8.0 KiB
8.0 KiB
Research matrix — 2026-07-18T15:17:10.310517
Validation split: 2024-07-01. Pre-registered N for DSR: 20.
Promotion rule
Promote only if validation Sharpe ≥ control, validation DD not worse by >2pp, and train Sharpe not worse. Always report whether validation Sharpe delta exceeds 1 SE (expect most will not).
Arms
| arm | window | Sharpe | SE | PSR | DSR | CAGR | MaxDD | Calmar | trades | avg scalar |
|---|---|---|---|---|---|---|---|---|---|---|
| a0_control | train | 1.75 | 0.675 | 0.995 | 0.745 | 49.8 | 17.9 | 2.78 | 240 | — |
| a0_control | validation | 1.68 | 0.716 | 0.991 | 0.679 | 41.6 | 20.9 | 1.99 | 239 | — |
| a0_control | full | 1.77 | 0.496 | 1 | 0.951 | 48.3 | 21.6 | 2.23 | 472 | — |
| a2_hold_30 | train | 1.75 | 0.675 | 0.995 | 0.745 | 49.8 | 17.9 | 2.78 | 240 | — |
| a2_hold_30 | validation | 1.68 | 0.716 | 0.991 | 0.679 | 41.6 | 20.9 | 1.99 | 239 | — |
| a2_hold_30 | full | 1.77 | 0.496 | 1 | 0.951 | 48.3 | 21.6 | 2.23 | 472 | — |
| a2_hold_45 | train | 1.43 | 0.677 | 0.983 | 0.583 | 36.4 | 21.2 | 1.72 | 218 | — |
| a2_hold_45 | validation | 2.07 | 0.698 | 0.999 | 0.85 | 59.1 | 19.3 | 3.07 | 202 | — |
| a2_hold_45 | full | 1.78 | 0.497 | 1 | 0.952 | 49.2 | 21.2 | 2.32 | 415 | — |
| a2_hold_60 | train | 1.11 | 0.668 | 0.952 | 0.405 | 26.3 | 21 | 1.25 | 186 | — |
| a2_hold_60 | validation | 2.12 | 0.695 | 0.999 | 0.867 | 64.9 | 19.3 | 3.37 | 201 | — |
| a2_hold_60 | full | 1.62 | 0.499 | 0.999 | 0.91 | 44.9 | 21 | 2.14 | 385 | — |
| a2_hold_90 | train | 1.3 | 0.652 | 0.977 | 0.538 | 30.7 | 21 | 1.47 | 179 | — |
| a2_hold_90 | validation | 2.04 | 0.711 | 0.998 | 0.835 | 61.8 | 23.1 | 2.67 | 191 | — |
| a2_hold_90 | full | 1.67 | 0.503 | 1 | 0.924 | 46.8 | 23.5 | 1.99 | 367 | — |
| a3_vt15_c05_15_lb60 | train | 1.54 | 0.674 | 0.989 | 0.636 | 37.7 | 17.8 | 2.12 | 283 | 0.769 |
| a3_vt15_c05_15_lb60 | validation | 1.24 | 0.715 | 0.959 | 0.44 | 25.9 | 23.6 | 1.1 | 268 | 0.798 |
| a3_vt15_c05_15_lb60 | full | 1.43 | 0.497 | 0.998 | 0.833 | 32.8 | 23.1 | 1.42 | 544 | 0.77 |
| a3_vt20_c05_15_lb60 | train | 1.63 | 0.67 | 0.992 | 0.686 | 43.3 | 17.7 | 2.45 | 257 | 0.895 |
| a3_vt20_c05_15_lb60 | validation | 1.48 | 0.715 | 0.981 | 0.573 | 34.7 | 23.7 | 1.46 | 248 | 0.918 |
| a3_vt20_c05_15_lb60 | full | 1.59 | 0.495 | 0.999 | 0.902 | 40.5 | 23.5 | 1.72 | 498 | 0.903 |
| a3_vt25_c05_15_lb60 | train | 1.68 | 0.671 | 0.994 | 0.712 | 47.4 | 17.8 | 2.66 | 239 | 1.05 |
| a3_vt25_c05_15_lb60 | validation | 1.63 | 0.706 | 0.99 | 0.655 | 41.9 | 21.8 | 1.93 | 235 | 1.07 |
| a3_vt25_c05_15_lb60 | full | 1.75 | 0.491 | 1 | 0.948 | 48.5 | 22.2 | 2.19 | 468 | 1.06 |
| a3_vt15_c025_20_lb60 | train | 1.63 | 0.679 | 0.992 | 0.683 | 40.3 | 17.8 | 2.26 | 281 | 0.775 |
| a3_vt15_c025_20_lb60 | validation | 1.24 | 0.715 | 0.959 | 0.44 | 25.9 | 23.6 | 1.1 | 268 | 0.798 |
| a3_vt15_c025_20_lb60 | full | 1.49 | 0.499 | 0.999 | 0.86 | 34.2 | 23.1 | 1.48 | 542 | 0.774 |
| a3_vt20_c025_20_lb60 | train | 1.63 | 0.67 | 0.992 | 0.686 | 43.3 | 17.7 | 2.45 | 257 | 0.895 |
| a3_vt20_c025_20_lb60 | validation | 1.48 | 0.715 | 0.981 | 0.573 | 34.7 | 23.7 | 1.46 | 248 | 0.918 |
| a3_vt20_c025_20_lb60 | full | 1.59 | 0.495 | 0.999 | 0.902 | 40.5 | 23.5 | 1.72 | 498 | 0.903 |
| a3_vt25_c025_20_lb60 | train | 1.68 | 0.671 | 0.994 | 0.712 | 47.5 | 17.8 | 2.66 | 239 | 1.05 |
| a3_vt25_c025_20_lb60 | validation | 1.63 | 0.706 | 0.99 | 0.655 | 41.9 | 21.8 | 1.93 | 235 | 1.07 |
| a3_vt25_c025_20_lb60 | full | 1.75 | 0.49 | 1 | 0.949 | 48.5 | 22.2 | 2.19 | 468 | 1.06 |
| a3_vt20_c05_15_lb20 | train | 1.76 | 0.667 | 0.996 | 0.752 | 48.7 | 17.1 | 2.84 | 253 | 0.976 |
| a3_vt20_c05_15_lb20 | validation | 1.65 | 0.711 | 0.99 | 0.664 | 40.4 | 24.1 | 1.67 | 243 | 0.938 |
| a3_vt20_c05_15_lb20 | full | 1.75 | 0.492 | 1 | 0.948 | 46.4 | 22.2 | 2.1 | 487 | 0.966 |
| a3_vt20_c05_15_lb126 | train | 1.55 | 0.671 | 0.989 | 0.642 | 41.2 | 17.9 | 2.3 | 260 | 0.88 |
| a3_vt20_c05_15_lb126 | validation | 1.37 | 0.714 | 0.972 | 0.512 | 30.6 | 20.5 | 1.49 | 247 | 0.933 |
| a3_vt20_c05_15_lb126 | full | 1.54 | 0.495 | 0.999 | 0.883 | 38.6 | 19.9 | 1.94 | 497 | 0.895 |
| a4_next_open | train | 0.94 | 0.688 | 0.915 | 0.298 | 22.2 | 18.1 | 1.23 | 260 | — |
| a4_next_open | validation | 1.44 | 0.719 | 0.977 | 0.551 | 36.3 | 28.2 | 1.29 | 243 | — |
| a4_next_open | full | 1.2 | 0.504 | 0.991 | 0.69 | 30 | 28.2 | 1.06 | 502 | — |
| a5_corr06_skip | train | 1.61 | 0.677 | 0.991 | 0.673 | 39.9 | 20.7 | 1.93 | 235 | — |
| a5_corr06_skip | validation | 1.7 | 0.714 | 0.991 | 0.689 | 39 | 17 | 2.3 | 222 | — |
| a5_corr06_skip | full | 1.59 | 0.5 | 0.999 | 0.899 | 38.2 | 20.7 | 1.85 | 450 | — |
| a5_corr07_skip | train | 1.4 | 0.676 | 0.981 | 0.555 | 34.3 | 19.9 | 1.73 | 244 | — |
| a5_corr07_skip | validation | 1.63 | 0.709 | 0.989 | 0.655 | 39.4 | 25.5 | 1.55 | 234 | — |
| a5_corr07_skip | full | 1.55 | 0.495 | 0.999 | 0.887 | 38.4 | 26 | 1.48 | 472 | — |
| a5_corr08_skip | train | 1.53 | 0.672 | 0.989 | 0.631 | 40.4 | 19.1 | 2.11 | 246 | — |
| a5_corr08_skip | validation | 1.37 | 0.709 | 0.973 | 0.512 | 32.4 | 25.8 | 1.26 | 233 | — |
| a5_corr08_skip | full | 1.49 | 0.493 | 0.999 | 0.863 | 38 | 26.6 | 1.43 | 475 | — |
| a5_corr06_half | train | 1.45 | 0.68 | 0.984 | 0.584 | 36.2 | 16.5 | 2.19 | 273 | — |
| a5_corr06_half | validation | 1.19 | 0.713 | 0.952 | 0.412 | 25 | 25.7 | 0.97 | 255 | — |
| a5_corr06_half | full | 1.38 | 0.497 | 0.997 | 0.806 | 32.5 | 25.4 | 1.28 | 521 | — |
| a5_corr07_half | train | 1.62 | 0.674 | 0.992 | 0.679 | 42.5 | 16.2 | 2.62 | 253 | — |
| a5_corr07_half | validation | 1.6 | 0.712 | 0.988 | 0.638 | 38.1 | 21.1 | 1.8 | 246 | — |
| a5_corr07_half | full | 1.66 | 0.494 | 1 | 0.924 | 42.5 | 21.8 | 1.95 | 492 | — |
| a5_corr08_half | train | 1.56 | 0.674 | 0.99 | 0.647 | 40.8 | 16.1 | 2.54 | 256 | — |
| a5_corr08_half | validation | 1.42 | 0.709 | 0.978 | 0.54 | 33.2 | 21.1 | 1.57 | 243 | — |
| a5_corr08_half | full | 1.55 | 0.494 | 0.999 | 0.887 | 39.2 | 21.8 | 1.8 | 492 | — |
Promotion decisions
- a2_hold_30: PROMOTE — validation Sharpe 1.68 ≥ control 1.68; DD 20.9 within +2pp of 20.9; train Sharpe 1.75 ≥ 1.75 (delta ≤ 1 SE — distinguishable noise bar not cleared)
- a2_hold_45: reject — failed: train_sharpe_not_worse
- a2_hold_60: reject — failed: train_sharpe_not_worse
- a2_hold_90: reject — failed: validation_dd_not_worse_by_2pp, train_sharpe_not_worse
- a3_vt15_c05_15_lb60: reject — failed: validation_sharpe_ge_control, validation_dd_not_worse_by_2pp, train_sharpe_not_worse
- a3_vt20_c05_15_lb60: reject — failed: validation_sharpe_ge_control, validation_dd_not_worse_by_2pp, train_sharpe_not_worse
- a3_vt25_c05_15_lb60: reject — failed: validation_sharpe_ge_control, train_sharpe_not_worse
- a3_vt15_c025_20_lb60: reject — failed: validation_sharpe_ge_control, validation_dd_not_worse_by_2pp, train_sharpe_not_worse
- a3_vt20_c025_20_lb60: reject — failed: validation_sharpe_ge_control, validation_dd_not_worse_by_2pp, train_sharpe_not_worse
- a3_vt25_c025_20_lb60: reject — failed: validation_sharpe_ge_control, train_sharpe_not_worse
- a3_vt20_c05_15_lb20: reject — failed: validation_sharpe_ge_control, validation_dd_not_worse_by_2pp
- a3_vt20_c05_15_lb126: reject — failed: validation_sharpe_ge_control, train_sharpe_not_worse
- a4_next_open: reject — failed: validation_sharpe_ge_control, validation_dd_not_worse_by_2pp, train_sharpe_not_worse
- a5_corr06_skip: reject — failed: train_sharpe_not_worse
- a5_corr07_skip: reject — failed: validation_sharpe_ge_control, validation_dd_not_worse_by_2pp, train_sharpe_not_worse
- a5_corr08_skip: reject — failed: validation_sharpe_ge_control, validation_dd_not_worse_by_2pp, train_sharpe_not_worse
- a5_corr06_half: reject — failed: validation_sharpe_ge_control, validation_dd_not_worse_by_2pp, train_sharpe_not_worse
- a5_corr07_half: reject — failed: validation_sharpe_ge_control, train_sharpe_not_worse
- a5_corr08_half: reject — failed: validation_sharpe_ge_control, train_sharpe_not_worse