Sélection économique
Backtest portefeuille 3 modèles
Simulation chronologique: jusqu'à 3 fold-models chevauchants, capital 1/3, fees=2.0 bps. La sélection v2 utilise uniquement le score économique Validation; Test reste confirmation.
Runs avec courbe84signaux stockés
Fees2.00 bpsparamétrable
Dernier backtest économique
run_0085_mlp_directional_adamw
Val DirAcc mean0.5277sélection
Val DirAcc std0.0252stabilité folds
Robust Val score0.5025mean - std
Capital score Test-15.0169gain% - 1.5×DD%
Gain Test %-0.69capital 100
Max DD Test %-9.55drawdown capital
Capital score Val-32.4251seuil capital choisi sur Val
Capital seuil p80appliqué au Test capital
Calmar Test-0.072gain% / DD%
Econ Val score-6.6262ancien score éco
Val raw score-1.1735avant pénalités
No-trade seuil80percentile confidence
Worst month Val-0.53555pénalité transfert
Econ Test score-7.2125report only
Worst month Test-0.56728report only
Econ DD Test-1.29062drawdown réel
Val BT score1.1958legacy research
Val PNL proxy1.32658diagnostic
Test DirAcc mean0.5277confirmation
Test DirAcc std0.0270stabilité folds
Gap Test-Val0.0000alerte si très négatif
Test PNL proxy1.42039sans frais
Test BT score1.3288report only
Max DD proxy-1.68930diagnostic
Sharpe proxy1.021diagnostic
Folds12/ 12
Params94919<100k
Résumé modèle
arch=mlp · loss=directional · opt=adamw · dense=40 · layers=1 · dropout=0.22 · l2=0.0001 · scaler=robust_winsor · features=base · win/out=80/20 · params=94919
Stratégieprotocole scout 4 runs/idée
NiveauL3
Succès attenduamélioration du Test pessimiste médian ou baisse worst-month/gap
ÉchecVal meilleure mais Test fragile ou run isolé non répétable
Réflexion et direction prise
Où en est-on: meilleur officiel run_0040_tcn_huber_adamw score sélection=27.1789; familles fortes: tcn/huber best=27.179, cnn1d/pnl best=25.467, mlp/directional best=11.240. Blocage: dégrossir l'idée fee2bps_shorter_output20_base sans conclure sur un seul run. Direction choisie: protocole scout 4 runs/idée. Pourquoi maintenant: Scout fee2bps_shorter_output20_base: MLP alternative pour vérifier répétabilité sous même idée. Niveau protocole: L3. Comparabilité directe: pas de changement data/features/cible/folds/augmentation/sélection (L0-L2). Succès attendu: amélioration du Test pessimiste médian ou baisse worst-month/gap. Échec: Val meilleure mais Test fragile ou run isolé non répétable. Suite prévue: après 4 runs, passer à l'idée suivante; après 2-3 jours, promouvoir les directions robustes
Hypothèse opérationnelle
Scout fee2bps_shorter_output20_base: MLP alternative pour vérifier répétabilité sous même idée.
Conclusion
WF folds=12/12; Robust Val score=0.5025; Val DirAcc mean=0.5277; Test DirAcc mean=0.5277; Val/Test PNL proxy=1.32658/1.42039.
Ouvrir graphique loss
Classement économique
| Run | Arch | Val pessim. | Val raw | Seuil p | Val PNL | Worst Val | Val DD | Val σ mois | Test score | Test PNL | Worst Test | Test DD | Test Sharpe |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| run_0040_tcn_huber_adamw | tcn | 27.1789 | 36.4453 | 70 | 25.92579 | -0.71958 | -2.18498 | 2.1705 | -29.7923 | -0.61928 | -11.55950 | -13.08581 | -0.258 |
| run_0048_cnn1d_pnl_adamw | cnn1d | 25.4673 | 33.0983 | 80 | 22.84959 | -1.04893 | -1.68450 | 3.4360 | -24.7919 | 1.56360 | -11.50568 | -12.96923 | 0.712 |
| run_0044_tcn_huber_adamw | tcn | 23.0903 | 34.6097 | 80 | 31.78546 | -2.81106 | -7.48885 | 5.3130 | 9.3317 | 13.64814 | -1.95778 | -4.55982 | 7.063 |
| run_0003_tcn_huber_adamw | tcn | 22.9864 | 28.7489 | 70 | 21.33992 | -0.64981 | -2.61878 | 1.6138 | -46.9543 | -11.36994 | -10.51653 | -14.80362 | -4.553 |
| run_0075_cnn1d_pnl_adamw | cnn1d | 19.9542 | 41.6129 | 80 | 32.57776 | -2.48640 | -2.79752 | 6.5996 | 5.6460 | 5.51947 | -0.39060 | -1.52582 | 5.539 |
| run_0010_cnn1d_pnl_adamw | cnn1d | 19.9111 | 28.3690 | 80 | 21.66438 | -1.31977 | -3.90247 | 3.7204 | -0.3191 | 10.01139 | -3.30413 | -7.49648 | 5.247 |
| run_0051_cnn1d_pnl_adamw | cnn1d | 19.9111 | 28.3690 | 80 | 21.66438 | -1.31977 | -3.90247 | 3.7204 | -0.3191 | 10.01139 | -3.30413 | -7.49648 | 5.247 |
| run_0043_cnn1d_pnl_adamw | cnn1d | 18.0792 | 36.6842 | 80 | 31.20325 | -4.71843 | -8.85741 | 6.3561 | -0.8584 | 9.17897 | -4.96839 | -6.04401 | 4.836 |
| run_0002_cnn1d_pnl_adamw | cnn1d | 17.6061 | 25.8419 | 80 | 19.93643 | -1.45123 | -4.77309 | 2.7773 | -59.0603 | -11.79478 | -9.85030 | -15.25875 | -4.395 |
| run_0023_cnn1d_pnl_adamw | cnn1d | 17.2707 | 23.3724 | 80 | 15.57529 | -0.92738 | -2.53625 | 1.6278 | -45.9848 | -12.21088 | -9.34454 | -14.24496 | -5.160 |
| run_0011_tcn_huber_adamw | tcn | 15.9774 | 27.8846 | 60 | 23.83721 | -0.51990 | -6.08158 | 1.6967 | -44.9089 | -3.87821 | -12.16952 | -16.48370 | -1.501 |
| run_0076_tcn_huber_adamw | tcn | 14.0753 | 51.7651 | 80 | 39.13408 | -0.86134 | -3.16997 | 5.9082 | 2.4078 | 9.45412 | -2.61873 | -5.42984 | 5.534 |
| run_0072_tcn_huber_adamw | tcn | 13.9357 | 18.4360 | 80 | 11.08406 | -0.83512 | -1.00307 | 1.1881 | -17.5165 | -4.00418 | -4.44459 | -6.43047 | -3.187 |
| run_0031_cnn1d_pnl_adamw | cnn1d | 13.9069 | 23.1949 | 80 | 18.54418 | -2.96482 | -2.96492 | 5.0878 | -34.1325 | -7.11235 | -9.96233 | -12.89432 | -3.864 |
| run_0024_tcn_huber_adamw | tcn | 12.3685 | 20.7219 | 70 | 17.19241 | -2.18961 | -5.43954 | 2.1611 | -44.2204 | -6.98146 | -11.67342 | -11.68324 | -2.349 |
| run_0005_mlp_directional_rmsprop | mlp | 11.2399 | 20.5786 | 80 | 15.05483 | -1.70826 | -2.64886 | 1.4332 | -12.4843 | -2.36474 | -3.52925 | -4.53754 | -1.620 |
| run_0008_mlp_directional_adamw | mlp | 10.7480 | 18.2093 | 80 | 12.65339 | -0.91165 | -1.96251 | 1.1001 | -9.7314 | 0.38379 | -3.06697 | -4.56479 | 0.255 |
| run_0046_tcn_huber_adamw | tcn | 10.1617 | 18.5660 | 70 | 14.24443 | -1.40993 | -2.82052 | 2.3777 | -34.8880 | 2.34221 | -11.91225 | -11.92208 | 0.819 |
| run_0049_tcn_huber_adamw | tcn | 10.1617 | 18.5660 | 70 | 14.24443 | -1.40993 | -2.82052 | 2.3777 | -34.8880 | 2.34221 | -11.91225 | -11.92208 | 0.819 |
| run_0017_tcn_huber_adamw | tcn | 9.9325 | 17.3535 | 80 | 11.93173 | -1.80053 | -3.09224 | 2.7167 | -5.5411 | 2.05740 | -1.68060 | -5.03858 | 1.542 |
| run_0081_mlp_directional_adamw | mlp | 8.1697 | 10.5410 | 80 | 6.16587 | -0.26348 | -0.47383 | 0.5997 | -12.2019 | -0.29880 | -2.61672 | -3.79600 | -0.242 |
| run_0063_cnn1d_pnl_adamw | cnn1d | 7.3396 | 12.2417 | 70 | 9.26331 | -1.24089 | -2.35198 | 1.8553 | -19.7826 | -1.31107 | -5.59657 | -7.66815 | -0.914 |
| run_0039_cnn1d_pnl_adamw | cnn1d | 7.0050 | 21.7579 | 80 | 21.02823 | -7.92111 | -8.00891 | 4.4712 | -21.2181 | -2.88314 | -6.88797 | -9.04290 | -1.601 |
| run_0074_mlp_directional_rmsprop | mlp | 6.5030 | 14.0800 | 80 | 10.38442 | -0.95343 | -1.17808 | 2.0422 | -18.4324 | -2.56340 | -4.46178 | -5.60297 | -1.267 |
| run_0055_cnn1d_pnl_adamw | cnn1d | 6.4759 | 11.6379 | 80 | 8.30644 | -1.26621 | -2.16807 | 1.9473 | -42.3194 | -8.97873 | -4.32410 | -10.53260 | -5.298 |
| run_0058_mlp_directional_rmsprop | mlp | 5.7929 | 12.2155 | 80 | 6.87100 | -0.13742 | -0.50621 | 0.3859 | -17.8218 | -2.33274 | -0.86344 | -3.18731 | -2.180 |
| run_0061_mlp_directional_rmsprop | mlp | 5.7929 | 12.2155 | 80 | 6.87100 | -0.13742 | -0.50621 | 0.3859 | -17.8218 | -2.33274 | -0.86344 | -3.18731 | -2.180 |
| run_0016_tcn_huber_adamw | tcn | 5.4991 | 15.8792 | 70 | 14.67228 | -2.16715 | -6.61392 | 2.4613 | -48.9781 | -11.95315 | -12.16952 | -16.61659 | -5.131 |
| run_0032_tcn_huber_adamw | tcn | 5.4122 | 11.1649 | 80 | 9.46285 | -1.73587 | -3.98049 | 1.5800 | -13.9681 | 2.13167 | -5.21482 | -9.48876 | 1.203 |
| run_0026_mlp_directional_rmsprop | mlp | 4.8128 | 10.8432 | 80 | 7.42498 | -0.78294 | -1.20892 | 1.0407 | -13.1477 | 2.83004 | -2.63319 | -3.46465 | 1.681 |
| run_0034_mlp_directional_rmsprop | mlp | 4.8128 | 10.8432 | 80 | 7.42498 | -0.78294 | -1.20892 | 1.0407 | -13.1477 | 2.83004 | -2.63319 | -3.46465 | 1.681 |
| run_0007_tcn_huber_adamw | tcn | 4.7714 | 12.5595 | 80 | 11.04308 | -3.93431 | -4.30980 | 1.9790 | 0.2996 | 9.97331 | -4.36877 | -5.45759 | 4.821 |
| run_0059_cnn1d_pnl_adamw | cnn1d | 4.7239 | 8.1219 | 80 | 5.67307 | -1.05395 | -1.79612 | 0.8291 | -3.3165 | 1.04301 | -1.56907 | -2.50827 | 1.003 |
| run_0041_mlp_directional_adamw | mlp | 4.5979 | 15.3799 | 80 | 9.87596 | 0.11369 | -0.40461 | 0.5203 | -10.5069 | 2.37901 | -1.50547 | -2.25413 | 1.567 |
| run_0071_cnn1d_pnl_adamw | cnn1d | 4.1061 | 7.1329 | 80 | 4.23101 | -0.66347 | -1.33199 | 0.8087 | -14.5937 | -3.23875 | -3.36103 | -4.78325 | -3.830 |
| run_0067_cnn1d_pnl_adamw | cnn1d | 4.0400 | 7.1179 | 80 | 4.95268 | -0.41606 | -1.79705 | 0.9932 | -14.5067 | -0.90521 | -2.13357 | -3.98394 | -0.890 |
| run_0042_mlp_directional_rmsprop | mlp | 3.9304 | 10.9023 | 80 | 8.22983 | -0.81015 | -1.27093 | 1.2391 | -31.0445 | -4.49979 | -7.25284 | -7.55882 | -2.013 |
| run_0069_mlp_directional_adamw | mlp | 3.5279 | 6.6465 | 80 | 4.12203 | -0.28474 | -0.68225 | 0.4550 | -1.3205 | 3.25946 | -0.23819 | -0.71403 | 3.157 |
| run_0057_mlp_directional_adamw | mlp | 3.3310 | 4.6878 | 80 | 3.02391 | -0.08439 | -0.77828 | 0.2423 | -2.0251 | 0.45919 | -0.37608 | -1.05068 | 0.390 |
| run_0028_tcn_huber_adamw | tcn | 3.0465 | 8.0021 | 80 | 6.91563 | -1.62978 | -3.47011 | 1.4446 | -25.5031 | -6.26891 | -7.64304 | -8.65934 | -3.144 |
| run_0036_tcn_huber_adamw | tcn | 3.0465 | 8.0021 | 80 | 6.91563 | -1.62978 | -3.47011 | 1.4446 | -25.5031 | -6.26891 | -7.64304 | -8.65934 | -3.144 |
| run_0079_cnn1d_pnl_adamw | cnn1d | 2.8787 | 6.7931 | 80 | 5.18586 | -1.21145 | -1.98223 | 1.5038 | -19.2614 | -3.89702 | -5.09822 | -7.57301 | -2.829 |
| run_0056_tcn_huber_adamw | tcn | 2.7803 | 7.3409 | 70 | 6.41313 | -1.10744 | -3.76012 | 1.1757 | -29.7677 | -5.74245 | -3.85495 | -7.11200 | -3.272 |
| run_0066_mlp_directional_rmsprop | mlp | 0.7417 | 7.2072 | 80 | 4.10959 | -0.06065 | -0.37409 | 0.2656 | -15.7925 | 0.71066 | -0.58214 | -2.08305 | 0.657 |
| run_0033_mlp_directional_adamw | mlp | 0.6958 | 4.2512 | 80 | 3.21918 | -0.54513 | -0.72360 | 0.7164 | -12.9013 | 0.53094 | -1.48353 | -2.81143 | 0.295 |
| run_0027_cnn1d_pnl_adamw | cnn1d | 0.3688 | 8.4008 | 80 | 9.31108 | -3.02572 | -6.31417 | 2.5751 | -45.5338 | -15.67838 | -6.80016 | -15.97861 | -8.195 |
| run_0035_cnn1d_pnl_adamw | cnn1d | 0.3688 | 8.4008 | 80 | 9.31108 | -3.02572 | -6.31417 | 2.5751 | -45.5338 | -15.67838 | -6.80016 | -15.97861 | -8.195 |
| run_0073_mlp_directional_adamw | mlp | 0.2694 | 2.4031 | 80 | 2.05465 | -0.76934 | -1.39048 | 0.6961 | -13.2011 | -2.79366 | -1.58867 | -4.36554 | -2.369 |
| run_0029_mlp_directional_adamw | mlp | 0.0867 | 2.7371 | 80 | 2.32607 | -0.51739 | -1.00668 | 0.5015 | -7.2865 | 3.53384 | -1.80044 | -2.34490 | 2.049 |
| run_0037_mlp_directional_adamw | mlp | 0.0867 | 2.7371 | 80 | 2.32607 | -0.51739 | -1.00668 | 0.5015 | -7.2865 | 3.53384 | -1.80044 | -2.34490 | 2.049 |
| run_0078_mlp_directional_rmsprop | mlp | -0.3069 | 4.1802 | 80 | 2.97983 | -1.23938 | -1.52361 | 0.7632 | -20.7139 | -3.65170 | -2.51488 | -3.86007 | -2.933 |
| run_0060_tcn_huber_adamw | tcn | -0.3690 | 3.8602 | 80 | 3.54620 | -1.65983 | -3.11971 | 1.0015 | -7.7611 | 0.42038 | -3.40483 | -4.07369 | 0.338 |
| run_0015_cnn1d_pnl_adamw | cnn1d | -0.9250 | 19.3603 | 70 | 18.75397 | -7.48126 | -7.58618 | 5.7713 | -50.1692 | -9.03896 | -10.33593 | -14.97832 | -4.050 |
| run_0030_mlp_directional_rmsprop | mlp | -1.3169 | 4.4885 | 80 | 3.43885 | -1.00075 | -1.30359 | 0.9461 | -5.3962 | 3.73796 | -0.66704 | -1.18755 | 2.394 |
| run_0080_tcn_huber_adamw | tcn | -1.7174 | 2.9391 | 80 | 3.08531 | -2.13242 | -3.54055 | 0.8085 | -16.3139 | -2.50870 | -5.43909 | -6.48173 | -1.634 |
| run_0025_mlp_directional_adamw | mlp | -2.0463 | 2.7778 | 80 | 2.35516 | -0.55784 | -1.16771 | 0.5909 | -12.8206 | 0.14525 | -3.28798 | -3.97836 | 0.087 |
| run_0014_mlp_directional_rmsprop | mlp | -2.0732 | 1.9594 | 80 | 1.92802 | -0.87119 | -1.28798 | 0.7342 | -29.5706 | -4.55373 | -7.37554 | -7.78726 | -2.291 |
| run_0077_mlp_directional_adamw | mlp | -3.0573 | 0.9884 | 80 | 2.26143 | -0.85773 | -2.95445 | 0.8750 | -10.6094 | 1.21322 | -2.00202 | -3.20299 | 0.545 |
| run_0070_mlp_directional_rmsprop | mlp | -4.0198 | -2.0324 | 80 | -0.36271 | -0.84814 | -1.95295 | 0.4641 | -15.3169 | -3.66911 | -2.18183 | -3.93529 | -3.318 |
| run_0019_cnn1d_pnl_adamw | cnn1d | -4.2245 | 0.8530 | 80 | 2.62603 | -2.16004 | -4.44035 | 1.3522 | 3.4453 | 4.51532 | -1.30993 | -1.44198 | 4.404 |
| run_0068_tcn_huber_adamw | tcn | -4.3058 | -1.2993 | 80 | 0.24314 | -1.55166 | -2.46649 | 0.9348 | -10.5132 | -1.65241 | -3.16128 | -4.35113 | -1.134 |
| run_0001_mlp_directional_rmsprop | mlp | -4.3473 | 4.8892 | 80 | 3.96749 | -0.97980 | -1.71093 | 0.7000 | -1.2489 | 6.59117 | -0.98797 | -1.42640 | 4.093 |
| run_0009_mlp_directional_rmsprop | mlp | -4.4970 | 4.0197 | 80 | 3.67340 | -1.48334 | -2.12140 | 0.9599 | -18.8420 | 0.46910 | -3.77736 | -4.15914 | 0.291 |
| run_0050_mlp_directional_rmsprop | mlp | -4.4970 | 4.0197 | 80 | 3.67340 | -1.48334 | -2.12140 | 0.9599 | -18.8420 | 0.46910 | -3.77736 | -4.15914 | 0.291 |
| run_0065_mlp_directional_adamw | mlp | -4.5290 | -2.2783 | 80 | -0.63210 | -1.15261 | -1.64851 | 0.4313 | -10.3196 | -0.43347 | -0.89620 | -1.74522 | -0.349 |
| run_0084_tcn_huber_adamw | tcn | -4.5814 | 0.1744 | 80 | 1.73540 | -2.31316 | -3.71686 | 1.3278 | -7.2574 | 0.61716 | -3.37401 | -3.87905 | 0.418 |
| run_0045_mlp_directional_adamw | mlp | -5.3462 | 1.0121 | 80 | 2.00733 | -1.54658 | -2.60056 | 1.0053 | -7.9135 | 3.20864 | -1.81344 | -3.05405 | 1.572 |
| run_0004_mlp_directional_adamw | mlp | -5.5323 | 3.1604 | 80 | 2.54534 | -0.67843 | -1.00947 | 0.5882 | -12.6043 | 0.82282 | -2.80465 | -3.40058 | 0.497 |
| run_0054_mlp_directional_rmsprop | mlp | -5.8086 | 2.8329 | 80 | 2.03477 | -1.11547 | -1.11557 | 0.4364 | -13.0828 | -2.08156 | -1.11046 | -2.68170 | -2.095 |
| run_0022_mlp_directional_rmsprop | mlp | -6.4721 | 4.2668 | 80 | 4.53694 | -2.43747 | -3.62422 | 1.1792 | -7.6457 | 3.14816 | -1.61636 | -1.75827 | 2.098 |
| run_0085_mlp_directional_adamw | mlp | -6.6262 | -1.1735 | 80 | -0.05986 | -0.53555 | -1.47757 | 0.3187 | -7.2125 | 2.20958 | -0.56728 | -1.29062 | 1.996 |
| run_0021_mlp_directional_adamw | mlp | -7.0188 | -1.8916 | 80 | -0.05302 | -0.70792 | -2.52811 | 0.3921 | -7.0634 | 0.54115 | -1.19765 | -1.59646 | 0.491 |
| run_0064_tcn_huber_adamw | tcn | -7.6610 | -2.4091 | 80 | 0.48899 | -2.95681 | -4.52863 | 1.0111 | -2.6239 | 3.11285 | -3.00767 | -3.17531 | 2.329 |
| run_0038_mlp_directional_rmsprop | mlp | -7.7572 | 3.3469 | 80 | 3.64556 | -1.86872 | -3.01362 | 1.0184 | -14.6396 | -1.53698 | -1.98823 | -3.55115 | -1.042 |
| run_0018_mlp_directional_rmsprop | mlp | -7.8176 | -0.3498 | 80 | 0.67743 | -0.84581 | -2.09860 | 0.5913 | -10.4891 | -0.98689 | -1.69881 | -2.04419 | -0.907 |
| run_0020_tcn_huber_adamw | tcn | -8.3335 | -2.6032 | 80 | 0.70426 | -2.97351 | -5.34655 | 1.0632 | -12.2128 | 1.40672 | -5.32579 | -7.38461 | 0.882 |
| run_0006_cnn1d_pnl_adamw | cnn1d | -8.4502 | 1.1515 | 70 | 4.86812 | -3.70087 | -7.74169 | 2.6688 | -25.1578 | -5.34198 | -7.09653 | -9.60040 | -3.263 |
| run_0013_mlp_directional_adamw | mlp | -9.0063 | -2.6230 | 80 | -0.24366 | -0.97827 | -3.17948 | 0.6883 | -12.0494 | 0.16042 | -2.19765 | -2.39194 | 0.098 |
| run_0053_mlp_directional_adamw | mlp | -9.0063 | -2.6230 | 80 | -0.24366 | -0.97827 | -3.17948 | 0.6883 | -12.0494 | 0.16042 | -2.19765 | -2.39194 | 0.098 |
| run_0062_mlp_directional_rmsprop | mlp | -9.0377 | -1.8336 | 80 | -0.47700 | -0.67165 | -1.37705 | 0.3072 | -9.6360 | -0.11926 | -1.15753 | -1.18650 | -0.126 |
| run_0052_tcn_huber_adamw | tcn | -11.8181 | -5.3671 | 80 | -0.63285 | -3.28809 | -6.33016 | 1.5026 | -10.4820 | 2.15270 | -4.22924 | -7.05468 | 1.138 |
| run_0047_mlp_directional_rmsprop | mlp | -11.8280 | -0.3355 | 80 | 2.45641 | -2.44285 | -5.58102 | 1.4957 | -24.5938 | -1.75461 | -5.39064 | -6.58907 | -0.882 |
| run_0082_mlp_directional_rmsprop | mlp | -12.0507 | -2.3184 | 80 | -0.63714 | -0.73035 | -1.71332 | 0.3833 | -7.3007 | 1.55757 | -0.51159 | -0.88516 | 1.511 |
| run_0083_cnn1d_pnl_adamw | cnn1d | -16.0956 | -8.5406 | 80 | -3.01405 | -5.47283 | -5.63474 | 1.7622 | -26.4411 | -7.02893 | -4.81720 | -8.97583 | -4.990 |
Garde-fous
Aucun seuil n'est appris sur Test. Les frais sont à zéro pour démarrer mais paramétrables via
HERMES_TRADING_FEE_BPS. Le score économique sélectionne sur Validation uniquement.