Asset-neutral close-H H10 run 282 — falsification c30/L1 vs c50/L2
Rejouer le ledger gelé 282 et décomposer les écarts entre c30/L1 et c50/L2 par trade, actif, mois, latence et fill; calculer aussi leave-one sous le scénario conservateur, sans modifier modèle/coverage/cap.
Le stress c50/L2 garde une Validation positive et un Test encore positif, mais la chute Test vs c30/L1 est forte et Recent reste trop mince/concentré: audit WAIT, pas de promotion live.
Anti-leakage: aucun réentraînement de sélection ni choix par Test; modèle ridge_a1000, coverage 0.50, cap1 et scénarios prédéclarés hérités de 282/285. Test/Recent restent descriptifs.
Courbe conservatrice
Décomposition de la perte c30/L1 → c50/L2
Par actif (Test)
| Groupe | Rows | Dropped | Σ delta | |delta| |
|---|---|---|---|---|
| DOT | 1 | 1 | -47.44% | 47.44% |
| SOL | 14 | 8 | -5.90% | 45.86% |
| XRP | 7 | 3 | 16.47% | 42.32% |
| ADA | 6 | 4 | -4.72% | 41.87% |
| LINK | 3 | 1 | -28.40% | 28.40% |
| SUI | 3 | 2 | 1.62% | 11.09% |
| BTC | 1 | 0 | 0.07% | 0.07% |
Par mois (Test)
| Groupe | Rows | Dropped | Σ delta | |delta| |
|---|---|---|---|---|
| 2025-02 | 8 | 4 | -6.84% | 76.30% |
| 2025-10 | 5 | 3 | -42.79% | 55.49% |
| 2025-03 | 5 | 3 | -8.11% | 34.05% |
| 2025-01 | 11 | 7 | -10.46% | 29.62% |
| 2026-02 | 3 | 1 | -1.09% | 17.69% |
| 2025-04 | 3 | 1 | 1.01% | 3.92% |
Trades dominants (Test)
| Open | Asset | c30L1 | c50L2 | Delta | Kept |
|---|---|---|---|---|---|
| 2025-10-10 20:30:00+00:00 | DOT | 47.44% | — | -47.44% | 0 |
| 2025-02-02 17:30:00+00:00 | XRP | -17.29% | — | 17.29% | 0 |
| 2025-02-03 13:30:00+00:00 | LINK | 15.31% | — | -15.31% | 0 |
| 2025-03-04 14:30:00+00:00 | ADA | 15.28% | — | -15.28% | 0 |
| 2025-02-02 18:30:00+00:00 | LINK | — | -12.91% | -12.91% | 1 |
| 2025-02-03 05:00:00+00:00 | ADA | — | 11.44% | 11.44% | 1 |
| 2026-02-06 01:30:00+00:00 | XRP | 9.39% | — | -9.39% | 0 |
| 2025-02-03 03:30:00+00:00 | ADA | 8.01% | — | -8.01% | 0 |
| 2026-02-06 02:00:00+00:00 | SUI | — | 6.36% | 6.36% | 1 |
| 2025-10-10 21:00:00+00:00 | XRP | — | 6.28% | 6.28% | 1 |
| 2025-03-03 18:30:00+00:00 | SOL | -6.00% | — | 6.00% | 0 |
| 2025-02-25 09:00:00+00:00 | SOL | — | 6.00% | 6.00% | 1 |
| 2025-01-23 20:30:00+00:00 | SOL | 5.96% | — | -5.96% | 0 |
| 2025-03-03 19:30:00+00:00 | SOL | — | -5.80% | -5.80% | 1 |
| 2025-02-25 08:30:00+00:00 | SOL | 5.06% | — | -5.06% | 0 |
Leave-one conservateur c50/L2
Validation par actif
| Actif | Trades | Marginal | Share | Leave score | Leave gain | Avg/trade |
|---|---|---|---|---|---|---|
| ADA | 6 | 38.4% | 24.3% | 18.8 | 47.3% | 4.12% |
| SUI | 3 | 28.4% | 18.0% | 37.4 | 57.3% | 5.71% |
| BCH | 1 | -23.9% | 15.1% | 89.7 | 109.6% | -11.41% |
| SOL | 10 | 23.6% | 15.0% | 42.9 | 62.1% | 1.67% |
| DOT | 4 | 23.3% | 14.8% | 42.5 | 62.4% | 3.49% |
| XRP | 5 | 16.4% | 10.4% | 51.1 | 69.3% | 2.11% |
| LINK | 3 | -3.9% | 2.4% | 69.7 | 89.6% | -0.66% |
Test par actif
| Actif | Trades | Marginal | Share | Leave score | Leave gain | Avg/trade |
|---|---|---|---|---|---|---|
| LINK | 2 | -25.9% | 34.9% | 42.2 | 50.9% | -8.88% |
| XRP | 4 | 21.4% | 28.9% | -22.0 | 3.7% | 4.90% |
| ADA | 2 | 14.9% | 20.1% | -19.5 | 10.2% | 6.66% |
| SUI | 1 | 7.5% | 10.1% | -4.7 | 17.6% | 6.36% |
| SOL | 6 | 4.3% | 5.8% | -1.5 | 20.8% | 0.70% |
| BTC | 1 | 0.1% | 0.1% | 2.7 | 25.0% | 0.07% |
Validation par mois
| Actif | Trades | Marginal | Share | Leave score | Leave gain | Avg/trade |
|---|---|---|---|---|---|---|
| 2025-04 | 2 | 24.4% | 20.6% | 41.4 | 61.4% | 7.37% |
| 2024-12 | 8 | 21.4% | 18.1% | 44.4 | 64.3% | 1.58% |
| 2025-10 | 3 | 19.0% | 16.1% | 46.7 | 66.7% | 3.79% |
| 2024-07 | 1 | 12.6% | 10.6% | 53.2 | 73.1% | 7.28% |
| 2025-02 | 5 | 12.2% | 10.3% | 55.0 | 73.5% | 1.67% |
| 2026-02 | 2 | 9.0% | 7.6% | 56.8 | 76.8% | 2.57% |
| 2024-10 | 1 | 6.3% | 5.3% | 59.5 | 79.5% | 3.49% |
| 2024-08 | 2 | 6.2% | 5.2% | 59.6 | 79.6% | 2.79% |
| 2024-11 | 1 | -3.1% | 2.6% | 68.9 | 88.8% | -1.65% |
| 2025-03 | 5 | 3.0% | 2.5% | 62.8 | 82.8% | 0.64% |
| 2025-01 | 2 | -1.4% | 1.2% | 68.9 | 87.1% | -0.28% |
Interprétation
Leçon causale: Sous c50/L2, Val score=65.79, Test score=2.81; la perte de gain vs c30/L1 est Val -195.2 pts et Test -95.6 pts. Top leave-one Val actif=ADA share=24.3%, mois=2025-04 share=20.6%. Recent n=2 trades, top share=82.9%.
Implication: Garder 282 en shadow/paper monitor gelé, sans retuning. Ne considérer capital réel qu'après échantillon forward prédéfini (>=20 trades, >=4 actifs, >=3 mois) et confirmation que c50/L2 conserve avg/trade net et concentration acceptable.
Graphiques Val/Test
Sélection sur Validation uniquement. Le Test est affiché seulement pour juger le transfert.
