Run 282 — close-H H10 asset-neutral sans whitelist
Test rapide réel: tous les actifs disponibles, pas de whitelist héritée, ranking top-score cross-sectionnel par timestamp. Modèle, couverture conforme et cap sont choisis exclusivement sur Validation via score pénalisé concentration/diversité; Test et Recent restent reporting-only.
Conclusion
Signal asset-neutral intéressant mais non promu: Validation choisit ridge_a1000 couverture 0.50 cap1 avec score pénalisé 251.60, gain 280.90% DD -19.53% sur 54 trades et top-asset PnL 27.5%. Test reporting-only 120.62% DD -17.29% sur 24 trades, avg 3.919%, 6 actifs; Recent 5.93% DD -3.16% sur 2 trades.
Leçon causale: Ce test attaque l'hypothèse que le lead close-H H10 venait surtout d'une whitelist/actifs jackpot. Si la sélection Val-only reste positive sur un univers complet et diversifié, il existe probablement une prime transversale; si la performance se concentre ou disparaît, le signal historique était largement dépendant de l'univers choisi.
Implication suivante: Ne pas promouvoir directement car le changement d'univers/exécution est L2/L3. Si positif, refaire un audit leave-one-asset/frais/slippage et paper-shadow gelé; si négatif ou concentré, revenir à la famille whitelist gelée uniquement en monitoring ou pivoter vers une source causale orthogonale.
Diagnostics exécution
TP hits 0 / timeouts 24 · hit-rate 0.0% · bars moyens 20.0 · open avg/max 1.00/1 · exposure avg/max 1.00/1.00 · actifs Test 6 · top asset pnl share 50.4%
Comparaison configurations
| Sel | Modèle | Cov | Cap | Val pén. | Split | Score | Gain | DD | Trades | Avg/trade | Actifs | Top actif | Share PnL top |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ridge_a100 | 0.50 | 1 | 197.14 | val | 205.58 | 236.7% | -20.7% | 81 | 1.766% | 7 | DOT | 45.3% | |
| ridge_a100 | 0.50 | 1 | 197.14 | test | 115.00 | 140.9% | -17.3% | 38 | 2.570% | 8 | SOL | 34.0% | |
| ridge_a100 | 0.50 | 1 | 197.14 | recent | 8.22 | 9.5% | -0.9% | 4 | 2.338% | 3 | XRP | 60.3% | |
| ridge_a100 | 0.50 | 2 | 210.57 | val | 210.57 | 239.4% | -19.2% | 138 | 0.961% | 9 | XRP | 26.5% | |
| ridge_a100 | 0.50 | 2 | 210.57 | test | 88.34 | 117.2% | -19.2% | 65 | 1.294% | 8 | XRP | 20.2% | |
| ridge_a100 | 0.50 | 2 | 210.57 | recent | -1.39 | 6.1% | -5.0% | 7 | 0.876% | 4 | LINK | 44.8% | |
| ridge_a100 | 0.65 | 1 | 111.67 | val | 115.67 | 140.5% | -16.5% | 28 | 3.448% | 6 | ADA | 26.7% | |
| ridge_a100 | 0.65 | 1 | 111.67 | test | 5.22 | 24.7% | -13.0% | 10 | 2.435% | 6 | SOL | 31.3% | |
| ridge_a100 | 0.65 | 1 | 111.67 | recent | 14.46 | 14.5% | 0.0% | 2 | 7.013% | 2 | XRP | 67.6% | |
| ridge_a100 | 0.65 | 2 | 100.92 | val | 100.92 | 124.9% | -16.0% | 52 | 1.636% | 7 | XRP | 27.3% | |
| ridge_a100 | 0.65 | 2 | 100.92 | test | 8.04 | 20.3% | -8.2% | 17 | 1.137% | 8 | XRP | 30.5% | |
| ridge_a100 | 0.65 | 2 | 100.92 | recent | 6.37 | 6.4% | 0.0% | 2 | 3.147% | 2 | XRP | 75.3% | |
| ridge_a100 | 0.80 | 1 | -39.77 | val | 36.85 | 54.8% | -12.0% | 12 | 3.963% | 5 | XRP | 65.4% | |
| ridge_a100 | 0.80 | 1 | -39.77 | test | 27.62 | 27.6% | 0.0% | 3 | 8.539% | 1 | XRP | 100.0% | |
| ridge_a100 | 0.80 | 1 | -39.77 | recent | 9.27 | 9.3% | 0.0% | 1 | 9.271% | 1 | XRP | 100.0% | |
| ridge_a100 | 0.80 | 2 | 30.67 | val | 48.67 | 61.6% | -8.6% | 21 | 2.366% | 6 | XRP | 33.3% | |
| ridge_a100 | 0.80 | 2 | 30.67 | test | 34.60 | 34.6% | 0.0% | 6 | 5.096% | 4 | XRP | 41.9% | |
| ridge_a100 | 0.80 | 2 | 30.67 | recent | 8.97 | 9.0% | 0.0% | 2 | 4.390% | 2 | XRP | 52.8% | |
| ✓ | ridge_a1000 | 0.50 | 1 | 251.60 | val | 251.60 | 280.9% | -19.5% | 54 | 2.902% | 8 | DOT | 27.5% |
| ✓ | ridge_a1000 | 0.50 | 1 | 251.60 | test | 94.69 | 120.6% | -17.3% | 24 | 3.919% | 6 | DOT | 50.4% |
| ✓ | ridge_a1000 | 0.50 | 1 | 251.60 | recent | 1.19 | 5.9% | -3.2% | 2 | 3.114% | 1 | XRP | 100.0% |
| ridge_a1000 | 0.50 | 2 | 200.65 | val | 200.65 | 226.9% | -17.5% | 95 | 1.348% | 8 | XRP | 32.8% | |
| ridge_a1000 | 0.50 | 2 | 200.65 | test | 63.72 | 89.9% | -17.5% | 42 | 1.670% | 8 | DOT | 31.0% | |
| ridge_a1000 | 0.50 | 2 | 200.65 | recent | -7.62 | 1.4% | -6.0% | 4 | 0.428% | 2 | XRP | 69.0% | |
| ridge_a1000 | 0.65 | 1 | 34.23 | val | 54.23 | 79.0% | -16.5% | 20 | 3.283% | 6 | ADA | 27.9% | |
| ridge_a1000 | 0.65 | 1 | 34.23 | test | 3.26 | 15.0% | -7.9% | 6 | 2.544% | 3 | XRP | 60.4% | |
| ridge_a1000 | 0.65 | 1 | 34.23 | recent | 9.27 | 9.3% | 0.0% | 1 | 9.271% | 1 | XRP | 100.0% | |
| ridge_a1000 | 0.65 | 2 | 43.48 | val | 52.27 | 76.3% | -16.0% | 38 | 1.583% | 7 | XRP | 45.5% | |
| ridge_a1000 | 0.65 | 2 | 43.48 | test | 8.24 | 16.1% | -5.2% | 10 | 1.543% | 5 | XRP | 60.6% | |
| ridge_a1000 | 0.65 | 2 | 43.48 | recent | 6.26 | 6.3% | 0.0% | 2 | 3.096% | 2 | XRP | 74.9% | |
| ridge_a1000 | 0.80 | 1 | -82.03 | val | 10.94 | 28.9% | -12.0% | 9 | 3.103% | 4 | XRP | 66.9% | |
| ridge_a1000 | 0.80 | 1 | -82.03 | test | 29.54 | 29.5% | 0.0% | 3 | 9.086% | 1 | XRP | 100.0% | |
| ridge_a1000 | 0.80 | 1 | -82.03 | recent | 10.91 | 10.9% | 0.0% | 1 | 10.912% | 1 | XRP | 100.0% | |
| ridge_a1000 | 0.80 | 2 | 6.16 | val | 30.16 | 39.9% | -6.5% | 18 | 1.940% | 7 | ADA | 26.2% | |
| ridge_a1000 | 0.80 | 2 | 6.16 | test | 41.17 | 41.2% | 0.0% | 6 | 5.946% | 4 | XRP | 38.2% | |
| ridge_a1000 | 0.80 | 2 | 6.16 | recent | 9.83 | 9.8% | 0.0% | 2 | 4.801% | 2 | XRP | 56.8% | |
| huber_a0001 | 0.50 | 1 | 67.08 | val | 82.10 | 128.9% | -31.2% | 99 | 1.090% | 8 | DOT | 41.6% | |
| huber_a0001 | 0.50 | 1 | 67.08 | test | 143.31 | 166.2% | -15.2% | 37 | 3.110% | 8 | ADA | 40.1% | |
| huber_a0001 | 0.50 | 1 | 67.08 | recent | -21.68 | -3.4% | -12.2% | 8 | -0.307% | 4 | XRP | 31.6% | |
| huber_a0001 | 0.50 | 2 | 133.41 | val | 133.41 | 160.7% | -18.2% | 153 | 0.698% | 9 | ADA | 39.9% | |
| huber_a0001 | 0.50 | 2 | 133.41 | test | 102.39 | 125.8% | -15.6% | 63 | 1.393% | 9 | DOT | 26.7% | |
| huber_a0001 | 0.50 | 2 | 133.41 | recent | -9.48 | 2.9% | -8.2% | 12 | 0.265% | 7 | BTC | 22.1% | |
| huber_a0001 | 0.65 | 1 | 29.92 | val | 47.56 | 78.9% | -20.9% | 37 | 1.919% | 6 | XRP | 49.3% | |
| huber_a0001 | 0.65 | 1 | 29.92 | test | 45.20 | 67.8% | -15.1% | 14 | 4.086% | 7 | XRP | 42.5% | |
| huber_a0001 | 0.65 | 1 | 29.92 | recent | 1.19 | 5.9% | -3.2% | 2 | 3.114% | 1 | XRP | 100.0% | |
| huber_a0001 | 0.65 | 2 | 58.85 | val | 58.85 | 82.8% | -16.0% | 65 | 1.006% | 7 | XRP | 39.5% | |
| huber_a0001 | 0.65 | 2 | 58.85 | test | 37.65 | 57.2% | -13.0% | 24 | 1.967% | 9 | XRP | 38.6% | |
| huber_a0001 | 0.65 | 2 | 58.85 | recent | 5.56 | 7.9% | -1.6% | 4 | 1.952% | 3 | BCH | 40.2% | |
| huber_a0001 | 0.80 | 1 | 80.12 | val | 111.34 | 129.6% | -12.2% | 16 | 5.594% | 7 | XRP | 42.0% | |
| huber_a0001 | 0.80 | 1 | 80.12 | test | 18.90 | 22.5% | -2.4% | 5 | 4.222% | 3 | XRP | 65.6% | |
| huber_a0001 | 0.80 | 1 | 80.12 | recent | 9.27 | 9.3% | 0.0% | 1 | 9.271% | 1 | XRP | 100.0% | |
| huber_a0001 | 0.80 | 2 | 106.67 | val | 106.67 | 115.8% | -6.1% | 30 | 2.654% | 8 | XRP | 34.7% | |
| huber_a0001 | 0.80 | 2 | 106.67 | test | 35.93 | 36.6% | -0.4% | 10 | 3.198% | 4 | ADA | 39.0% | |
| huber_a0001 | 0.80 | 2 | 106.67 | recent | 6.26 | 6.3% | 0.0% | 2 | 3.096% | 2 | XRP | 74.9% |
Contrôles anti-leakage
- Scaler et modèle fit uniquement sur Train; calibration conforme sur fin chronologique de Train.
- Univers non filtré par Test: tous les actifs du dataset sont admissibles.
- Choix modèle/couverture/cap par Validation pénalisée uniquement.
- Test/Recent ne modifient pas la sélection et sont affichés seulement comme transfert.
Graphiques Val/Test
Sélection sur Validation uniquement. Le Test est affiché seulement pour juger le transfert.
