Close-H H10 asset-neutral — sélection native conservatrice c50 + latence2
Reformuler la baseline asset-neutral 282 pour que la sélection Validation optimise directement une exécution conservatrice c50+latence2+fill close-next: même univers, modèles Ridge/Huber légers, cap1/cap2, coverage et percentile choisis sur Validation uniquement, Test/Recent reporting-only.
Signal conservateur natif intéressant mais non promu: Validation choisit ridge_a100_c50_cap1 avec score pénalisé 142.21, gain 162.96% DD -13.84% sur 49 trades, avg 2.168%, top-asset 30.8%. Test reporting-only 79.05% DD -5.62% sur 21 trades, avg 2.971%; Recent 4.72% DD -1.22% sur 2 trades.
Anti-leakage: scalers/modèles fit Train-only; quantile conformal sur queue Train; modèle/coverage/cap choisis uniquement par Validation sous coût 50 bps et latence 2; Test/Recent reporting-only.
Diagnostics exécution
TP hits 0 / timeouts 21 · hit-rate 0.0% · bars moyens 21.0 · open avg/max 1.00/1 · exposure avg/max 1.00/1.00.
Leçon et suite
Leçon causale: Ce test élimine le biais consistant à optimiser sous c30/L1 puis à stresser après coup: si le signal survit quand le seuil/cap/modèle sont choisis directement sous c50/L2 en Validation, l'edge close-H est plus probablement exploitable; sinon la marge précédente dépendait trop d'une exécution optimiste.
Implication suivante: Ne pas promouvoir sans audit leave-one et monitor forward gelé. Si positif, comparer au gouverneur minimax Validation et à la capacité par quantile; si négatif, falsifier la branche asset-neutral conservatrice et éviter de la sauver par le Test.
Toutes configurations (Val sélectionne, Test décrit)
| Sel | Modèle | Coverage | Cap | Val pen. | Split | Score | Gain | DD | Trades | Actifs | Avg/trade | Top actif | Top share |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ✓ | ridge_a100 | 0.50 | 1 | 142.21 | val | 142.21 | 163.0% | -13.8% | 49 | 7 | 2.168% | ADA | 30.8% |
| ✓ | ridge_a100 | 0.50 | 1 | 142.21 | test | 70.61 | 79.0% | -5.6% | 21 | 6 | 2.971% | XRP | 47.2% |
| ✓ | ridge_a100 | 0.50 | 1 | 142.21 | recent | 2.90 | 4.7% | -1.2% | 2 | 2 | 2.397% | BCH | 82.2% |
| ridge_a100 | 0.50 | 2 | 98.07 | val | 98.07 | 118.1% | -13.3% | 86 | 8 | 0.956% | ADA | 26.8% | |
| ridge_a100 | 0.50 | 2 | 98.07 | test | 63.69 | 75.8% | -8.1% | 38 | 9 | 1.551% | SUI | 36.3% | |
| ridge_a100 | 0.50 | 2 | 98.07 | recent | 8.13 | 9.0% | -0.6% | 4 | 3 | 2.209% | SUI | 63.4% | |
| ridge_a100 | 0.65 | 1 | 116.46 | val | 122.91 | 141.1% | -12.2% | 24 | 6 | 3.946% | ADA | 41.9% | |
| ridge_a100 | 0.65 | 1 | 116.46 | test | 27.30 | 34.6% | -4.8% | 8 | 5 | 3.901% | XRP | 63.4% | |
| ridge_a100 | 0.65 | 1 | 116.46 | recent | 9.07 | 9.1% | 0.0% | 1 | 1 | 9.071% | XRP | 100.0% | |
| ridge_a100 | 0.65 | 2 | 127.30 | val | 127.30 | 145.6% | -12.2% | 44 | 7 | 2.129% | XRP | 26.1% | |
| ridge_a100 | 0.65 | 2 | 127.30 | test | 37.16 | 40.8% | -2.4% | 13 | 7 | 2.707% | XRP | 48.4% | |
| ridge_a100 | 0.65 | 2 | 127.30 | recent | 5.13 | 5.1% | 0.0% | 2 | 2 | 2.551% | XRP | 88.5% | |
| ridge_a100 | 0.80 | 1 | -58.03 | val | 17.79 | 37.4% | -13.1% | 10 | 5 | 3.593% | XRP | 57.1% | |
| ridge_a100 | 0.80 | 1 | -58.03 | test | 26.88 | 26.9% | 0.0% | 3 | 1 | 8.269% | XRP | 100.0% | |
| ridge_a100 | 0.80 | 1 | -58.03 | recent | 9.43 | 9.4% | 0.0% | 1 | 1 | 9.425% | XRP | 100.0% | |
| ridge_a100 | 0.80 | 2 | 16.44 | val | 34.44 | 48.6% | -9.4% | 19 | 6 | 2.193% | XRP | 28.5% | |
| ridge_a100 | 0.80 | 2 | 16.44 | test | 35.23 | 35.2% | 0.0% | 6 | 4 | 5.182% | XRP | 39.6% | |
| ridge_a100 | 0.80 | 2 | 16.44 | recent | 7.84 | 7.8% | 0.0% | 2 | 2 | 3.851% | XRP | 60.8% | |
| ridge_a1000 | 0.50 | 1 | 65.79 | val | 65.79 | 85.7% | -13.3% | 32 | 7 | 2.176% | ADA | 24.3% | |
| ridge_a1000 | 0.50 | 1 | 65.79 | test | 2.81 | 25.1% | -14.8% | 16 | 6 | 1.610% | LINK | 34.9% | |
| ridge_a1000 | 0.50 | 1 | 65.79 | recent | 3.24 | 5.1% | -1.2% | 2 | 2 | 2.571% | SUI | 82.9% | |
| ridge_a1000 | 0.50 | 2 | 84.99 | val | 84.99 | 103.3% | -12.2% | 61 | 8 | 1.227% | XRP | 35.2% | |
| ridge_a1000 | 0.50 | 2 | 84.99 | test | 3.66 | 26.8% | -15.4% | 29 | 6 | 0.894% | XRP | 32.0% | |
| ridge_a1000 | 0.50 | 2 | 84.99 | recent | -3.31 | 3.3% | -4.4% | 4 | 2 | 0.863% | XRP | 83.8% | |
| ridge_a1000 | 0.65 | 1 | 31.81 | val | 79.23 | 98.8% | -13.1% | 18 | 6 | 4.154% | XRP | 54.7% | |
| ridge_a1000 | 0.65 | 1 | 31.81 | test | 39.61 | 39.6% | 0.0% | 4 | 2 | 8.724% | XRP | 78.1% | |
| ridge_a1000 | 0.65 | 1 | 31.81 | recent | 9.43 | 9.4% | 0.0% | 1 | 1 | 9.425% | XRP | 100.0% | |
| ridge_a1000 | 0.65 | 2 | 100.14 | val | 100.14 | 111.6% | -7.6% | 33 | 9 | 2.361% | XRP | 34.0% | |
| ridge_a1000 | 0.65 | 2 | 100.14 | test | 35.52 | 35.5% | 0.0% | 7 | 4 | 4.458% | XRP | 44.4% | |
| ridge_a1000 | 0.65 | 2 | 100.14 | recent | 5.31 | 5.3% | 0.0% | 2 | 2 | 2.639% | XRP | 88.9% | |
| ridge_a1000 | 0.80 | 1 | -15.98 | val | 64.65 | 65.1% | -0.3% | 7 | 4 | 7.589% | XRP | 49.2% | |
| ridge_a1000 | 0.80 | 1 | -15.98 | test | 25.79 | 25.8% | 0.0% | 3 | 1 | 7.955% | XRP | 100.0% | |
| ridge_a1000 | 0.80 | 1 | -15.98 | recent | 8.48 | 8.5% | 0.0% | 1 | 1 | 8.484% | XRP | 100.0% | |
| ridge_a1000 | 0.80 | 2 | 12.65 | val | 48.65 | 50.7% | -1.3% | 13 | 6 | 3.249% | XRP | 31.4% | |
| ridge_a1000 | 0.80 | 2 | 12.65 | test | 31.51 | 31.5% | 0.0% | 6 | 4 | 4.681% | XRP | 42.0% | |
| ridge_a1000 | 0.80 | 2 | 12.65 | recent | 7.36 | 7.4% | 0.0% | 2 | 2 | 3.615% | XRP | 58.4% | |
| huber_a0001 | 0.50 | 1 | 91.97 | val | 91.97 | 120.8% | -19.2% | 62 | 8 | 1.446% | ADA | 29.0% | |
| huber_a0001 | 0.50 | 1 | 91.97 | test | 107.16 | 132.1% | -16.6% | 25 | 8 | 3.681% | ADA | 62.0% | |
| huber_a0001 | 0.50 | 1 | 91.97 | recent | 8.61 | 13.6% | -3.4% | 4 | 2 | 3.347% | XRP | 57.8% | |
| huber_a0001 | 0.50 | 2 | 76.62 | val | 76.62 | 104.1% | -18.3% | 105 | 9 | 0.727% | ADA | 39.9% | |
| huber_a0001 | 0.50 | 2 | 76.62 | test | 63.67 | 90.7% | -18.0% | 44 | 9 | 1.558% | ADA | 45.6% | |
| huber_a0001 | 0.50 | 2 | 76.62 | recent | -2.35 | 5.8% | -5.4% | 6 | 4 | 0.982% | SUI | 29.7% | |
| huber_a0001 | 0.65 | 1 | 55.31 | val | 55.31 | 83.9% | -19.1% | 27 | 6 | 2.603% | SUI | 31.0% | |
| huber_a0001 | 0.65 | 1 | 55.31 | test | 61.92 | 69.2% | -4.8% | 10 | 6 | 5.561% | XRP | 53.2% | |
| huber_a0001 | 0.65 | 1 | 55.31 | recent | 19.70 | 19.7% | 0.0% | 2 | 2 | 9.459% | XRP | 66.5% | |
| huber_a0001 | 0.65 | 2 | 71.27 | val | 71.27 | 89.5% | -12.2% | 47 | 6 | 1.450% | DOT | 26.6% | |
| huber_a0001 | 0.65 | 2 | 71.27 | test | 65.93 | 70.3% | -2.9% | 18 | 9 | 3.051% | XRP | 30.5% | |
| huber_a0001 | 0.65 | 2 | 71.27 | recent | 14.77 | 14.8% | 0.0% | 4 | 4 | 3.526% | XRP | 44.8% | |
| huber_a0001 | 0.80 | 1 | 83.39 | val | 116.39 | 122.0% | -3.7% | 14 | 7 | 6.031% | XRP | 35.5% | |
| huber_a0001 | 0.80 | 1 | 83.39 | test | 37.67 | 41.7% | -2.7% | 5 | 4 | 7.364% | XRP | 42.9% | |
| huber_a0001 | 0.80 | 1 | 83.39 | recent | 9.43 | 9.4% | 0.0% | 1 | 1 | 9.425% | XRP | 100.0% | |
| huber_a0001 | 0.80 | 2 | 95.49 | val | 95.49 | 103.5% | -5.4% | 25 | 8 | 2.942% | XRP | 32.9% | |
| huber_a0001 | 0.80 | 2 | 95.49 | test | 41.11 | 42.5% | -0.9% | 10 | 4 | 3.636% | ADA | 28.5% | |
| huber_a0001 | 0.80 | 2 | 95.49 | recent | 5.95 | 6.0% | 0.0% | 2 | 2 | 2.948% | XRP | 79.4% |
Graphiques Val/Test
Sélection sur Validation uniquement. Le Test est affiché seulement pour juger le transfert.
