{ "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 } }