Gouverneur fractionnaire / vol-target sur signaux gelés — run 271
Test rapide sans réentraînement: les courbes Val/Test/Recent de candidats gelés sont rejouées avec tailles 0.25/0.5/1.0, vol-target past-only et stop mensuel. La sélection se fait uniquement sur Validation; Test et Recent sont reporting-only.
Conclusion
No-go promotionnel: Validation choisit closeh_multitick_233 scale=1.0 vol_target=None monthly_stop=None; Test reporting-only 59.67% / DD -27.61% avg-step 0.7260%, Recent -12.46%.
Leçon causale: Le sizing fractionnaire peut réduire le DD mécaniquement, mais s'il sélectionne surtout un candidat déjà gagnant ou si le Test/recent reste fragile, il ne crée pas une alpha nouvelle; il transforme seulement l'exposition. L'évaluation sur courbes agrégées est utile comme filtre rapide mais reste moins fiable qu'un replay trade-level.
Implication suivante: Si positif, refaire le même gouverneur sur ledger trade-level gelé (timestamps, actifs, retours) avec coûts/fills et mois stoppés explicites avant paper-shadow. Si no-go, arrêter de chercher le salut dans le levier et revenir aux sources de signal/régime.
Courbes
Diagnostics exécution
Test: timeouts/steps 93, hit-rate 0.0% (non applicable aux courbes close-H), avg/max open 0.09/1.00, exposure factor avg/max 1.00/1.00, worst month -23.3%.
Contrôle anti-leakage: retours de courbe gelés, vol rolling décalée d'un pas, stop mensuel basé sur PnL déjà réalisé, paramètres choisis par score Validation seulement.
Candidats ignorés faute de courbes vérifiables
- closeh_frozen_stress_261: courbe val indisponible dans results.json
- closeh_conformal_270: courbe val indisponible dans results.json
- mfe_breadth_244_no_curve: courbe val indisponible dans results.json
- mfe_external_258_no_curve: courbe val indisponible dans results.json
Top configurations (tri Validation)
| Candidat | Scale | Vol | Stop | Val sel | Val gain | Val DD | Val avg | Steps | Test score | Test gain | Test DD | Test avg | Recent gain |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| closeh_multitick_233 | 1.00 | off | off | 307.33 | 357.8% | -27.3% | 0.933% | 201 | 18.24 | 59.7% | -27.6% | 0.726% | -12.5% |
| closeh_multitick_233 | 1.00 | 0.05 | off | 307.33 | 357.8% | -27.3% | 0.933% | 201 | 18.24 | 59.7% | -27.6% | 0.726% | -12.5% |
| closeh_multitick_233 | 1.00 | 0.10 | off | 307.33 | 357.8% | -27.3% | 0.933% | 201 | 18.24 | 59.7% | -27.6% | 0.726% | -12.5% |
| closeh_multitick_233 | 0.50 | off | off | 116.46 | 133.0% | -14.1% | 0.466% | 201 | 10.60 | 32.7% | -14.7% | 0.363% | -6.2% |
| closeh_multitick_233 | 0.50 | 0.05 | off | 116.46 | 133.0% | -14.1% | 0.466% | 201 | 10.60 | 32.7% | -14.7% | 0.363% | -6.2% |
| closeh_multitick_233 | 0.50 | 0.10 | off | 116.46 | 133.0% | -14.1% | 0.466% | 201 | 10.60 | 32.7% | -14.7% | 0.363% | -6.2% |
| closeh_multitick_233 | 0.50 | off | -10.0% | 96.06 | 112.8% | -14.1% | 0.439% | 192 | 10.60 | 32.7% | -14.7% | 0.363% | -6.2% |
| closeh_multitick_233 | 0.50 | 0.05 | -10.0% | 96.06 | 112.8% | -14.1% | 0.439% | 192 | 10.60 | 32.7% | -14.7% | 0.363% | -6.2% |
| closeh_multitick_233 | 0.50 | 0.10 | -10.0% | 96.06 | 112.8% | -14.1% | 0.439% | 192 | 10.60 | 32.7% | -14.7% | 0.363% | -6.2% |
| closeh_multitick_233 | 1.00 | off | -6.0% | 67.90 | 121.2% | -28.1% | 0.744% | 143 | -62.94 | -10.1% | -35.2% | 0.080% | -18.4% |
| closeh_multitick_233 | 1.00 | 0.05 | -6.0% | 67.90 | 121.2% | -28.1% | 0.744% | 143 | -62.94 | -10.1% | -35.2% | 0.080% | -18.4% |
| closeh_multitick_233 | 1.00 | 0.10 | -6.0% | 67.90 | 121.2% | -28.1% | 0.744% | 143 | -62.94 | -10.1% | -35.2% | 0.080% | -18.4% |
| closeh_multitick_233 | 0.50 | off | -6.0% | 55.31 | 75.6% | -16.2% | 0.400% | 159 | -24.56 | 1.9% | -17.7% | 0.093% | -10.8% |
| closeh_multitick_233 | 0.50 | 0.05 | -6.0% | 55.31 | 75.6% | -16.2% | 0.400% | 159 | -24.56 | 1.9% | -17.7% | 0.093% | -10.8% |
| closeh_multitick_233 | 0.50 | 0.10 | -6.0% | 55.31 | 75.6% | -16.2% | 0.400% | 159 | -24.56 | 1.9% | -17.7% | 0.093% | -10.8% |
| closeh_multitick_233 | 0.25 | off | off | 47.66 | 56.1% | -7.2% | 0.233% | 201 | 5.32 | 16.7% | -7.6% | 0.182% | -3.1% |
| closeh_multitick_233 | 0.25 | off | -10.0% | 47.66 | 56.1% | -7.2% | 0.233% | 201 | 5.32 | 16.7% | -7.6% | 0.182% | -3.1% |
| closeh_multitick_233 | 0.25 | 0.05 | off | 47.66 | 56.1% | -7.2% | 0.233% | 201 | 5.32 | 16.7% | -7.6% | 0.182% | -3.1% |
| closeh_multitick_233 | 0.25 | 0.05 | -10.0% | 47.66 | 56.1% | -7.2% | 0.233% | 201 | 5.32 | 16.7% | -7.6% | 0.182% | -3.1% |
| closeh_multitick_233 | 0.25 | 0.10 | off | 47.66 | 56.1% | -7.2% | 0.233% | 201 | 5.32 | 16.7% | -7.6% | 0.182% | -3.1% |
| closeh_multitick_233 | 0.25 | 0.10 | -10.0% | 47.66 | 56.1% | -7.2% | 0.233% | 201 | 5.32 | 16.7% | -7.6% | 0.182% | -3.1% |
| closeh_multitick_233 | 0.25 | off | -6.0% | 40.46 | 49.0% | -7.2% | 0.219% | 192 | 5.32 | 16.7% | -7.6% | 0.182% | -3.1% |
| closeh_multitick_233 | 0.25 | 0.05 | -6.0% | 40.46 | 49.0% | -7.2% | 0.219% | 192 | 5.32 | 16.7% | -7.6% | 0.182% | -3.1% |
| closeh_multitick_233 | 0.25 | 0.10 | -6.0% | 40.46 | 49.0% | -7.2% | 0.219% | 192 | 5.32 | 16.7% | -7.6% | 0.182% | -3.1% |
| closeh_multitick_233 | 1.00 | off | -10.0% | 37.45 | 99.8% | -30.7% | 0.652% | 148 | -49.73 | -0.9% | -32.6% | 0.240% | -20.7% |
| closeh_multitick_233 | 1.00 | 0.05 | -10.0% | 37.45 | 99.8% | -30.7% | 0.652% | 148 | -49.73 | -0.9% | -32.6% | 0.240% | -20.7% |
| closeh_multitick_233 | 1.00 | 0.10 | -10.0% | 37.45 | 99.8% | -30.7% | 0.652% | 148 | -49.73 | -0.9% | -32.6% | 0.240% | -20.7% |
| mfe_joint_ev_250 | 0.25 | off | off | -18.85 | -7.1% | -7.3% | -0.079% | 92 | 0.60 | 0.6% | 0.0% | 0.038% | 0.2% |
| mfe_joint_ev_250 | 0.25 | off | -6.0% | -18.85 | -7.1% | -7.3% | -0.079% | 92 | 0.60 | 0.6% | 0.0% | 0.038% | 0.2% |
| mfe_joint_ev_250 | 0.25 | off | -10.0% | -18.85 | -7.1% | -7.3% | -0.079% | 92 | 0.60 | 0.6% | 0.0% | 0.038% | 0.2% |
| mfe_joint_ev_250 | 0.25 | 0.05 | off | -18.85 | -7.1% | -7.3% | -0.079% | 92 | 0.60 | 0.6% | 0.0% | 0.038% | 0.2% |
| mfe_joint_ev_250 | 0.25 | 0.05 | -6.0% | -18.85 | -7.1% | -7.3% | -0.079% | 92 | 0.60 | 0.6% | 0.0% | 0.038% | 0.2% |
| mfe_joint_ev_250 | 0.25 | 0.05 | -10.0% | -18.85 | -7.1% | -7.3% | -0.079% | 92 | 0.60 | 0.6% | 0.0% | 0.038% | 0.2% |
| mfe_joint_ev_250 | 0.25 | 0.10 | off | -18.85 | -7.1% | -7.3% | -0.079% | 92 | 0.60 | 0.6% | 0.0% | 0.038% | 0.2% |
| mfe_joint_ev_250 | 0.25 | 0.10 | -6.0% | -18.85 | -7.1% | -7.3% | -0.079% | 92 | 0.60 | 0.6% | 0.0% | 0.038% | 0.2% |
| mfe_joint_ev_250 | 0.25 | 0.10 | -10.0% | -18.85 | -7.1% | -7.3% | -0.079% | 92 | 0.60 | 0.6% | 0.0% | 0.038% | 0.2% |
| mfe_joint_ev_250 | 0.50 | off | off | -36.66 | -13.8% | -14.2% | -0.159% | 92 | 1.21 | 1.2% | 0.0% | 0.075% | 0.4% |
| mfe_joint_ev_250 | 0.50 | off | -6.0% | -36.66 | -13.8% | -14.2% | -0.159% | 92 | 1.21 | 1.2% | 0.0% | 0.075% | 0.4% |
| mfe_joint_ev_250 | 0.50 | off | -10.0% | -36.66 | -13.8% | -14.2% | -0.159% | 92 | 1.21 | 1.2% | 0.0% | 0.075% | 0.4% |
| mfe_joint_ev_250 | 0.50 | 0.05 | off | -36.66 | -13.8% | -14.2% | -0.159% | 92 | 1.21 | 1.2% | 0.0% | 0.075% | 0.4% |
| mfe_joint_ev_250 | 0.50 | 0.05 | -6.0% | -36.66 | -13.8% | -14.2% | -0.159% | 92 | 1.21 | 1.2% | 0.0% | 0.075% | 0.4% |
| mfe_joint_ev_250 | 0.50 | 0.05 | -10.0% | -36.66 | -13.8% | -14.2% | -0.159% | 92 | 1.21 | 1.2% | 0.0% | 0.075% | 0.4% |
| mfe_joint_ev_250 | 0.50 | 0.10 | off | -36.66 | -13.8% | -14.2% | -0.159% | 92 | 1.21 | 1.2% | 0.0% | 0.075% | 0.4% |
| mfe_joint_ev_250 | 0.50 | 0.10 | -6.0% | -36.66 | -13.8% | -14.2% | -0.159% | 92 | 1.21 | 1.2% | 0.0% | 0.075% | 0.4% |
| mfe_joint_ev_250 | 0.50 | 0.10 | -10.0% | -36.66 | -13.8% | -14.2% | -0.159% | 92 | 1.21 | 1.2% | 0.0% | 0.075% | 0.4% |
| mfe_joint_ev_250 | 1.00 | off | -6.0% | -67.27 | -22.4% | -23.1% | -0.409% | 60 | 2.43 | 2.4% | 0.0% | 0.150% | 0.8% |
| mfe_joint_ev_250 | 1.00 | 0.05 | -6.0% | -67.27 | -22.4% | -23.1% | -0.409% | 60 | 2.43 | 2.4% | 0.0% | 0.150% | 0.8% |
| mfe_joint_ev_250 | 1.00 | 0.10 | -6.0% | -67.27 | -22.4% | -23.1% | -0.409% | 60 | 2.43 | 2.4% | 0.0% | 0.150% | 0.8% |
| mfe_joint_ev_250 | 1.00 | off | off | -82.72 | -26.1% | -26.7% | -0.318% | 92 | 2.43 | 2.4% | 0.0% | 0.150% | 0.8% |
| mfe_joint_ev_250 | 1.00 | 0.05 | off | -82.72 | -26.1% | -26.7% | -0.318% | 92 | 2.43 | 2.4% | 0.0% | 0.150% | 0.8% |