net_avg_r_ex_top5": -0.1954
|
|
}
|
|
},
|
|
"description": "Require both tighter-touch and faster-strength confirmation.",
|
|
"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_merge_intersection",
|
|
"config": {
|
|
"name": "touch_merge_intersection",
|
|
"mode": "intersection",
|
|
"confirmations": [
|
|
{
|
|
"name": "touch_0_25pct",
|
|
"touch_tolerance": 0.0025
|
|
},
|
|
{
|
|
"name": "merge_0_25pct",
|
|
"merge_tolerance": 0.0025
|
|
}
|
|
]
|
|
},
|
|
"candidates": 202765,
|
|
"qualified": 767,
|
|
"qualified_net_avg_r": 0.237,
|
|
"qualified_net_avg_r_ex_top5": 0.07,
|
|
"full_book": {
|
|
"sharpe": 1.79,
|
|
"cagr_pct": 40.5,
|
|
"max_drawdown_pct": 22.7,
|
|
"trades": 297,
|
|
"win_rate": 38.0,
|
|
"avg_hold_days": 15.5,
|
|
"skipped_book_full": 0
|
|
},
|
|
"holdout": {
|
|
"train": {
|
|
"sharpe": 1.18,
|
|
"cagr_pct": 24.2,
|
|
"max_drawdown_pct": 22.7,
|
|
"trades": 163,
|
|
"win_rate": 33.7,
|
|
"avg_hold_days": 14.6,
|
|
"skipped_book_full": 0
|
|
},
|
|
"test": {
|
|
"sharpe": 2.31,
|
|
"cagr_pct": 56.1,
|
|
"max_drawdown_pct": 11.8,
|
|
"trades": 138,
|
|
"win_rate": 43.5,
|
|
"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": 9522,
|
|
"gtl_confirmation_tuned_additions": 0
|
|
},
|
|
"cohort_vs_control": {
|
|
"retained": {
|
|
"count": 767,
|
|
"net_avg_r": 0.2371,
|
|
"net_avg_r_ex_top5": 0.0696
|
|
},
|
|
"added": {
|
|
"count": 0,
|
|
"net_avg_r": null,
|
|
"net_avg_r_ex_top5": null
|
|
},
|
|
"removed": {
|
|
"count": 319,
|
|
"net_avg_r": 0.1402,
|
|
"net_avg_r_ex_top5": 0.0012
|
|
}
|
|
},
|
|
"description": "Require both tighter-touch and tighter-merge confirmation.",
|
|
"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": "strength_merge_intersection",
|
|
"config": {
|
|
"name": "strength_merge_intersection",
|
|
"mode": "intersection",
|
|
"confirmations": [
|
|
{
|
|
"name": "strength_1000",
|
|
"strength_scale": 1000.0
|
|
},
|
|
{
|
|
"name": "merge_0_25pct",
|
|
"merge_tolerance": 0.0025
|
|
}
|
|
]
|
|
},
|
|
"candidates": 202765,
|
|
"qualified": 750,
|
|
"qualified_net_avg_r": 0.235,
|
|
"qualified_net_avg_r_ex_top5": 0.067,
|
|
"full_book": {
|
|
"sharpe": 1.99,
|
|
"cagr_pct": 46.7,
|
|
"max_drawdown_pct": 17.9,
|
|
"trades": 290,
|
|
"win_rate": 39.7,
|
|
"avg_hold_days": 16.1,
|
|
"skipped_book_full": 0
|
|
},
|
|
"holdout": {
|
|
"train": {
|
|
"sharpe": 1.44,
|
|
"cagr_pct": 32.1,
|
|
"max_drawdown_pct": 17.9,
|
|
"trades": 158,
|
|
"win_rate": 36.1,
|
|
"avg_hold_days": 15.2,
|
|
"skipped_book_full": 0
|
|
},
|
|
"test": {
|
|
"sharpe": 2.5,
|
|
"cagr_pct": 59.9,
|
|
"max_drawdown_pct": 11.8,
|
|
"trades": 135,
|
|
"win_rate": 44.4,
|
|
"avg_hold_days": 17.1,
|
|
"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": 9316,
|
|
"gtl_confirmation_tuned_additions": 0
|
|
},
|
|
"cohort_vs_control": {
|
|
"retained": {
|
|
"count": 750,
|
|
"net_avg_r": 0.235,
|
|
"net_avg_r_ex_top5": 0.067
|
|
},
|
|
"added": {
|
|
"count": 0,
|
|
"net_avg_r": null,
|
|
"net_avg_r_ex_top5": null
|
|
},
|
|
"removed": {
|
|
"count": 336,
|
|
"net_avg_r": 0.1498,
|
|
"net_avg_r_ex_top5": 0.0117
|
|
}
|
|
},
|
|
"description": "Require both faster-strength and tighter-merge confirmation.",
|
|
"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_strength_merge_intersection",
|
|
"config": {
|
|
"name": "touch_strength_merge_intersection",
|
|
"mode": "intersection",
|
|
"confirmations": [
|
|
{
|
|
"name": "touch_0_25pct",
|
|
"touch_tolerance": 0.0025
|
|
},
|
|
{
|
|
"name": "strength_1000",
|
|
"strength_scale": 1000.0
|
|
},
|
|
{
|
|
"name": "merge_0_25pct",
|
|
"merge_tolerance": 0.0025
|
|
}
|
|
]
|
|
},
|
|
"candidates": 202765,
|
|
"qualified": 733,
|
|
"qualified_net_avg_r": 0.238,
|
|
"qualified_net_avg_r_ex_top5": 0.071,
|
|
"full_book": {
|
|
"sharpe": 1.81,
|
|
"cagr_pct": 40.9,
|
|
"max_drawdown_pct": 21.2,
|
|
"trades": 292,
|
|
"win_rate": 40.1,
|
|
"avg_hold_days": 15.9,
|
|
"skipped_book_full": 0
|
|
},
|
|
"holdout": {
|
|
"train": {
|
|
"sharpe": 1.25,
|
|
"cagr_pct": 25.8,
|
|
"max_drawdown_pct": 21.2,
|
|
"trades": 159,
|
|
"win_rate": 37.1,
|
|
"avg_hold_days": 15.2,
|
|
"skipped_book_full": 0
|
|
},
|
|
"test": {
|
|
"sharpe": 2.28,
|
|
"cagr_pct": 54.8,
|
|
"max_drawdown_pct": 11.8,
|
|
"trades": 137,
|
|
"win_rate": 43.8,
|
|
"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": 9033,
|
|
"gtl_confirmation_tuned_additions": 0
|
|
},
|
|
"cohort_vs_control": {
|
|
"retained": {
|
|
"count": 733,
|
|
"net_avg_r": 0.2379,
|
|
"net_avg_r_ex_top5": 0.0712
|
|
},
|
|
"added": {
|
|
"count": 0,
|
|
"net_avg_r": null,
|
|
"net_avg_r_ex_top5": null
|
|
},
|
|
"removed": {
|
|
"count": 353,
|
|
"net_avg_r": 0.1478,
|
|
"net_avg_r_ex_top5": 0.0047
|
|
}
|
|
},
|
|
"description": "Require all three high-breadth confirmation variants.",
|
|
"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
|
|
}
|
|
}
|
|
],
|
|
"control_parity": "pass",
|
|
"completed_at": "2026-07-13T13:31:05.898766+00:00",
|
|
"advancing_arms": [],
|
|
"ranking_by_full_sharpe": [
|
|
"strength_intersection",
|
|
"grid_union",
|
|
"control",
|
|
"touch_union",
|
|
"merge_intersection",
|
|
"touch_strength_intersection",
|
|
"strength_merge_intersection",
|
|
"touch_intersection",
|
|
"strength_union",
|
|
"touch_strength_merge_intersection",
|
|
"touch_merge_intersection",
|
|
"merge_union",
|
|
"grid_intersection"
|
|
]
|
|
}
|