CLOSE-H TIMEOUT-ONLY
4 apprentissages horizon 5/10/20/40 et trading simultané
11 configs. Chaque modèle apprend directement le return close à son horizon H, puis les trades sortent uniquement au timeout H. Les prédictions sont normalisées par std(y_train) pour combiner les horizons. Frais = 0.
Best robust34.92
Val/Test51.01/50.27
Test gain/DD98.0% / -31.8%
Avg/trade0.015%
Open avg/max4.19/5
Classement
| Config | Seuil | Val | Test | Robust | Gain | DD | Avg/trade | Trades | Open avg | Open max | Skipped | Recent score | Recent gain | Recent DD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Single close-H H=10 cap5 single_H10_cap5 · H=[10] | p60 | 51.01 | 50.27 | 34.92 | 97.96% | -31.79% | 0.015% | 5093 | 4.19 | 5 | 2329 | -1.03 | 19.75% | -13.85% |
| Single close-H H=10 cap3 single_H10_cap3 · H=[10] | p60 | 3.82 | 37.40 | -16.57 | 90.97% | -35.71% | 0.023% | 3249 | 2.67 | 3 | 4173 | -19.43 | 10.00% | -19.62% |
| Single close-H H=5 cap5 single_H5_cap5 · H=[5] | p90 | 25.66 | -19.43 | -21.11 | 13.10% | -21.68% | 0.006% | 2217 | 0.91 | 5 | 0 | -31.25 | -10.28% | -13.98% |
| Single close-H H=20 cap3 single_H20_cap3 · H=[20] | p60 | 73.82 | -8.17 | -23.00 | 37.58% | -30.49% | 0.024% | 1708 | 2.81 | 3 | 5637 | -18.53 | 6.92% | -16.96% |
| Single close-H H=5 cap3 single_H5_cap3 · H=[5] | p90 | 17.13 | -38.30 | -45.70 | 1.14% | -26.29% | 0.003% | 1992 | 0.82 | 3 | 225 | -43.89 | -14.67% | -19.48% |
| Single close-H H=20 cap5 single_H20_cap5 · H=[20] | p90 | 58.81 | -37.07 | -46.23 | 6.68% | -29.16% | 0.008% | 1245 | 2.05 | 5 | 534 | -26.82 | -6.54% | -13.52% |
| Ensemble H5/10/20/40 cap8 ensemble_H5_10_20_40_cap8 · H=[5, 10, 20, 40] | p90 | -9.62 | -48.80 | -62.35 | -6.24% | -28.37% | -0.002% | 2450 | 5.54 | 8 | 4810 | -40.83 | -12.92% | -18.61% |
| Ensemble H5/10/20/40 cap10 ensemble_H5_10_20_40_cap10 · H=[5, 10, 20, 40] | p90 | 1.78 | -49.96 | -63.09 | -6.45% | -29.01% | -0.002% | 2975 | 6.60 | 10 | 4285 | -38.80 | -12.00% | -17.87% |
| Ensemble H5/10/20/40 cap4 ensemble_H5_10_20_40_cap4 · H=[5, 10, 20, 40] | p60 | -42.71 | -19.49 | -70.68 | 38.77% | -38.84% | 0.022% | 1794 | 3.95 | 4 | 27884 | -37.69 | -12.51% | -16.79% |
| Single close-H H=40 cap3 single_H40_cap3 · H=[40] | p60 | 21.95 | -69.32 | -97.35 | -4.82% | -43.00% | 0.005% | 884 | 2.91 | 3 | 6292 | -53.73 | -14.74% | -26.00% |
| Single close-H H=40 cap5 single_H40_cap5 · H=[40] | p90 | 20.18 | -79.72 | -103.45 | -18.50% | -40.81% | -0.022% | 780 | 2.58 | 5 | 821 | -49.08 | -19.51% | -19.71% |
Ce test est un vrai timeout-only label: le label n'est plus triple-barrier, mais le return close à H. Test reste reporting-only, seuil sélectionné sur Validation.
