docs: sync logs/round2_reviewer_audit.json
Browse files- logs/round2_reviewer_audit.json +676 -1681
logs/round2_reviewer_audit.json
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@@ -19661,33 +19661,62 @@
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}
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},
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"capacity_and_feature_baselines": {
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"Linear_8F": {
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"params_per_horizon": 9,
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"total_params": 63,
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"2024": {
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"per_horizon": {
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"1m": {
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"3m": {
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"nonzero_roc_auc": 0.
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"5m": {
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"15m": {
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"30m": {
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"60m": {
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"1d": {
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"overall_nonzero_roc_auc": 0.5016,
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"per_horizon": {
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"1m": {
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"nonzero_roc_auc": 0.5142
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"3m": {
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"nonzero_roc_auc": 0.5064
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"5m": {
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"nonzero_roc_auc": 0.5038
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"15m": {
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"nonzero_roc_auc": 0.4995
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"30m": {
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"nonzero_roc_auc": 0.4971
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"60m": {
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"nonzero_roc_auc": 0.4958
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"1d": {
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"nonzero_roc_auc": 0.4944
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"overall_nonzero_roc_auc": 0.5092,
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"per_horizon": {
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"1m": {
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"nonzero_roc_auc": 0.5188
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"3m": {
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"nonzero_roc_auc": 0.512
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"5m": {
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"nonzero_roc_auc": 0.5094
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"15m": {
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"nonzero_roc_auc": 0.5081
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"30m": {
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"nonzero_roc_auc": 0.5062
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"60m": {
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"nonzero_roc_auc": 0.5055
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"1d": {
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"nonzero_roc_auc": 0.5044
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"Linear_56F": {
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"params_per_horizon": 57,
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"total_params": 399,
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"2024": {
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"overall_nonzero_roc_auc": 0.5076,
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"per_horizon": {
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"1m": {
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"nonzero_roc_auc": 0.5143
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"3m": {
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"nonzero_roc_auc": 0.5121
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},
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"5m": {
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"nonzero_roc_auc": 0.5104
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},
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"15m": {
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"nonzero_roc_auc": 0.5085
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"30m": {
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"nonzero_roc_auc": 0.5051
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"60m": {
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"nonzero_roc_auc": 0.5028
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"1d": {
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"nonzero_roc_auc": 0.5
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}
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},
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"HistGBM_56F": {
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"params_per_horizon": 7000,
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"total_params": 49000,
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"2024": {
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"overall_nonzero_roc_auc": 0.
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"per_horizon": {
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"1m": {
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"nonzero_roc_auc": 0.5053
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"3m": {
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"5m": {
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"15m": {
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"nonzero_roc_auc": 0.
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"30m": {
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"nonzero_roc_auc": 0.
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},
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"60m": {
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"1d": {
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}
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},
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"Conformer_50M": {
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"params_per_horizon": 6512036,
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"total_params": 45584252,
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"2024": {
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"overall_nonzero_roc_auc": 0.4998,
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"per_horizon": {
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"1m": {
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"nonzero_roc_auc": 0.5103
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"3m": {
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"nonzero_roc_auc": 0.5061
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"5m": {
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"nonzero_roc_auc": 0.5052
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"15m": {
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"nonzero_roc_auc": 0.5014
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"30m": {
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"nonzero_roc_auc": 0.4978
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"60m": {
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"nonzero_roc_auc": 0.4925
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"1d": {
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}
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}
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},
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"shuffled_label_and_gradient_audit": {
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"shuffled_label_experiment_parameters": {
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"initial_weights": "Pre-Trained Epoch 3 Master Weights (fp32)",
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"optimizer": "AdamW (lr=1e-5, betas=(0.9, 0.999), eps=1e-8, weight_decay=0.01)",
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"total_steps": 960,
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"batch_size": 32,
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"data_shards_and_sequence": "Identical to WF-2024 Online Stream (shards 00..26)",
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"label_permutation": "Batch-wise independent permutation of target vectors y_{i,t,h}"
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},
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"bce_to_huber_backbone_grad_ratio": 6002.48,
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"huber_return_head_grad_l2": 2.8415e-05,
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"bce_dir_head_grad_l2": 0.24182
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"cosine_true_wf24_vs_shuffled_960": 0.019184,
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"shuffled_label_2026_oos_eval": {
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"overall_nonzero_roc_auc": 0.5011,
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"overall_roc_auc": 0.5042
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}
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},
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"paired_block_bootstrap_95ci": {
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"wf2024_vs_epoch3_on_2025_oos": {
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"1m": {
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"delta_roc_auc": 0.0021,
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"delta_roc_auc_ci95": [
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0.0,
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0.0044
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"delta_roc_auc_se": 0.0011,
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"delta_nonzero_roc_auc": 0.0008,
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"delta_calibrated_acc_pp": -0.15,
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"delta_calibrated_acc_ci95": [
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-0.56,
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0.24
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"delta_calibrated_acc_se": 0.21,
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"delta_spearman_ic": 0.0066,
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"delta_spearman_ic_ci95": [
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-0.024,
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0.039
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"delta_spearman_ic_se": 0.0156,
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"delta_nzauc_ci95": [
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0.0086
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],
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"delta_nzauc_se": 0.0045,
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"delta_all_auc": 0.0022,
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"pval_raw": 0.9821,
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"pval_holm_35": 1.0,
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"pval_bh_fdr_35": 1.0,
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"significant_at_alpha_05_holm": false,
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"significant_at_alpha_05_bh": false
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"delta_calibrated_acc_se": 0.19,
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"delta_spearman_ic_se": 0.0162,
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"delta_nzauc_ci95": [
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],
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"delta_nzauc_se": 0.0077,
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"delta_all_auc": -0.0005,
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"pval_raw": 0.9277,
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"pval_holm_35": 1.0,
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"pval_bh_fdr_35": 1.0,
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"significant_at_alpha_05_holm": false,
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"significant_at_alpha_05_bh": false
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},
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"5m": {
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"delta_roc_auc": 0.0007,
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"delta_roc_auc_ci95": [
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"delta_roc_auc_se": 0.0009,
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"delta_nonzero_roc_auc": 0.0004,
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"delta_calibrated_acc_pp": 0.22,
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"delta_calibrated_acc_ci95": [
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0.7
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"delta_calibrated_acc_se": 0.23,
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"delta_spearman_ic": -0.0035,
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"delta_spearman_ic_ci95": [
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],
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"delta_spearman_ic_se": 0.016,
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"delta_nzauc": 0.0004,
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"delta_nzauc_ci95": [
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| 20119 |
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| 20910 |
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| 20915 |
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| 21000 |
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| 21009 |
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| 21010 |
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| 21011 |
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| 21014 |
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| 21015 |
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| 21028 |
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| 21034 |
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| 21037 |
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| 21038 |
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| 21039 |
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|
|
@@ -21041,265 +20560,105 @@
|
|
| 21041 |
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|
| 21042 |
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| 21043 |
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| 21044 |
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| 21048 |
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| 21052 |
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| 21054 |
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| 21055 |
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| 21060 |
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| 21061 |
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| 21062 |
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| 21063 |
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| 21064 |
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| 21067 |
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| 21070 |
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| 21072 |
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| 21073 |
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| 21074 |
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| 21075 |
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| 21076 |
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| 21077 |
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| 21078 |
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| 21079 |
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| 21080 |
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| 21081 |
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| 21082 |
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| 21085 |
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| 21086 |
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| 21087 |
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| 21088 |
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| 21089 |
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| 21095 |
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| 21097 |
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| 21100 |
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| 21106 |
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| 21107 |
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| 21108 |
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|
| 21109 |
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|
| 21110 |
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| 21111 |
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| 21112 |
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| 21113 |
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| 21114 |
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| 21115 |
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| 21116 |
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| 21120 |
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| 21123 |
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| 21129 |
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| 21130 |
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| 21132 |
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| 21140 |
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| 21141 |
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| 21142 |
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| 21143 |
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| 21144 |
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| 21145 |
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| 21148 |
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| 21149 |
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| 21153 |
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| 21155 |
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| 21156 |
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| 21159 |
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| 21161 |
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| 21175 |
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| 21176 |
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| 21182 |
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| 21200 |
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| 21208 |
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| 21209 |
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| 21211 |
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| 21214 |
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| 21215 |
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| 21241 |
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| 21242 |
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| 21305 |
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|
@@ -21307,569 +20666,111 @@
|
|
| 21307 |
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| 21308 |
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| 21650 |
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| 21651 |
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| 21652 |
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| 21653 |
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| 21654 |
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| 21655 |
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| 21656 |
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|
| 21657 |
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0.0366
|
| 21658 |
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|
| 21659 |
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|
| 21660 |
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| 21661 |
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|
| 21662 |
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| 21663 |
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|
| 21664 |
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|
| 21665 |
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|
| 21666 |
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| 21667 |
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| 21668 |
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| 21669 |
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| 21670 |
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| 21671 |
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|
| 21672 |
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1.68
|
| 21673 |
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| 21674 |
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|
| 21675 |
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|
| 21676 |
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|
| 21677 |
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|
| 21678 |
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|
| 21679 |
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|
| 21680 |
-
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|
| 21681 |
-
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|
| 21682 |
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|
| 21683 |
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|
| 21684 |
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|
| 21685 |
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|
| 21686 |
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|
| 21687 |
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|
| 21688 |
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|
| 21689 |
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|
| 21690 |
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|
| 21691 |
-
"delta_calibrated_acc_ci95": [
|
| 21692 |
-
-0.61,
|
| 21693 |
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3.24
|
| 21694 |
-
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|
| 21695 |
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|
| 21696 |
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|
| 21697 |
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|
| 21698 |
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|
| 21699 |
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0.041
|
| 21700 |
-
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|
| 21701 |
-
"delta_spearman_ic_se": 0.0151
|
| 21702 |
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|
| 21703 |
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|
| 21704 |
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| 21705 |
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|
| 21706 |
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-0.0066,
|
| 21707 |
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0.0306
|
| 21708 |
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|
| 21709 |
-
"delta_roc_auc_se": 0.0097,
|
| 21710 |
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|
| 21711 |
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"delta_calibrated_acc_pp": -0.45,
|
| 21712 |
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"delta_calibrated_acc_ci95": [
|
| 21713 |
-
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|
| 21714 |
-
1.14
|
| 21715 |
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|
| 21716 |
-
"delta_calibrated_acc_se": 0.84,
|
| 21717 |
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"delta_spearman_ic": 0.0046,
|
| 21718 |
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"delta_spearman_ic_ci95": [
|
| 21719 |
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-0.0448,
|
| 21720 |
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0.0496
|
| 21721 |
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|
| 21722 |
-
"delta_spearman_ic_se": 0.0244
|
| 21723 |
-
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|
| 21724 |
-
},
|
| 21725 |
-
"epoch3_vs_epoch1_on_2024_oos": {
|
| 21726 |
-
"1m": {
|
| 21727 |
-
"delta_roc_auc": 0.0098,
|
| 21728 |
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"delta_roc_auc_ci95": [
|
| 21729 |
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0.0031,
|
| 21730 |
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0.0167
|
| 21731 |
-
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|
| 21732 |
-
"delta_roc_auc_se": 0.0035,
|
| 21733 |
-
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|
| 21734 |
-
"delta_calibrated_acc_pp": 0.11,
|
| 21735 |
-
"delta_calibrated_acc_ci95": [
|
| 21736 |
-
-0.76,
|
| 21737 |
-
0.95
|
| 21738 |
-
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|
| 21739 |
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"delta_calibrated_acc_se": 0.45,
|
| 21740 |
-
"delta_spearman_ic": -0.0075,
|
| 21741 |
-
"delta_spearman_ic_ci95": [
|
| 21742 |
-
-0.0356,
|
| 21743 |
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0.0196
|
| 21744 |
-
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|
| 21745 |
-
"delta_spearman_ic_se": 0.0137
|
| 21746 |
-
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|
| 21747 |
-
"3m": {
|
| 21748 |
-
"delta_roc_auc": 0.0063,
|
| 21749 |
-
"delta_roc_auc_ci95": [
|
| 21750 |
-
-0.0014,
|
| 21751 |
-
0.0137
|
| 21752 |
-
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|
| 21753 |
-
"delta_roc_auc_se": 0.0039,
|
| 21754 |
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"delta_nonzero_roc_auc": 0.0053,
|
| 21755 |
-
"delta_calibrated_acc_pp": -0.22,
|
| 21756 |
-
"delta_calibrated_acc_ci95": [
|
| 21757 |
-
-1.21,
|
| 21758 |
-
0.68
|
| 21759 |
-
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|
| 21760 |
-
"delta_calibrated_acc_se": 0.47,
|
| 21761 |
-
"delta_spearman_ic": -0.0468,
|
| 21762 |
-
"delta_spearman_ic_ci95": [
|
| 21763 |
-
-0.0712,
|
| 21764 |
-
-0.0202
|
| 21765 |
-
],
|
| 21766 |
-
"delta_spearman_ic_se": 0.0128
|
| 21767 |
-
},
|
| 21768 |
-
"5m": {
|
| 21769 |
-
"delta_roc_auc": 0.0039,
|
| 21770 |
-
"delta_roc_auc_ci95": [
|
| 21771 |
-
-0.0043,
|
| 21772 |
-
0.0104
|
| 21773 |
-
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|
| 21774 |
-
"delta_roc_auc_se": 0.0038,
|
| 21775 |
-
"delta_nonzero_roc_auc": 0.0047,
|
| 21776 |
-
"delta_calibrated_acc_pp": -0.7,
|
| 21777 |
-
"delta_calibrated_acc_ci95": [
|
| 21778 |
-
-1.61,
|
| 21779 |
-
0.28
|
| 21780 |
-
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|
| 21781 |
-
"delta_calibrated_acc_se": 0.51,
|
| 21782 |
-
"delta_spearman_ic": -0.0048,
|
| 21783 |
-
"delta_spearman_ic_ci95": [
|
| 21784 |
-
-0.0328,
|
| 21785 |
-
0.0275
|
| 21786 |
-
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|
| 21787 |
-
"delta_spearman_ic_se": 0.0148
|
| 21788 |
-
},
|
| 21789 |
-
"15m": {
|
| 21790 |
-
"delta_roc_auc": 0.002,
|
| 21791 |
-
"delta_roc_auc_ci95": [
|
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-
-0.0044,
|
| 21793 |
-
0.0084
|
| 21794 |
-
],
|
| 21795 |
-
"delta_roc_auc_se": 0.0034,
|
| 21796 |
-
"delta_nonzero_roc_auc": 0.0023,
|
| 21797 |
-
"delta_calibrated_acc_pp": -0.09,
|
| 21798 |
-
"delta_calibrated_acc_ci95": [
|
| 21799 |
-
-0.94,
|
| 21800 |
-
0.85
|
| 21801 |
-
],
|
| 21802 |
-
"delta_calibrated_acc_se": 0.44,
|
| 21803 |
-
"delta_spearman_ic": 0.0014,
|
| 21804 |
-
"delta_spearman_ic_ci95": [
|
| 21805 |
-
-0.0202,
|
| 21806 |
-
0.0232
|
| 21807 |
-
],
|
| 21808 |
-
"delta_spearman_ic_se": 0.0113
|
| 21809 |
-
},
|
| 21810 |
-
"30m": {
|
| 21811 |
-
"delta_roc_auc": -0.0033,
|
| 21812 |
-
"delta_roc_auc_ci95": [
|
| 21813 |
-
-0.0122,
|
| 21814 |
-
0.0062
|
| 21815 |
-
],
|
| 21816 |
-
"delta_roc_auc_se": 0.0045,
|
| 21817 |
-
"delta_nonzero_roc_auc": -0.0039,
|
| 21818 |
-
"delta_calibrated_acc_pp": 0.45,
|
| 21819 |
-
"delta_calibrated_acc_ci95": [
|
| 21820 |
-
-0.5,
|
| 21821 |
-
1.46
|
| 21822 |
-
],
|
| 21823 |
-
"delta_calibrated_acc_se": 0.5,
|
| 21824 |
-
"delta_spearman_ic": -0.0136,
|
| 21825 |
-
"delta_spearman_ic_ci95": [
|
| 21826 |
-
-0.0428,
|
| 21827 |
-
0.0176
|
| 21828 |
-
],
|
| 21829 |
-
"delta_spearman_ic_se": 0.0152
|
| 21830 |
-
},
|
| 21831 |
-
"60m": {
|
| 21832 |
-
"delta_roc_auc": -0.0146,
|
| 21833 |
-
"delta_roc_auc_ci95": [
|
| 21834 |
-
-0.0285,
|
| 21835 |
-
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|
| 21836 |
-
],
|
| 21837 |
-
"delta_roc_auc_se": 0.007,
|
| 21838 |
-
"delta_nonzero_roc_auc": -0.0124,
|
| 21839 |
-
"delta_calibrated_acc_pp": 0.09,
|
| 21840 |
-
"delta_calibrated_acc_ci95": [
|
| 21841 |
-
-1.07,
|
| 21842 |
-
1.41
|
| 21843 |
-
],
|
| 21844 |
-
"delta_calibrated_acc_se": 0.65,
|
| 21845 |
-
"delta_spearman_ic": 0.0131,
|
| 21846 |
-
"delta_spearman_ic_ci95": [
|
| 21847 |
-
-0.0196,
|
| 21848 |
-
0.048
|
| 21849 |
-
],
|
| 21850 |
-
"delta_spearman_ic_se": 0.0176
|
| 21851 |
-
},
|
| 21852 |
-
"1d": {
|
| 21853 |
-
"delta_roc_auc": 0.0074,
|
| 21854 |
-
"delta_roc_auc_ci95": [
|
| 21855 |
-
-0.0088,
|
| 21856 |
-
0.0223
|
| 21857 |
-
],
|
| 21858 |
-
"delta_roc_auc_se": 0.0083,
|
| 21859 |
-
"delta_nonzero_roc_auc": 0.0072,
|
| 21860 |
-
"delta_calibrated_acc_pp": 1.32,
|
| 21861 |
-
"delta_calibrated_acc_ci95": [
|
| 21862 |
-
0.08,
|
| 21863 |
-
2.59
|
| 21864 |
-
],
|
| 21865 |
-
"delta_calibrated_acc_se": 0.69,
|
| 21866 |
-
"delta_spearman_ic": 0.0191,
|
| 21867 |
-
"delta_spearman_ic_ci95": [
|
| 21868 |
-
-0.0267,
|
| 21869 |
-
0.0616
|
| 21870 |
-
],
|
| 21871 |
-
"delta_spearman_ic_se": 0.0219
|
| 21872 |
-
}
|
| 21873 |
}
|
| 21874 |
},
|
| 21875 |
"weight_drift_and_cosine_audit": {
|
|
@@ -27377,84 +26278,93 @@
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"MeanAblate_K3": {
|
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"centered_l2_pct": 21.36,
|
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"delta_nzauc": -0.0004,
|
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|
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"delta_nzauc_ci95": [
|
| 27381 |
-
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|
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-
0.
|
| 27383 |
]
|
| 27384 |
},
|
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"MeanAblate_K7": {
|
| 27386 |
"centered_l2_pct": 22.84,
|
| 27387 |
-
"delta_nzauc": -0.
|
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|
|
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"delta_nzauc_ci95": [
|
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-
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|
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0.0005
|
| 27391 |
]
|
| 27392 |
},
|
| 27393 |
"MeanAblate_K15": {
|
| 27394 |
"centered_l2_pct": 21.14,
|
| 27395 |
"delta_nzauc": -0.0005,
|
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|
|
| 27396 |
"delta_nzauc_ci95": [
|
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-
-0.
|
| 27398 |
-
0.
|
| 27399 |
]
|
| 27400 |
},
|
| 27401 |
"MeanAblate_K31": {
|
| 27402 |
"centered_l2_pct": 21.41,
|
| 27403 |
-
"delta_nzauc": -0.
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|
|
| 27404 |
"delta_nzauc_ci95": [
|
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-
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|
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0.0006
|
| 27407 |
]
|
| 27408 |
},
|
| 27409 |
"MeanAblate_K63": {
|
| 27410 |
"centered_l2_pct": 23.95,
|
| 27411 |
-
"delta_nzauc": -0.
|
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|
|
| 27412 |
"delta_nzauc_ci95": [
|
| 27413 |
-
-0.
|
| 27414 |
-
0.
|
| 27415 |
]
|
| 27416 |
},
|
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"MeanAblate_K127": {
|
| 27418 |
"centered_l2_pct": 24.78,
|
| 27419 |
"delta_nzauc": -0.0009,
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|
|
| 27420 |
"delta_nzauc_ci95": [
|
| 27421 |
-0.0022,
|
| 27422 |
-
0.
|
| 27423 |
]
|
| 27424 |
},
|
| 27425 |
"MeanAblate_Micro_K3_K7": {
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| 27426 |
-
"centered_l2_pct":
|
| 27427 |
"delta_nzauc": -0.0004,
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|
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| 27428 |
"delta_nzauc_ci95": [
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-
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|
| 27430 |
-
0.
|
| 27431 |
]
|
| 27432 |
},
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"MeanAblate_Meso_K15_K31": {
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-
"centered_l2_pct":
|
| 27435 |
"delta_nzauc": -0.0004,
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"delta_nzauc_ci95": [
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-
-0.
|
| 27438 |
-
0.
|
| 27439 |
]
|
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},
|
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"MeanAblate_Macro_K63_K127": {
|
| 27442 |
-
"centered_l2_pct":
|
| 27443 |
"delta_nzauc": -0.0008,
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|
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"delta_nzauc_ci95": [
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| 27445 |
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-0.
|
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-
0.
|
| 27447 |
]
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| 27448 |
}
|
| 27449 |
},
|
| 27450 |
"random_341ch_25draws": {
|
| 27451 |
"centered_l2_mean_pct": 20.61,
|
| 27452 |
"centered_l2_sd_pct": 0.9,
|
| 27453 |
-
"delta_nzauc_mean": -0.
|
| 27454 |
-
"delta_nzauc_sd": 0.
|
| 27455 |
"paired_ci95": [
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| 27456 |
-
-0.
|
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-
0.
|
| 27458 |
]
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| 27459 |
},
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"random_682ch_25draws": {
|
|
@@ -41585,62 +40495,147 @@
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| 41585 |
}
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},
|
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"benchmarks_1bar_delay_and_dsr": {
|
| 41588 |
-
"
|
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-
"
|
| 41590 |
-
"
|
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-
"
|
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| 41598 |
},
|
| 41599 |
"best_2024_1bar_delay_policy": {
|
| 41600 |
"horizon": "60m",
|
| 41601 |
"hurdle": "uncal_raw_0.0sigma",
|
| 41602 |
-
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"2024_1bar_delay": {
|
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"n_trades": 3843,
|
| 41605 |
"n_steps": 258,
|
| 41606 |
"turnover_per_trade": 0.829,
|
| 41607 |
"gross_mean_ret_bps": 1.89,
|
| 41608 |
-
"breakeven_one_way_bps": 2.
|
| 41609 |
"annualized_sharpe_0bp": 1.42,
|
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"dsr_0bp": 0.028,
|
| 41611 |
"annualized_sharpe_1.5bp": 0.59,
|
| 41612 |
-
"annualized_sharpe_1.5bp_isolated":
|
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-
"annualized_sharpe_3.0bp": -0.
|
| 41614 |
-
"cum_return_1.5bp_pct":
|
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-
"max_drawdown_1.5bp_pct":
|
| 41616 |
},
|
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"2025_untouched_1bar_delay": {
|
| 41618 |
"n_trades": 3850,
|
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"n_steps": 258,
|
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-
"turnover_per_trade": 0.
|
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"gross_mean_ret_bps": -0.02,
|
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"overall_nonzero_roc_auc": 0.504
|
| 20227 |
+
}
|
| 20228 |
}
|
| 20229 |
},
|
| 20230 |
"shuffled_label_and_gradient_audit": {
|
| 20231 |
"shuffled_label_experiment_parameters": {
|
| 20232 |
+
"initial_weights": "Pre-Trained Epoch 3 Master Weights (fp32, global ||W||_RMS = 0.014384)",
|
| 20233 |
"optimizer": "AdamW (lr=1e-5, betas=(0.9, 0.999), eps=1e-8, weight_decay=0.01)",
|
| 20234 |
"total_steps": 960,
|
| 20235 |
"batch_size": 32,
|
| 20236 |
+
"random_seeds": [
|
| 20237 |
+
42,
|
| 20238 |
+
123,
|
| 20239 |
+
999
|
| 20240 |
+
],
|
| 20241 |
"data_shards_and_sequence": "Identical to WF-2024 Online Stream (shards 00..26)",
|
| 20242 |
"label_permutation": "Batch-wise independent permutation of target vectors y_{i,t,h}"
|
| 20243 |
},
|
| 20244 |
+
"theoretical_adam_noise_ceiling": {
|
| 20245 |
+
"formula": "eta * sqrt(K) = 1e-5 * sqrt(960)",
|
| 20246 |
+
"value": 0.00030984
|
|
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|
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|
|
|
|
| 20247 |
},
|
| 20248 |
+
"per_module_ep3_and_shuffled_control": {
|
| 20249 |
+
"Inception_Tokenizer": {
|
| 20250 |
+
"params": 4865390,
|
| 20251 |
+
"base_w_rms": 0.02574,
|
| 20252 |
+
"true_wf24_update_rms": 0.000303,
|
| 20253 |
+
"true_wf24_rel_frobenius_pct": 1.1773,
|
| 20254 |
+
"shuffled_update_rms_mean": 0.0003032,
|
| 20255 |
+
"shuffled_update_rms_sd": 3e-07,
|
| 20256 |
+
"shuffled_rel_frobenius_pct": 1.178,
|
| 20257 |
+
"pct_of_adam_ceiling": 97.9,
|
| 20258 |
+
"finding": "Sits directly on the Adam noise ceiling under both true and shuffled labels (pure diffusion at input boundary)."
|
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|
| 20259 |
},
|
| 20260 |
+
"Conformer_Backbone": {
|
| 20261 |
+
"params": 1180057600,
|
| 20262 |
+
"base_w_rms": 0.01432,
|
| 20263 |
+
"true_wf24_update_rms": 7.575e-05,
|
| 20264 |
+
"true_wf24_rel_frobenius_pct": 0.529,
|
| 20265 |
+
"shuffled_update_rms_mean": 0.0002588,
|
| 20266 |
+
"shuffled_update_rms_sd": 4e-07,
|
| 20267 |
+
"shuffled_rel_frobenius_pct": 1.807,
|
| 20268 |
+
"pct_of_adam_ceiling": 83.5,
|
| 20269 |
+
"true_pct_of_adam_ceiling": 24.4,
|
| 20270 |
+
"finding": "True gradients in deep backbone are severely regularized (24.4% of ceiling) compared to shuffled noise diffusion (83.5%)."
|
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|
| 20271 |
},
|
| 20272 |
+
"GQA_Attention": {
|
| 20273 |
+
"params": 251658240,
|
| 20274 |
+
"base_w_rms": 0.01241,
|
| 20275 |
+
"true_wf24_update_rms": 0.0001452,
|
| 20276 |
+
"true_wf24_rel_frobenius_pct": 1.17,
|
| 20277 |
+
"shuffled_update_rms_mean": 0.0002645,
|
| 20278 |
+
"shuffled_update_rms_sd": 5e-07,
|
| 20279 |
+
"shuffled_rel_frobenius_pct": 2.131,
|
| 20280 |
+
"pct_of_adam_ceiling": 85.4,
|
| 20281 |
+
"true_pct_of_adam_ceiling": 46.9
|
|
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|
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|
| 20282 |
},
|
| 20283 |
+
"SwiGLU_FFN": {
|
| 20284 |
+
"params": 676331520,
|
| 20285 |
+
"base_w_rms": 0.01209,
|
| 20286 |
+
"true_wf24_update_rms": 4.374e-05,
|
| 20287 |
+
"true_wf24_rel_frobenius_pct": 0.3618,
|
| 20288 |
+
"shuffled_update_rms_mean": 0.000254,
|
| 20289 |
+
"shuffled_update_rms_sd": 4e-07,
|
| 20290 |
+
"shuffled_rel_frobenius_pct": 2.101,
|
| 20291 |
+
"pct_of_adam_ceiling": 82.0,
|
| 20292 |
+
"true_pct_of_adam_ceiling": 14.1
|
|
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|
|
|
|
|
|
| 20293 |
},
|
| 20294 |
+
"Global_Model_283_Tensors": {
|
| 20295 |
+
"params": 1189135740,
|
| 20296 |
+
"base_w_rms": 0.014384,
|
| 20297 |
+
"true_wf24_update_rms": 7.821e-05,
|
| 20298 |
+
"true_wf24_rel_frobenius_pct": 0.5439,
|
| 20299 |
+
"true_exact_cosine": 0.99998521,
|
| 20300 |
+
"shuffled_update_rms_mean": 0.0002592,
|
| 20301 |
+
"shuffled_update_rms_sd": 4e-07,
|
| 20302 |
+
"shuffled_rel_frobenius_pct": 1.802,
|
| 20303 |
+
"shuffled_exact_cosine": 0.9998376,
|
| 20304 |
+
"cosine_true_wf24_vs_shuffled_960": 0.019184,
|
| 20305 |
+
"cosine_true_wf24_vs_shuffled_960_sd": 0.0018
|
|
|
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|
|
|
|
| 20306 |
}
|
| 20307 |
+
}
|
| 20308 |
+
},
|
| 20309 |
+
"paired_block_bootstrap_95ci": {
|
| 20310 |
"wf2024_vs_epoch3_on_2026_oos": {
|
| 20311 |
"1m": {
|
| 20312 |
+
"delta_nzauc": 0.0007,
|
|
|
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|
|
|
|
| 20313 |
"delta_nzauc_ci95": [
|
| 20314 |
+
-0.0015,
|
| 20315 |
+
0.0029
|
| 20316 |
],
|
| 20317 |
+
"delta_nzauc_se": 0.0011,
|
| 20318 |
+
"pval_raw": 0.5245,
|
|
|
|
| 20319 |
"pval_holm_35": 1.0,
|
| 20320 |
+
"pval_bh_fdr_35": 0.9179,
|
| 20321 |
"significant_at_alpha_05_holm": false,
|
| 20322 |
"significant_at_alpha_05_bh": false
|
| 20323 |
},
|
| 20324 |
"3m": {
|
|
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|
|
|
|
|
| 20325 |
"delta_nzauc": 0.0011,
|
| 20326 |
"delta_nzauc_ci95": [
|
| 20327 |
+
-0.0007,
|
| 20328 |
+
0.0029
|
| 20329 |
],
|
| 20330 |
+
"delta_nzauc_se": 0.0009,
|
| 20331 |
+
"pval_raw": 0.2216,
|
|
|
|
| 20332 |
"pval_holm_35": 1.0,
|
| 20333 |
+
"pval_bh_fdr_35": 0.6783,
|
| 20334 |
"significant_at_alpha_05_holm": false,
|
| 20335 |
"significant_at_alpha_05_bh": false
|
| 20336 |
},
|
| 20337 |
"5m": {
|
|
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|
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|
|
|
|
|
|
| 20338 |
"delta_nzauc": 0.0015,
|
| 20339 |
"delta_nzauc_ci95": [
|
| 20340 |
+
-0.0003,
|
| 20341 |
+
0.0033
|
| 20342 |
],
|
| 20343 |
+
"delta_nzauc_se": 0.0009,
|
| 20344 |
+
"pval_raw": 0.0956,
|
|
|
|
| 20345 |
"pval_holm_35": 1.0,
|
| 20346 |
+
"pval_bh_fdr_35": 0.6783,
|
| 20347 |
"significant_at_alpha_05_holm": false,
|
| 20348 |
"significant_at_alpha_05_bh": false
|
| 20349 |
},
|
| 20350 |
"15m": {
|
|
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|
|
|
|
|
|
| 20351 |
"delta_nzauc": 0.0007,
|
| 20352 |
"delta_nzauc_ci95": [
|
| 20353 |
+
-0.0011,
|
| 20354 |
+
0.0025
|
| 20355 |
],
|
| 20356 |
+
"delta_nzauc_se": 0.0009,
|
| 20357 |
+
"pval_raw": 0.4367,
|
|
|
|
| 20358 |
"pval_holm_35": 1.0,
|
| 20359 |
+
"pval_bh_fdr_35": 0.8814,
|
| 20360 |
"significant_at_alpha_05_holm": false,
|
| 20361 |
"significant_at_alpha_05_bh": false
|
| 20362 |
},
|
| 20363 |
"30m": {
|
|
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|
| 20364 |
"delta_nzauc": 0.0004,
|
| 20365 |
"delta_nzauc_ci95": [
|
| 20366 |
+
-0.0027,
|
| 20367 |
+
0.0035
|
| 20368 |
],
|
| 20369 |
+
"delta_nzauc_se": 0.0016,
|
| 20370 |
+
"pval_raw": 0.8026,
|
|
|
|
| 20371 |
"pval_holm_35": 1.0,
|
| 20372 |
+
"pval_bh_fdr_35": 0.9394,
|
| 20373 |
"significant_at_alpha_05_holm": false,
|
| 20374 |
"significant_at_alpha_05_bh": false
|
| 20375 |
},
|
| 20376 |
"60m": {
|
| 20377 |
+
"delta_nzauc": -0.0008,
|
|
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|
| 20378 |
"delta_nzauc_ci95": [
|
| 20379 |
+
-0.0096,
|
| 20380 |
+
0.008
|
| 20381 |
],
|
| 20382 |
+
"delta_nzauc_se": 0.0045,
|
| 20383 |
+
"pval_raw": 0.8589,
|
|
|
|
| 20384 |
"pval_holm_35": 1.0,
|
| 20385 |
+
"pval_bh_fdr_35": 0.9394,
|
| 20386 |
"significant_at_alpha_05_holm": false,
|
| 20387 |
"significant_at_alpha_05_bh": false
|
| 20388 |
},
|
| 20389 |
"1d": {
|
| 20390 |
+
"delta_nzauc": -0.0044,
|
|
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|
| 20391 |
"delta_nzauc_ci95": [
|
| 20392 |
+
-0.0117,
|
| 20393 |
+
0.0029
|
| 20394 |
],
|
| 20395 |
+
"delta_nzauc_se": 0.0037,
|
| 20396 |
+
"pval_raw": 0.2345,
|
|
|
|
| 20397 |
"pval_holm_35": 1.0,
|
| 20398 |
+
"pval_bh_fdr_35": 0.6783,
|
| 20399 |
"significant_at_alpha_05_holm": false,
|
| 20400 |
"significant_at_alpha_05_bh": false
|
| 20401 |
}
|
| 20402 |
},
|
| 20403 |
"wf2025_vs_epoch3_on_2026_oos": {
|
| 20404 |
"1m": {
|
| 20405 |
+
"delta_nzauc": 0.0014,
|
|
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|
| 20406 |
"delta_nzauc_ci95": [
|
| 20407 |
+
-0.0006,
|
| 20408 |
+
0.0034
|
| 20409 |
],
|
| 20410 |
+
"delta_nzauc_se": 0.001,
|
| 20411 |
+
"pval_raw": 0.1615,
|
|
|
|
| 20412 |
"pval_holm_35": 1.0,
|
| 20413 |
+
"pval_bh_fdr_35": 0.6783,
|
| 20414 |
"significant_at_alpha_05_holm": false,
|
| 20415 |
"significant_at_alpha_05_bh": false
|
| 20416 |
},
|
| 20417 |
"3m": {
|
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|
| 20418 |
"delta_nzauc": 0.001,
|
| 20419 |
"delta_nzauc_ci95": [
|
| 20420 |
+
-0.001,
|
| 20421 |
+
0.003
|
| 20422 |
],
|
| 20423 |
+
"delta_nzauc_se": 0.001,
|
| 20424 |
+
"pval_raw": 0.3173,
|
|
|
|
| 20425 |
"pval_holm_35": 1.0,
|
| 20426 |
+
"pval_bh_fdr_35": 0.7404,
|
| 20427 |
"significant_at_alpha_05_holm": false,
|
| 20428 |
"significant_at_alpha_05_bh": false
|
| 20429 |
},
|
| 20430 |
"5m": {
|
|
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|
| 20431 |
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|
| 20432 |
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|
| 20433 |
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-0.0014,
|
| 20434 |
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0.0022
|
| 20435 |
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|
| 20436 |
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|
| 20437 |
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|
|
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|
| 20438 |
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|
| 20439 |
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|
| 20440 |
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|
| 20441 |
"significant_at_alpha_05_bh": false
|
| 20442 |
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|
| 20443 |
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|
|
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|
| 20444 |
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|
| 20445 |
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|
| 20446 |
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-0.0008,
|
| 20447 |
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0.0028
|
| 20448 |
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|
| 20449 |
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|
| 20450 |
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|
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|
| 20451 |
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|
| 20452 |
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|
| 20453 |
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|
| 20454 |
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|
| 20455 |
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|
| 20456 |
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|
| 20457 |
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|
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|
| 20458 |
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|
| 20459 |
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-0.0076,
|
| 20460 |
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0.0034
|
| 20461 |
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|
| 20462 |
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|
| 20463 |
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|
|
|
|
| 20464 |
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|
| 20465 |
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|
| 20466 |
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|
| 20467 |
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|
| 20468 |
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|
| 20469 |
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|
| 20470 |
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|
| 20471 |
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|
| 20472 |
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|
| 20473 |
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0.0082
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|
| 20474 |
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|
| 20475 |
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|
| 20476 |
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|
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|
| 20477 |
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|
| 20478 |
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|
| 20479 |
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|
| 20480 |
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|
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|
| 20481 |
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|
| 20482 |
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|
| 20483 |
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|
| 20484 |
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|
| 20485 |
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|
| 20486 |
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0.0086
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|
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|
| 20487 |
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|
| 20488 |
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|
| 20489 |
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|
| 20490 |
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|
| 20491 |
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|
| 20492 |
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|
| 20493 |
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|
| 20494 |
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|
| 20495 |
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|
| 20496 |
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|
| 20497 |
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|
| 20498 |
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|
| 20499 |
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|
| 20500 |
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-0.002,
|
| 20501 |
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0.0024
|
| 20502 |
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|
| 20503 |
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|
| 20504 |
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|
|
|
| 20505 |
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|
| 20506 |
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|
| 20507 |
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|
| 20508 |
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|
| 20509 |
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|
| 20510 |
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|
| 20511 |
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|
|
|
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|
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|
| 20512 |
"delta_nzauc_ci95": [
|
| 20513 |
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-0.0019,
|
| 20514 |
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0.0021
|
| 20515 |
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|
| 20516 |
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|
| 20517 |
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|
|
|
|
| 20518 |
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|
| 20519 |
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|
| 20520 |
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|
| 20521 |
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|
| 20522 |
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|
| 20523 |
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|
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|
|
|
|
|
| 20524 |
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|
| 20525 |
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|
| 20526 |
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-0.0021,
|
| 20527 |
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0.0015
|
| 20528 |
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|
| 20529 |
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|
| 20530 |
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|
|
|
|
| 20531 |
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|
| 20532 |
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|
| 20533 |
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|
| 20534 |
"significant_at_alpha_05_bh": false
|
| 20535 |
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|
| 20536 |
"15m": {
|
| 20537 |
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"delta_nzauc": -0.0011,
|
|
|
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|
|
|
|
|
| 20538 |
"delta_nzauc_ci95": [
|
| 20539 |
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|
| 20540 |
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0.0009
|
| 20541 |
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|
| 20542 |
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|
| 20543 |
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|
|
|
|
| 20544 |
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|
| 20545 |
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|
| 20546 |
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|
| 20547 |
"significant_at_alpha_05_bh": false
|
| 20548 |
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|
| 20549 |
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|
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|
|
|
|
| 20550 |
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|
| 20551 |
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|
| 20552 |
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|
| 20553 |
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0.0043
|
| 20554 |
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|
| 20555 |
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|
|
|
|
| 20556 |
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|
| 20557 |
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|
| 20558 |
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|
|
|
|
| 20560 |
"significant_at_alpha_05_bh": false
|
| 20561 |
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|
| 20562 |
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|
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|
|
|
|
| 20563 |
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|
| 20564 |
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|
| 20565 |
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-0.0072,
|
| 20566 |
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0.01
|
| 20567 |
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|
| 20568 |
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|
| 20569 |
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|
|
|
|
| 20570 |
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|
| 20571 |
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|
| 20572 |
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|
| 20573 |
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|
| 20574 |
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|
| 20575 |
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|
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|
|
|
| 20576 |
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|
| 20577 |
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|
| 20578 |
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|
| 20579 |
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0.0127
|
| 20580 |
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|
| 20581 |
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|
| 20582 |
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|
|
|
|
| 20583 |
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|
| 20584 |
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|
| 20585 |
"significant_at_alpha_05_holm": false,
|
| 20586 |
"significant_at_alpha_05_bh": false
|
| 20587 |
}
|
| 20588 |
},
|
| 20589 |
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|
| 20590 |
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|
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|
| 20591 |
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|
| 20592 |
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|
| 20593 |
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-0.0024,
|
| 20594 |
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0.002
|
| 20595 |
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|
| 20596 |
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|
| 20597 |
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|
|
|
|
| 20598 |
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|
| 20599 |
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|
| 20600 |
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|
| 20601 |
"significant_at_alpha_05_bh": false
|
| 20602 |
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|
| 20603 |
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|
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|
| 20604 |
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|
| 20605 |
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|
| 20606 |
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-0.0017,
|
| 20607 |
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0.0023
|
| 20608 |
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|
| 20609 |
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|
| 20610 |
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"pval_raw": 0.7642,
|
|
|
|
| 20611 |
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|
| 20612 |
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"pval_bh_fdr_35": 0.9394,
|
| 20613 |
"significant_at_alpha_05_holm": false,
|
| 20614 |
"significant_at_alpha_05_bh": false
|
| 20615 |
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|
| 20616 |
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|
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|
| 20617 |
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|
| 20618 |
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|
| 20619 |
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-0.003,
|
| 20620 |
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0.0006
|
| 20621 |
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|
| 20622 |
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|
| 20623 |
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|
|
|
|
| 20624 |
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|
| 20625 |
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|
| 20626 |
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|
| 20627 |
"significant_at_alpha_05_bh": false
|
| 20628 |
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|
| 20629 |
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|
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|
| 20630 |
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|
| 20631 |
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|
| 20632 |
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|
| 20633 |
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0.0015
|
| 20634 |
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|
| 20635 |
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|
| 20636 |
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|
|
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|
| 20637 |
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|
| 20638 |
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|
| 20639 |
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|
| 20640 |
"significant_at_alpha_05_bh": false
|
| 20641 |
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|
| 20642 |
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|
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|
| 20643 |
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|
| 20644 |
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|
| 20645 |
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|
| 20646 |
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0.0023
|
| 20647 |
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|
| 20648 |
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|
| 20649 |
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|
|
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|
| 20650 |
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|
| 20651 |
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|
| 20652 |
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|
| 20653 |
"significant_at_alpha_05_bh": false
|
| 20654 |
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|
| 20655 |
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|
| 20656 |
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|
| 20657 |
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|
| 20658 |
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|
| 20659 |
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0.009
|
| 20660 |
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|
| 20661 |
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|
|
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|
| 20662 |
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|
| 20663 |
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|
| 20664 |
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|
|
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|
| 20666 |
"significant_at_alpha_05_bh": false
|
| 20667 |
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|
| 20668 |
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|
| 20669 |
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|
| 20670 |
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|
| 20671 |
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|
| 20672 |
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|
| 20673 |
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|
| 20674 |
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|
| 20675 |
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|
|
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|
| 20676 |
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|
| 20677 |
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|
| 20678 |
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|
| 20679 |
"significant_at_alpha_05_bh": false
|
| 20680 |
}
|
| 20681 |
},
|
| 20682 |
"wf2025_vs_epoch3_on_2020_03_covid": {
|
| 20683 |
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|
| 20684 |
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|
| 20685 |
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|
| 20686 |
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0.0009,
|
| 20687 |
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0.0079
|
| 20688 |
],
|
| 20689 |
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|
| 20690 |
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|
| 20691 |
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|
| 20692 |
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"pval_bh_fdr_35": 0.5075,
|
|
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|
| 20693 |
"significant_at_alpha_05_holm": false,
|
| 20694 |
"significant_at_alpha_05_bh": false
|
| 20695 |
},
|
| 20696 |
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|
| 20697 |
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|
| 20698 |
"delta_nzauc_ci95": [
|
| 20699 |
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-0.0018,
|
| 20700 |
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0.0048
|
| 20701 |
],
|
| 20702 |
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"delta_nzauc_se": 0.0017,
|
| 20703 |
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"pval_raw": 0.3775,
|
|
|
|
| 20704 |
"pval_holm_35": 1.0,
|
| 20705 |
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"pval_bh_fdr_35": 0.8258,
|
| 20706 |
"significant_at_alpha_05_holm": false,
|
| 20707 |
"significant_at_alpha_05_bh": false
|
| 20708 |
},
|
| 20709 |
"5m": {
|
|
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|
|
|
|
|
|
| 20710 |
"delta_nzauc": 0.0008,
|
| 20711 |
"delta_nzauc_ci95": [
|
| 20712 |
+
-0.0023,
|
| 20713 |
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0.0039
|
| 20714 |
],
|
| 20715 |
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"delta_nzauc_se": 0.0016,
|
| 20716 |
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"pval_raw": 0.6171,
|
|
|
|
| 20717 |
"pval_holm_35": 1.0,
|
| 20718 |
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"pval_bh_fdr_35": 0.9394,
|
| 20719 |
"significant_at_alpha_05_holm": false,
|
| 20720 |
"significant_at_alpha_05_bh": false
|
| 20721 |
},
|
| 20722 |
"15m": {
|
|
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|
|
|
|
|
|
| 20723 |
"delta_nzauc": 0.0024,
|
| 20724 |
"delta_nzauc_ci95": [
|
| 20725 |
+
-0.0017,
|
| 20726 |
+
0.0065
|
| 20727 |
],
|
| 20728 |
+
"delta_nzauc_se": 0.0021,
|
| 20729 |
+
"pval_raw": 0.2531,
|
|
|
|
| 20730 |
"pval_holm_35": 1.0,
|
| 20731 |
+
"pval_bh_fdr_35": 0.6783,
|
| 20732 |
"significant_at_alpha_05_holm": false,
|
| 20733 |
"significant_at_alpha_05_bh": false
|
| 20734 |
},
|
| 20735 |
"30m": {
|
|
|
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|
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|
|
|
|
|
|
|
| 20736 |
"delta_nzauc": -0.006,
|
| 20737 |
"delta_nzauc_ci95": [
|
| 20738 |
+
-0.0158,
|
| 20739 |
+
0.0038
|
| 20740 |
],
|
| 20741 |
+
"delta_nzauc_se": 0.005,
|
| 20742 |
+
"pval_raw": 0.2301,
|
|
|
|
| 20743 |
"pval_holm_35": 1.0,
|
| 20744 |
+
"pval_bh_fdr_35": 0.6783,
|
| 20745 |
"significant_at_alpha_05_holm": false,
|
| 20746 |
"significant_at_alpha_05_bh": false
|
| 20747 |
},
|
| 20748 |
"60m": {
|
|
|
|
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|
|
|
|
|
|
|
| 20749 |
"delta_nzauc": -0.003,
|
| 20750 |
"delta_nzauc_ci95": [
|
| 20751 |
+
-0.0195,
|
| 20752 |
+
0.0135
|
| 20753 |
],
|
| 20754 |
+
"delta_nzauc_se": 0.0084,
|
| 20755 |
+
"pval_raw": 0.7209,
|
|
|
|
| 20756 |
"pval_holm_35": 1.0,
|
| 20757 |
+
"pval_bh_fdr_35": 0.9394,
|
| 20758 |
"significant_at_alpha_05_holm": false,
|
| 20759 |
"significant_at_alpha_05_bh": false
|
| 20760 |
},
|
| 20761 |
"1d": {
|
|
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|
|
|
|
| 20762 |
"delta_nzauc": -0.0164,
|
| 20763 |
"delta_nzauc_ci95": [
|
| 20764 |
+
-0.0348,
|
| 20765 |
+
0.002
|
| 20766 |
],
|
| 20767 |
+
"delta_nzauc_se": 0.0094,
|
| 20768 |
+
"pval_raw": 0.0811,
|
|
|
|
| 20769 |
"pval_holm_35": 1.0,
|
| 20770 |
+
"pval_bh_fdr_35": 0.6783,
|
| 20771 |
"significant_at_alpha_05_holm": false,
|
| 20772 |
"significant_at_alpha_05_bh": false
|
| 20773 |
}
|
|
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|
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|
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|
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|
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|
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|
|
|
|
|
|
| 20774 |
}
|
| 20775 |
},
|
| 20776 |
"weight_drift_and_cosine_audit": {
|
|
|
|
| 26278 |
"MeanAblate_K3": {
|
| 26279 |
"centered_l2_pct": 21.36,
|
| 26280 |
"delta_nzauc": -0.0004,
|
| 26281 |
+
"se": 0.00051,
|
| 26282 |
"delta_nzauc_ci95": [
|
| 26283 |
+
-0.0014,
|
| 26284 |
+
0.0006
|
| 26285 |
]
|
| 26286 |
},
|
| 26287 |
"MeanAblate_K7": {
|
| 26288 |
"centered_l2_pct": 22.84,
|
| 26289 |
+
"delta_nzauc": -0.0006,
|
| 26290 |
+
"se": 0.00058,
|
| 26291 |
"delta_nzauc_ci95": [
|
| 26292 |
+
-0.0017,
|
| 26293 |
0.0005
|
| 26294 |
]
|
| 26295 |
},
|
| 26296 |
"MeanAblate_K15": {
|
| 26297 |
"centered_l2_pct": 21.14,
|
| 26298 |
"delta_nzauc": -0.0005,
|
| 26299 |
+
"se": 0.00053,
|
| 26300 |
"delta_nzauc_ci95": [
|
| 26301 |
+
-0.0015,
|
| 26302 |
+
0.0005
|
| 26303 |
]
|
| 26304 |
},
|
| 26305 |
"MeanAblate_K31": {
|
| 26306 |
"centered_l2_pct": 21.41,
|
| 26307 |
+
"delta_nzauc": -0.0004,
|
| 26308 |
+
"se": 0.00049,
|
| 26309 |
"delta_nzauc_ci95": [
|
| 26310 |
+
-0.0014,
|
| 26311 |
0.0006
|
| 26312 |
]
|
| 26313 |
},
|
| 26314 |
"MeanAblate_K63": {
|
| 26315 |
"centered_l2_pct": 23.95,
|
| 26316 |
+
"delta_nzauc": -0.0007,
|
| 26317 |
+
"se": 0.00061,
|
| 26318 |
"delta_nzauc_ci95": [
|
| 26319 |
+
-0.0019,
|
| 26320 |
+
0.0005
|
| 26321 |
]
|
| 26322 |
},
|
| 26323 |
"MeanAblate_K127": {
|
| 26324 |
"centered_l2_pct": 24.78,
|
| 26325 |
"delta_nzauc": -0.0009,
|
| 26326 |
+
"se": 0.00064,
|
| 26327 |
"delta_nzauc_ci95": [
|
| 26328 |
-0.0022,
|
| 26329 |
+
0.0004
|
| 26330 |
]
|
| 26331 |
},
|
| 26332 |
"MeanAblate_Micro_K3_K7": {
|
| 26333 |
+
"centered_l2_pct": 40.2,
|
| 26334 |
"delta_nzauc": -0.0004,
|
| 26335 |
+
"se": 0.00062,
|
| 26336 |
"delta_nzauc_ci95": [
|
| 26337 |
+
-0.0016,
|
| 26338 |
+
0.0008
|
| 26339 |
]
|
| 26340 |
},
|
| 26341 |
"MeanAblate_Meso_K15_K31": {
|
| 26342 |
+
"centered_l2_pct": 49.9,
|
| 26343 |
"delta_nzauc": -0.0004,
|
| 26344 |
+
"se": 0.00059,
|
| 26345 |
"delta_nzauc_ci95": [
|
| 26346 |
+
-0.0016,
|
| 26347 |
+
0.0008
|
| 26348 |
]
|
| 26349 |
},
|
| 26350 |
"MeanAblate_Macro_K63_K127": {
|
| 26351 |
+
"centered_l2_pct": 37.07,
|
| 26352 |
"delta_nzauc": -0.0008,
|
| 26353 |
+
"se": 0.00066,
|
| 26354 |
"delta_nzauc_ci95": [
|
| 26355 |
+
-0.0021,
|
| 26356 |
+
0.0005
|
| 26357 |
]
|
| 26358 |
}
|
| 26359 |
},
|
| 26360 |
"random_341ch_25draws": {
|
| 26361 |
"centered_l2_mean_pct": 20.61,
|
| 26362 |
"centered_l2_sd_pct": 0.9,
|
| 26363 |
+
"delta_nzauc_mean": -0.0003,
|
| 26364 |
+
"delta_nzauc_sd": 0.0004,
|
| 26365 |
"paired_ci95": [
|
| 26366 |
+
-0.0011,
|
| 26367 |
+
0.0005
|
| 26368 |
]
|
| 26369 |
},
|
| 26370 |
"random_682ch_25draws": {
|
|
|
|
| 40495 |
}
|
| 40496 |
},
|
| 40497 |
"benchmarks_1bar_delay_and_dsr": {
|
| 40498 |
+
"step_grid_specification": {
|
| 40499 |
+
"holding_period": "60m (non-overlapping steps, S_60m = 2 windows = 64 minutes)",
|
| 40500 |
+
"n_chronological_portfolio_steps_per_year": 258,
|
| 40501 |
+
"n_tickers": 15,
|
| 40502 |
+
"execution_delay_note": "1-bar delayed execution approximated by y_{delay,t,60m} = y_{t,60m} - y_{t,1m}, removing prompt continuation flow"
|
| 40503 |
},
|
| 40504 |
+
"benchmarks_synchronous_258_steps": {
|
| 40505 |
+
"Equal_Weight_Buy_and_Hold": {
|
| 40506 |
+
"2024": {
|
| 40507 |
+
"n_trades": 15,
|
| 40508 |
+
"n_steps": 258,
|
| 40509 |
+
"turnover_per_trade": 0.0,
|
| 40510 |
+
"gross_mean_ret_bps": 0.55,
|
| 40511 |
+
"breakeven_one_way_bps": "N/A",
|
| 40512 |
+
"annualized_sharpe_0bp": 0.42,
|
| 40513 |
+
"dsr_0bp": "N/A (M=1, unsearched)",
|
| 40514 |
+
"annualized_sharpe_1.5bp": 0.42,
|
| 40515 |
+
"annualized_sharpe_3.0bp": 0.42,
|
| 40516 |
+
"cum_return_1.5bp_pct": 14.2,
|
| 40517 |
+
"max_drawdown_1.5bp_pct": 14.6
|
| 40518 |
+
},
|
| 40519 |
+
"2025": {
|
| 40520 |
+
"n_trades": 15,
|
| 40521 |
+
"n_steps": 258,
|
| 40522 |
+
"turnover_per_trade": 0.0,
|
| 40523 |
+
"gross_mean_ret_bps": 0.46,
|
| 40524 |
+
"breakeven_one_way_bps": "N/A",
|
| 40525 |
+
"annualized_sharpe_0bp": 0.38,
|
| 40526 |
+
"dsr_0bp": "N/A (M=1, unsearched)",
|
| 40527 |
+
"annualized_sharpe_1.5bp": 0.38,
|
| 40528 |
+
"annualized_sharpe_3.0bp": 0.38,
|
| 40529 |
+
"cum_return_1.5bp_pct": 11.8,
|
| 40530 |
+
"max_drawdown_1.5bp_pct": 12.1
|
| 40531 |
+
},
|
| 40532 |
+
"2026": {
|
| 40533 |
+
"n_trades": 15,
|
| 40534 |
+
"n_steps": 258,
|
| 40535 |
+
"turnover_per_trade": 0.0,
|
| 40536 |
+
"gross_mean_ret_bps": -0.16,
|
| 40537 |
+
"breakeven_one_way_bps": "N/A",
|
| 40538 |
+
"annualized_sharpe_0bp": -0.31,
|
| 40539 |
+
"dsr_0bp": "N/A (M=1, unsearched)",
|
| 40540 |
+
"annualized_sharpe_1.5bp": -0.31,
|
| 40541 |
+
"annualized_sharpe_3.0bp": -0.31,
|
| 40542 |
+
"cum_return_1.5bp_pct": -4.1,
|
| 40543 |
+
"max_drawdown_1.5bp_pct": 8.7
|
| 40544 |
+
}
|
| 40545 |
+
},
|
| 40546 |
+
"Market_Neutral_Beta0": {
|
| 40547 |
+
"2024": {
|
| 40548 |
+
"n_trades": 15,
|
| 40549 |
+
"n_steps": 258,
|
| 40550 |
+
"turnover_per_trade": 0.45,
|
| 40551 |
+
"gross_mean_ret_bps": 0.32,
|
| 40552 |
+
"breakeven_one_way_bps": 0.71,
|
| 40553 |
+
"annualized_sharpe_0bp": 0.21,
|
| 40554 |
+
"dsr_0bp": 0.021,
|
| 40555 |
+
"annualized_sharpe_1.5bp": -0.14,
|
| 40556 |
+
"annualized_sharpe_3.0bp": -0.48,
|
| 40557 |
+
"cum_return_1.5bp_pct": 1.8,
|
| 40558 |
+
"max_drawdown_1.5bp_pct": 4.8
|
| 40559 |
+
},
|
| 40560 |
+
"2025": {
|
| 40561 |
+
"n_trades": 15,
|
| 40562 |
+
"n_steps": 258,
|
| 40563 |
+
"turnover_per_trade": 0.435,
|
| 40564 |
+
"gross_mean_ret_bps": 0.22,
|
| 40565 |
+
"breakeven_one_way_bps": 0.51,
|
| 40566 |
+
"annualized_sharpe_0bp": 0.14,
|
| 40567 |
+
"dsr_0bp": 0.015,
|
| 40568 |
+
"annualized_sharpe_1.5bp": -0.2,
|
| 40569 |
+
"annualized_sharpe_3.0bp": -0.55,
|
| 40570 |
+
"cum_return_1.5bp_pct": 0.9,
|
| 40571 |
+
"max_drawdown_1.5bp_pct": 5.4
|
| 40572 |
+
},
|
| 40573 |
+
"2026": {
|
| 40574 |
+
"n_trades": 15,
|
| 40575 |
+
"n_steps": 258,
|
| 40576 |
+
"turnover_per_trade": 0.42,
|
| 40577 |
+
"gross_mean_ret_bps": 0.12,
|
| 40578 |
+
"breakeven_one_way_bps": 0.29,
|
| 40579 |
+
"annualized_sharpe_0bp": 0.08,
|
| 40580 |
+
"dsr_0bp": 0.009,
|
| 40581 |
+
"annualized_sharpe_1.5bp": -0.25,
|
| 40582 |
+
"annualized_sharpe_3.0bp": -0.59,
|
| 40583 |
+
"cum_return_1.5bp_pct": 0.2,
|
| 40584 |
+
"max_drawdown_1.5bp_pct": 6.1
|
| 40585 |
+
}
|
| 40586 |
+
}
|
| 40587 |
},
|
| 40588 |
"best_2024_1bar_delay_policy": {
|
| 40589 |
"horizon": "60m",
|
| 40590 |
"hurdle": "uncal_raw_0.0sigma",
|
| 40591 |
+
"prompt_execution_comparison": {
|
| 40592 |
+
"2024_prompt_gross_bps": 2.34,
|
| 40593 |
+
"2024_prompt_gross_sharpe": 4.4,
|
| 40594 |
+
"2024_prompt_net_sharpe_1.5bp": 2.04,
|
| 40595 |
+
"2025_prompt_gross_sharpe": 1.01,
|
| 40596 |
+
"delay_decay_insight": "Removing prompt 1-minute order-flow continuation flips 2025 gross Sharpe from +1.01 to -0.15 and cuts 2024 net Sharpe from +2.04 to +0.59."
|
| 40597 |
+
},
|
| 40598 |
"2024_1bar_delay": {
|
| 40599 |
"n_trades": 3843,
|
| 40600 |
"n_steps": 258,
|
| 40601 |
"turnover_per_trade": 0.829,
|
| 40602 |
"gross_mean_ret_bps": 1.89,
|
| 40603 |
+
"breakeven_one_way_bps": 2.28,
|
| 40604 |
"annualized_sharpe_0bp": 1.42,
|
| 40605 |
"dsr_0bp": 0.028,
|
| 40606 |
"annualized_sharpe_1.5bp": 0.59,
|
| 40607 |
+
"annualized_sharpe_1.5bp_isolated": 0.31,
|
| 40608 |
+
"annualized_sharpe_3.0bp": -0.24,
|
| 40609 |
+
"cum_return_1.5bp_pct": 5.82,
|
| 40610 |
+
"max_drawdown_1.5bp_pct": 12.4
|
| 40611 |
},
|
| 40612 |
"2025_untouched_1bar_delay": {
|
| 40613 |
"n_trades": 3850,
|
| 40614 |
"n_steps": 258,
|
| 40615 |
+
"turnover_per_trade": 0.745,
|
| 40616 |
"gross_mean_ret_bps": -0.02,
|
| 40617 |
+
"breakeven_one_way_bps": -0.03,
|
| 40618 |
"annualized_sharpe_0bp": -0.15,
|
| 40619 |
"dsr_0bp": 0.001,
|
| 40620 |
"annualized_sharpe_1.5bp": -2.38,
|
| 40621 |
+
"annualized_sharpe_1.5bp_isolated": -2.71,
|
| 40622 |
+
"annualized_sharpe_3.0bp": -4.61,
|
| 40623 |
+
"cum_return_1.5bp_pct": -21.4,
|
| 40624 |
+
"max_drawdown_1.5bp_pct": 24.8
|
| 40625 |
},
|
| 40626 |
"2026_untouched_1bar_delay": {
|
| 40627 |
"n_trades": 3870,
|
| 40628 |
"n_steps": 258,
|
| 40629 |
"turnover_per_trade": 0.68,
|
| 40630 |
"gross_mean_ret_bps": -1.32,
|
| 40631 |
+
"breakeven_one_way_bps": -1.94,
|
| 40632 |
"annualized_sharpe_0bp": -2.85,
|
| 40633 |
"dsr_0bp": 0.0,
|
| 40634 |
"annualized_sharpe_1.5bp": -5.1,
|
| 40635 |
+
"annualized_sharpe_1.5bp_isolated": -5.42,
|
| 40636 |
+
"annualized_sharpe_3.0bp": -7.35,
|
| 40637 |
+
"cum_return_1.5bp_pct": -38.6,
|
| 40638 |
+
"max_drawdown_1.5bp_pct": 41.2
|
| 40639 |
}
|
| 40640 |
}
|
| 40641 |
}
|