| { | |
| "symbol": "ETC/USDT", | |
| "run_id": "20260215_011326_strict12_20260215_081317", | |
| "feature_columns": [ | |
| "ema_8", | |
| "ema_21", | |
| "ema_55", | |
| "ema_200", | |
| "ema_233", | |
| "rsi_14", | |
| "macd", | |
| "macd_signal", | |
| "macd_histogram", | |
| "macd_fast_8_21_line", | |
| "macd_fast_8_21_signal", | |
| "macd_fast_8_21_hist", | |
| "macd_long_21_55_line", | |
| "macd_long_21_55_signal", | |
| "macd_long_21_55_hist", | |
| "bollinger_upper", | |
| "bollinger_mid", | |
| "bollinger_lower", | |
| "bollinger_width", | |
| "bb_width", | |
| "bollinger_pct", | |
| "stoch_rsi_k", | |
| "stoch_rsi_d", | |
| "donchian_upper", | |
| "donchian_lower", | |
| "sma_8", | |
| "sma_21", | |
| "sma_55", | |
| "sma_233", | |
| "volatility_10", | |
| "volatility_20", | |
| "volatility_96", | |
| "volatility_288", | |
| "momentum_5", | |
| "momentum_20", | |
| "momentum_48", | |
| "momentum_96", | |
| "atr14", | |
| "adx_14", | |
| "adx_28", | |
| "phi", | |
| "mtf_1h_volatility", | |
| "ema_confirm_slope", | |
| "ema_fast_slope", | |
| "ema_mid_slope", | |
| "ema_233_slope", | |
| "ema_fast_minus_mid", | |
| "ema_mid_minus_confirm", | |
| "ema_fast_minus_trend", | |
| "ema_fast_mid_sep_pct", | |
| "adx14", | |
| "volume_ratio", | |
| "volume_percentile", | |
| "distance_to_guide", | |
| "distance_to_guide_signed", | |
| "ema_confirm_distance", | |
| "atr_expansion_ratio", | |
| "stoch_long_ok", | |
| "stoch_short_ok", | |
| "flash_wick_long", | |
| "flash_wick_short", | |
| "separation_ok", | |
| "distance_ok", | |
| "long_signed_distance_ok", | |
| "short_signed_distance_ok", | |
| "atr_expansion_ok", | |
| "adx_ok", | |
| "volume_ok", | |
| "long_trend_ok", | |
| "short_trend_ok", | |
| "long_close_confirm_ok", | |
| "short_close_confirm_ok", | |
| "long_mid_confirm_ok", | |
| "short_mid_confirm_ok", | |
| "time_window_open", | |
| "htf_long_ok", | |
| "htf_short_ok", | |
| "setup_ready", | |
| "trend_side", | |
| "cross_window_long", | |
| "cross_window_short", | |
| "setup_long", | |
| "setup_short", | |
| "setup_side", | |
| "guide_price", | |
| "adr_high", | |
| "adr_low", | |
| "adr_range", | |
| "adr_position", | |
| "adr_distance_mid", | |
| "discount_zone_flag", | |
| "premium_zone_flag", | |
| "adr_equilibrium_flag", | |
| "guide_distance_signed", | |
| "volume_zscore_48", | |
| "liquidity_obv_slope_48", | |
| "swing_low_distance", | |
| "swing_low_bars_ago", | |
| "swing_high_distance", | |
| "swing_high_bars_ago", | |
| "ema233_distance_norm", | |
| "prior_day_low_distance", | |
| "prior_day_high_distance", | |
| "higher_low_flag", | |
| "natr", | |
| "volatility_ratio", | |
| "efficiency_ratio", | |
| "log_returns", | |
| "rsi_slope", | |
| "macd_acceleration", | |
| "atr_14" | |
| ], | |
| "ensemble": { | |
| "disabled_backends": [], | |
| "degraded": false, | |
| "effective_params": { | |
| "lightgbm": { | |
| "n_estimators": 2000, | |
| "learning_rate": 0.01, | |
| "num_leaves": 150, | |
| "max_depth": 6, | |
| "min_child_samples": 20, | |
| "subsample": 0.8, | |
| "colsample_bytree": 0.8, | |
| "class_weight": "balanced", | |
| "verbose": 1, | |
| "reg_alpha": 0.1, | |
| "reg_lambda": 0.1, | |
| "random_state": 42 | |
| }, | |
| "catboost": { | |
| "iterations": 800, | |
| "learning_rate": 0.01, | |
| "depth": 6, | |
| "l2_leaf_reg": 3, | |
| "class_weights": [ | |
| 1.0, | |
| 1.9725098619329389 | |
| ], | |
| "verbose": 100, | |
| "allow_writing_files": false, | |
| "early_stopping_rounds": 50, | |
| "random_state": 42 | |
| }, | |
| "xgboost": { | |
| "n_estimators": 106, | |
| "learning_rate": 0.008143699726209517, | |
| "max_depth": 6, | |
| "min_child_weight": 1, | |
| "subsample": 0.6070667821245942, | |
| "colsample_bytree": 0.8, | |
| "scale_pos_weight": 1.9725098619329389, | |
| "verbosity": 1, | |
| "reg_alpha": 0.7491318993080318, | |
| "reg_lambda": 0.812192454727153, | |
| "early_stopping_rounds": 50, | |
| "random_state": 42 | |
| }, | |
| "logistic": { | |
| "max_iter": 5000, | |
| "random_state": 42, | |
| "solver": "lbfgs", | |
| "class_weight": "balanced", | |
| "n_jobs": -1 | |
| } | |
| } | |
| }, | |
| "predictor": { | |
| "selected": "catboost" | |
| }, | |
| "ensemble_weights_override": { | |
| "lightgbm": 0.0, | |
| "catboost": 1.0, | |
| "xgboost": 0.0, | |
| "logistic": 0.0 | |
| }, | |
| "calibration": { | |
| "method": "identity", | |
| "requested_method": "identity", | |
| "initial_method": "identity", | |
| "fallback_used": false, | |
| "candidate_methods_tried": [ | |
| "identity" | |
| ], | |
| "candidate_methods_requested": [ | |
| "identity" | |
| ], | |
| "candidate_evaluations": [ | |
| { | |
| "method": "identity", | |
| "brier_score": 0.24431415459278408, | |
| "brier_improvement": 0.0, | |
| "score": 0.4456999629151045, | |
| "precision": 0.48744532642151306, | |
| "recall": 0.09273298816568047, | |
| "threshold": 0.5900000000000002 | |
| } | |
| ], | |
| "candidate_errors": [], | |
| "brier_score_raw": 0.24431415459278408, | |
| "brier_score": 0.24431415459278408, | |
| "brier_improvement": 0.0, | |
| "brier_improvement_pct": 0.0, | |
| "sample_size": 96452 | |
| }, | |
| "thresholds": { | |
| "selected": 0.5900000000000002, | |
| "grid": [ | |
| { | |
| "threshold": 0.35, | |
| "predicted_trades": 96325, | |
| "true_positives": 32406, | |
| "expectancy": -0.0010027898308193858, | |
| "cost_adjusted_expectancy": -0.0024027898308193857, | |
| "precision": 0.3364235660524267, | |
| "recall": 0.9987056213017751, | |
| "f1": 0.5033042640926281, | |
| "balanced_accuracy": 0.5000168316495751, | |
| "precision_cost": 0.33502356605242667, | |
| "valid": true, | |
| "fbeta": 0.3414054679054409, | |
| "selection_score": 0.3414054679054409, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.36, | |
| "predicted_trades": 96192, | |
| "true_positives": 32367, | |
| "expectancy": -0.0010053378422276097, | |
| "cost_adjusted_expectancy": -0.0024053378422276097, | |
| "precision": 0.3364832834331337, | |
| "recall": 0.9975036982248521, | |
| "f1": 0.5032182835820895, | |
| "balanced_accuracy": 0.5001501992155446, | |
| "precision_cost": 0.3350832834331337, | |
| "valid": true, | |
| "fbeta": 0.3414625181382818, | |
| "selection_score": 0.3414625181382818, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.37, | |
| "predicted_trades": 95942, | |
| "true_positives": 32292, | |
| "expectancy": -0.0010102261274511544, | |
| "cost_adjusted_expectancy": -0.0024102261274511544, | |
| "precision": 0.3365783494194409, | |
| "recall": 0.9951923076923077, | |
| "f1": 0.5030298309837216, | |
| "balanced_accuracy": 0.5003616060053939, | |
| "precision_cost": 0.3351783494194409, | |
| "valid": true, | |
| "fbeta": 0.341552286865039, | |
| "selection_score": 0.341552286865039, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.38, | |
| "predicted_trades": 95466, | |
| "true_positives": 32167, | |
| "expectancy": -0.0010096121303145673, | |
| "cost_adjusted_expectancy": -0.0024096121303145675, | |
| "precision": 0.3369471853853728, | |
| "recall": 0.9913399901380671, | |
| "f1": 0.5029472927122911, | |
| "balanced_accuracy": 0.5011774633522659, | |
| "precision_cost": 0.3355471853853728, | |
| "valid": true, | |
| "fbeta": 0.3419136985623531, | |
| "selection_score": 0.3419136985623531, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.39, | |
| "predicted_trades": 94691, | |
| "true_positives": 31953, | |
| "expectancy": -0.001009145315535983, | |
| "cost_adjusted_expectancy": -0.002409145315535983, | |
| "precision": 0.3374449525298075, | |
| "recall": 0.9847448224852071, | |
| "f1": 0.5026467095069176, | |
| "balanced_accuracy": 0.5022624181171739, | |
| "precision_cost": 0.3360449525298075, | |
| "valid": true, | |
| "fbeta": 0.34239753417169455, | |
| "selection_score": 0.34239753417169455, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.4, | |
| "predicted_trades": 93421, | |
| "true_positives": 31581, | |
| "expectancy": -0.0010041058126282981, | |
| "cost_adjusted_expectancy": -0.002404105812628298, | |
| "precision": 0.3380503312959613, | |
| "recall": 0.973280325443787, | |
| "f1": 0.5018074347138692, | |
| "balanced_accuracy": 0.5035453561473043, | |
| "precision_cost": 0.3366503312959613, | |
| "valid": true, | |
| "fbeta": 0.3429761241188099, | |
| "selection_score": 0.3429761241188099, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.41000000000000003, | |
| "predicted_trades": 91392, | |
| "true_positives": 31005, | |
| "expectancy": -0.0009968352256989204, | |
| "cost_adjusted_expectancy": -0.0023968352256989204, | |
| "precision": 0.33925288865546216, | |
| "recall": 0.9555288461538461, | |
| "f1": 0.5007267441860465, | |
| "balanced_accuracy": 0.506020469574017, | |
| "precision_cost": 0.33785288865546215, | |
| "valid": true, | |
| "fbeta": 0.3441369593478566, | |
| "selection_score": 0.3441369593478566, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.42000000000000004, | |
| "predicted_trades": 88611, | |
| "true_positives": 30180, | |
| "expectancy": -0.000984976013628846, | |
| "cost_adjusted_expectancy": -0.002384976013628846, | |
| "precision": 0.34058976876460034, | |
| "recall": 0.930103550295858, | |
| "f1": 0.4985998562684311, | |
| "balanced_accuracy": 0.5085881166265865, | |
| "precision_cost": 0.33918976876460033, | |
| "valid": true, | |
| "fbeta": 0.34540717439278773, | |
| "selection_score": 0.34540717439278773, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.43000000000000005, | |
| "predicted_trades": 84663, | |
| "true_positives": 29033, | |
| "expectancy": -0.0009591003248589106, | |
| "cost_adjusted_expectancy": -0.0023591003248589104, | |
| "precision": 0.3429242998712543, | |
| "recall": 0.894754684418146, | |
| "f1": 0.49582020476300265, | |
| "balanced_accuracy": 0.5127951285974237, | |
| "precision_cost": 0.34152429987125427, | |
| "valid": true, | |
| "fbeta": 0.34764225040249164, | |
| "selection_score": 0.34764225040249164, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.44000000000000006, | |
| "predicted_trades": 79144, | |
| "true_positives": 27370, | |
| "expectancy": -0.0009332416504586413, | |
| "cost_adjusted_expectancy": -0.002333241650458641, | |
| "precision": 0.345825331042151, | |
| "recall": 0.8435034516765286, | |
| "f1": 0.4905369560541975, | |
| "balanced_accuracy": 0.5172926295317835, | |
| "precision_cost": 0.344425331042151, | |
| "valid": true, | |
| "fbeta": 0.35037430165079836, | |
| "selection_score": 0.35037430165079836, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.45000000000000007, | |
| "predicted_trades": 72183, | |
| "true_positives": 25305, | |
| "expectancy": -0.0008883628590699226, | |
| "cost_adjusted_expectancy": -0.0022883628590699224, | |
| "precision": 0.350567308091933, | |
| "recall": 0.7798631656804734, | |
| "f1": 0.4836998595062648, | |
| "balanced_accuracy": 0.5237200960581606, | |
| "precision_cost": 0.34916730809193297, | |
| "valid": true, | |
| "fbeta": 0.3548658553444731, | |
| "selection_score": 0.3548658553444731, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.4600000000000001, | |
| "predicted_trades": 64544, | |
| "true_positives": 22961, | |
| "expectancy": -0.0008179330511411413, | |
| "cost_adjusted_expectancy": -0.0022179330511411413, | |
| "precision": 0.35574181953396133, | |
| "recall": 0.7076245069033531, | |
| "f1": 0.4734617288023755, | |
| "balanced_accuracy": 0.5289653688819622, | |
| "precision_cost": 0.3543418195339613, | |
| "valid": true, | |
| "fbeta": 0.35967757033113296, | |
| "selection_score": 0.35967757033113296, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.4700000000000001, | |
| "predicted_trades": 56581, | |
| "true_positives": 20413, | |
| "expectancy": -0.0007646206357867546, | |
| "cost_adjusted_expectancy": -0.0021646206357867548, | |
| "precision": 0.36077481840193704, | |
| "recall": 0.629098865877712, | |
| "f1": 0.4585696795426209, | |
| "balanced_accuracy": 0.5320045919914153, | |
| "precision_cost": 0.359374818401937, | |
| "valid": true, | |
| "fbeta": 0.3641929710624891, | |
| "selection_score": 0.3641929710624891, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.4800000000000001, | |
| "predicted_trades": 48702, | |
| "true_positives": 17940, | |
| "expectancy": -0.0006718242554769605, | |
| "cost_adjusted_expectancy": -0.0020718242554769607, | |
| "precision": 0.3683626955771837, | |
| "recall": 0.5528846153846154, | |
| "f1": 0.44214417744916823, | |
| "balanced_accuracy": 0.5361292022613972, | |
| "precision_cost": 0.3669626955771837, | |
| "valid": true, | |
| "fbeta": 0.37108796554787904, | |
| "selection_score": 0.37108796554787904, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.4900000000000001, | |
| "predicted_trades": 41263, | |
| "true_positives": 15599, | |
| "expectancy": -0.0005283169164722196, | |
| "cost_adjusted_expectancy": -0.0019283169164722195, | |
| "precision": 0.37803843637156775, | |
| "recall": 0.4807384122287968, | |
| "f1": 0.42324754785581525, | |
| "balanced_accuracy": 0.5398817365812443, | |
| "precision_cost": 0.37663843637156774, | |
| "valid": true, | |
| "fbeta": 0.3798239495650235, | |
| "selection_score": 0.3798239495650235, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5000000000000001, | |
| "predicted_trades": 34518, | |
| "true_positives": 13393, | |
| "expectancy": -0.0003723945222140432, | |
| "cost_adjusted_expectancy": -0.0017723945222140431, | |
| "precision": 0.38800046352627615, | |
| "recall": 0.41275271203155817, | |
| "f1": 0.3999940268195801, | |
| "balanced_accuracy": 0.5413476078125418, | |
| "precision_cost": 0.38660046352627614, | |
| "valid": true, | |
| "fbeta": 0.38851314738277937, | |
| "selection_score": 0.38851314738277937, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5100000000000001, | |
| "predicted_trades": 28394, | |
| "true_positives": 11393, | |
| "expectancy": -0.00016882080510646416, | |
| "cost_adjusted_expectancy": -0.0015688208051064642, | |
| "precision": 0.40124674226949353, | |
| "recall": 0.3511156311637081, | |
| "f1": 0.3745110285657934, | |
| "balanced_accuracy": 0.5427458038325884, | |
| "precision_cost": 0.3998467422694935, | |
| "valid": true, | |
| "fbeta": 0.3999900597718451, | |
| "selection_score": 0.3999900597718451, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5200000000000001, | |
| "predicted_trades": 23321, | |
| "true_positives": 9591, | |
| "expectancy": 1.8120999330579714e-06, | |
| "cost_adjusted_expectancy": -0.001398187900066942, | |
| "precision": 0.41126023755413577, | |
| "recall": 0.29558062130177515, | |
| "f1": 0.34395452670838633, | |
| "balanced_accuracy": 0.5405313893334699, | |
| "precision_cost": 0.40986023755413575, | |
| "valid": true, | |
| "fbeta": 0.4077487372708418, | |
| "selection_score": 0.4077487372708418, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5300000000000001, | |
| "predicted_trades": 19129, | |
| "true_positives": 8119, | |
| "expectancy": 0.00022034242634560097, | |
| "cost_adjusted_expectancy": -0.001179657573654399, | |
| "precision": 0.4244341052851691, | |
| "recall": 0.25021572978303747, | |
| "f1": 0.31483025379529633, | |
| "balanced_accuracy": 0.5390976155321037, | |
| "precision_cost": 0.4230341052851691, | |
| "valid": true, | |
| "fbeta": 0.41802930951484146, | |
| "selection_score": 0.41802930951484146, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5400000000000001, | |
| "predicted_trades": 15759, | |
| "true_positives": 6876, | |
| "expectancy": 0.00038887870182767323, | |
| "cost_adjusted_expectancy": -0.0010111212981723267, | |
| "precision": 0.43632210165619645, | |
| "recall": 0.21190828402366865, | |
| "f1": 0.2852697740991972, | |
| "balanced_accuracy": 0.5365600416431073, | |
| "precision_cost": 0.43492210165619644, | |
| "valid": true, | |
| "fbeta": 0.42638582625592214, | |
| "selection_score": 0.42638582625592214, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5500000000000002, | |
| "predicted_trades": 13035, | |
| "true_positives": 5791, | |
| "expectancy": 0.0005569308658723793, | |
| "cost_adjusted_expectancy": -0.0008430691341276207, | |
| "precision": 0.44426543920214806, | |
| "recall": 0.17847016765285997, | |
| "f1": 0.25464459248510435, | |
| "balanced_accuracy": 0.5326448707147495, | |
| "precision_cost": 0.44286543920214805, | |
| "valid": true, | |
| "fbeta": 0.43016804115922314, | |
| "selection_score": 0.43016804115922314, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5600000000000002, | |
| "predicted_trades": 10765, | |
| "true_positives": 4891, | |
| "expectancy": 0.0008053163704842177, | |
| "cost_adjusted_expectancy": -0.0005946836295157823, | |
| "precision": 0.4543427775197399, | |
| "recall": 0.1507334812623274, | |
| "f1": 0.22636706546641056, | |
| "balanced_accuracy": 0.5294789836159771, | |
| "precision_cost": 0.4529427775197399, | |
| "valid": true, | |
| "fbeta": 0.4350598255949502, | |
| "selection_score": 0.4350598255949502, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5700000000000002, | |
| "predicted_trades": 8985, | |
| "true_positives": 4183, | |
| "expectancy": 0.0010530542083246758, | |
| "cost_adjusted_expectancy": -0.00034694579167532423, | |
| "precision": 0.4655537006121313, | |
| "recall": 0.1289139546351085, | |
| "f1": 0.2019163468732653, | |
| "balanced_accuracy": 0.5269436968975805, | |
| "precision_cost": 0.4641537006121313, | |
| "valid": true, | |
| "fbeta": 0.44025550999065366, | |
| "selection_score": 0.44025550999065366, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5800000000000002, | |
| "predicted_trades": 7455, | |
| "true_positives": 3553, | |
| "expectancy": 0.0013111714489465712, | |
| "cost_adjusted_expectancy": -8.88285510534288e-05, | |
| "precision": 0.47659289067739774, | |
| "recall": 0.1094982741617357, | |
| "f1": 0.17808184848257022, | |
| "balanced_accuracy": 0.5242666672352332, | |
| "precision_cost": 0.47519289067739773, | |
| "valid": true, | |
| "fbeta": 0.4438493576116544, | |
| "selection_score": 0.4438493576116544, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5900000000000002, | |
| "predicted_trades": 6173, | |
| "true_positives": 3009, | |
| "expectancy": 0.0015263623519805529, | |
| "cost_adjusted_expectancy": 0.00012636235198055287, | |
| "precision": 0.48744532642151306, | |
| "recall": 0.09273298816568047, | |
| "f1": 0.15582196214494706, | |
| "balanced_accuracy": 0.5216492889081636, | |
| "precision_cost": 0.48604532642151305, | |
| "valid": true, | |
| "fbeta": 0.4456999629151045, | |
| "selection_score": 0.4456999629151045, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6000000000000002, | |
| "predicted_trades": 5117, | |
| "true_positives": 2536, | |
| "expectancy": 0.0017081215343393164, | |
| "cost_adjusted_expectancy": 0.00030812153433931646, | |
| "precision": 0.4956028923197186, | |
| "recall": 0.07815581854043392, | |
| "f1": 0.13501929988020764, | |
| "balanced_accuracy": 0.5189151069453622, | |
| "precision_cost": 0.4942028923197186, | |
| "valid": true, | |
| "fbeta": 0.4434794803560067, | |
| "selection_score": 0.4434794803560067, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6100000000000002, | |
| "predicted_trades": 4213, | |
| "true_positives": 2094, | |
| "expectancy": 0.0016931306081216487, | |
| "cost_adjusted_expectancy": 0.0002931306081216487, | |
| "precision": 0.49703299311654403, | |
| "recall": 0.06453402366863906, | |
| "f1": 0.11423583644745097, | |
| "balanced_accuracy": 0.5157133589376256, | |
| "precision_cost": 0.495632993116544, | |
| "valid": true, | |
| "fbeta": 0.43315402542544323, | |
| "selection_score": 0.43315402542544323, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6200000000000002, | |
| "predicted_trades": 3483, | |
| "true_positives": 1748, | |
| "expectancy": 0.0018738906072756306, | |
| "cost_adjusted_expectancy": 0.00047389060727563064, | |
| "precision": 0.5018662072925639, | |
| "recall": 0.053870808678500984, | |
| "f1": 0.09729759817427847, | |
| "balanced_accuracy": 0.5133815639542746, | |
| "precision_cost": 0.500466207292564, | |
| "valid": true, | |
| "fbeta": 0.42423357733534606, | |
| "selection_score": 0.42423357733534606, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6300000000000002, | |
| "predicted_trades": 2869, | |
| "true_positives": 1448, | |
| "expectancy": 0.0018955227853777986, | |
| "cost_adjusted_expectancy": 0.0004955227853777986, | |
| "precision": 0.5047054722899965, | |
| "recall": 0.04462524654832347, | |
| "f1": 0.08200016988985474, | |
| "balanced_accuracy": 0.5112117545784552, | |
| "precision_cost": 0.5033054722899966, | |
| "valid": true, | |
| "fbeta": 0.4113773519899529, | |
| "selection_score": 0.4113773519899529, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6400000000000002, | |
| "predicted_trades": 2342, | |
| "true_positives": 1198, | |
| "expectancy": 0.0019320387866970886, | |
| "cost_adjusted_expectancy": 0.0005320387866970886, | |
| "precision": 0.511528608027327, | |
| "recall": 0.03692061143984221, | |
| "f1": 0.06887036504742741, | |
| "balanced_accuracy": 0.5095233642787612, | |
| "precision_cost": 0.5101286080273271, | |
| "valid": true, | |
| "fbeta": 0.398737988594047, | |
| "selection_score": 0.398737988594047, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6500000000000002, | |
| "predicted_trades": 1938, | |
| "true_positives": 1001, | |
| "expectancy": 0.0020961177392764202, | |
| "cost_adjusted_expectancy": 0.0006961177392764202, | |
| "precision": 0.5165118679050568, | |
| "recall": 0.030849358974358976, | |
| "f1": 0.058221369161868215, | |
| "balanced_accuracy": 0.5081048244781176, | |
| "precision_cost": 0.5151118679050568, | |
| "valid": true, | |
| "fbeta": 0.38361762016131445, | |
| "selection_score": 0.38361762016131445, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6600000000000003, | |
| "predicted_trades": 1527, | |
| "true_positives": 797, | |
| "expectancy": 0.0022076390705029064, | |
| "cost_adjusted_expectancy": 0.0008076390705029064, | |
| "precision": 0.5219384413883431, | |
| "recall": 0.024562376725838265, | |
| "f1": 0.046916850625459895, | |
| "balanced_accuracy": 0.5065784197859552, | |
| "precision_cost": 0.5205384413883432, | |
| "valid": true, | |
| "fbeta": 0.36105609903060587, | |
| "selection_score": 0.36105609903060587, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6700000000000003, | |
| "predicted_trades": 1200, | |
| "true_positives": 650, | |
| "expectancy": 0.0033195286143206408, | |
| "cost_adjusted_expectancy": 0.0019195286143206408, | |
| "precision": 0.5416666666666666, | |
| "recall": 0.020032051282051284, | |
| "f1": 0.038635282929148834, | |
| "balanced_accuracy": 0.5057194191789295, | |
| "precision_cost": 0.5402666666666667, | |
| "valid": true, | |
| "fbeta": 0.3443510113570422, | |
| "selection_score": 0.3443510113570422, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6800000000000003, | |
| "predicted_trades": 941, | |
| "true_positives": 517, | |
| "expectancy": 0.0037137708143507716, | |
| "cost_adjusted_expectancy": 0.0023137708143507714, | |
| "precision": 0.5494155154091392, | |
| "recall": 0.015933185404339252, | |
| "f1": 0.030968282967444367, | |
| "balanced_accuracy": 0.5046542997204809, | |
| "precision_cost": 0.5480155154091393, | |
| "valid": true, | |
| "fbeta": 0.31634182684252105, | |
| "selection_score": 0.31634182684252105, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6900000000000003, | |
| "predicted_trades": 715, | |
| "true_positives": 409, | |
| "expectancy": 0.0050669076503002276, | |
| "cost_adjusted_expectancy": 0.0036669076503002274, | |
| "precision": 0.5720279720279721, | |
| "recall": 0.012604783037475345, | |
| "f1": 0.02466604348219401, | |
| "balanced_accuracy": 0.5039119159234624, | |
| "precision_cost": 0.5706279720279721, | |
| "valid": true, | |
| "fbeta": 0.2893974728042738, | |
| "selection_score": 0.2893974728042738, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7000000000000003, | |
| "predicted_trades": 533, | |
| "true_positives": 306, | |
| "expectancy": 0.004954757401824496, | |
| "cost_adjusted_expectancy": 0.003554757401824496, | |
| "precision": 0.574108818011257, | |
| "recall": 0.009430473372781065, | |
| "f1": 0.018556138382705194, | |
| "balanced_accuracy": 0.5029419100193072, | |
| "precision_cost": 0.5727088180112571, | |
| "valid": true, | |
| "fbeta": 0.2477159008138835, | |
| "selection_score": 0.2477159008138835, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7100000000000003, | |
| "predicted_trades": 410, | |
| "true_positives": 236, | |
| "expectancy": 0.005236880959703284, | |
| "cost_adjusted_expectancy": 0.003836880959703284, | |
| "precision": 0.5756097560975609, | |
| "recall": 0.0072731755424063115, | |
| "f1": 0.01436484265627853, | |
| "balanced_accuracy": 0.5022772977268309, | |
| "precision_cost": 0.574209756097561, | |
| "valid": true, | |
| "fbeta": 0.21166058522208966, | |
| "selection_score": 0.21166058522208966, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7200000000000003, | |
| "predicted_trades": 309, | |
| "true_positives": 180, | |
| "expectancy": 0.0062588970338244565, | |
| "cost_adjusted_expectancy": 0.004858897033824456, | |
| "precision": 0.5825242718446602, | |
| "recall": 0.005547337278106509, | |
| "f1": 0.010990017400860884, | |
| "balanced_accuracy": 0.501765919123398, | |
| "precision_cost": 0.5811242718446602, | |
| "valid": true, | |
| "fbeta": 0.1771278438618778, | |
| "selection_score": 0.1771278438618778, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7300000000000003, | |
| "predicted_trades": 232, | |
| "true_positives": 139, | |
| "expectancy": 0.007664572394966783, | |
| "cost_adjusted_expectancy": 0.006264572394966783, | |
| "precision": 0.5991379310344828, | |
| "recall": 0.004283777120315582, | |
| "f1": 0.00850673194614443, | |
| "balanced_accuracy": 0.5014153714674761, | |
| "precision_cost": 0.5977379310344828, | |
| "valid": true, | |
| "fbeta": 0.14772939880259436, | |
| "selection_score": 0.14772939880259436, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7400000000000003, | |
| "predicted_trades": 160, | |
| "true_positives": 97, | |
| "expectancy": 0.007679537088846946, | |
| "cost_adjusted_expectancy": 0.006279537088846945, | |
| "precision": 0.60625, | |
| "recall": 0.00298939842209073, | |
| "f1": 0.00594946025515211, | |
| "balanced_accuracy": 0.5010025424708416, | |
| "precision_cost": 0.60485, | |
| "valid": true, | |
| "fbeta": 0.11143099496674456, | |
| "selection_score": 0.11143099496674456, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7500000000000003, | |
| "predicted_trades": 113, | |
| "true_positives": 66, | |
| "expectancy": 0.005507266479059257, | |
| "cost_adjusted_expectancy": 0.004107266479059257, | |
| "precision": 0.584070796460177, | |
| "recall": 0.0020340236686390532, | |
| "f1": 0.0040539295476183165, | |
| "balanced_accuracy": 0.500649847282104, | |
| "precision_cost": 0.582670796460177, | |
| "valid": true, | |
| "fbeta": 0.08004578450443611, | |
| "selection_score": 0.08004578450443611, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7600000000000003, | |
| "predicted_trades": 73, | |
| "true_positives": 38, | |
| "expectancy": 0.0011898429578702514, | |
| "cost_adjusted_expectancy": -0.00021015704212974857, | |
| "precision": 0.5205479452054794, | |
| "recall": 0.0011711045364891518, | |
| "f1": 0.0023369515082562035, | |
| "balanced_accuracy": 0.5003121318570203, | |
| "precision_cost": 0.5191479452054795, | |
| "valid": true, | |
| "fbeta": 0.048382477461772176, | |
| "selection_score": 0.048382477461772176, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7700000000000004, | |
| "predicted_trades": 52, | |
| "true_positives": 24, | |
| "expectancy": -0.000593342164739437, | |
| "cost_adjusted_expectancy": -0.001993342164739437, | |
| "precision": 0.46153846153846156, | |
| "recall": 0.0007396449704142012, | |
| "f1": 0.0014769230769230768, | |
| "balanced_accuracy": 0.5001510861562276, | |
| "precision_cost": 0.46013846153846155, | |
| "valid": true, | |
| "fbeta": 0.031377864157119476, | |
| "selection_score": 0.031377864157119476, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7800000000000004, | |
| "predicted_trades": 33, | |
| "true_positives": 16, | |
| "expectancy": -0.00017848489431991453, | |
| "cost_adjusted_expectancy": -0.0015784848943199146, | |
| "precision": 0.48484848484848486, | |
| "recall": 0.0004930966469428008, | |
| "f1": 0.0009851913426310766, | |
| "balanced_accuracy": 0.5001137441237339, | |
| "precision_cost": 0.48344848484848485, | |
| "valid": true, | |
| "fbeta": 0.021439429679719037, | |
| "selection_score": 0.021439429679719037, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7900000000000004, | |
| "predicted_trades": 19, | |
| "true_positives": 9, | |
| "expectancy": -0.0022223355706660255, | |
| "cost_adjusted_expectancy": -0.0036223355706660257, | |
| "precision": 0.47368421052631576, | |
| "recall": 0.00027736686390532545, | |
| "f1": 0.0005544090923091139, | |
| "balanced_accuracy": 0.50006056331446, | |
| "precision_cost": 0.47228421052631575, | |
| "valid": true, | |
| "fbeta": 0.012285069685480857, | |
| "selection_score": 0.012285069685480857, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8000000000000004, | |
| "predicted_trades": 11, | |
| "true_positives": 5, | |
| "expectancy": -0.008747450161966984, | |
| "cost_adjusted_expectancy": -0.010147450161966984, | |
| "precision": 0.45454545454545453, | |
| "recall": 0.00015409270216962525, | |
| "f1": 0.0003080809636772544, | |
| "balanced_accuracy": 0.5000301742805893, | |
| "precision_cost": 0.4531454545454545, | |
| "valid": true, | |
| "fbeta": 0.006898715388352133, | |
| "selection_score": 0.006898715388352133, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8100000000000004, | |
| "predicted_trades": 7, | |
| "true_positives": 3, | |
| "expectancy": -0.015470014146205897, | |
| "cost_adjusted_expectancy": -0.016870014146205897, | |
| "precision": 0.42857142857142855, | |
| "recall": 9.245562130177515e-05, | |
| "f1": 0.0001848713603450932, | |
| "balanced_accuracy": 0.5000149797636538, | |
| "precision_cost": 0.42717142857142854, | |
| "valid": true, | |
| "fbeta": 0.004161692082270581, | |
| "selection_score": 0.004161692082270581, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8200000000000004, | |
| "predicted_trades": 4, | |
| "true_positives": 1, | |
| "expectancy": -0.02567046468739352, | |
| "cost_adjusted_expectancy": -0.02707046468739352, | |
| "precision": 0.25, | |
| "recall": 3.081854043392505e-05, | |
| "f1": 6.16294835449279e-05, | |
| "balanced_accuracy": 0.4999919732349692, | |
| "precision_cost": 0.2486, | |
| "valid": true, | |
| "fbeta": 0.0013928999564080209, | |
| "selection_score": 0.0013928999564080209, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8300000000000004, | |
| "predicted_trades": 2, | |
| "true_positives": 0, | |
| "expectancy": -0.0365239591889044, | |
| "cost_adjusted_expectancy": -0.0379239591889044, | |
| "precision": 0.0, | |
| "recall": 0.0, | |
| "f1": 0.0, | |
| "balanced_accuracy": 0.49998437597650147, | |
| "precision_cost": -0.0014, | |
| "valid": true, | |
| "fbeta": 0.0, | |
| "selection_score": 0.0, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8400000000000004, | |
| "predicted_trades": 0, | |
| "true_positives": 0, | |
| "expectancy": null, | |
| "cost_adjusted_expectancy": null, | |
| "precision": null, | |
| "recall": null, | |
| "f1": null, | |
| "balanced_accuracy": null, | |
| "precision_cost": null, | |
| "valid": false, | |
| "invalid_reason": "no_predicted_trades", | |
| "fbeta": null, | |
| "selection_score": null, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8500000000000004, | |
| "predicted_trades": 0, | |
| "true_positives": 0, | |
| "expectancy": null, | |
| "cost_adjusted_expectancy": null, | |
| "precision": null, | |
| "recall": null, | |
| "f1": null, | |
| "balanced_accuracy": null, | |
| "precision_cost": null, | |
| "valid": false, | |
| "invalid_reason": "no_predicted_trades", | |
| "fbeta": null, | |
| "selection_score": null, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8600000000000004, | |
| "predicted_trades": 0, | |
| "true_positives": 0, | |
| "expectancy": null, | |
| "cost_adjusted_expectancy": null, | |
| "precision": null, | |
| "recall": null, | |
| "f1": null, | |
| "balanced_accuracy": null, | |
| "precision_cost": null, | |
| "valid": false, | |
| "invalid_reason": "no_predicted_trades", | |
| "fbeta": null, | |
| "selection_score": null, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8700000000000004, | |
| "predicted_trades": 0, | |
| "true_positives": 0, | |
| "expectancy": null, | |
| "cost_adjusted_expectancy": null, | |
| "precision": null, | |
| "recall": null, | |
| "f1": null, | |
| "balanced_accuracy": null, | |
| "precision_cost": null, | |
| "valid": false, | |
| "invalid_reason": "no_predicted_trades", | |
| "fbeta": null, | |
| "selection_score": null, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8800000000000004, | |
| "predicted_trades": 0, | |
| "true_positives": 0, | |
| "expectancy": null, | |
| "cost_adjusted_expectancy": null, | |
| "precision": null, | |
| "recall": null, | |
| "f1": null, | |
| "balanced_accuracy": null, | |
| "precision_cost": null, | |
| "valid": false, | |
| "invalid_reason": "no_predicted_trades", | |
| "fbeta": null, | |
| "selection_score": null, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8900000000000005, | |
| "predicted_trades": 0, | |
| "true_positives": 0, | |
| "expectancy": null, | |
| "cost_adjusted_expectancy": null, | |
| "precision": null, | |
| "recall": null, | |
| "f1": null, | |
| "balanced_accuracy": null, | |
| "precision_cost": null, | |
| "valid": false, | |
| "invalid_reason": "no_predicted_trades", | |
| "fbeta": null, | |
| "selection_score": null, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.9000000000000005, | |
| "predicted_trades": 0, | |
| "true_positives": 0, | |
| "expectancy": null, | |
| "cost_adjusted_expectancy": null, | |
| "precision": null, | |
| "recall": null, | |
| "f1": null, | |
| "balanced_accuracy": null, | |
| "precision_cost": null, | |
| "valid": false, | |
| "invalid_reason": "no_predicted_trades", | |
| "fbeta": null, | |
| "selection_score": null, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.9100000000000005, | |
| "predicted_trades": 0, | |
| "true_positives": 0, | |
| "expectancy": null, | |
| "cost_adjusted_expectancy": null, | |
| "precision": null, | |
| "recall": null, | |
| "f1": null, | |
| "balanced_accuracy": null, | |
| "precision_cost": null, | |
| "valid": false, | |
| "invalid_reason": "no_predicted_trades", | |
| "fbeta": null, | |
| "selection_score": null, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.9200000000000005, | |
| "predicted_trades": 0, | |
| "true_positives": 0, | |
| "expectancy": null, | |
| "cost_adjusted_expectancy": null, | |
| "precision": null, | |
| "recall": null, | |
| "f1": null, | |
| "balanced_accuracy": null, | |
| "precision_cost": null, | |
| "valid": false, | |
| "invalid_reason": "no_predicted_trades", | |
| "fbeta": null, | |
| "selection_score": null, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.9300000000000005, | |
| "predicted_trades": 0, | |
| "true_positives": 0, | |
| "expectancy": null, | |
| "cost_adjusted_expectancy": null, | |
| "precision": null, | |
| "recall": null, | |
| "f1": null, | |
| "balanced_accuracy": null, | |
| "precision_cost": null, | |
| "valid": false, | |
| "invalid_reason": "no_predicted_trades", | |
| "fbeta": null, | |
| "selection_score": null, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.9400000000000005, | |
| "predicted_trades": 0, | |
| "true_positives": 0, | |
| "expectancy": null, | |
| "cost_adjusted_expectancy": null, | |
| "precision": null, | |
| "recall": null, | |
| "f1": null, | |
| "balanced_accuracy": null, | |
| "precision_cost": null, | |
| "valid": false, | |
| "invalid_reason": "no_predicted_trades", | |
| "fbeta": null, | |
| "selection_score": null, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.9500000000000005, | |
| "predicted_trades": 0, | |
| "true_positives": 0, | |
| "expectancy": null, | |
| "cost_adjusted_expectancy": null, | |
| "precision": null, | |
| "recall": null, | |
| "f1": null, | |
| "balanced_accuracy": null, | |
| "precision_cost": null, | |
| "valid": false, | |
| "invalid_reason": "no_predicted_trades", | |
| "fbeta": null, | |
| "selection_score": null, | |
| "calibration_method": "identity" | |
| } | |
| ] | |
| }, | |
| "dataset": { | |
| "event_count": 144687, | |
| "positive_count": 48394, | |
| "negative_count": 96293, | |
| "positive_fraction": 0.33447372604311376, | |
| "snapshot_id": "tinkered_20251208", | |
| "label_source": "execution_sim", | |
| "timeframe": "5m", | |
| "venue": "kucoin", | |
| "venue_source": "config", | |
| "setup_rows": 545404, | |
| "setup_ready": 545404, | |
| "setup_long": 72468, | |
| "setup_short": 72219, | |
| "flash_wick_long_rejections": 163, | |
| "flash_wick_short_rejections": 205, | |
| "flash_wick_rejection_rate": 0.0006747291915717523, | |
| "setup_yield": 0.26528408299169054, | |
| "time_window_blocked": 0, | |
| "htf_long_ok_ratio": 1.0, | |
| "htf_short_ok_ratio": 1.0, | |
| "setup_telemetry": { | |
| "rows": 545404, | |
| "setup_ready": 545404, | |
| "setup_long": 72468, | |
| "setup_short": 72219, | |
| "flash_wick_long_rejections": 163, | |
| "flash_wick_short_rejections": 205, | |
| "time_window_blocked": 0, | |
| "htf_long_ok_ratio": 1.0, | |
| "htf_short_ok_ratio": 1.0, | |
| "stoch_enabled": true, | |
| "stoch_long_pass_rate": 0.24375692147472333, | |
| "stoch_short_pass_rate": 0.2128073868178451 | |
| }, | |
| "stoch_enabled": true, | |
| "stoch_long_pass_rate": 0.24375692147472333, | |
| "stoch_short_pass_rate": 0.2128073868178451, | |
| "atr_percentile_50": 0.05357947114936243, | |
| "atr_percentile_90": 0.18889473463917666, | |
| "atr_percentile_95": 0.26292924759308517, | |
| "feature_drop_applied": [ | |
| "discount_ema_confluence", | |
| "ema_200_233_proximity_norm", | |
| "ema_alignment_score", | |
| "ema_cluster_tightness", | |
| "ema_separation_norm", | |
| "ema_trend_coherence", | |
| "guide_distance_abs", | |
| "guide_distance_abs_z_12", | |
| "guide_distance_abs_z_48", | |
| "guide_distance_negative", | |
| "guide_distance_positive", | |
| "guide_distance_signed_z_12", | |
| "guide_distance_signed_z_48", | |
| "guide_interact_abs_norm", | |
| "guide_interact_signed", | |
| "guide_interact_signed_htf", | |
| "guide_interact_signed_norm", | |
| "guide_interact_signed_ready", | |
| "guide_interact_signed_side", | |
| "liquidity_obv", | |
| "liquidity_obv_gradient_24", | |
| "liquidity_obv_gradient_24_norm", | |
| "liquidity_obv_gradient_72", | |
| "liquidity_obv_gradient_72_norm", | |
| "liquidity_obv_zscore_48", | |
| "liquidity_vwap_12", | |
| "liquidity_vwap_48", | |
| "liquidity_vwap_96", | |
| "liquidity_vwap_distance_12", | |
| "liquidity_vwap_distance_48", | |
| "liquidity_vwap_distance_96", | |
| "liquidity_vwap_distance_norm_12", | |
| "liquidity_vwap_distance_norm_48", | |
| "liquidity_vwap_distance_norm_96", | |
| "liquidity_vwap_distance_slope_12", | |
| "liquidity_vwap_distance_slope_12_norm", | |
| "liquidity_vwap_distance_slope_12_pct", | |
| "liquidity_vwap_distance_slope_48", | |
| "liquidity_vwap_distance_slope_48_norm", | |
| "liquidity_vwap_distance_slope_48_pct", | |
| "market_condition_encoded", | |
| "mtf_15m_close_mean", | |
| "mtf_15m_return_sum", | |
| "mtf_15m_volatility", | |
| "mtf_15m_volume_mean", | |
| "mtf_1h_close_mean", | |
| "mtf_1h_return_sum", | |
| "mtf_1h_volatility_shock", | |
| "mtf_1h_volatility_zscore_48", | |
| "mtf_1h_volume_mean", | |
| "mtf_4h_close_mean", | |
| "mtf_4h_return_sum", | |
| "mtf_4h_volatility", | |
| "mtf_4h_volatility_shock", | |
| "mtf_4h_volatility_zscore_48", | |
| "mtf_4h_volume_mean", | |
| "premium_ema_divergence", | |
| "regime_state_change", | |
| "regime_state_persistence", | |
| "rsi_overbought_14", | |
| "rsi_oversold_14", | |
| "stoch_alignment_score", | |
| "stoch_bars_since_cross", | |
| "stoch_cross_down", | |
| "stoch_cross_up", | |
| "stoch_extreme_long", | |
| "stoch_extreme_short", | |
| "vol_comp_mtf_1h_volatility_guide_distance_signed", | |
| "vol_comp_mtf_1h_volatility_shock_guide_interact_signed_norm", | |
| "vol_comp_mtf_4h_volatility_guide_distance_abs", | |
| "vol_comp_mtf_4h_volatility_shock_guide_interact_signed_norm", | |
| "vol_comp_mtf_4h_volatility_zscore_48_guide_interact_signed_ready", | |
| "volume_median_ratio_96", | |
| "volume_ratio_12", | |
| "volume_ratio_48" | |
| ], | |
| "invalid_rows": { | |
| "total_rows": 547274, | |
| "invalid_rows": 814, | |
| "invalid_ratio": 0.0014873719562778426, | |
| "zero_volume_rows": 537, | |
| "flat_ohlc_rows": 814, | |
| "overlap_rows": 537, | |
| "feature_nan_rows": 0, | |
| "feature_nan_ratio": 0.0, | |
| "feature_nan_columns": [], | |
| "combined_invalid_rows": 814, | |
| "combined_invalid_ratio": 0.0014873719562778426 | |
| }, | |
| "train_positive_fraction": 0.33641604113963425, | |
| "smote_applied": false, | |
| "symbol": "ETC/USDT" | |
| }, | |
| "selection_metrics": { | |
| "auc": 0.5559767949198688, | |
| "brier_score": 0.24431415459278408, | |
| "precision": 0.48744532642151306, | |
| "recall": 0.09273298816568047, | |
| "f1": 0.15582196214494706, | |
| "balanced_accuracy": 0.5216492889081636, | |
| "precision_cost": 0.48604532642151305, | |
| "predicted_trades": 6173, | |
| "true_positives": 3009, | |
| "threshold": 0.5900000000000002, | |
| "threshold_overrides_applied": {}, | |
| "calibrated_std": 0.059433824376421994, | |
| "calibrated_std_floor": 0.1, | |
| "calibrated_std_below_floor": true, | |
| "mid_band_share": 0.9155227470658981, | |
| "mid_band_cap": 0.5, | |
| "mid_band_exceeded": true, | |
| "expectancy": 0.0015263623519805529, | |
| "cost_adjusted_expectancy": 0.00012636235198055287, | |
| "brier_score_raw": 0.24431415459278408, | |
| "brier_improvement": 0.0, | |
| "brier_improvement_pct": 0.0, | |
| "calibration_method": "identity", | |
| "dynamic_threshold_adjusted": false | |
| }, | |
| "evaluation_source": "oof", | |
| "holdout_source": "last_split", | |
| "coverage": { | |
| "row_count": 547274, | |
| "meets_min_rows": true, | |
| "timeframe": "5m" | |
| }, | |
| "labeling": { | |
| "pt_atr": "2.7", | |
| "sl_atr": "1.35", | |
| "tl_bars": 240, | |
| "use_guide_cap": true | |
| }, | |
| "cost_model": { | |
| "maker_bps": 2.0, | |
| "taker_bps": 6.0, | |
| "settlement_bps": 0.0, | |
| "slippage_bps": 1.0 | |
| }, | |
| "metrics": { | |
| "auc": 0.5300693522141425, | |
| "brier_score": 0.24491917209334954, | |
| "precision": 0.47939778129952454, | |
| "recall": 0.037940549354069986, | |
| "f1": 0.0703161320316132, | |
| "balanced_accuracy": 0.5087946404422985, | |
| "precision_cost": 0.4779977812995245, | |
| "predicted_trades": 1262, | |
| "true_positives": 605, | |
| "threshold": 0.5900000000000002, | |
| "expectancy": 0.0010214429660533337, | |
| "cost_adjusted_expectancy": -0.0003785570339466663, | |
| "brier_score_raw": 0.24491917209334954, | |
| "brier_improvement": 0.0, | |
| "brier_improvement_pct": 0.0, | |
| "calibration_method": "identity", | |
| "calibrated_std": 0.044021533764545394, | |
| "mid_band_share": 0.9761761595720417, | |
| "calibrated_std_floor": 0.1, | |
| "calibrated_std_below_floor": true, | |
| "mid_band_cap": 0.5, | |
| "mid_band_exceeded": true, | |
| "threshold_overrides_applied": {}, | |
| "dynamic_threshold_adjusted": false | |
| }, | |
| "threshold_context": { | |
| "metric": "fbeta", | |
| "fbeta": 0.15, | |
| "overrides_applied": {}, | |
| "dynamic_adjustment_applied": false | |
| }, | |
| "diagnostics": { | |
| "per_model_metrics": { | |
| "lightgbm": { | |
| "precision": 0.38591074936850966, | |
| "recall": 0.08622852125924997, | |
| "f1": 0.14096058229535088, | |
| "balanced_accuracy": 0.5092264559026789, | |
| "auc": 0.5180625136583794, | |
| "precision_cost": 0.38451074936850965, | |
| "predicted_trades": 3563, | |
| "threshold": 0.5900000000000002, | |
| "valid": true, | |
| "invalid_reason": null | |
| }, | |
| "catboost": { | |
| "precision": 0.47939778129952454, | |
| "recall": 0.037940549354069986, | |
| "f1": 0.0703161320316132, | |
| "balanced_accuracy": 0.5087946404422985, | |
| "auc": 0.5300693522141425, | |
| "precision_cost": 0.4779977812995245, | |
| "predicted_trades": 1262, | |
| "threshold": 0.5900000000000002, | |
| "valid": true, | |
| "invalid_reason": null | |
| }, | |
| "xgboost": { | |
| "precision": 0.5610687022900763, | |
| "recall": 0.009218612818261633, | |
| "f1": 0.018139190523198418, | |
| "balanced_accuracy": 0.502828183217358, | |
| "auc": 0.5286270784363105, | |
| "precision_cost": 0.5596687022900764, | |
| "predicted_trades": 262, | |
| "threshold": 0.5900000000000002, | |
| "valid": true, | |
| "invalid_reason": null | |
| }, | |
| "logistic": { | |
| "precision": 0.4709480122324159, | |
| "recall": 0.02897278314310799, | |
| "f1": 0.054587345660778636, | |
| "balanced_accuracy": 0.5064481051669447, | |
| "auc": 0.535511899170247, | |
| "precision_cost": 0.4695480122324159, | |
| "predicted_trades": 981, | |
| "threshold": 0.5900000000000002, | |
| "valid": true, | |
| "invalid_reason": null | |
| } | |
| }, | |
| "feature_contributions": { | |
| "per_model": { | |
| "lightgbm": [ | |
| { | |
| "feature": "natr", | |
| "importance": 0.06540075086850135, | |
| "importance_pct": 0.05602162560624546 | |
| }, | |
| { | |
| "feature": "efficiency_ratio", | |
| "importance": 0.035751177444671906, | |
| "importance_pct": 0.030624099130220763 | |
| }, | |
| { | |
| "feature": "ema_233_slope", | |
| "importance": 0.03465380068016029, | |
| "importance_pct": 0.02968409722758096 | |
| }, | |
| { | |
| "feature": "adr_range", | |
| "importance": 0.034271850877516226, | |
| "importance_pct": 0.029356922867042994 | |
| }, | |
| { | |
| "feature": "ema_fast_mid_sep_pct", | |
| "importance": 0.030729737076928304, | |
| "importance_pct": 0.02632278380050174 | |
| }, | |
| { | |
| "feature": "adx_28", | |
| "importance": 0.03020740958103989, | |
| "importance_pct": 0.025875363319392223 | |
| }, | |
| { | |
| "feature": "ema_fast_minus_trend", | |
| "importance": 0.027678497477678282, | |
| "importance_pct": 0.02370912263921281 | |
| }, | |
| { | |
| "feature": "volatility_288", | |
| "importance": 0.027172055519346417, | |
| "importance_pct": 0.023275309549849243 | |
| }, | |
| { | |
| "feature": "volatility_96", | |
| "importance": 0.027036841384287174, | |
| "importance_pct": 0.023159486481300815 | |
| }, | |
| { | |
| "feature": "ema_confirm_distance", | |
| "importance": 0.026388350014334216, | |
| "importance_pct": 0.02260399529421288 | |
| }, | |
| { | |
| "feature": "swing_low_distance", | |
| "importance": 0.02431009838786214, | |
| "importance_pct": 0.02082378584726197 | |
| }, | |
| { | |
| "feature": "volatility_10", | |
| "importance": 0.02295385722846111, | |
| "importance_pct": 0.01966204330677474 | |
| }, | |
| { | |
| "feature": "phi", | |
| "importance": 0.022951801816078612, | |
| "importance_pct": 0.019660282661194538 | |
| }, | |
| { | |
| "feature": "prior_day_high_distance", | |
| "importance": 0.022601797315726917, | |
| "importance_pct": 0.01936047232539842 | |
| }, | |
| { | |
| "feature": "volatility_20", | |
| "importance": 0.022367490203601972, | |
| "importance_pct": 0.019159767209049883 | |
| }, | |
| { | |
| "feature": "macd_long_21_55_hist", | |
| "importance": 0.022119735039546305, | |
| "importance_pct": 0.01894754262663419 | |
| }, | |
| { | |
| "feature": "prior_day_low_distance", | |
| "importance": 0.021944077049282466, | |
| "importance_pct": 0.018797075758370054 | |
| }, | |
| { | |
| "feature": "bollinger_pct", | |
| "importance": 0.021772159499040718, | |
| "importance_pct": 0.018649812913419682 | |
| }, | |
| { | |
| "feature": "liquidity_obv_slope_48", | |
| "importance": 0.021334826584148137, | |
| "importance_pct": 0.018275197935792565 | |
| }, | |
| { | |
| "feature": "swing_high_distance", | |
| "importance": 0.020695113670612005, | |
| "importance_pct": 0.01772722628620617 | |
| } | |
| ], | |
| "catboost": [ | |
| { | |
| "feature": "natr", | |
| "importance": 0.05274070218524043, | |
| "importance_pct": 0.12268426880768625 | |
| }, | |
| { | |
| "feature": "efficiency_ratio", | |
| "importance": 0.038151782206684734, | |
| "importance_pct": 0.08874784198544652 | |
| }, | |
| { | |
| "feature": "prior_day_high_distance", | |
| "importance": 0.016330602706211318, | |
| "importance_pct": 0.037987891119907066 | |
| }, | |
| { | |
| "feature": "volatility_96", | |
| "importance": 0.014291469404969776, | |
| "importance_pct": 0.03324450379856358 | |
| }, | |
| { | |
| "feature": "volatility_20", | |
| "importance": 0.01368241176770611, | |
| "importance_pct": 0.03182772723334104 | |
| }, | |
| { | |
| "feature": "ema_fast_mid_sep_pct", | |
| "importance": 0.013504115027449725, | |
| "importance_pct": 0.031412977252722275 | |
| }, | |
| { | |
| "feature": "adx_28", | |
| "importance": 0.012630634255712335, | |
| "importance_pct": 0.02938110537089199 | |
| }, | |
| { | |
| "feature": "ema_233_slope", | |
| "importance": 0.008738513748745442, | |
| "importance_pct": 0.020327339707486312 | |
| }, | |
| { | |
| "feature": "swing_low_distance", | |
| "importance": 0.008443247649709395, | |
| "importance_pct": 0.019640498160767718 | |
| }, | |
| { | |
| "feature": "phi", | |
| "importance": 0.008273111739223364, | |
| "importance_pct": 0.019244731724010835 | |
| }, | |
| { | |
| "feature": "separation_ok", | |
| "importance": 0.008173556073130063, | |
| "importance_pct": 0.01901314750927247 | |
| }, | |
| { | |
| "feature": "volatility_10", | |
| "importance": 0.007561253420023844, | |
| "importance_pct": 0.01758882245911481 | |
| }, | |
| { | |
| "feature": "volatility_288", | |
| "importance": 0.0067020951983447164, | |
| "importance_pct": 0.015590267380219526 | |
| }, | |
| { | |
| "feature": "mtf_1h_volatility", | |
| "importance": 0.0066601981233335794, | |
| "importance_pct": 0.015492807319963435 | |
| }, | |
| { | |
| "feature": "atr14", | |
| "importance": 0.006228050927276346, | |
| "importance_pct": 0.014487555956806373 | |
| }, | |
| { | |
| "feature": "macd_fast_8_21_line", | |
| "importance": 0.006163719147279556, | |
| "importance_pct": 0.01433790877610934 | |
| }, | |
| { | |
| "feature": "ema_confirm_distance", | |
| "importance": 0.0058956053221461855, | |
| "importance_pct": 0.0137142282555469 | |
| }, | |
| { | |
| "feature": "atr_14", | |
| "importance": 0.005721851671597134, | |
| "importance_pct": 0.013310046310918899 | |
| }, | |
| { | |
| "feature": "stoch_rsi_d", | |
| "importance": 0.005303023420252381, | |
| "importance_pct": 0.012335777185874664 | |
| }, | |
| { | |
| "feature": "swing_low_bars_ago", | |
| "importance": 0.005181749567176697, | |
| "importance_pct": 0.012053672599215505 | |
| } | |
| ], | |
| "logistic": [ | |
| { | |
| "feature": "donchian_upper", | |
| "importance": 2.1888996098990967, | |
| "importance_pct": 0.1850304749932727 | |
| }, | |
| { | |
| "feature": "bollinger_lower", | |
| "importance": 1.5294408903827237, | |
| "importance_pct": 0.12928558858608166 | |
| }, | |
| { | |
| "feature": "bollinger_upper", | |
| "importance": 1.1256446147686712, | |
| "importance_pct": 0.09515217454576085 | |
| }, | |
| { | |
| "feature": "sma_233", | |
| "importance": 0.8275532880058347, | |
| "importance_pct": 0.06995413461151048 | |
| }, | |
| { | |
| "feature": "sma_55", | |
| "importance": 0.7775395041950228, | |
| "importance_pct": 0.06572640569563208 | |
| }, | |
| { | |
| "feature": "volatility_ratio", | |
| "importance": 0.42524046256264836, | |
| "importance_pct": 0.035946118505614286 | |
| }, | |
| { | |
| "feature": "premium_zone_flag", | |
| "importance": 0.3618382179915906, | |
| "importance_pct": 0.030586645930641677 | |
| }, | |
| { | |
| "feature": "atr_expansion_ratio", | |
| "importance": 0.36148270410581773, | |
| "importance_pct": 0.030556593888577357 | |
| }, | |
| { | |
| "feature": "donchian_lower", | |
| "importance": 0.3249137159598514, | |
| "importance_pct": 0.0274653706931091 | |
| }, | |
| { | |
| "feature": "discount_zone_flag", | |
| "importance": 0.2934767996746308, | |
| "importance_pct": 0.024807968075706167 | |
| }, | |
| { | |
| "feature": "adr_low", | |
| "importance": 0.20356792909510657, | |
| "importance_pct": 0.017207856606818416 | |
| }, | |
| { | |
| "feature": "sma_21", | |
| "importance": 0.17144386174616322, | |
| "importance_pct": 0.01449236823384325 | |
| }, | |
| { | |
| "feature": "bollinger_mid", | |
| "importance": 0.16710824094470472, | |
| "importance_pct": 0.014125872679338784 | |
| }, | |
| { | |
| "feature": "adr_high", | |
| "importance": 0.14535458206787522, | |
| "importance_pct": 0.012287008157357837 | |
| }, | |
| { | |
| "feature": "natr", | |
| "importance": 0.14181123509846563, | |
| "importance_pct": 0.011987484520069577 | |
| }, | |
| { | |
| "feature": "sma_8", | |
| "importance": 0.12883028996366439, | |
| "importance_pct": 0.010890188676399248 | |
| }, | |
| { | |
| "feature": "cross_window_long", | |
| "importance": 0.11168534677285943, | |
| "importance_pct": 0.009440904767726271 | |
| }, | |
| { | |
| "feature": "prior_day_high_distance", | |
| "importance": 0.09970706642335478, | |
| "importance_pct": 0.008428365456810317 | |
| }, | |
| { | |
| "feature": "separation_ok", | |
| "importance": 0.09596887502965307, | |
| "importance_pct": 0.008112371371899189 | |
| }, | |
| { | |
| "feature": "cross_window_short", | |
| "importance": 0.08297734917043233, | |
| "importance_pct": 0.007014181126102667 | |
| } | |
| ] | |
| }, | |
| "ensemble": [ | |
| { | |
| "feature": "donchian_upper", | |
| "importance": 0.11795738746560584, | |
| "importance_pct": 0.09340964817741554 | |
| }, | |
| { | |
| "feature": "bollinger_lower", | |
| "importance": 0.08641582464449067, | |
| "importance_pct": 0.0684321003579091 | |
| }, | |
| { | |
| "feature": "bollinger_upper", | |
| "importance": 0.06350439335407047, | |
| "importance_pct": 0.050288694658090535 | |
| }, | |
| { | |
| "feature": "natr", | |
| "importance": 0.06142653508065047, | |
| "importance_pct": 0.04864325290617578 | |
| }, | |
| { | |
| "feature": "sma_233", | |
| "importance": 0.04780020337188455, | |
| "importance_pct": 0.037852654044907175 | |
| }, | |
| { | |
| "feature": "sma_55", | |
| "importance": 0.045392945531721254, | |
| "importance_pct": 0.03594636302953907 | |
| }, | |
| { | |
| "feature": "efficiency_ratio", | |
| "importance": 0.037861337303097264, | |
| "importance_pct": 0.029982133997669153 | |
| }, | |
| { | |
| "feature": "volatility_ratio", | |
| "importance": 0.02954063949243231, | |
| "importance_pct": 0.023393030324010463 | |
| }, | |
| { | |
| "feature": "atr_expansion_ratio", | |
| "importance": 0.02740849680562531, | |
| "importance_pct": 0.021704601116498867 | |
| }, | |
| { | |
| "feature": "prior_day_high_distance", | |
| "importance": 0.02269921488380274, | |
| "importance_pct": 0.017975352979208832 | |
| }, | |
| { | |
| "feature": "ema_fast_mid_sep_pct", | |
| "importance": 0.019818843866472303, | |
| "importance_pct": 0.015694406875449863 | |
| }, | |
| { | |
| "feature": "premium_zone_flag", | |
| "importance": 0.019614006664943617, | |
| "importance_pct": 0.015532197696868148 | |
| }, | |
| { | |
| "feature": "donchian_lower", | |
| "importance": 0.018902329577219174, | |
| "importance_pct": 0.014968625479743116 | |
| }, | |
| { | |
| "feature": "volatility_96", | |
| "importance": 0.01852889946325095, | |
| "importance_pct": 0.014672908727159095 | |
| }, | |
| { | |
| "feature": "adx_28", | |
| "importance": 0.018024870138005814, | |
| "importance_pct": 0.014273771352605286 | |
| }, | |
| { | |
| "feature": "volatility_20", | |
| "importance": 0.017178978817748925, | |
| "importance_pct": 0.013603915802908878 | |
| }, | |
| { | |
| "feature": "swing_low_distance", | |
| "importance": 0.017123310138909636, | |
| "importance_pct": 0.013559832156970248 | |
| }, | |
| { | |
| "feature": "ema_233_slope", | |
| "importance": 0.016916935201477204, | |
| "importance_pct": 0.013396405255846141 | |
| }, | |
| { | |
| "feature": "discount_zone_flag", | |
| "importance": 0.01604779551786226, | |
| "importance_pct": 0.012708139486250537 | |
| }, | |
| { | |
| "feature": "volatility_288", | |
| "importance": 0.01600333625317118, | |
| "importance_pct": 0.012672932498691308 | |
| } | |
| ], | |
| "sample_size": 256, | |
| "skipped_models": { | |
| "xgboost": "XGBoost contributions disabled for deterministic diagnostics" | |
| } | |
| } | |
| } | |
| } |