Gouvernance paper-forward close-H 135: coûts c12/c20, cap1/cap2, kill-switch Val-only
135 transfère très bien en reporting Test et Recent avec trades timeout-only, mais l’exposition moyenne reste élevée (~95%) et le score Val est disproportionné. Le système candidat doit être gouverné comme stratégie exécutable: coûts plus durs, slippage, capacité, stops de régime mensuels pré-déclarés.
Test réel: réutilisation du pipeline close-H 135, modèle Ridge H10 entraîné Train-only, puis variantes prédéclarées c8/c12/c20, cap1/cap2, seuils p70/p80, pause par mois-calendaires négatifs observés en Validation, et kill-switch DD 15/20%. La sélection reste strictement Validation-only; Test/Recent sont seulement reportés.
Limitation: kill-switch DD est audité comme signal de breach sur courbe, pas comme reconstruction path-dependent complète après arrêt; pas de carnet d'ordres.
Validation sélectionnée: ridge_H10_c8_p70_cap2_none
Score2175.63Gain/DD2192.81% / -11.45%Trades188Avg/trade1.705%TP/timeouts0/188 (0.0%)Avg bars11.0Open avg/max1.94 / 2Exposure avg/max97.1% / 100%Top asset60.1%
Test reporting
Score187.44Gain/DD199.21% / -7.85%Trades102Avg/trade1.097%TP/timeouts0/102 (0.0%)Avg bars11.0Open avg/max1.90 / 2Exposure avg/max95.1% / 100%Top asset48.0%
Recent reporting
Score17.59Gain/DD19.63% / -1.36%Trades11Avg/trade1.656%TP/timeouts0/11 (0.0%)Avg bars11.0Open avg/max1.92 / 2Exposure avg/max96.2% / 100%Top asset63.6%
Interprétation
Favorable: sous sélection Validation-only, la variante close-H gouvernée conserve un Test positif, Recent non négatif, DD contenu, avg/trade net compatible et une marge de coûts au moins jusqu'à 20 bps. Cela justifie un suivi shadow-forward strict, pas une promotion live automatique.
Leçon causale: La marge du signal close-H 135 n'est pas entièrement un effet de levier ou de frais trop faibles; le blocage principal devient la mesure paper-forward réelle des coûts/fills et la surveillance de régime.
Next implication: Geler la variante sélectionnée pour paper-forward très borné avec logs; ne pas retuner les seuils par Test. Prochaine hypothèse: robustesse multi-résolution courte si la queue l'appelle.
Graphiques
Courbe coûts break-even (variante gelée)
| bps | Val score | Test score | Recent score | Test avg/trade |
|---|---|---|---|---|
| 0 | 2351.76 | 200.10 | 18.23 | 1.137% |
| 4 | 2262.08 | 193.71 | 17.91 | 1.117% |
| 8 | 2175.63 | 187.44 | 17.59 | 1.097% |
| 12 | 2092.31 | 181.29 | 17.27 | 1.077% |
| 16 | 2012.00 | 175.26 | 16.95 | 1.057% |
| 20 | 1934.59 | 169.35 | 16.64 | 1.037% |
| 24 | 1859.97 | 163.55 | 16.32 | 1.017% |
| 30 | 1753.07 | 155.06 | 15.85 | 0.987% |
| 40 | 1587.50 | 141.45 | 15.06 | 0.937% |
Variantes gouvernance — choix Validation-only
| Variante | Sel score | Val score | Val gain | Val DD | Val trades | Val expos. | Val top | Test score | Test gain | Test DD | Test trades | Test avg/trade | Test top | Recent |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ridge_H10_c8_p70_cap2_none | 2173.46 | 2175.63 | 2192.81% | -11.45% | 188 | 97.1% | 60.1% | 187.44 | 199.21% | -7.85% | 102 | 1.097% | 48.0% | 17.59 |
| ridge_H10_c8_p70_cap2_dd_kill_15 | 2173.46 | 2175.63 | 2192.81% | -11.45% | 188 | 97.1% | 60.1% | 187.44 | 199.21% | -7.85% | 102 | 1.097% | 48.0% | 17.59 |
| ridge_H10_c8_p70_cap2_dd_kill_20 | 2173.46 | 2175.63 | 2192.81% | -11.45% | 188 | 97.1% | 60.1% | 187.44 | 199.21% | -7.85% | 102 | 1.097% | 48.0% | 17.59 |
| ridge_H10_c8_p70_cap1_none | 2134.79 | 2134.94 | 2152.64% | -11.80% | 98 | 100.0% | 60.2% | 183.33 | 201.03% | -11.80% | 54 | 2.140% | 50.0% | 17.26 |
| ridge_H10_c8_p70_cap1_dd_kill_15 | 2134.79 | 2134.94 | 2152.64% | -11.80% | 98 | 100.0% | 60.2% | 183.33 | 201.03% | -11.80% | 54 | 2.140% | 50.0% | 17.26 |
| ridge_H10_c8_p70_cap1_dd_kill_20 | 2134.79 | 2134.94 | 2152.64% | -11.80% | 98 | 100.0% | 60.2% | 183.33 | 201.03% | -11.80% | 54 | 2.140% | 50.0% | 17.26 |
| ridge_H10_c12_p70_cap2_none | 2090.13 | 2092.31 | 2109.55% | -11.49% | 188 | 97.1% | 60.1% | 181.29 | 193.23% | -7.96% | 102 | 1.077% | 48.0% | 17.27 |
| ridge_H10_c12_p70_cap2_dd_kill_15 | 2090.13 | 2092.31 | 2109.55% | -11.49% | 188 | 97.1% | 60.1% | 181.29 | 193.23% | -7.96% | 102 | 1.077% | 48.0% | 17.27 |
| ridge_H10_c12_p70_cap2_dd_kill_20 | 2090.13 | 2092.31 | 2109.55% | -11.49% | 188 | 97.1% | 60.1% | 181.29 | 193.23% | -7.96% | 102 | 1.077% | 48.0% | 17.27 |
| ridge_H10_c12_p70_cap1_none | 2050.70 | 2050.84 | 2068.60% | -11.84% | 98 | 100.0% | 60.2% | 176.96 | 194.72% | -11.84% | 54 | 2.100% | 50.0% | 16.92 |
| ridge_H10_c12_p70_cap1_dd_kill_15 | 2050.70 | 2050.84 | 2068.60% | -11.84% | 98 | 100.0% | 60.2% | 176.96 | 194.72% | -11.84% | 54 | 2.100% | 50.0% | 16.92 |
| ridge_H10_c12_p70_cap1_dd_kill_20 | 2050.70 | 2050.84 | 2068.60% | -11.84% | 98 | 100.0% | 60.2% | 176.96 | 194.72% | -11.84% | 54 | 2.100% | 50.0% | 16.92 |
| ridge_H10_c20_p70_cap2_none | 1942.41 | 1934.59 | 1951.93% | -11.56% | 188 | 97.1% | 60.1% | 169.35 | 181.63% | -8.18% | 102 | 1.037% | 48.0% | 16.64 |
| ridge_H10_c20_p70_cap2_dd_kill_15 | 1942.41 | 1934.59 | 1951.93% | -11.56% | 188 | 97.1% | 60.1% | 169.35 | 181.63% | -8.18% | 102 | 1.037% | 48.0% | 16.64 |
| ridge_H10_c20_p70_cap2_dd_kill_20 | 1942.41 | 1934.59 | 1951.93% | -11.56% | 188 | 97.1% | 60.1% | 169.35 | 181.63% | -8.18% | 102 | 1.037% | 48.0% | 16.64 |
| ridge_H10_c20_p70_cap1_none | 1901.71 | 1891.85 | 1909.73% | -11.92% | 98 | 100.0% | 60.2% | 164.61 | 182.49% | -11.92% | 54 | 2.020% | 50.0% | 16.24 |
| ridge_H10_c20_p70_cap1_dd_kill_15 | 1901.71 | 1891.85 | 1909.73% | -11.92% | 98 | 100.0% | 60.2% | 164.61 | 182.49% | -11.92% | 54 | 2.020% | 50.0% | 16.24 |
| ridge_H10_c20_p70_cap1_dd_kill_20 | 1901.71 | 1891.85 | 1909.73% | -11.92% | 98 | 100.0% | 60.2% | 164.61 | 182.49% | -11.92% | 54 | 2.020% | 50.0% | 16.24 |
| ridge_H10_c8_p80_cap1_none | 1371.60 | 1375.14 | 1392.84% | -11.80% | 83 | 100.0% | 65.1% | 135.25 | 152.95% | -11.80% | 42 | 2.331% | 59.5% | 14.60 |
| ridge_H10_c8_p80_cap1_dd_kill_15 | 1371.60 | 1375.14 | 1392.84% | -11.80% | 83 | 100.0% | 65.1% | 135.25 | 152.95% | -11.80% | 42 | 2.331% | 59.5% | 14.60 |
| ridge_H10_c8_p80_cap1_dd_kill_20 | 1371.60 | 1375.14 | 1392.84% | -11.80% | 83 | 100.0% | 65.1% | 135.25 | 152.95% | -11.80% | 42 | 2.331% | 59.5% | 14.60 |
| ridge_H10_c12_p80_cap1_none | 1324.27 | 1327.81 | 1345.57% | -11.84% | 83 | 100.0% | 65.1% | 131.06 | 148.82% | -11.84% | 42 | 2.291% | 59.5% | 14.31 |
| ridge_H10_c12_p80_cap1_dd_kill_15 | 1324.27 | 1327.81 | 1345.57% | -11.84% | 83 | 100.0% | 65.1% | 131.06 | 148.82% | -11.84% | 42 | 2.291% | 59.5% | 14.31 |
| ridge_H10_c12_p80_cap1_dd_kill_20 | 1324.27 | 1327.81 | 1345.57% | -11.84% | 83 | 100.0% | 65.1% | 131.06 | 148.82% | -11.84% | 42 | 2.291% | 59.5% | 14.31 |
| ridge_H10_c8_p80_cap2_none | 1248.77 | 1254.03 | 1271.21% | -11.45% | 158 | 97.1% | 64.6% | 137.08 | 149.66% | -8.39% | 79 | 1.186% | 54.4% | 16.24 |
| ridge_H10_c8_p80_cap2_dd_kill_15 | 1248.77 | 1254.03 | 1271.21% | -11.45% | 158 | 97.1% | 64.6% | 137.08 | 149.66% | -8.39% | 79 | 1.186% | 54.4% | 16.24 |
| ridge_H10_c8_p80_cap2_dd_kill_20 | 1248.77 | 1254.03 | 1271.21% | -11.45% | 158 | 97.1% | 64.6% | 137.08 | 149.66% | -8.39% | 79 | 1.186% | 54.4% | 16.24 |
| ridge_H10_c20_p80_cap1_none | 1244.01 | 1237.55 | 1255.43% | -11.92% | 83 | 100.0% | 65.1% | 122.89 | 140.77% | -11.92% | 42 | 2.211% | 59.5% | 13.74 |
| ridge_H10_c20_p80_cap1_dd_kill_15 | 1244.01 | 1237.55 | 1255.43% | -11.92% | 83 | 100.0% | 65.1% | 122.89 | 140.77% | -11.92% | 42 | 2.211% | 59.5% | 13.74 |
| ridge_H10_c20_p80_cap1_dd_kill_20 | 1244.01 | 1237.55 | 1255.43% | -11.92% | 83 | 100.0% | 65.1% | 122.89 | 140.77% | -11.92% | 42 | 2.211% | 59.5% | 13.74 |
| ridge_H10_c12_p80_cap2_none | 1206.74 | 1212.00 | 1229.24% | -11.49% | 158 | 97.1% | 64.6% | 133.05 | 145.79% | -8.50% | 79 | 1.166% | 54.4% | 15.95 |
| ridge_H10_c12_p80_cap2_dd_kill_15 | 1206.74 | 1212.00 | 1229.24% | -11.49% | 158 | 97.1% | 64.6% | 133.05 | 145.79% | -8.50% | 79 | 1.166% | 54.4% | 15.95 |
| ridge_H10_c12_p80_cap2_dd_kill_20 | 1206.74 | 1212.00 | 1229.24% | -11.49% | 158 | 97.1% | 64.6% | 133.05 | 145.79% | -8.50% | 79 | 1.166% | 54.4% | 15.95 |
| ridge_H10_c20_p80_cap2_none | 1136.47 | 1131.73 | 1149.07% | -11.56% | 158 | 97.1% | 64.6% | 125.15 | 138.23% | -8.72% | 79 | 1.126% | 54.4% | 15.37 |
| ridge_H10_c20_p80_cap2_dd_kill_15 | 1136.47 | 1131.73 | 1149.07% | -11.56% | 158 | 97.1% | 64.6% | 125.15 | 138.23% | -8.72% | 79 | 1.126% | 54.4% | 15.37 |
| ridge_H10_c20_p80_cap2_dd_kill_20 | 1136.47 | 1131.73 | 1149.07% | -11.56% | 158 | 97.1% | 64.6% | 125.15 | 138.23% | -8.72% | 79 | 1.126% | 54.4% | 15.37 |
| ridge_H10_c8_p70_cap2_pause_bad_val_monthnum | 962.46 | 964.93 | 982.10% | -11.45% | 129 | 96.6% | 61.2% | 52.31 | 63.67% | -7.58% | 54 | 0.933% | 46.3% | 10.35 |
| ridge_H10_c8_p70_cap1_pause_bad_val_monthnum | 954.37 | 955.61 | 973.30% | -11.80% | 68 | 100.0% | 61.8% | 42.03 | 59.73% | -11.80% | 27 | 1.837% | 48.1% | 11.36 |
| ridge_H10_c8_p80_cap1_pause_bad_val_monthnum | 945.61 | 948.90 | 966.60% | -11.80% | 68 | 100.0% | 64.7% | 87.42 | 105.12% | -11.80% | 29 | 2.606% | 55.2% | 14.73 |
| ridge_H10_c12_p70_cap2_pause_bad_val_monthnum | 935.33 | 937.80 | 955.03% | -11.49% | 129 | 96.6% | 61.2% | 50.51 | 61.93% | -7.61% | 54 | 0.913% | 46.3% | 10.14 |
| ridge_H10_c12_p70_cap1_pause_bad_val_monthnum | 926.45 | 927.68 | 945.44% | -11.84% | 68 | 100.0% | 61.8% | 40.28 | 58.04% | -11.84% | 27 | 1.797% | 48.1% | 11.12 |
| ridge_H10_c12_p80_cap1_pause_bad_val_monthnum | 917.86 | 921.16 | 938.92% | -11.84% | 68 | 100.0% | 64.7% | 85.05 | 102.81% | -11.84% | 29 | 2.566% | 55.2% | 14.55 |
| ridge_H10_c20_p70_cap2_pause_bad_val_monthnum | 893.07 | 885.54 | 902.88% | -11.56% | 129 | 96.6% | 61.2% | 46.96 | 58.50% | -7.69% | 54 | 0.873% | 46.3% | 9.71 |
| ridge_H10_c8_p80_cap2_pause_bad_val_monthnum | 893.06 | 897.08 | 914.25% | -11.45% | 129 | 97.1% | 62.8% | 88.70 | 100.06% | -7.58% | 53 | 1.336% | 45.3% | 15.50 |
| ridge_H10_c20_p70_cap1_pause_bad_val_monthnum | 882.72 | 873.96 | 891.84% | -11.92% | 68 | 100.0% | 61.8% | 36.84 | 54.72% | -11.92% | 27 | 1.717% | 48.1% | 10.65 |
| ridge_H10_c20_p80_cap1_pause_bad_val_monthnum | 874.48 | 867.77 | 885.65% | -11.92% | 68 | 100.0% | 64.7% | 80.38 | 98.26% | -11.92% | 29 | 2.486% | 55.2% | 14.20 |
| ridge_H10_c12_p80_cap2_pause_bad_val_monthnum | 867.62 | 871.63 | 888.86% | -11.49% | 129 | 97.1% | 62.8% | 86.56 | 97.98% | -7.61% | 53 | 1.316% | 45.3% | 15.32 |
| ridge_H10_c20_p80_cap2_pause_bad_val_monthnum | 828.61 | 822.62 | 839.97% | -11.56% | 129 | 97.1% | 62.8% | 82.34 | 93.88% | -7.69% | 53 | 1.276% | 45.3% | 14.95 |
Cadrage scientifique
- Validation-only: seuil, coût, cap et gouvernance choisis uniquement sur Validation.
- Test/Recent: reporting-only; aucun reranking Test.
- Exits close-H timeout-only: TP hits = 0 par construction, timeouts = trades.
- Critère d'intérêt: Test positif, Recent non catastrophique, DD réaliste, avg/trade compatible frais, concentration/top asset bornée.
Graphiques Val/Test
Sélection sur Validation uniquement. Le Test est affiché seulement pour juger le transfert.
