Ridge close-H dédié H10/H20 conditionné par score TP-prob, sans TP intrabar
132 a montré que le candidat TP-only 125/128 perd son transfert sous fill adverse/latence (Test score≈-13.3 malgré Recent positif), 133 falsifie la robustesse multi-actifs non-XRP, et 134 ne transforme pas le pont close-H low-exposure en candidat robuste (Test capital_score≈-3.2, top_asset_share≈83%). Le signal TP-prob conserve toutefois une information directionnelle dans 129, mais il ne doit plus être utilisé comme simple filtre historique retuné.
Test réel: modèle Ridge linéaire entraîné sur Train pour prédire le rendement close-to-close H10/H20 net coûts. Les features incluent le score TP-prob train-only et des indicateurs 1h/30m pré-entry; les seuils/caps/horizons sont choisis sur Validation seulement.
Contrôles: scaler et winsor target fit Train; Test/Recent reporting-only; aucun TP intrabar, tous les exits sont timeouts close-H.
Validation sélectionnée: ridge_a1_H10_c8_p70_cap2
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
Défavorable/mitigé: le Ridge close-H dédié ne satisfait pas simultanément transfert Test, recent, DD, nombre de trades et avg/trade sous sélection Validation-only.
Leçon: Le score TP-prob et les features pré-entry ne suffisent pas à apprendre une utilité close-H robuste; le signal TP-touch reste difficile à transformer en rendement close-to-close tradable.
Next: Ne pas promouvoir; limiter la famille 125/close-H à des diagnostics ou chercher de nouvelles cibles/features plutôt qu'un nouveau retuning historique.
Graphiques
Variantes Ridge close-H — choix Validation-only
| Variante | Sel score | Val score | Val gain | Val DD | Val trades | Val top | Test score | Test gain | Test DD | Test trades | Test avg/trade | Test top | Recent score |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ridge_a1_H10_c8_p70_cap2 | 2175.63 | 2175.63 | 2192.81% | -11.45% | 188 | 60.1% | 187.44 | 199.21% | -7.85% | 102 | 1.097% | 48.0% | 17.59 |
| ridge_a10_H10_c8_p70_cap2 | 2175.63 | 2175.63 | 2192.81% | -11.45% | 188 | 60.1% | 189.01 | 200.79% | -7.85% | 102 | 1.103% | 47.1% | 16.24 |
| ridge_a100_H10_c8_p70_cap2 | 2153.19 | 2153.19 | 2170.37% | -11.45% | 188 | 60.6% | 189.01 | 200.79% | -7.85% | 102 | 1.103% | 47.1% | 16.24 |
| ridge_a1_H10_c8_p70_cap1 | 2134.94 | 2134.94 | 2152.64% | -11.80% | 98 | 60.2% | 183.33 | 201.03% | -11.80% | 54 | 2.140% | 50.0% | 17.26 |
| ridge_a10_H10_c8_p70_cap1 | 2134.94 | 2134.94 | 2152.64% | -11.80% | 98 | 60.2% | 182.41 | 200.11% | -11.80% | 54 | 2.134% | 50.0% | 14.60 |
| ridge_a100_H10_c8_p70_cap1 | 2134.94 | 2134.94 | 2152.64% | -11.80% | 98 | 60.2% | 182.41 | 200.11% | -11.80% | 54 | 2.134% | 50.0% | 14.60 |
| ridge_a1_H10_c12_p70_cap2 | 2092.31 | 2092.31 | 2109.55% | -11.49% | 188 | 60.1% | 181.29 | 193.23% | -7.96% | 102 | 1.077% | 48.0% | 17.27 |
| ridge_a10_H10_c12_p70_cap2 | 2092.31 | 2092.31 | 2109.55% | -11.49% | 188 | 60.1% | 182.83 | 194.77% | -7.96% | 102 | 1.083% | 47.1% | 15.95 |
| ridge_a100_H10_c12_p70_cap2 | 2070.68 | 2070.68 | 2087.92% | -11.49% | 188 | 60.6% | 182.83 | 194.77% | -7.96% | 102 | 1.083% | 47.1% | 15.95 |
| ridge_a1_H10_c12_p70_cap1 | 2050.84 | 2050.84 | 2068.60% | -11.84% | 98 | 60.2% | 176.96 | 194.72% | -11.84% | 54 | 2.100% | 50.0% | 16.92 |
| ridge_a10_H10_c12_p70_cap1 | 2050.84 | 2050.84 | 2068.60% | -11.84% | 98 | 60.2% | 176.06 | 193.82% | -11.84% | 54 | 2.094% | 50.0% | 14.31 |
| ridge_a100_H10_c12_p70_cap1 | 2050.84 | 2050.84 | 2068.60% | -11.84% | 98 | 60.2% | 176.06 | 193.82% | -11.84% | 54 | 2.094% | 50.0% | 14.31 |
| ridge_a1_H10_c8_p70_cap3 | 1980.01 | 1980.01 | 1997.03% | -11.34% | 271 | 60.9% | 172.57 | 185.46% | -8.59% | 145 | 0.734% | 44.1% | 19.04 |
| ridge_a10_H10_c8_p70_cap3 | 1980.01 | 1980.01 | 1997.03% | -11.34% | 271 | 60.9% | 170.42 | 183.31% | -8.59% | 144 | 0.734% | 43.8% | 18.15 |
| ridge_a100_H10_c8_p70_cap3 | 1974.97 | 1974.97 | 1991.98% | -11.34% | 271 | 61.3% | 170.42 | 183.31% | -8.59% | 144 | 0.734% | 43.8% | 18.15 |
| ridge_a1_H10_c12_p70_cap3 | 1906.34 | 1906.34 | 1923.41% | -11.38% | 271 | 60.9% | 166.98 | 180.03% | -8.70% | 145 | 0.720% | 44.1% | 18.79 |
| ridge_a10_H10_c12_p70_cap3 | 1906.34 | 1906.34 | 1923.41% | -11.38% | 271 | 60.9% | 164.91 | 177.96% | -8.70% | 144 | 0.720% | 43.8% | 17.91 |
| ridge_a100_H10_c12_p70_cap3 | 1901.47 | 1901.47 | 1918.54% | -11.38% | 271 | 61.3% | 164.91 | 177.96% | -8.70% | 144 | 0.720% | 43.8% | 17.91 |
| ridge_a1_H10_c8_p70_cap5 | 1596.06 | 1596.06 | 1612.95% | -11.26% | 416 | 59.1% | 107.20 | 121.77% | -9.71% | 214 | 0.376% | 43.9% | 16.13 |
| ridge_a10_H10_c8_p70_cap5 | 1596.06 | 1596.06 | 1612.95% | -11.26% | 416 | 59.1% | 106.20 | 120.76% | -9.71% | 213 | 0.376% | 43.7% | 15.61 |
| ridge_a100_H10_c8_p70_cap5 | 1596.06 | 1596.06 | 1612.95% | -11.26% | 416 | 59.1% | 105.36 | 119.92% | -9.71% | 213 | 0.374% | 44.1% | 15.61 |
| ridge_a100_H10_c12_p70_cap5 | 1540.31 | 1540.31 | 1557.25% | -11.29% | 416 | 59.1% | 101.60 | 116.22% | -9.75% | 213 | 0.366% | 44.1% | 15.42 |
| ridge_a1_H10_c12_p70_cap5 | 1540.31 | 1540.31 | 1557.25% | -11.29% | 416 | 59.1% | 103.40 | 118.01% | -9.75% | 214 | 0.368% | 43.9% | 15.94 |
| ridge_a10_H10_c12_p70_cap5 | 1540.31 | 1540.31 | 1557.25% | -11.29% | 416 | 59.1% | 102.42 | 117.04% | -9.75% | 213 | 0.368% | 43.7% | 15.42 |
| ridge_a1_H10_c8_p80_cap1 | 1375.14 | 1375.14 | 1392.84% | -11.80% | 83 | 65.1% | 135.25 | 152.95% | -11.80% | 42 | 2.331% | 59.5% | 14.60 |
| ridge_a10_H10_c8_p80_cap1 | 1375.14 | 1375.14 | 1392.84% | -11.80% | 83 | 65.1% | 135.25 | 152.95% | -11.80% | 42 | 2.331% | 59.5% | 14.60 |
| ridge_a100_H10_c8_p80_cap1 | 1375.14 | 1375.14 | 1392.84% | -11.80% | 83 | 65.1% | 135.25 | 152.95% | -11.80% | 42 | 2.331% | 59.5% | 14.60 |
| ridge_a1_H10_c12_p80_cap1 | 1327.81 | 1327.81 | 1345.57% | -11.84% | 83 | 65.1% | 131.06 | 148.82% | -11.84% | 42 | 2.291% | 59.5% | 14.31 |
| ridge_a10_H10_c12_p80_cap1 | 1327.81 | 1327.81 | 1345.57% | -11.84% | 83 | 65.1% | 131.06 | 148.82% | -11.84% | 42 | 2.291% | 59.5% | 14.31 |
| ridge_a100_H10_c12_p80_cap1 | 1327.81 | 1327.81 | 1345.57% | -11.84% | 83 | 65.1% | 131.06 | 148.82% | -11.84% | 42 | 2.291% | 59.5% | 14.31 |
| ridge_a1_H20_c8_p70_cap2 | 1263.37 | 1278.37 | 1302.33% | -15.97% | 147 | 59.9% | 236.79 | 254.22% | -11.62% | 81 | 1.612% | 48.1% | 30.46 |
| ridge_a10_H20_c8_p70_cap2 | 1263.37 | 1278.37 | 1302.33% | -15.97% | 147 | 59.9% | 236.79 | 254.22% | -11.62% | 81 | 1.612% | 48.1% | 30.46 |
| ridge_a100_H20_c8_p70_cap2 | 1263.37 | 1278.37 | 1302.33% | -15.97% | 147 | 59.9% | 236.79 | 254.22% | -11.62% | 81 | 1.612% | 48.1% | 30.46 |
| ridge_a1_H10_c8_p80_cap2 | 1254.03 | 1254.03 | 1271.21% | -11.45% | 158 | 64.6% | 137.08 | 149.66% | -8.39% | 79 | 1.186% | 54.4% | 16.24 |
| ridge_a10_H10_c8_p80_cap2 | 1254.03 | 1254.03 | 1271.21% | -11.45% | 158 | 64.6% | 137.08 | 149.66% | -8.39% | 79 | 1.186% | 54.4% | 16.24 |
| ridge_a100_H10_c8_p80_cap2 | 1253.41 | 1253.41 | 1270.58% | -11.45% | 158 | 64.6% | 137.08 | 149.66% | -8.39% | 79 | 1.186% | 54.4% | 16.24 |
| ridge_a1_H20_c12_p70_cap2 | 1223.33 | 1238.33 | 1262.39% | -16.04% | 147 | 59.9% | 231.08 | 248.61% | -11.69% | 81 | 1.592% | 48.1% | 30.17 |
| ridge_a10_H20_c12_p70_cap2 | 1223.33 | 1238.33 | 1262.39% | -16.04% | 147 | 59.9% | 231.08 | 248.61% | -11.69% | 81 | 1.592% | 48.1% | 30.17 |
| ridge_a100_H20_c12_p70_cap2 | 1223.33 | 1238.33 | 1262.39% | -16.04% | 147 | 59.9% | 231.08 | 248.61% | -11.69% | 81 | 1.592% | 48.1% | 30.17 |
| ridge_a1_H10_c12_p80_cap2 | 1212.00 | 1212.00 | 1229.24% | -11.49% | 158 | 64.6% | 133.05 | 145.79% | -8.50% | 79 | 1.166% | 54.4% | 15.95 |
| ridge_a10_H10_c12_p80_cap2 | 1212.00 | 1212.00 | 1229.24% | -11.49% | 158 | 64.6% | 133.05 | 145.79% | -8.50% | 79 | 1.166% | 54.4% | 15.95 |
| ridge_a100_H10_c12_p80_cap2 | 1211.39 | 1211.39 | 1228.63% | -11.49% | 158 | 64.6% | 133.05 | 145.79% | -8.50% | 79 | 1.166% | 54.4% | 15.95 |
| ridge_a1_H20_c8_p70_cap3 | 1179.22 | 1194.22 | 1218.01% | -15.86% | 213 | 60.6% | 211.89 | 222.67% | -7.19% | 114 | 1.051% | 46.5% | 30.64 |
| ridge_a10_H20_c8_p70_cap3 | 1179.22 | 1194.22 | 1218.01% | -15.86% | 213 | 60.6% | 211.89 | 222.67% | -7.19% | 114 | 1.051% | 46.5% | 30.64 |
| ridge_a100_H20_c8_p70_cap3 | 1179.22 | 1194.22 | 1218.01% | -15.86% | 213 | 60.6% | 211.89 | 222.67% | -7.19% | 114 | 1.051% | 46.5% | 30.64 |
| ridge_a1_H10_c8_p80_cap3 | 1149.71 | 1149.71 | 1166.72% | -11.34% | 224 | 65.6% | 125.50 | 137.98% | -8.32% | 111 | 0.793% | 52.3% | 18.15 |
| ridge_a10_H10_c8_p80_cap3 | 1149.71 | 1149.71 | 1166.72% | -11.34% | 224 | 65.6% | 125.50 | 137.98% | -8.32% | 111 | 0.793% | 52.3% | 18.15 |
| ridge_a100_H10_c8_p80_cap3 | 1149.33 | 1149.33 | 1166.34% | -11.34% | 224 | 65.6% | 125.50 | 137.98% | -8.32% | 111 | 0.793% | 52.3% | 18.15 |
| ridge_a1_H20_c12_p70_cap3 | 1142.64 | 1157.64 | 1181.53% | -15.93% | 213 | 60.6% | 206.96 | 217.85% | -7.26% | 114 | 1.038% | 46.5% | 30.40 |
| ridge_a10_H20_c12_p70_cap3 | 1142.64 | 1157.64 | 1181.53% | -15.93% | 213 | 60.6% | 206.96 | 217.85% | -7.26% | 114 | 1.038% | 46.5% | 30.40 |
| ridge_a100_H20_c12_p70_cap3 | 1142.64 | 1157.64 | 1181.53% | -15.93% | 213 | 60.6% | 206.96 | 217.85% | -7.26% | 114 | 1.038% | 46.5% | 30.40 |
| ridge_a1_H10_c12_p80_cap3 | 1112.79 | 1112.79 | 1129.86% | -11.38% | 224 | 65.6% | 121.88 | 134.51% | -8.42% | 111 | 0.780% | 52.3% | 17.91 |
| ridge_a10_H10_c12_p80_cap3 | 1112.79 | 1112.79 | 1129.86% | -11.38% | 224 | 65.6% | 121.88 | 134.51% | -8.42% | 111 | 0.780% | 52.3% | 17.91 |
| ridge_a100_H10_c12_p80_cap3 | 1112.42 | 1112.42 | 1129.49% | -11.38% | 224 | 65.6% | 121.88 | 134.51% | -8.42% | 111 | 0.780% | 52.3% | 17.91 |
| ridge_a1_H10_c8_p80_cap5 | 1035.28 | 1035.28 | 1052.16% | -11.26% | 341 | 63.0% | 83.31 | 97.87% | -9.71% | 165 | 0.418% | 49.7% | 16.88 |
| ridge_a10_H10_c8_p80_cap5 | 1035.28 | 1035.28 | 1052.16% | -11.26% | 341 | 63.0% | 82.08 | 96.64% | -9.71% | 165 | 0.415% | 49.7% | 16.88 |
| ridge_a100_H10_c8_p80_cap5 | 1035.07 | 1035.07 | 1051.95% | -11.26% | 341 | 63.0% | 82.08 | 96.64% | -9.71% | 165 | 0.415% | 49.7% | 16.88 |
| ridge_a1_H10_c12_p80_cap5 | 1004.43 | 1004.43 | 1021.37% | -11.29% | 341 | 63.0% | 80.67 | 95.29% | -9.75% | 165 | 0.410% | 49.7% | 16.70 |
| ridge_a10_H10_c12_p80_cap5 | 1004.43 | 1004.43 | 1021.37% | -11.29% | 341 | 63.0% | 79.46 | 94.07% | -9.75% | 165 | 0.407% | 49.7% | 16.70 |
| ridge_a100_H10_c12_p80_cap5 | 1004.23 | 1004.23 | 1021.17% | -11.29% | 341 | 63.0% | 79.46 | 94.07% | -9.75% | 165 | 0.407% | 49.7% | 16.70 |
| ridge_a1_H20_c8_p70_cap1 | 968.52 | 1091.05 | 1122.67% | -21.08% | 78 | 59.0% | 221.66 | 246.13% | -16.32% | 44 | 3.014% | 47.7% | 33.66 |
| ridge_a10_H20_c8_p70_cap1 | 968.52 | 1091.05 | 1122.67% | -21.08% | 78 | 59.0% | 221.66 | 246.13% | -16.32% | 44 | 3.014% | 47.7% | 33.66 |
| ridge_a100_H20_c8_p70_cap1 | 968.52 | 1091.05 | 1122.67% | -21.08% | 78 | 59.0% | 221.66 | 246.13% | -16.32% | 44 | 3.014% | 47.7% | 33.66 |
| ridge_a1_H20_c12_p70_cap1 | 930.64 | 1054.33 | 1086.20% | -21.24% | 78 | 59.0% | 215.67 | 240.25% | -16.39% | 44 | 2.974% | 47.7% | 33.34 |
| ridge_a10_H20_c12_p70_cap1 | 930.64 | 1054.33 | 1086.20% | -21.24% | 78 | 59.0% | 215.67 | 240.25% | -16.39% | 44 | 2.974% | 47.7% | 33.34 |
| ridge_a100_H20_c12_p70_cap1 | 930.64 | 1054.33 | 1086.20% | -21.24% | 78 | 59.0% | 215.67 | 240.25% | -16.39% | 44 | 2.974% | 47.7% | 33.34 |
| ridge_a1_H20_c8_p70_cap5 | 919.50 | 934.50 | 958.15% | -15.77% | 337 | 57.6% | 180.41 | 187.96% | -5.04% | 169 | 0.634% | 44.4% | 26.30 |
| ridge_a10_H20_c8_p70_cap5 | 919.50 | 934.50 | 958.15% | -15.77% | 337 | 57.6% | 180.41 | 187.96% | -5.04% | 169 | 0.634% | 44.4% | 26.30 |
| ridge_a100_H20_c8_p70_cap5 | 906.62 | 921.62 | 945.27% | -15.77% | 337 | 57.9% | 180.41 | 187.96% | -5.04% | 169 | 0.634% | 44.4% | 26.30 |
| ridge_a1_H20_c12_p70_cap5 | 891.44 | 906.44 | 930.19% | -15.84% | 337 | 57.6% | 176.51 | 184.12% | -5.08% | 169 | 0.626% | 44.4% | 26.12 |
| ridge_a10_H20_c12_p70_cap5 | 891.44 | 906.44 | 930.19% | -15.84% | 337 | 57.6% | 176.51 | 184.12% | -5.08% | 169 | 0.626% | 44.4% | 26.12 |
| ridge_a100_H20_c12_p70_cap5 | 878.90 | 893.90 | 917.66% | -15.84% | 337 | 57.9% | 176.51 | 184.12% | -5.08% | 169 | 0.626% | 44.4% | 26.12 |
| ridge_a100_H20_c8_p80_cap1 | 781.25 | 896.25 | 920.72% | -16.32% | 65 | 61.5% | 96.30 | 125.81% | -19.67% | 35 | 2.520% | 48.6% | 21.71 |
| ridge_a100_H10_c8_p90_cap5 | 765.20 | 765.20 | 777.55% | -8.24% | 257 | 67.7% | 42.32 | 55.40% | -8.72% | 96 | 0.466% | 58.3% | 8.56 |
| ridge_a1_H10_c8_p90_cap5 | 756.90 | 756.90 | 769.25% | -8.24% | 256 | 68.0% | 42.32 | 55.40% | -8.72% | 96 | 0.466% | 58.3% | 8.56 |
| ridge_a10_H10_c8_p90_cap5 | 756.90 | 756.90 | 769.25% | -8.24% | 256 | 68.0% | 42.32 | 55.40% | -8.72% | 96 | 0.466% | 58.3% | 8.56 |
| ridge_a100_H20_c12_p80_cap1 | 755.80 | 870.80 | 895.39% | -16.39% | 65 | 61.5% | 93.02 | 122.74% | -19.81% | 35 | 2.480% | 48.6% | 21.46 |
| ridge_a100_H20_c8_p80_cap2 | 753.11 | 768.11 | 792.06% | -15.97% | 124 | 60.5% | 113.90 | 130.38% | -10.99% | 65 | 1.332% | 44.6% | 22.33 |
| ridge_a100_H10_c12_p90_cap5 | 747.43 | 747.43 | 759.84% | -8.27% | 257 | 67.7% | 41.03 | 54.21% | -8.79% | 96 | 0.458% | 58.3% | 8.49 |
| ridge_a1_H10_c12_p90_cap5 | 739.37 | 739.37 | 751.78% | -8.27% | 256 | 68.0% | 41.03 | 54.21% | -8.79% | 96 | 0.458% | 58.3% | 8.49 |
| ridge_a10_H10_c12_p90_cap5 | 739.37 | 739.37 | 751.78% | -8.27% | 256 | 68.0% | 41.03 | 54.21% | -8.79% | 96 | 0.458% | 58.3% | 8.49 |
| ridge_a100_H20_c12_p80_cap2 | 731.52 | 746.52 | 770.58% | -16.04% | 124 | 60.5% | 110.80 | 127.45% | -11.10% | 65 | 1.312% | 44.6% | 22.10 |
| ridge_a1_H20_c8_p80_cap2 | 729.18 | 744.18 | 768.13% | -15.97% | 123 | 61.0% | 113.90 | 130.38% | -10.99% | 65 | 1.332% | 44.6% | 22.33 |
| ridge_a10_H20_c8_p80_cap2 | 729.18 | 744.18 | 768.13% | -15.97% | 123 | 61.0% | 113.90 | 130.38% | -10.99% | 65 | 1.332% | 44.6% | 22.33 |
| ridge_a1_H20_c8_p80_cap1 | 727.93 | 842.93 | 867.40% | -16.32% | 64 | 62.5% | 96.30 | 125.81% | -19.67% | 35 | 2.520% | 48.6% | 21.71 |
| ridge_a10_H20_c8_p80_cap1 | 727.93 | 842.93 | 867.40% | -16.32% | 64 | 62.5% | 96.30 | 125.81% | -19.67% | 35 | 2.520% | 48.6% | 21.71 |
| ridge_a1_H10_c8_p90_cap3 | 716.06 | 716.06 | 733.07% | -11.34% | 166 | 69.9% | 44.32 | 61.21% | -11.26% | 68 | 0.720% | 60.3% | 10.76 |
| ridge_a10_H10_c8_p90_cap3 | 716.06 | 716.06 | 733.07% | -11.34% | 166 | 69.9% | 44.32 | 61.21% | -11.26% | 68 | 0.720% | 60.3% | 10.76 |
| ridge_a100_H10_c8_p90_cap3 | 716.06 | 716.06 | 733.07% | -11.34% | 166 | 69.9% | 44.32 | 61.21% | -11.26% | 68 | 0.720% | 60.3% | 10.76 |
| ridge_a1_H20_c12_p80_cap2 | 708.33 | 723.33 | 747.39% | -16.04% | 123 | 61.0% | 110.80 | 127.45% | -11.10% | 65 | 1.312% | 44.6% | 22.10 |
| ridge_a10_H20_c12_p80_cap2 | 708.33 | 723.33 | 747.39% | -16.04% | 123 | 61.0% | 110.80 | 127.45% | -11.10% | 65 | 1.312% | 44.6% | 22.10 |
| ridge_a1_H20_c12_p80_cap1 | 704.16 | 819.16 | 843.74% | -16.39% | 64 | 62.5% | 93.02 | 122.74% | -19.81% | 35 | 2.480% | 48.6% | 21.46 |
| ridge_a10_H20_c12_p80_cap1 | 704.16 | 819.16 | 843.74% | -16.39% | 64 | 62.5% | 93.02 | 122.74% | -19.81% | 35 | 2.480% | 48.6% | 21.46 |
| ridge_a1_H10_c8_p90_cap2 | 699.16 | 699.16 | 716.34% | -11.45% | 116 | 69.8% | 72.54 | 89.25% | -11.14% | 50 | 1.310% | 58.0% | 8.87 |
| ridge_a10_H10_c8_p90_cap2 | 699.16 | 699.16 | 716.34% | -11.45% | 116 | 69.8% | 72.54 | 89.25% | -11.14% | 50 | 1.310% | 58.0% | 8.87 |
| ridge_a100_H10_c8_p90_cap2 | 699.16 | 699.16 | 716.34% | -11.45% | 116 | 69.8% | 72.54 | 89.25% | -11.14% | 50 | 1.310% | 58.0% | 8.87 |
| ridge_a1_H10_c12_p90_cap3 | 698.00 | 698.00 | 715.06% | -11.38% | 166 | 69.9% | 42.66 | 59.77% | -11.41% | 68 | 0.707% | 60.3% | 10.68 |
| ridge_a10_H10_c12_p90_cap3 | 698.00 | 698.00 | 715.06% | -11.38% | 166 | 69.9% | 42.66 | 59.77% | -11.41% | 68 | 0.707% | 60.3% | 10.68 |
| ridge_a100_H10_c12_p90_cap3 | 698.00 | 698.00 | 715.06% | -11.38% | 166 | 69.9% | 42.66 | 59.77% | -11.41% | 68 | 0.707% | 60.3% | 10.68 |
| ridge_a1_H10_c12_p90_cap2 | 680.71 | 680.71 | 697.94% | -11.49% | 116 | 69.8% | 70.47 | 87.39% | -11.28% | 50 | 1.290% | 58.0% | 8.78 |
| ridge_a10_H10_c12_p90_cap2 | 680.71 | 680.71 | 697.94% | -11.49% | 116 | 69.8% | 70.47 | 87.39% | -11.28% | 50 | 1.290% | 58.0% | 8.78 |
| ridge_a100_H10_c12_p90_cap2 | 680.71 | 680.71 | 697.94% | -11.49% | 116 | 69.8% | 70.47 | 87.39% | -11.28% | 50 | 1.290% | 58.0% | 8.78 |
| ridge_a100_H20_c8_p80_cap3 | 593.81 | 608.81 | 632.90% | -16.06% | 177 | 61.6% | 112.97 | 122.76% | -6.53% | 89 | 0.922% | 46.1% | 23.47 |
| ridge_a1_H20_c8_p80_cap3 | 580.59 | 595.59 | 619.68% | -16.06% | 176 | 61.9% | 112.97 | 122.76% | -6.53% | 89 | 0.922% | 46.1% | 23.47 |
| ridge_a10_H20_c8_p80_cap3 | 580.59 | 595.59 | 619.68% | -16.06% | 176 | 61.9% | 112.97 | 122.76% | -6.53% | 89 | 0.922% | 46.1% | 23.47 |
| ridge_a100_H20_c12_p80_cap3 | 576.67 | 591.67 | 615.99% | -16.22% | 177 | 61.6% | 110.19 | 120.16% | -6.64% | 89 | 0.909% | 46.1% | 23.30 |
| ridge_a1_H20_c12_p80_cap3 | 563.84 | 578.84 | 603.17% | -16.22% | 176 | 61.9% | 110.19 | 120.16% | -6.64% | 89 | 0.909% | 46.1% | 23.30 |
| ridge_a10_H20_c12_p80_cap3 | 563.84 | 578.84 | 603.17% | -16.22% | 176 | 61.9% | 110.19 | 120.16% | -6.64% | 89 | 0.909% | 46.1% | 23.30 |
| ridge_a1_H10_c8_p90_cap1 | 563.44 | 663.44 | 681.14% | -11.80% | 60 | 70.0% | 107.70 | 123.82% | -10.75% | 29 | 2.918% | 55.2% | 7.85 |
| ridge_a10_H10_c8_p90_cap1 | 563.44 | 663.44 | 681.14% | -11.80% | 60 | 70.0% | 107.70 | 123.82% | -10.75% | 29 | 2.918% | 55.2% | 7.85 |
| ridge_a100_H10_c8_p90_cap1 | 563.44 | 663.44 | 681.14% | -11.80% | 60 | 70.0% | 107.70 | 123.82% | -10.75% | 29 | 2.918% | 55.2% | 7.85 |
| ridge_a1_H10_c12_p90_cap1 | 545.45 | 645.45 | 663.21% | -11.84% | 60 | 70.0% | 104.96 | 121.30% | -10.89% | 29 | 2.878% | 55.2% | 7.77 |
| ridge_a10_H10_c12_p90_cap1 | 545.45 | 645.45 | 663.21% | -11.84% | 60 | 70.0% | 104.96 | 121.30% | -10.89% | 29 | 2.878% | 55.2% | 7.77 |
| ridge_a100_H10_c12_p90_cap1 | 545.45 | 645.45 | 663.21% | -11.84% | 60 | 70.0% | 104.96 | 121.30% | -10.89% | 29 | 2.878% | 55.2% | 7.77 |
| ridge_a100_H20_c8_p80_cap5 | 465.93 | 480.93 | 506.61% | -17.12% | 268 | 61.2% | 105.19 | 112.75% | -5.04% | 132 | 0.580% | 47.0% | 25.05 |
| ridge_a1_H20_c8_p80_cap5 | 459.32 | 474.32 | 500.00% | -17.12% | 267 | 61.4% | 105.19 | 112.75% | -5.04% | 132 | 0.580% | 47.0% | 25.05 |
| ridge_a10_H20_c8_p80_cap5 | 459.32 | 474.32 | 500.00% | -17.12% | 267 | 61.4% | 105.19 | 112.75% | -5.04% | 132 | 0.580% | 47.0% | 25.05 |
| ridge_a100_H20_c12_p80_cap5 | 452.93 | 467.93 | 493.83% | -17.27% | 268 | 61.2% | 102.91 | 110.53% | -5.08% | 132 | 0.572% | 47.0% | 24.93 |
| ridge_a1_H20_c12_p80_cap5 | 446.50 | 461.50 | 487.40% | -17.27% | 267 | 61.4% | 102.91 | 110.53% | -5.08% | 132 | 0.572% | 47.0% | 24.93 |
| ridge_a10_H20_c12_p80_cap5 | 446.50 | 461.50 | 487.40% | -17.27% | 267 | 61.4% | 102.91 | 110.53% | -5.08% | 132 | 0.572% | 47.0% | 24.93 |
| ridge_a1_H20_c8_p90_cap2 | 348.29 | 363.29 | 388.01% | -16.48% | 90 | 68.9% | 85.40 | 93.26% | -5.24% | 43 | 1.588% | 62.8% | 24.31 |
| ridge_a10_H20_c8_p90_cap2 | 348.29 | 363.29 | 388.01% | -16.48% | 90 | 68.9% | 85.40 | 93.26% | -5.24% | 43 | 1.588% | 62.8% | 24.31 |
| ridge_a100_H20_c8_p90_cap2 | 348.29 | 363.29 | 388.01% | -16.48% | 90 | 68.9% | 83.83 | 91.69% | -5.24% | 42 | 1.606% | 64.3% | 24.31 |
| ridge_a1_H20_c12_p90_cap2 | 339.57 | 354.57 | 379.45% | -16.59% | 90 | 68.9% | 83.68 | 91.63% | -5.30% | 43 | 1.568% | 62.8% | 24.26 |
| ridge_a10_H20_c12_p90_cap2 | 339.57 | 354.57 | 379.45% | -16.59% | 90 | 68.9% | 83.68 | 91.63% | -5.30% | 43 | 1.568% | 62.8% | 24.26 |
| ridge_a100_H20_c12_p90_cap2 | 339.57 | 354.57 | 379.45% | -16.59% | 90 | 68.9% | 82.16 | 90.11% | -5.30% | 42 | 1.586% | 64.3% | 24.26 |
| ridge_a1_H20_c8_p90_cap3 | 328.38 | 343.38 | 367.47% | -16.06% | 130 | 69.2% | 85.04 | 91.05% | -4.00% | 58 | 1.142% | 62.1% | 25.83 |
| ridge_a10_H20_c8_p90_cap3 | 328.38 | 343.38 | 367.47% | -16.06% | 130 | 69.2% | 85.04 | 91.05% | -4.00% | 58 | 1.142% | 62.1% | 25.83 |
| ridge_a100_H20_c8_p90_cap3 | 328.38 | 343.38 | 367.47% | -16.06% | 130 | 69.2% | 84.01 | 90.01% | -4.00% | 57 | 1.153% | 63.2% | 25.83 |
| ridge_a1_H20_c12_p90_cap3 | 320.20 | 335.20 | 359.53% | -16.22% | 130 | 69.2% | 83.53 | 89.59% | -4.04% | 58 | 1.129% | 62.1% | 25.78 |
| ridge_a10_H20_c12_p90_cap3 | 320.20 | 335.20 | 359.53% | -16.22% | 130 | 69.2% | 83.53 | 89.59% | -4.04% | 58 | 1.129% | 62.1% | 25.78 |
| ridge_a100_H20_c12_p90_cap3 | 320.20 | 335.20 | 359.53% | -16.22% | 130 | 69.2% | 82.52 | 88.58% | -4.04% | 57 | 1.139% | 63.2% | 25.78 |
| ridge_a1_H20_c8_p90_cap1 | 314.91 | 429.91 | 455.16% | -16.83% | 48 | 68.8% | 56.57 | 81.04% | -16.32% | 23 | 2.799% | 52.2% | 22.98 |
| ridge_a10_H20_c8_p90_cap1 | 314.91 | 429.91 | 455.16% | -16.83% | 48 | 68.8% | 56.57 | 81.04% | -16.32% | 23 | 2.799% | 52.2% | 22.98 |
| ridge_a100_H20_c8_p90_cap1 | 314.91 | 429.91 | 455.16% | -16.83% | 48 | 68.8% | 60.22 | 84.69% | -16.32% | 23 | 2.888% | 56.5% | 22.98 |
| ridge_a1_H20_c12_p90_cap1 | 304.54 | 419.54 | 444.94% | -16.94% | 48 | 68.8% | 54.84 | 79.42% | -16.39% | 23 | 2.759% | 52.2% | 22.94 |
| ridge_a10_H20_c12_p90_cap1 | 304.54 | 419.54 | 444.94% | -16.94% | 48 | 68.8% | 54.84 | 79.42% | -16.39% | 23 | 2.759% | 52.2% | 22.94 |
| ridge_a100_H20_c12_p90_cap1 | 304.54 | 419.54 | 444.94% | -16.94% | 48 | 68.8% | 58.46 | 83.04% | -16.39% | 23 | 2.848% | 56.5% | 22.94 |
| ridge_a1_H20_c8_p90_cap5 | 292.78 | 307.78 | 331.52% | -15.83% | 202 | 68.8% | 65.03 | 71.02% | -3.99% | 84 | 0.651% | 60.7% | 23.97 |
| ridge_a10_H20_c8_p90_cap5 | 292.78 | 307.78 | 331.52% | -15.83% | 202 | 68.8% | 65.03 | 71.02% | -3.99% | 84 | 0.651% | 60.7% | 23.97 |
| ridge_a100_H20_c8_p90_cap5 | 292.78 | 307.78 | 331.52% | -15.83% | 202 | 68.8% | 64.48 | 70.46% | -3.99% | 83 | 0.655% | 61.4% | 23.97 |
| ridge_a100_H20_c12_p90_cap5 | 285.70 | 300.70 | 324.65% | -15.97% | 202 | 68.8% | 63.30 | 69.34% | -4.03% | 83 | 0.647% | 61.4% | 23.92 |
| ridge_a1_H20_c12_p90_cap5 | 285.70 | 300.70 | 324.65% | -15.97% | 202 | 68.8% | 63.84 | 69.88% | -4.03% | 84 | 0.643% | 60.7% | 23.92 |
| ridge_a10_H20_c12_p90_cap5 | 285.70 | 300.70 | 324.65% | -15.97% | 202 | 68.8% | 63.84 | 69.88% | -4.03% | 84 | 0.643% | 60.7% | 23.92 |
Configuration
{
"model": "manual Ridge linear regression, train-only standardization, target p1/p99 winsor on Train",
"features": [
"score",
"prob_tp_trainonly",
"range30",
"vol_chg30",
"ret30",
"fold",
"bars_held",
"hl_pos30",
"micro30_score",
"agree30_1h"
],
"target": "future close-to-close return H10/H20 after delay1 minus cost 8/12 bps",
"alphas": [
1,
10,
100
],
"threshold_percentiles": [
70,
80,
90
],
"caps": [
1,
2,
3,
5
],
"selection": "Validation-only capital/stability score; Test/recent reporting-only",
"no_test_selection": true,
"test_reporting_only": true,
"limitations": "No order book; long-only candidates inherited from TP-prob family; TP hits are zero by construction (timeout close-H)."
}Graphiques Val/Test
Sélection sur Validation uniquement. Le Test est affiché seulement pour juger le transfert.
