| { | |
| "model_name": "QuantFlux 3.0 Trial 244 XGBoost", | |
| "model_version": "1.0", | |
| "model_id": "trial_244_xgb", | |
| "release_date": "2025-11-19", | |
| "task": "binary_classification", | |
| "domain": "cryptocurrency_futures_trading", | |
| "description": "XGBoost classifier for Bitcoin futures direction prediction with 84.38% accuracy on out-of-sample forward test", | |
| "architecture": { | |
| "type": "XGBClassifier", | |
| "framework": "xgboost==2.0.3", | |
| "hyperparameters": { | |
| "n_estimators": 2000, | |
| "max_depth": 7, | |
| "learning_rate": 0.1, | |
| "subsample": 0.8, | |
| "colsample_bytree": 0.8, | |
| "min_child_weight": 1, | |
| "gamma": 0, | |
| "objective": "binary:logistic", | |
| "eval_metric": "logloss", | |
| "random_state": 42, | |
| "tree_method": "hist" | |
| }, | |
| "optimization": { | |
| "algorithm": "Bayesian Optimization (Optuna)", | |
| "n_trials": 1000, | |
| "objective": "Maximize Sharpe Ratio", | |
| "trial_winner": 244 | |
| } | |
| }, | |
| "training_data": { | |
| "symbol": "BTC/USDT", | |
| "exchange": "Binance", | |
| "contract_type": "perpetual_futures", | |
| "time_period": "2020-08-01 to 2025-11-16", | |
| "duration_years": 5.25, | |
| "total_ticks": "2.54 billion", | |
| "bar_type": "dollar_bars", | |
| "dollar_threshold": 500000, | |
| "training_samples": 418410, | |
| "test_samples": 139467, | |
| "total_samples": 557877, | |
| "features": 17, | |
| "classes": 2 | |
| }, | |
| "performance": { | |
| "forward_test": { | |
| "period": "2025-08-18 to 2025-11-16", | |
| "test_type": "out_of_sample_unseen", | |
| "accuracy": 0.8438, | |
| "precision": 0.4767, | |
| "recall": 0.4918, | |
| "f1_score": 0.4840, | |
| "sharpe_ratio": 12.4618, | |
| "win_rate": 0.8438, | |
| "profit_factor": 4.78, | |
| "max_drawdown": -0.0946, | |
| "total_trades": 224, | |
| "total_pnl_usd": 2833018, | |
| "avg_win_percent": 0.0154, | |
| "avg_loss_percent": -0.0032 | |
| }, | |
| "historical_validation": { | |
| "2020": {"sharpe": 7.61, "win_rate": 0.8335, "max_dd": -0.3205}, | |
| "2021": {"sharpe": 5.93, "win_rate": 0.8280, "max_dd": -0.0226}, | |
| "2022": {"sharpe": 6.38, "win_rate": 0.8318, "max_dd": -0.0251}, | |
| "2023": {"sharpe": 6.49, "win_rate": 0.8327, "max_dd": -0.0021}, | |
| "2024": {"sharpe": 8.11, "win_rate": 0.8406, "max_dd": -0.0012} | |
| } | |
| }, | |
| "signal_generation": { | |
| "trial_number": 244, | |
| "parameters": { | |
| "momentum_threshold": -0.9504030908713968, | |
| "volume_threshold": 1.5506670658436892, | |
| "vwap_dev_threshold": -0.78153009100896, | |
| "min_signals_required": 2, | |
| "holding_period_bars": 42, | |
| "atr_multiplier": 1.0002479688950294, | |
| "position_size_percent": 0.01 | |
| }, | |
| "signals": [ | |
| { | |
| "name": "Momentum", | |
| "condition": "ret_1 <= momentum_threshold", | |
| "interpretation": "Mean reversion opportunity" | |
| }, | |
| { | |
| "name": "Volume", | |
| "condition": "volume > vol_20 * volume_threshold", | |
| "interpretation": "Confirmation of conviction" | |
| }, | |
| { | |
| "name": "VWAP Deviation", | |
| "condition": "vwap_deviation <= vwap_dev_threshold", | |
| "interpretation": "Price discount from fair value" | |
| } | |
| ] | |
| }, | |
| "deployment": { | |
| "model_file": "trial_244_xgb.pkl", | |
| "model_size_mb": 79, | |
| "scaler_file": "scaler.pkl", | |
| "scaler_type": "StandardScaler", | |
| "feature_names_file": "feature_names.json", | |
| "expected_latency_ms": { | |
| "feature_computation": 20, | |
| "model_inference": 30, | |
| "risk_checks": 10, | |
| "total": 100 | |
| }, | |
| "required_dependencies": [ | |
| "xgboost==2.0.3", | |
| "scikit-learn==1.3.2", | |
| "numpy>=1.20", | |
| "pandas>=1.3" | |
| ], | |
| "input_shape": [null, 17], | |
| "output_shape": [null], | |
| "output_dtype": "int64", | |
| "confidence_dtype": "float32" | |
| }, | |
| "features": { | |
| "total": 17, | |
| "categories": { | |
| "price_action": 5, | |
| "volume": 3, | |
| "volatility": 2, | |
| "macd": 1, | |
| "time_of_day": 4, | |
| "vwap": 1, | |
| "atr": 1 | |
| }, | |
| "look_ahead_bias": "None - all features use minimum 1-bar lag", | |
| "normalization": "StandardScaler (mean=0, std=1)", | |
| "feature_order": [ | |
| "ret_1", "ret_3", "ret_5", "ret_accel", "close_pos", | |
| "vol_20", "high_vol", "low_vol", | |
| "rsi_oversold", "rsi_neutral", "macd_positive", | |
| "london_open", "london_close", "nyse_open", "hour", | |
| "vwap_deviation", "atr_stops" | |
| ] | |
| }, | |
| "validation": { | |
| "method": "Walk-forward validation with purged K-fold", | |
| "folds": 5, | |
| "training_window_months": "3-6 rolling", | |
| "test_window_weeks": "1-2", | |
| "embargo_period_days": 10, | |
| "pbo_score": "<0.5", | |
| "cross_validation": "Temporal aware, no future data in training" | |
| }, | |
| "risk_management": { | |
| "layers": 6, | |
| "max_position_size_percent": 1.0, | |
| "max_daily_loss_percent": -5.0, | |
| "max_drawdown_percent": -15.0, | |
| "stop_loss_atr_multiplier": 1.0, | |
| "take_profit_atr_multiplier": 1.0, | |
| "min_confidence_threshold": 0.55, | |
| "position_sizing": { | |
| "confidence_0.55_0.60": "0.25x base position", | |
| "confidence_0.60_0.65": "0.50x base position", | |
| "confidence_0.65_0.70": "0.75x base position", | |
| "confidence_0.70_plus": "1.00x base position" | |
| } | |
| }, | |
| "limitations": { | |
| "task": "Binary classification only - does not predict magnitude or price targets", | |
| "instruments": "BTC/USDT only - not tested on altcoins or traditional assets", | |
| "timeframe": "Designed for 4-hour equivalent bars - other timeframes untested", | |
| "data_currency": "Training data ends November 2025 - market microstructure evolves", | |
| "lookback_requirement": "Requires 50-bar history for feature computation", | |
| "market_conditions": "Not stress-tested on extreme events (>2σ moves)", | |
| "trading_hours": "Optimal 13:00-16:00 UTC (London-NYSE overlap) - degraded performance in twilight zone", | |
| "live_deployment": "Paper trading assumptions may differ from live slippage/fills" | |
| }, | |
| "research_references": [ | |
| "Geometric Alpha: Temporal Graph Networks for Microsecond-Scale Cryptocurrency Order Book Dynamics", | |
| "Heterogeneous Graph Neural Networks for Real-Time Bitcoin Whale Detection and Market Impact Forecasting", | |
| "Discrete Ricci Curvature-Based Graph Rewiring for Latent Structure Discovery in Cryptocurrency Markets", | |
| "de Prado, M. L. (2018). Advances in Financial Machine Learning", | |
| "Aronson, D. (2007). Evidence-Based Technical Analysis" | |
| ], | |
| "compliance": { | |
| "license": "CC-BY-4.0", | |
| "code_license": "MIT", | |
| "commercial_use": "Permitted with attribution", | |
| "warranty": "None - provided as-is", | |
| "risk_disclaimer": "Cryptocurrency futures trading involves extreme risk. Past performance does not guarantee future results.", | |
| "min_paper_trading_weeks": 4, | |
| "recommended_capital_start": 5000 | |
| } | |
| } | |