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Files changed (5) hide show
  1. fold_metrics.json +165 -165
  2. holdout_metrics.json +38 -38
  3. lgbm_model.txt +0 -0
  4. optuna_report.json +161 -162
  5. thresholds.json +3 -4
fold_metrics.json CHANGED
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thresholds.json CHANGED
@@ -1,8 +1,7 @@
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  {
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  "trading": {
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- "p_dn_threshold": 0.42811155148163127,
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- "notes": "Directional model: enter UP if pred >= p_up_threshold AND up_ask <= entry_price_max. Enter DN if pred <= p_dn_threshold AND dn_ask <= entry_price_max. Else skip."
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  }
 
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  {
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+ "notes": "Edge-margin rule: edge_up = model_pred - up_ask; edge_dn = (1 - model_pred) - dn_ask. Enter the side with the larger edge, iff that edge >= edge_threshold. Edge is expected PnL per share before fees."
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