Protocole scout
4 runs par grosse idée
But: dégrossir pendant 2-3 jours les directions prometteuses avant de cumuler les idées. Une idée n'est promue que si son signal se répète, pas sur un run isolé.
Runs scout84protocole actif
Runs par idée4médiane + worst-month
Comparaison des grosses idées
| Idée | Runs | Best run Val | Scaler | Features | Win/Out | Best Val | Best Test | Test médian | PNL médian | Worst médian | Gap médian |
|---|---|---|---|---|---|---|---|---|---|---|---|
| baseline_v3_like | 4/4 | run_0003_tcn_huber_adamw | robust_winsor | base | 80 / 40 | 22.9864 | -46.9543 | -29.7793 | -5.27356 | -6.32747 | -38.5064 |
| time_pct_minmax | 4/4 | run_0005_mlp_directional_rmsprop | time_pct_minmax | base | 80 / 40 | 11.2399 | -12.4843 | -11.1078 | -0.99048 | -3.94901 | -18.5935 |
| regime_features | 4/4 | run_0010_cnn1d_pnl_adamw | robust_winsor | regime | 80 / 40 | 19.9111 | -0.3191 | -15.4457 | 0.31476 | -3.54074 | -17.2876 |
| longer_input_120 | 4/4 | run_0017_tcn_huber_adamw | robust_winsor | regime | 120 / 40 | 9.9325 | -5.5411 | -39.2743 | -6.79634 | -8.85574 | -38.3708 |
| shorter_output_20 | 4/4 | run_0019_cnn1d_pnl_adamw | robust_winsor | regime | 80 / 20 | -4.2245 | 3.4453 | -8.7762 | 0.97393 | -1.50437 | -1.3580 |
| synthetic_pairs | 4/4 | run_0023_cnn1d_pnl_adamw | robust_winsor | regime_synthetic | 80 / 40 | 17.2707 | -45.9848 | -28.5205 | -3.41811 | -6.31626 | -33.6816 |
| voltarget_returns | 4/4 | run_0026_mlp_directional_rmsprop | robust_winsor | voltarget | 80 / 40 | 4.8128 | -13.1477 | -19.3254 | -1.71943 | -4.71668 | -23.2550 |
| cross_sectional_relative | 4/4 | run_0031_cnn1d_pnl_adamw | robust_winsor | cross_sectional | 80 / 40 | 13.9069 | -34.1325 | -13.4347 | 1.33130 | -3.34918 | -16.4887 |
| regime_voltarget | 4/4 | run_0034_mlp_directional_rmsprop | robust_winsor | regime_voltarget | 80 / 40 | 4.8128 | -13.1477 | -19.3254 | -1.71943 | -4.71668 | -23.2550 |
| short_input_40 | 4/4 | run_0040_tcn_huber_adamw | robust_winsor | regime | 40 / 40 | 27.1789 | -29.7923 | -17.9288 | -1.07813 | -4.43810 | -21.6640 |
| long_output_60 | 4/4 | run_0044_tcn_huber_adamw | robust_winsor | regime | 80 / 60 | 23.0903 | 9.3317 | -4.3860 | 6.19381 | -3.46309 | -16.3481 |
| no_signflip_ablation | 4/4 | run_0048_cnn1d_pnl_adamw | robust_winsor | regime | 80 / 40 | 25.4673 | -24.7919 | -29.8400 | 1.95290 | -11.70897 | -45.0498 |
| fees_2bps_stress | 4/4 | run_0051_cnn1d_pnl_adamw | robust_winsor | regime | 80 / 40 | 19.9111 | -0.3191 | -11.2657 | 1.31090 | -3.54074 | -8.6940 |
| fee2bps_multi_resolution_output20 | 0/4 | en attente | |||||||||
| regime_ohlc_ta_output60 | 0/4 | en attente | |||||||||
| no_signflip_long_output60_regime | 0/4 | en attente | |||||||||
| regime_cross_sectional_output60 | 0/4 | en attente | |||||||||
| ta_ohlc_atr_rsi_output20 | 4/4 | run_0055_cnn1d_pnl_adamw | robust_winsor | ohlc_ta | 80 / 20 | 6.4759 | -42.3194 | -21.4252 | -3.91200 | -2.48270 | -19.9111 |
| multi_resolution_regime_output20 | 4/4 | run_0058_mlp_directional_rmsprop | robust_winsor | multi_resolution | 80 / 20 | 5.7929 | -17.8218 | -12.7914 | -0.95618 | -1.21625 | -15.8276 |
| cross_sectional_output20 | 4/4 | run_0063_cnn1d_pnl_adamw | robust_winsor | cross_sectional | 80 / 20 | 7.3396 | -19.7826 | -9.9778 | -0.27637 | -2.08260 | -3.1944 |
| regime_ohlc_ta_output20 | 4/4 | run_0067_cnn1d_pnl_adamw | robust_winsor | regime_ohlc_ta | 80 / 20 | 4.0400 | -14.5067 | -12.5099 | -0.09727 | -1.35785 | -11.3707 |
| regime_multi_resolution_output20 | 4/4 | run_0072_tcn_huber_adamw | robust_winsor | regime_multi_resolution | 80 / 20 | 13.9357 | -17.5165 | -14.9553 | -3.45393 | -2.77143 | -16.0851 |
| cross_sectional_output60 | 4/4 | run_0075_cnn1d_pnl_adamw | robust_winsor | cross_sectional | 80 / 60 | 19.9542 | 5.6460 | -4.1008 | 3.36634 | -2.31037 | -12.9878 |
| no_signflip_multi_resolution_output20 | 4/4 | run_0081_mlp_directional_adamw | robust_winsor | multi_resolution | 80 / 20 | 8.1697 | -12.2019 | -17.7877 | -3.08020 | -3.85747 | -20.3893 |
| fee2bps_shorter_output20_base | 4/4 | run_0084_tcn_huber_adamw | robust_winsor | base | 80 / 20 | -4.5814 | -7.2574 | -7.2791 | 1.08737 | -1.97065 | -1.6311 |
Garde-fous
Les idées sont comparées par Test économique médian, worst-month, drawdown et gap Val/Test. Le Test ne sert jamais à sélectionner un modèle individuel; il sert à décider quelle direction mérite un protocole dédié.