| { | |
| "symbol": "PEPE/USDT", | |
| "run_id": "20260218_170126_strict7_20260219_000020", | |
| "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", | |
| "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", | |
| "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": 203, | |
| "learning_rate": 0.026267249011321315, | |
| "num_leaves": 72, | |
| "max_depth": 6, | |
| "min_child_samples": 20, | |
| "subsample": 0.8, | |
| "colsample_bytree": 0.8, | |
| "class_weight": "balanced", | |
| "verbose": 1, | |
| "reg_alpha": 0.6311406767099472, | |
| "reg_lambda": 0.0010555287420077018, | |
| "random_state": 42 | |
| }, | |
| "catboost": { | |
| "iterations": 800, | |
| "learning_rate": 0.01, | |
| "depth": 6, | |
| "l2_leaf_reg": 3, | |
| "class_weights": [ | |
| 1.0, | |
| 1.242388599864284 | |
| ], | |
| "verbose": 100, | |
| "allow_writing_files": false, | |
| "early_stopping_rounds": 50, | |
| "random_state": 42 | |
| }, | |
| "xgboost": { | |
| "n_estimators": 800, | |
| "learning_rate": 0.03, | |
| "max_depth": 6, | |
| "min_child_weight": 1, | |
| "subsample": 0.8, | |
| "colsample_bytree": 0.8, | |
| "scale_pos_weight": 1.242388599864284, | |
| "verbosity": 1, | |
| "reg_alpha": 0.1, | |
| "reg_lambda": 0.1, | |
| "early_stopping_rounds": 50, | |
| "random_state": 42 | |
| }, | |
| "logistic": { | |
| "max_iter": 5000, | |
| "random_state": 42, | |
| "solver": "lbfgs", | |
| "class_weight": "balanced", | |
| "n_jobs": -1 | |
| } | |
| } | |
| }, | |
| "predictor": { | |
| "selected": "logistic" | |
| }, | |
| "ensemble_weights_override": { | |
| "lightgbm": 0.0, | |
| "catboost": 0.0, | |
| "xgboost": 0.0, | |
| "logistic": 1.0 | |
| }, | |
| "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": 0.25077464040042197, | |
| "brier_improvement": 0.0, | |
| "score": 0.009273527750970368, | |
| "precision": 0.6285714285714286, | |
| "recall": 0.0009952499434517077, | |
| "threshold": 0.9000000000000005 | |
| } | |
| ], | |
| "candidate_errors": [], | |
| "brier_score_raw": 0.25077464040042197, | |
| "brier_score": 0.25077464040042197, | |
| "brier_improvement": 0.0, | |
| "brier_improvement_pct": 0.0, | |
| "sample_size": 49568 | |
| }, | |
| "thresholds": { | |
| "selected": 0.9000000000000005, | |
| "grid": [ | |
| { | |
| "threshold": 0.35, | |
| "predicted_trades": 45041, | |
| "true_positives": 20443, | |
| "expectancy": 0.0008843623511692738, | |
| "cost_adjusted_expectancy": -0.0005156376488307262, | |
| "precision": 0.45387535800714907, | |
| "recall": 0.9248133906356028, | |
| "f1": 0.6089119232716768, | |
| "balanced_accuracy": 0.5145677847836281, | |
| "precision_cost": 0.45247535800714905, | |
| "valid": true, | |
| "fbeta": 0.45901886568714456, | |
| "selection_score": -0.0005156376488307262, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.36, | |
| "predicted_trades": 44145, | |
| "true_positives": 20102, | |
| "expectancy": 0.0008962295654901871, | |
| "cost_adjusted_expectancy": -0.0005037704345098129, | |
| "precision": 0.455363008268207, | |
| "recall": 0.9093870165121013, | |
| "f1": 0.6068528301886792, | |
| "balanced_accuracy": 0.5169591019639486, | |
| "precision_cost": 0.453963008268207, | |
| "valid": true, | |
| "fbeta": 0.46042130946810883, | |
| "selection_score": -0.0005037704345098129, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.37, | |
| "predicted_trades": 43189, | |
| "true_positives": 19750, | |
| "expectancy": 0.0008878781062454997, | |
| "cost_adjusted_expectancy": -0.0005121218937545002, | |
| "precision": 0.4572923661117414, | |
| "recall": 0.8934630174168741, | |
| "f1": 0.6049560449658468, | |
| "balanced_accuracy": 0.5199937160419403, | |
| "precision_cost": 0.4558923661117414, | |
| "valid": true, | |
| "fbeta": 0.46225810171309184, | |
| "selection_score": -0.0005121218937545002, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.38, | |
| "predicted_trades": 42130, | |
| "true_positives": 19362, | |
| "expectancy": 0.0008816497073062807, | |
| "cost_adjusted_expectancy": -0.0005183502926937193, | |
| "precision": 0.4595774982197959, | |
| "recall": 0.8759104275050893, | |
| "f1": 0.6028489141433797, | |
| "balanced_accuracy": 0.5234338577462817, | |
| "precision_cost": 0.45817749821979586, | |
| "valid": true, | |
| "fbeta": 0.4644351383457046, | |
| "selection_score": -0.0005183502926937193, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.39, | |
| "predicted_trades": 40984, | |
| "true_positives": 18972, | |
| "expectancy": 0.0009044023843070722, | |
| "cost_adjusted_expectancy": -0.0004955976156929278, | |
| "precision": 0.462912356041382, | |
| "recall": 0.8582673603257182, | |
| "f1": 0.6014360665092171, | |
| "balanced_accuracy": 0.5283762975025524, | |
| "precision_cost": 0.46151235604138197, | |
| "valid": true, | |
| "fbeta": 0.4676526717269714, | |
| "selection_score": -0.0004955976156929278, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.4, | |
| "predicted_trades": 39720, | |
| "true_positives": 18498, | |
| "expectancy": 0.0009103095353677739, | |
| "cost_adjusted_expectancy": -0.0004896904646322261, | |
| "precision": 0.46570996978851964, | |
| "recall": 0.8368242479077131, | |
| "f1": 0.5983987060250708, | |
| "balanced_accuracy": 0.5320377293137954, | |
| "precision_cost": 0.4643099697885196, | |
| "valid": true, | |
| "fbeta": 0.47029948818747125, | |
| "selection_score": -0.0004896904646322261, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.41000000000000003, | |
| "predicted_trades": 38413, | |
| "true_positives": 18000, | |
| "expectancy": 0.0009133412907056873, | |
| "cost_adjusted_expectancy": -0.0004866587092943127, | |
| "precision": 0.4685913622992216, | |
| "recall": 0.81429540827867, | |
| "f1": 0.5948643378829438, | |
| "balanced_accuracy": 0.5355022174845632, | |
| "precision_cost": 0.4671913622992216, | |
| "valid": true, | |
| "fbeta": 0.4730102424514806, | |
| "selection_score": -0.0004866587092943127, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.42000000000000004, | |
| "predicted_trades": 37032, | |
| "true_positives": 17469, | |
| "expectancy": 0.0009355725814297394, | |
| "cost_adjusted_expectancy": -0.0004644274185702606, | |
| "precision": 0.47172715489306544, | |
| "recall": 0.7902736937344492, | |
| "f1": 0.5907976393797453, | |
| "balanced_accuracy": 0.5389667270696789, | |
| "precision_cost": 0.4703271548930654, | |
| "valid": true, | |
| "fbeta": 0.4759487321427322, | |
| "selection_score": -0.0004644274185702606, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.43000000000000005, | |
| "predicted_trades": 35638, | |
| "true_positives": 16931, | |
| "expectancy": 0.0009629270279998389, | |
| "cost_adjusted_expectancy": -0.00043707297200016107, | |
| "precision": 0.47508277681126887, | |
| "recall": 0.7659353087536757, | |
| "f1": 0.5864260603016817, | |
| "balanced_accuracy": 0.5423821393202162, | |
| "precision_cost": 0.47368277681126886, | |
| "valid": true, | |
| "fbeta": 0.47908603379860926, | |
| "selection_score": -0.00043707297200016107, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.44000000000000006, | |
| "predicted_trades": 34258, | |
| "true_positives": 16415, | |
| "expectancy": 0.0009761902940422109, | |
| "cost_adjusted_expectancy": -0.0004238097059577891, | |
| "precision": 0.4791581528402125, | |
| "recall": 0.7425921737163538, | |
| "f1": 0.582474318258432, | |
| "balanced_accuracy": 0.5464408270540768, | |
| "precision_cost": 0.4777581528402125, | |
| "valid": true, | |
| "fbeta": 0.48292799420521076, | |
| "selection_score": -0.0004238097059577891, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.45000000000000007, | |
| "predicted_trades": 32848, | |
| "true_positives": 15842, | |
| "expectancy": 0.000982204289661037, | |
| "cost_adjusted_expectancy": -0.0004177957103389629, | |
| "precision": 0.48228202630297123, | |
| "recall": 0.7166704365528161, | |
| "f1": 0.5765654286390188, | |
| "balanced_accuracy": 0.5487186432481883, | |
| "precision_cost": 0.4808820263029712, | |
| "valid": true, | |
| "fbeta": 0.4857780448480654, | |
| "selection_score": -0.0004177957103389629, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.4600000000000001, | |
| "predicted_trades": 31457, | |
| "true_positives": 15302, | |
| "expectancy": 0.0010076555653728192, | |
| "cost_adjusted_expectancy": -0.0003923444346271808, | |
| "precision": 0.48644180945417553, | |
| "recall": 0.692241574304456, | |
| "f1": 0.5713752287069191, | |
| "balanced_accuracy": 0.551997785295184, | |
| "precision_cost": 0.4850418094541755, | |
| "valid": true, | |
| "fbeta": 0.4896450367301179, | |
| "selection_score": -0.0003923444346271808, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.4700000000000001, | |
| "predicted_trades": 30041, | |
| "true_positives": 14732, | |
| "expectancy": 0.001045905754543861, | |
| "cost_adjusted_expectancy": -0.00035409424545613903, | |
| "precision": 0.4903964581738291, | |
| "recall": 0.6664555530422981, | |
| "f1": 0.5650289571587466, | |
| "balanced_accuracy": 0.5545073162655324, | |
| "precision_cost": 0.4889964581738291, | |
| "valid": true, | |
| "fbeta": 0.4932638415042718, | |
| "selection_score": -0.00035409424545613903, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.4800000000000001, | |
| "predicted_trades": 28614, | |
| "true_positives": 14157, | |
| "expectancy": 0.001093441238614339, | |
| "cost_adjusted_expectancy": -0.0003065587613856611, | |
| "precision": 0.4947578108618159, | |
| "recall": 0.640443338611174, | |
| "f1": 0.5582523314734124, | |
| "balanced_accuracy": 0.5570129885350958, | |
| "precision_cost": 0.4933578108618159, | |
| "valid": true, | |
| "fbeta": 0.49724682243917645, | |
| "selection_score": -0.0003065587613856611, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.4900000000000001, | |
| "predicted_trades": 27101, | |
| "true_positives": 13523, | |
| "expectancy": 0.001102651066305756, | |
| "cost_adjusted_expectancy": -0.0002973489336942439, | |
| "precision": 0.49898527729604075, | |
| "recall": 0.6117620447862474, | |
| "f1": 0.5496484168597325, | |
| "balanced_accuracy": 0.5586756915843992, | |
| "precision_cost": 0.49758527729604074, | |
| "valid": true, | |
| "fbeta": 0.5010176781321718, | |
| "selection_score": -0.0002973489336942439, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5000000000000001, | |
| "predicted_trades": 25631, | |
| "true_positives": 12856, | |
| "expectancy": 0.0010680997654694718, | |
| "cost_adjusted_expectancy": -0.00033190023453052823, | |
| "precision": 0.50158011782607, | |
| "recall": 0.5815878760461434, | |
| "f1": 0.538629126864421, | |
| "balanced_accuracy": 0.5582082773159385, | |
| "precision_cost": 0.5001801178260701, | |
| "valid": true, | |
| "fbeta": 0.5031030934296017, | |
| "selection_score": -0.00033190023453052823, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5100000000000001, | |
| "predicted_trades": 24223, | |
| "true_positives": 12204, | |
| "expectancy": 0.001051588596659751, | |
| "cost_adjusted_expectancy": -0.0003484114033402491, | |
| "precision": 0.5038186847211328, | |
| "recall": 0.5520922868129382, | |
| "f1": 0.5268520117423589, | |
| "balanced_accuracy": 0.5572244560452922, | |
| "precision_cost": 0.5024186847211328, | |
| "valid": true, | |
| "fbeta": 0.5047899277366988, | |
| "selection_score": -0.0003484114033402491, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5200000000000001, | |
| "predicted_trades": 22770, | |
| "true_positives": 11576, | |
| "expectancy": 0.0010486521639686615, | |
| "cost_adjusted_expectancy": -0.00035134783603133846, | |
| "precision": 0.5083882301273606, | |
| "recall": 0.5236824247907713, | |
| "f1": 0.5159220055710307, | |
| "balanced_accuracy": 0.558039734042693, | |
| "precision_cost": 0.5069882301273606, | |
| "valid": true, | |
| "fbeta": 0.5087151584112725, | |
| "selection_score": -0.00035134783603133846, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5300000000000001, | |
| "predicted_trades": 21390, | |
| "true_positives": 10935, | |
| "expectancy": 0.0010126485668776886, | |
| "cost_adjusted_expectancy": -0.0003873514331223114, | |
| "precision": 0.5112201963534362, | |
| "recall": 0.494684460529292, | |
| "f1": 0.5028164156799633, | |
| "balanced_accuracy": 0.5569952179207651, | |
| "precision_cost": 0.5098201963534362, | |
| "valid": true, | |
| "fbeta": 0.5108444427692007, | |
| "selection_score": -0.0003873514331223114, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5400000000000001, | |
| "predicted_trades": 19982, | |
| "true_positives": 10312, | |
| "expectancy": 0.0010513359435848624, | |
| "cost_adjusted_expectancy": -0.0003486640564151376, | |
| "precision": 0.516064458012211, | |
| "recall": 0.4665007916760914, | |
| "f1": 0.4900325516192649, | |
| "balanced_accuracy": 0.5571953399446619, | |
| "precision_cost": 0.5146644580122111, | |
| "valid": true, | |
| "fbeta": 0.5148607531118218, | |
| "selection_score": -0.0003486640564151376, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5500000000000002, | |
| "predicted_trades": 18561, | |
| "true_positives": 9664, | |
| "expectancy": 0.0010598069962941127, | |
| "cost_adjusted_expectancy": -0.0003401930037058873, | |
| "precision": 0.5206616022843596, | |
| "recall": 0.43718615697805924, | |
| "f1": 0.47528648010623126, | |
| "balanced_accuracy": 0.5566115032787466, | |
| "precision_cost": 0.5192616022843597, | |
| "valid": true, | |
| "fbeta": 0.5184831592955584, | |
| "selection_score": -0.0003401930037058873, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5600000000000002, | |
| "predicted_trades": 17171, | |
| "true_positives": 9026, | |
| "expectancy": 0.0011244962052990653, | |
| "cost_adjusted_expectancy": -0.0002755037947009347, | |
| "precision": 0.5256537184788306, | |
| "recall": 0.40832390861795975, | |
| "f1": 0.4596191058152561, | |
| "balanced_accuracy": 0.5558715271888546, | |
| "precision_cost": 0.5242537184788306, | |
| "valid": true, | |
| "fbeta": 0.5223508969775779, | |
| "selection_score": -0.0002755037947009347, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5700000000000002, | |
| "predicted_trades": 15827, | |
| "true_positives": 8391, | |
| "expectancy": 0.0011892510426977632, | |
| "cost_adjusted_expectancy": -0.0002107489573022368, | |
| "precision": 0.5301699627219308, | |
| "recall": 0.37959737615924, | |
| "f1": 0.4424232837709585, | |
| "balanced_accuracy": 0.5544165375498162, | |
| "precision_cost": 0.5287699627219309, | |
| "valid": true, | |
| "fbeta": 0.5255823925742887, | |
| "selection_score": -0.0002107489573022368, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5800000000000002, | |
| "predicted_trades": 14491, | |
| "true_positives": 7722, | |
| "expectancy": 0.0012047823555053068, | |
| "cost_adjusted_expectancy": -0.0001952176444946932, | |
| "precision": 0.5328824787799323, | |
| "recall": 0.3493327301515494, | |
| "f1": 0.42201333479068753, | |
| "balanced_accuracy": 0.551427825950406, | |
| "precision_cost": 0.5314824787799324, | |
| "valid": true, | |
| "fbeta": 0.5267917025625715, | |
| "selection_score": -0.0001952176444946932, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.5900000000000002, | |
| "predicted_trades": 13128, | |
| "true_positives": 7040, | |
| "expectancy": 0.0011907765858539072, | |
| "cost_adjusted_expectancy": -0.00020922341414609277, | |
| "precision": 0.5362583790371724, | |
| "recall": 0.31847998190454646, | |
| "f1": 0.3996253512332188, | |
| "balanced_accuracy": 0.5483999516266351, | |
| "precision_cost": 0.5348583790371725, | |
| "valid": true, | |
| "fbeta": 0.5283088798554901, | |
| "selection_score": -0.00020922341414609277, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6000000000000002, | |
| "predicted_trades": 11813, | |
| "true_positives": 6343, | |
| "expectancy": 0.0011375923050702562, | |
| "cost_adjusted_expectancy": -0.00026240769492974383, | |
| "precision": 0.5369508168966393, | |
| "recall": 0.28694865415064463, | |
| "f1": 0.3740196945574621, | |
| "balanced_accuracy": 0.5438857897705851, | |
| "precision_cost": 0.5355508168966393, | |
| "valid": true, | |
| "fbeta": 0.5268502450679254, | |
| "selection_score": -0.00026240769492974383, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6100000000000002, | |
| "predicted_trades": 10585, | |
| "true_positives": 5691, | |
| "expectancy": 0.0010555559062048472, | |
| "cost_adjusted_expectancy": -0.0003444440937951528, | |
| "precision": 0.53764761454889, | |
| "recall": 0.25745306491743947, | |
| "f1": 0.3481798715203426, | |
| "balanced_accuracy": 0.5396248319889969, | |
| "precision_cost": 0.53624761454889, | |
| "valid": true, | |
| "fbeta": 0.525072835327305, | |
| "selection_score": -0.0003444440937951528, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6200000000000002, | |
| "predicted_trades": 9517, | |
| "true_positives": 5135, | |
| "expectancy": 0.0010586817175782868, | |
| "cost_adjusted_expectancy": -0.00034131828242171315, | |
| "precision": 0.5395607859619628, | |
| "recall": 0.23230038452838725, | |
| "f1": 0.3247738915944596, | |
| "balanced_accuracy": 0.5363701245367057, | |
| "precision_cost": 0.5381607859619628, | |
| "valid": true, | |
| "fbeta": 0.524300723086467, | |
| "selection_score": -0.00034131828242171315, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6300000000000002, | |
| "predicted_trades": 8410, | |
| "true_positives": 4573, | |
| "expectancy": 0.001205194240486576, | |
| "cost_adjusted_expectancy": -0.0001948057595134241, | |
| "precision": 0.5437574316290131, | |
| "recall": 0.20687627233657543, | |
| "f1": 0.2997214484679666, | |
| "balanced_accuracy": 0.5335805095433742, | |
| "precision_cost": 0.5423574316290132, | |
| "valid": true, | |
| "fbeta": 0.5249469189111816, | |
| "selection_score": -0.0001948057595134241, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6400000000000002, | |
| "predicted_trades": 7454, | |
| "true_positives": 4042, | |
| "expectancy": 0.0011228582264796007, | |
| "cost_adjusted_expectancy": -0.00027714177352039927, | |
| "precision": 0.5422591896968071, | |
| "recall": 0.18285455779235468, | |
| "f1": 0.2734869244561724, | |
| "balanced_accuracy": 0.5293073356998769, | |
| "precision_cost": 0.5408591896968071, | |
| "valid": true, | |
| "fbeta": 0.5197782141111036, | |
| "selection_score": -0.00027714177352039927, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6500000000000002, | |
| "predicted_trades": 6597, | |
| "true_positives": 3573, | |
| "expectancy": 0.0010947396970761392, | |
| "cost_adjusted_expectancy": -0.0003052603029238608, | |
| "precision": 0.5416098226466576, | |
| "recall": 0.161637638543316, | |
| "f1": 0.24897219705943838, | |
| "balanced_accuracy": 0.5257629258878325, | |
| "precision_cost": 0.5402098226466576, | |
| "valid": true, | |
| "fbeta": 0.514971218344143, | |
| "selection_score": -0.0003052603029238608, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6600000000000003, | |
| "predicted_trades": 5821, | |
| "true_positives": 3162, | |
| "expectancy": 0.0012868396443968394, | |
| "cost_adjusted_expectancy": -0.00011316035560316059, | |
| "precision": 0.543205634770658, | |
| "recall": 0.14304456005428637, | |
| "f1": 0.22645563274367975, | |
| "balanced_accuracy": 0.52311169123495, | |
| "precision_cost": 0.541805634770658, | |
| "valid": true, | |
| "fbeta": 0.5117061580433222, | |
| "selection_score": -0.00011316035560316059, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6700000000000003, | |
| "predicted_trades": 5085, | |
| "true_positives": 2748, | |
| "expectancy": 0.0012283489122647023, | |
| "cost_adjusted_expectancy": -0.00017165108773529764, | |
| "precision": 0.5404129793510325, | |
| "recall": 0.12431576566387695, | |
| "f1": 0.2021331371827878, | |
| "balanced_accuracy": 0.5196097271315416, | |
| "precision_cost": 0.5390129793510325, | |
| "valid": true, | |
| "fbeta": 0.5033406555020389, | |
| "selection_score": -0.00017165108773529764, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6800000000000003, | |
| "predicted_trades": 4445, | |
| "true_positives": 2408, | |
| "expectancy": 0.001383891151595655, | |
| "cost_adjusted_expectancy": -1.6108848404344962e-05, | |
| "precision": 0.5417322834645669, | |
| "recall": 0.10893463017416874, | |
| "f1": 0.18139359698681734, | |
| "balanced_accuracy": 0.5173810535715908, | |
| "precision_cost": 0.540332283464567, | |
| "valid": true, | |
| "fbeta": 0.49817875560523933, | |
| "selection_score": -1.6108848404344962e-05, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.6900000000000003, | |
| "predicted_trades": 3846, | |
| "true_positives": 2074, | |
| "expectancy": 0.0013087539405560772, | |
| "cost_adjusted_expectancy": -9.124605944392278e-05, | |
| "precision": 0.5392615704628185, | |
| "recall": 0.09382492648722009, | |
| "f1": 0.15983969789218141, | |
| "balanced_accuracy": 0.5146508749247811, | |
| "precision_cost": 0.5378615704628186, | |
| "valid": true, | |
| "fbeta": 0.48825420397215297, | |
| "selection_score": -9.124605944392278e-05, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7000000000000003, | |
| "predicted_trades": 3288, | |
| "true_positives": 1774, | |
| "expectancy": 0.0013425423514102106, | |
| "cost_adjusted_expectancy": -5.745764858978942e-05, | |
| "precision": 0.5395377128953771, | |
| "recall": 0.08025333634924225, | |
| "f1": 0.13972354585909502, | |
| "balanced_accuracy": 0.512562308854809, | |
| "precision_cost": 0.5381377128953772, | |
| "valid": true, | |
| "fbeta": 0.4791918871706475, | |
| "selection_score": -5.745764858978942e-05, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7100000000000003, | |
| "predicted_trades": 2762, | |
| "true_positives": 1504, | |
| "expectancy": 0.0016198192234025176, | |
| "cost_adjusted_expectancy": 0.00021981922340251763, | |
| "precision": 0.5445329471397538, | |
| "recall": 0.0680389052250622, | |
| "f1": 0.12096352595809709, | |
| "balanced_accuracy": 0.5111159096638365, | |
| "precision_cost": 0.5431329471397538, | |
| "valid": true, | |
| "fbeta": 0.47182232721889633, | |
| "selection_score": 0.00021981922340251763, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7200000000000003, | |
| "predicted_trades": 2284, | |
| "true_positives": 1247, | |
| "expectancy": 0.0017793660232366787, | |
| "cost_adjusted_expectancy": 0.00037936602323667876, | |
| "precision": 0.5459719789842382, | |
| "recall": 0.056412576340194524, | |
| "f1": 0.10225921521997622, | |
| "balanced_accuracy": 0.5093263406042814, | |
| "precision_cost": 0.5445719789842383, | |
| "valid": true, | |
| "fbeta": 0.45842909724999886, | |
| "selection_score": 0.00037936602323667876, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7300000000000003, | |
| "predicted_trades": 1868, | |
| "true_positives": 1020, | |
| "expectancy": 0.0020631878523955493, | |
| "cost_adjusted_expectancy": 0.0006631878523955493, | |
| "precision": 0.5460385438972163, | |
| "recall": 0.04614340646912463, | |
| "f1": 0.08509573269928669, | |
| "balanced_accuracy": 0.5076327490052356, | |
| "precision_cost": 0.5446385438972163, | |
| "valid": true, | |
| "fbeta": 0.440926073699063, | |
| "selection_score": 0.0006631878523955493, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7400000000000003, | |
| "predicted_trades": 1510, | |
| "true_positives": 838, | |
| "expectancy": 0.0026297338723857825, | |
| "cost_adjusted_expectancy": 0.0012297338723857825, | |
| "precision": 0.5549668874172186, | |
| "recall": 0.03790997511875142, | |
| "f1": 0.07097183993224646, | |
| "balanced_accuracy": 0.5067203445851922, | |
| "precision_cost": 0.5535668874172186, | |
| "valid": true, | |
| "fbeta": 0.4268561358499026, | |
| "selection_score": 0.0012297338723857825, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7500000000000003, | |
| "predicted_trades": 1197, | |
| "true_positives": 673, | |
| "expectancy": 0.0026534639795672394, | |
| "cost_adjusted_expectancy": 0.0012534639795672394, | |
| "precision": 0.5622389306599833, | |
| "recall": 0.030445600542863605, | |
| "f1": 0.05776328212170629, | |
| "balanced_accuracy": 0.5056826917618007, | |
| "precision_cost": 0.5608389306599834, | |
| "valid": true, | |
| "fbeta": 0.4061365262746313, | |
| "selection_score": 0.0012534639795672394, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7600000000000003, | |
| "predicted_trades": 956, | |
| "true_positives": 532, | |
| "expectancy": 0.002369930080849503, | |
| "cost_adjusted_expectancy": 0.000969930080849503, | |
| "precision": 0.5564853556485355, | |
| "recall": 0.024066953178014026, | |
| "f1": 0.04613850223320758, | |
| "balanced_accuracy": 0.5043139994743436, | |
| "precision_cost": 0.5550853556485356, | |
| "valid": true, | |
| "fbeta": 0.3742837729747396, | |
| "selection_score": 0.000969930080849503, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7700000000000004, | |
| "predicted_trades": 744, | |
| "true_positives": 416, | |
| "expectancy": 0.0027882601952090432, | |
| "cost_adjusted_expectancy": 0.0013882601952090433, | |
| "precision": 0.5591397849462365, | |
| "recall": 0.018819271657995927, | |
| "f1": 0.03641297212131822, | |
| "balanced_accuracy": 0.5034379648535037, | |
| "precision_cost": 0.5577397849462365, | |
| "valid": true, | |
| "fbeta": 0.3426557512410758, | |
| "selection_score": 0.0013882601952090433, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7800000000000004, | |
| "predicted_trades": 553, | |
| "true_positives": 310, | |
| "expectancy": 0.003135584044425874, | |
| "cost_adjusted_expectancy": 0.0017355840444258739, | |
| "precision": 0.5605786618444847, | |
| "recall": 0.014023976475910428, | |
| "f1": 0.027363403654338425, | |
| "balanced_accuracy": 0.5025878539481835, | |
| "precision_cost": 0.5591786618444847, | |
| "valid": true, | |
| "fbeta": 0.3017767675445382, | |
| "selection_score": 0.0017355840444258739, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.7900000000000004, | |
| "predicted_trades": 410, | |
| "true_positives": 235, | |
| "expectancy": 0.004053888750198283, | |
| "cost_adjusted_expectancy": 0.002653888750198283, | |
| "precision": 0.573170731707317, | |
| "recall": 0.01063107894141597, | |
| "f1": 0.020874972240728405, | |
| "balanced_accuracy": 0.5021294345295144, | |
| "precision_cost": 0.5717707317073171, | |
| "valid": true, | |
| "fbeta": 0.2648197385278761, | |
| "selection_score": 0.002653888750198283, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8000000000000004, | |
| "predicted_trades": 296, | |
| "true_positives": 170, | |
| "expectancy": 0.005064370592755584, | |
| "cost_adjusted_expectancy": 0.0036643705927555835, | |
| "precision": 0.5743243243243243, | |
| "recall": 0.007690567744854105, | |
| "f1": 0.015177893844024818, | |
| "balanced_accuracy": 0.5015512883147677, | |
| "precision_cost": 0.5729243243243244, | |
| "valid": true, | |
| "fbeta": 0.21909908774362288, | |
| "selection_score": 0.0036643705927555835, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8100000000000004, | |
| "predicted_trades": 231, | |
| "true_positives": 136, | |
| "expectancy": 0.0040640127698074275, | |
| "cost_adjusted_expectancy": 0.0026640127698074273, | |
| "precision": 0.5887445887445888, | |
| "recall": 0.006152454195883284, | |
| "f1": 0.012177650429799427, | |
| "balanced_accuracy": 0.5013466272727223, | |
| "precision_cost": 0.5873445887445888, | |
| "valid": true, | |
| "fbeta": 0.19092141619042713, | |
| "selection_score": 0.0026640127698074273, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8200000000000004, | |
| "predicted_trades": 176, | |
| "true_positives": 103, | |
| "expectancy": 0.003979166017290249, | |
| "cost_adjusted_expectancy": 0.002579166017290249, | |
| "precision": 0.5852272727272727, | |
| "recall": 0.004659579280705723, | |
| "f1": 0.009245545532067682, | |
| "balanced_accuracy": 0.5010007287220264, | |
| "precision_cost": 0.5838272727272728, | |
| "valid": true, | |
| "fbeta": 0.15640535372848952, | |
| "selection_score": 0.002579166017290249, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8300000000000004, | |
| "predicted_trades": 135, | |
| "true_positives": 75, | |
| "expectancy": 0.002847129359223735, | |
| "cost_adjusted_expectancy": 0.0014471293592237349, | |
| "precision": 0.5555555555555556, | |
| "recall": 0.0033928975344944584, | |
| "f1": 0.006744604316546763, | |
| "balanced_accuracy": 0.5006040699302666, | |
| "precision_cost": 0.5541555555555556, | |
| "valid": true, | |
| "fbeta": 0.12127142264128565, | |
| "selection_score": 0.0014471293592237349, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8400000000000004, | |
| "predicted_trades": 104, | |
| "true_positives": 58, | |
| "expectancy": 0.0031395080957713458, | |
| "cost_adjusted_expectancy": 0.0017395080957713458, | |
| "precision": 0.5576923076923077, | |
| "recall": 0.0026238407600090476, | |
| "f1": 0.005223107749110721, | |
| "balanced_accuracy": 0.5004744299383194, | |
| "precision_cost": 0.5562923076923078, | |
| "valid": true, | |
| "fbeta": 0.09861772225571099, | |
| "selection_score": 0.0017395080957713458, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8500000000000004, | |
| "predicted_trades": 88, | |
| "true_positives": 53, | |
| "expectancy": 0.0045405033041397, | |
| "cost_adjusted_expectancy": 0.0031405033041396998, | |
| "precision": 0.6022727272727273, | |
| "recall": 0.0023976475910427505, | |
| "f1": 0.0047762808092641825, | |
| "balanced_accuracy": 0.5005616028072827, | |
| "precision_cost": 0.6008727272727273, | |
| "valid": true, | |
| "fbeta": 0.09257938456939077, | |
| "selection_score": 0.0031405033041396998, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8600000000000004, | |
| "predicted_trades": 73, | |
| "true_positives": 48, | |
| "expectancy": 0.007368031617966624, | |
| "cost_adjusted_expectancy": 0.0059680316179666236, | |
| "precision": 0.6575342465753424, | |
| "recall": 0.0021714544220764534, | |
| "f1": 0.004328613941744071, | |
| "balanced_accuracy": 0.5006305693622963, | |
| "precision_cost": 0.6561342465753425, | |
| "valid": true, | |
| "fbeta": 0.0860505380350216, | |
| "selection_score": 0.0059680316179666236, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8700000000000004, | |
| "predicted_trades": 64, | |
| "true_positives": 45, | |
| "expectancy": 0.009289936670700973, | |
| "cost_adjusted_expectancy": 0.007889936670700972, | |
| "precision": 0.703125, | |
| "recall": 0.002035738520696675, | |
| "f1": 0.004059723036672832, | |
| "balanced_accuracy": 0.5006719492953045, | |
| "precision_cost": 0.701725, | |
| "valid": true, | |
| "fbeta": 0.08196575296711127, | |
| "selection_score": 0.007889936670700972, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8800000000000004, | |
| "predicted_trades": 49, | |
| "true_positives": 33, | |
| "expectancy": 0.009681050988244143, | |
| "cost_adjusted_expectancy": 0.008281050988244143, | |
| "precision": 0.673469387755102, | |
| "recall": 0.0014928749151775617, | |
| "f1": 0.002979145978152929, | |
| "balanced_accuracy": 0.5004551364343939, | |
| "precision_cost": 0.672069387755102, | |
| "valid": true, | |
| "fbeta": 0.061758447916904984, | |
| "selection_score": 0.008281050988244143, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.8900000000000005, | |
| "predicted_trades": 40, | |
| "true_positives": 26, | |
| "expectancy": 0.010001849831599073, | |
| "cost_adjusted_expectancy": 0.008601849831599073, | |
| "precision": 0.65, | |
| "recall": 0.0011762044786247454, | |
| "f1": 0.0023481598554978547, | |
| "balanced_accuracy": 0.5003332138440169, | |
| "precision_cost": 0.6486000000000001, | |
| "valid": true, | |
| "fbeta": 0.049473121030961416, | |
| "selection_score": 0.008601849831599073, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.9000000000000005, | |
| "predicted_trades": 35, | |
| "true_positives": 22, | |
| "expectancy": 0.010673527750970368, | |
| "cost_adjusted_expectancy": 0.009273527750970368, | |
| "precision": 0.6285714285714286, | |
| "recall": 0.0009952499434517077, | |
| "f1": 0.0019873532068654023, | |
| "balanced_accuracy": 0.50026094289038, | |
| "precision_cost": 0.6271714285714286, | |
| "valid": true, | |
| "fbeta": 0.04225504238183568, | |
| "selection_score": 0.009273527750970368, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.9100000000000005, | |
| "predicted_trades": 27, | |
| "true_positives": 18, | |
| "expectancy": 0.006827933254678891, | |
| "cost_adjusted_expectancy": 0.005427933254678891, | |
| "precision": 0.6666666666666666, | |
| "recall": 0.00081429540827867, | |
| "f1": 0.001626604012289897, | |
| "balanced_accuracy": 0.5002432908785922, | |
| "precision_cost": 0.6652666666666667, | |
| "valid": true, | |
| "fbeta": 0.03509976399914182, | |
| "selection_score": 0.005427933254678891, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.9200000000000005, | |
| "predicted_trades": 22, | |
| "true_positives": 14, | |
| "expectancy": 0.003627479600742277, | |
| "cost_adjusted_expectancy": 0.002227479600742277, | |
| "precision": 0.6363636363636364, | |
| "recall": 0.0006333408731056322, | |
| "f1": 0.0012654223347042075, | |
| "balanced_accuracy": 0.5001710199249554, | |
| "precision_cost": 0.6349636363636364, | |
| "valid": true, | |
| "fbeta": 0.027562636886567668, | |
| "selection_score": 0.002227479600742277, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.9300000000000005, | |
| "predicted_trades": 17, | |
| "true_positives": 11, | |
| "expectancy": 0.002488492269195888, | |
| "cost_adjusted_expectancy": 0.001088492269195888, | |
| "precision": 0.6470588235294118, | |
| "recall": 0.0004976249717258539, | |
| "f1": 0.0009944851279269505, | |
| "balanced_accuracy": 0.5001395746021648, | |
| "precision_cost": 0.6456588235294118, | |
| "valid": true, | |
| "fbeta": 0.021866874043111616, | |
| "selection_score": 0.001088492269195888, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.9400000000000005, | |
| "predicted_trades": 10, | |
| "true_positives": 6, | |
| "expectancy": -0.0007677474963669903, | |
| "cost_adjusted_expectancy": -0.0021677474963669903, | |
| "precision": 0.6, | |
| "recall": 0.0002714318027595567, | |
| "f1": 0.0005426181324892607, | |
| "balanced_accuracy": 0.5000628906455811, | |
| "precision_cost": 0.5986, | |
| "valid": true, | |
| "fbeta": 0.012091946093769247, | |
| "selection_score": -0.0021677474963669903, | |
| "calibration_method": "identity" | |
| }, | |
| { | |
| "threshold": 0.9500000000000005, | |
| "predicted_trades": 8, | |
| "true_positives": 4, | |
| "expectancy": -0.005325450901708738, | |
| "cost_adjusted_expectancy": -0.006725450901708738, | |
| "precision": 0.5, | |
| "recall": 0.00018095453517303776, | |
| "f1": 0.00036177813955591727, | |
| "balanced_accuracy": 0.5000176520117878, | |
| "precision_cost": 0.4986, | |
| "valid": true, | |
| "fbeta": 0.008093200425437186, | |
| "selection_score": -0.006725450901708738, | |
| "calibration_method": "identity" | |
| } | |
| ] | |
| }, | |
| "dataset": { | |
| "event_count": 74361, | |
| "positive_count": 30327, | |
| "negative_count": 44034, | |
| "positive_fraction": 0.40783475208778797, | |
| "snapshot_id": "tinkered_20251208", | |
| "label_source": "execution_sim", | |
| "timeframe": "5m", | |
| "venue": "kucoin", | |
| "venue_source": "config", | |
| "setup_rows": 289976, | |
| "setup_ready": 289976, | |
| "setup_long": 37237, | |
| "setup_short": 37124, | |
| "flash_wick_long_rejections": 20, | |
| "flash_wick_short_rejections": 34, | |
| "flash_wick_rejection_rate": 0.00018622230805308024, | |
| "setup_yield": 0.2564384638728722, | |
| "time_window_blocked": 0, | |
| "htf_long_ok_ratio": 1.0, | |
| "htf_short_ok_ratio": 1.0, | |
| "setup_telemetry": { | |
| "rows": 289976, | |
| "setup_ready": 289976, | |
| "setup_long": 37237, | |
| "setup_short": 37124, | |
| "flash_wick_long_rejections": 20, | |
| "flash_wick_short_rejections": 34, | |
| "time_window_blocked": 0, | |
| "htf_long_ok_ratio": 1.0, | |
| "htf_short_ok_ratio": 1.0, | |
| "stoch_enabled": true, | |
| "stoch_long_pass_rate": 0.2598559880817723, | |
| "stoch_short_pass_rate": 0.2320571357629597 | |
| }, | |
| "stoch_enabled": true, | |
| "stoch_long_pass_rate": 0.2598559880817723, | |
| "stoch_short_pass_rate": 0.2320571357629597, | |
| "atr_percentile_50": 3.375396028871027e-08, | |
| "atr_percentile_90": 9.194840918876071e-08, | |
| "atr_percentile_95": 1.2099056865132617e-07, | |
| "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", | |
| "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_slope_48", | |
| "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", | |
| "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", | |
| "volume_zscore_48" | |
| ], | |
| "invalid_rows": { | |
| "total_rows": 291158, | |
| "invalid_rows": 1, | |
| "invalid_ratio": 3.4345613034847057e-06, | |
| "zero_volume_rows": 0, | |
| "flat_ohlc_rows": 1, | |
| "overlap_rows": 0, | |
| "feature_nan_rows": 125, | |
| "feature_nan_ratio": 0.0004308844161171454, | |
| "feature_nan_columns": [], | |
| "combined_invalid_rows": 126, | |
| "combined_invalid_ratio": 0.00043275472423907294 | |
| }, | |
| "train_positive_fraction": 0.445953034215623, | |
| "smote_applied": false, | |
| "symbol": "PEPE/USDT" | |
| }, | |
| "selection_metrics": { | |
| "auc": 0.5752083984634941, | |
| "brier_score": 0.25077464040042197, | |
| "precision": 0.6285714285714286, | |
| "recall": 0.0009952499434517077, | |
| "f1": 0.0019873532068654023, | |
| "balanced_accuracy": 0.50026094289038, | |
| "precision_cost": 0.6271714285714286, | |
| "predicted_trades": 35, | |
| "true_positives": 22, | |
| "threshold": 0.9000000000000005, | |
| "threshold_overrides_applied": {}, | |
| "calibrated_std": 0.12152564976555524, | |
| "calibrated_std_floor": 0.1, | |
| "calibrated_std_below_floor": false, | |
| "mid_band_share": 0.5630043576500968, | |
| "mid_band_cap": 0.5, | |
| "mid_band_exceeded": true, | |
| "expectancy": 0.010673527750970368, | |
| "cost_adjusted_expectancy": 0.009273527750970368, | |
| "brier_score_raw": 0.25077464040042197, | |
| "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": 291158, | |
| "meets_min_rows": true, | |
| "timeframe": "5m" | |
| }, | |
| "labeling": { | |
| "pt_atr": "2.7", | |
| "sl_atr": "1.11", | |
| "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": 0.5538135832492528, | |
| "brier_score": 0.23061457288612575, | |
| "precision": 0.45714285714285713, | |
| "recall": 0.0019474196689386564, | |
| "f1": 0.0038783177796630716, | |
| "balanced_accuracy": 0.500400419145917, | |
| "precision_cost": 0.4557428571428571, | |
| "predicted_trades": 35, | |
| "true_positives": 16, | |
| "threshold": 0.9000000000000005, | |
| "expectancy": -0.0010003436635618451, | |
| "cost_adjusted_expectancy": -0.0024003436635618453, | |
| "brier_score_raw": 0.23061457288612575, | |
| "brier_improvement": 0.0, | |
| "brier_improvement_pct": 0.0, | |
| "calibration_method": "identity", | |
| "calibrated_std": 0.07178890270853729, | |
| "mid_band_share": 0.6521160285633598, | |
| "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": "cost_adjusted_expectancy", | |
| "fbeta": 0.15, | |
| "overrides_applied": {}, | |
| "dynamic_adjustment_applied": false | |
| }, | |
| "diagnostics": { | |
| "per_model_metrics": { | |
| "lightgbm": { | |
| "precision": null, | |
| "recall": null, | |
| "f1": null, | |
| "balanced_accuracy": null, | |
| "auc": null, | |
| "precision_cost": null, | |
| "predicted_trades": 0, | |
| "threshold": 0.9000000000000005, | |
| "valid": false, | |
| "invalid_reason": "no_predicted_trades" | |
| }, | |
| "catboost": { | |
| "precision": null, | |
| "recall": null, | |
| "f1": null, | |
| "balanced_accuracy": null, | |
| "auc": null, | |
| "precision_cost": null, | |
| "predicted_trades": 0, | |
| "threshold": 0.9000000000000005, | |
| "valid": false, | |
| "invalid_reason": "no_predicted_trades" | |
| }, | |
| "xgboost": { | |
| "precision": null, | |
| "recall": null, | |
| "f1": null, | |
| "balanced_accuracy": null, | |
| "auc": null, | |
| "precision_cost": null, | |
| "predicted_trades": 0, | |
| "threshold": 0.9000000000000005, | |
| "valid": false, | |
| "invalid_reason": "no_predicted_trades" | |
| }, | |
| "logistic": { | |
| "precision": 0.45714285714285713, | |
| "recall": 0.0019474196689386564, | |
| "f1": 0.0038783177796630716, | |
| "balanced_accuracy": 0.500400419145917, | |
| "auc": 0.5538135832492528, | |
| "precision_cost": 0.4557428571428571, | |
| "predicted_trades": 35, | |
| "threshold": 0.9000000000000005, | |
| "valid": true, | |
| "invalid_reason": null | |
| } | |
| }, | |
| "feature_contributions": { | |
| "per_model": { | |
| "lightgbm": [ | |
| { | |
| "feature": "natr", | |
| "importance": 0.17542462277931956, | |
| "importance_pct": 0.13543731720622004 | |
| }, | |
| { | |
| "feature": "volatility_20", | |
| "importance": 0.07263487538376309, | |
| "importance_pct": 0.056078060774628645 | |
| }, | |
| { | |
| "feature": "volatility_96", | |
| "importance": 0.06851365911168408, | |
| "importance_pct": 0.0528962584331229 | |
| }, | |
| { | |
| "feature": "macd_fast_8_21_line", | |
| "importance": 0.06428815850587018, | |
| "importance_pct": 0.04963394293352156 | |
| }, | |
| { | |
| "feature": "atr14", | |
| "importance": 0.05407329047010491, | |
| "importance_pct": 0.041747511140420315 | |
| }, | |
| { | |
| "feature": "volatility_288", | |
| "importance": 0.04553750136035978, | |
| "importance_pct": 0.03515741928817073 | |
| }, | |
| { | |
| "feature": "ema_200", | |
| "importance": 0.03922101824904991, | |
| "importance_pct": 0.030280751958235007 | |
| }, | |
| { | |
| "feature": "efficiency_ratio", | |
| "importance": 0.03338661039539723, | |
| "importance_pct": 0.02577627285680539 | |
| }, | |
| { | |
| "feature": "bollinger_pct", | |
| "importance": 0.030483358106024438, | |
| "importance_pct": 0.023534804726415757 | |
| }, | |
| { | |
| "feature": "swing_low_distance", | |
| "importance": 0.030150789804888445, | |
| "importance_pct": 0.0232780439719671 | |
| }, | |
| { | |
| "feature": "ema_mid_slope", | |
| "importance": 0.02799737230999261, | |
| "importance_pct": 0.02161548894569508 | |
| }, | |
| { | |
| "feature": "volatility_ratio", | |
| "importance": 0.027238044618252827, | |
| "importance_pct": 0.021029246810353563 | |
| }, | |
| { | |
| "feature": "ema_confirm_slope", | |
| "importance": 0.026906602414358164, | |
| "importance_pct": 0.02077335546401229 | |
| }, | |
| { | |
| "feature": "ema_confirm_distance", | |
| "importance": 0.025982933529387672, | |
| "importance_pct": 0.02006023301982362 | |
| }, | |
| { | |
| "feature": "macd_histogram", | |
| "importance": 0.025726518109433043, | |
| "importance_pct": 0.019862266417309395 | |
| }, | |
| { | |
| "feature": "adr_range", | |
| "importance": 0.024632792185957864, | |
| "importance_pct": 0.01901785072191001 | |
| }, | |
| { | |
| "feature": "donchian_lower", | |
| "importance": 0.02369896691166302, | |
| "importance_pct": 0.01829688699466313 | |
| }, | |
| { | |
| "feature": "sma_55", | |
| "importance": 0.023247004233699544, | |
| "importance_pct": 0.017947947309852087 | |
| }, | |
| { | |
| "feature": "distance_to_guide", | |
| "importance": 0.022890857311215367, | |
| "importance_pct": 0.01767298258170678 | |
| }, | |
| { | |
| "feature": "swing_high_distance", | |
| "importance": 0.022566921038021874, | |
| "importance_pct": 0.017422886220705626 | |
| } | |
| ], | |
| "catboost": [ | |
| { | |
| "feature": "natr", | |
| "importance": 0.11728636373406938, | |
| "importance_pct": 0.12530992214566464 | |
| }, | |
| { | |
| "feature": "volatility_96", | |
| "importance": 0.04931123251946201, | |
| "importance_pct": 0.05268461320815609 | |
| }, | |
| { | |
| "feature": "volatility_20", | |
| "importance": 0.03756669012029616, | |
| "importance_pct": 0.04013662683684336 | |
| }, | |
| { | |
| "feature": "volatility_288", | |
| "importance": 0.028807902385593116, | |
| "importance_pct": 0.030778650562511813 | |
| }, | |
| { | |
| "feature": "swing_high_distance", | |
| "importance": 0.028126552407363094, | |
| "importance_pct": 0.030050689442329578 | |
| }, | |
| { | |
| "feature": "swing_low_distance", | |
| "importance": 0.025065130208313097, | |
| "importance_pct": 0.026779835395837143 | |
| }, | |
| { | |
| "feature": "efficiency_ratio", | |
| "importance": 0.02503497882926814, | |
| "importance_pct": 0.026747621361396832 | |
| }, | |
| { | |
| "feature": "volatility_10", | |
| "importance": 0.022365428275367076, | |
| "importance_pct": 0.02389544689351292 | |
| }, | |
| { | |
| "feature": "volatility_ratio", | |
| "importance": 0.021253190300839785, | |
| "importance_pct": 0.02270712073556775 | |
| }, | |
| { | |
| "feature": "ema_mid_slope", | |
| "importance": 0.02079472087605672, | |
| "importance_pct": 0.022217287424203477 | |
| }, | |
| { | |
| "feature": "ema_confirm_slope", | |
| "importance": 0.019686913260616997, | |
| "importance_pct": 0.02103369470614565 | |
| }, | |
| { | |
| "feature": "sma_21", | |
| "importance": 0.017821333123688433, | |
| "importance_pct": 0.01904049025959063 | |
| }, | |
| { | |
| "feature": "donchian_upper", | |
| "importance": 0.017410606639140874, | |
| "importance_pct": 0.018601665982298565 | |
| }, | |
| { | |
| "feature": "atr14", | |
| "importance": 0.01650456800961866, | |
| "importance_pct": 0.01763364526350623 | |
| }, | |
| { | |
| "feature": "ema_8", | |
| "importance": 0.015639025609725125, | |
| "importance_pct": 0.01670889112081364 | |
| }, | |
| { | |
| "feature": "donchian_lower", | |
| "importance": 0.014402004665460873, | |
| "importance_pct": 0.015387245592013923 | |
| }, | |
| { | |
| "feature": "sma_233", | |
| "importance": 0.014102850588334213, | |
| "importance_pct": 0.015067626388887322 | |
| }, | |
| { | |
| "feature": "bollinger_upper", | |
| "importance": 0.014074281193839255, | |
| "importance_pct": 0.015037102562536722 | |
| }, | |
| { | |
| "feature": "distance_to_guide", | |
| "importance": 0.013846546442518386, | |
| "importance_pct": 0.014793788480239952 | |
| }, | |
| { | |
| "feature": "ema_55", | |
| "importance": 0.013706730820388409, | |
| "importance_pct": 0.014644408073464106 | |
| } | |
| ], | |
| "logistic": [ | |
| { | |
| "feature": "volatility_ratio", | |
| "importance": 1.7620596035471263, | |
| "importance_pct": 0.10911079982223368 | |
| }, | |
| { | |
| "feature": "atr_expansion_ratio", | |
| "importance": 1.7141247994115818, | |
| "importance_pct": 0.1061425660530566 | |
| }, | |
| { | |
| "feature": "sma_233", | |
| "importance": 1.4851195833129287, | |
| "importance_pct": 0.09196203422445819 | |
| }, | |
| { | |
| "feature": "bollinger_upper", | |
| "importance": 0.970512340282113, | |
| "importance_pct": 0.060096365339946375 | |
| }, | |
| { | |
| "feature": "adr_low", | |
| "importance": 0.9131395496201187, | |
| "importance_pct": 0.05654370964966095 | |
| }, | |
| { | |
| "feature": "donchian_lower", | |
| "importance": 0.800855939708535, | |
| "importance_pct": 0.049590849224441555 | |
| }, | |
| { | |
| "feature": "adr_high", | |
| "importance": 0.7675822579500141, | |
| "importance_pct": 0.047530466010165355 | |
| }, | |
| { | |
| "feature": "bollinger_lower", | |
| "importance": 0.6038688632349106, | |
| "importance_pct": 0.03739295454175705 | |
| }, | |
| { | |
| "feature": "ema233_distance_norm", | |
| "importance": 0.3471066880303745, | |
| "importance_pct": 0.021493647705446525 | |
| }, | |
| { | |
| "feature": "donchian_upper", | |
| "importance": 0.2770428591447151, | |
| "importance_pct": 0.017155133620603336 | |
| }, | |
| { | |
| "feature": "efficiency_ratio", | |
| "importance": 0.24341394270427494, | |
| "importance_pct": 0.015072753454469895 | |
| }, | |
| { | |
| "feature": "sma_55", | |
| "importance": 0.23535175780946338, | |
| "importance_pct": 0.0145735243475675 | |
| }, | |
| { | |
| "feature": "swing_low_distance", | |
| "importance": 0.2310651364137198, | |
| "importance_pct": 0.014308086851535505 | |
| }, | |
| { | |
| "feature": "short_close_confirm_ok", | |
| "importance": 0.20788102767421313, | |
| "importance_pct": 0.012872473298713051 | |
| }, | |
| { | |
| "feature": "volume_ok", | |
| "importance": 0.20176595563699207, | |
| "importance_pct": 0.012493813916471603 | |
| }, | |
| { | |
| "feature": "bollinger_mid", | |
| "importance": 0.19737781649132585, | |
| "importance_pct": 0.012222090206926788 | |
| }, | |
| { | |
| "feature": "volatility_96", | |
| "importance": 0.18815061379713632, | |
| "importance_pct": 0.011650720507480656 | |
| }, | |
| { | |
| "feature": "prior_day_high_distance", | |
| "importance": 0.18204803305860195, | |
| "importance_pct": 0.011272834615300374 | |
| }, | |
| { | |
| "feature": "ema_233", | |
| "importance": 0.17916382054225405, | |
| "importance_pct": 0.011094237515700274 | |
| }, | |
| { | |
| "feature": "guide_price", | |
| "importance": 0.17916382054225405, | |
| "importance_pct": 0.011094237515700274 | |
| } | |
| ] | |
| }, | |
| "ensemble": [ | |
| { | |
| "feature": "natr", | |
| "importance": 0.13752533868184735, | |
| "importance_pct": 0.07433297295958192 | |
| }, | |
| { | |
| "feature": "volatility_ratio", | |
| "importance": 0.11476453446666952, | |
| "importance_pct": 0.062030670994857 | |
| }, | |
| { | |
| "feature": "atr_expansion_ratio", | |
| "importance": 0.09852912495533019, | |
| "importance_pct": 0.05325536989208341 | |
| }, | |
| { | |
| "feature": "sma_233", | |
| "importance": 0.08989994982488834, | |
| "importance_pct": 0.048591267641671744 | |
| }, | |
| { | |
| "feature": "volatility_96", | |
| "importance": 0.0626824925631992, | |
| "importance_pct": 0.03388012761429029 | |
| }, | |
| { | |
| "feature": "bollinger_upper", | |
| "importance": 0.06112207860094588, | |
| "importance_pct": 0.0330367178835914 | |
| }, | |
| { | |
| "feature": "donchian_lower", | |
| "importance": 0.05873019985073914, | |
| "importance_pct": 0.031743898246382365 | |
| }, | |
| { | |
| "feature": "adr_low", | |
| "importance": 0.05367019475037014, | |
| "importance_pct": 0.029008946084794106 | |
| }, | |
| { | |
| "feature": "volatility_20", | |
| "importance": 0.05089831273171523, | |
| "importance_pct": 0.027510733223697383 | |
| }, | |
| { | |
| "feature": "adr_high", | |
| "importance": 0.045407572677376495, | |
| "importance_pct": 0.02454296716764383 | |
| }, | |
| { | |
| "feature": "bollinger_lower", | |
| "importance": 0.03917915721959127, | |
| "importance_pct": 0.021176484727083212 | |
| }, | |
| { | |
| "feature": "efficiency_ratio", | |
| "importance": 0.03916596584357243, | |
| "importance_pct": 0.021169354737756836 | |
| }, | |
| { | |
| "feature": "swing_low_distance", | |
| "importance": 0.03751323356541093, | |
| "importance_pct": 0.02027604660327396 | |
| }, | |
| { | |
| "feature": "volatility_288", | |
| "importance": 0.033024353868380894, | |
| "importance_pct": 0.017849789912424644 | |
| }, | |
| { | |
| "feature": "donchian_upper", | |
| "importance": 0.030055796419682517, | |
| "importance_pct": 0.016245273227150064 | |
| }, | |
| { | |
| "feature": "macd_fast_8_21_line", | |
| "importance": 0.029967391818770714, | |
| "importance_pct": 0.016197490201330492 | |
| }, | |
| { | |
| "feature": "swing_high_distance", | |
| "importance": 0.029014749522150836, | |
| "importance_pct": 0.015682583386677097 | |
| }, | |
| { | |
| "feature": "atr14", | |
| "importance": 0.028020824016464104, | |
| "importance_pct": 0.015145362839204252 | |
| }, | |
| { | |
| "feature": "sma_55", | |
| "importance": 0.02516615311475885, | |
| "importance_pct": 0.01360240226932804 | |
| }, | |
| { | |
| "feature": "ema_confirm_distance", | |
| "importance": 0.023698142255192605, | |
| "importance_pct": 0.01280893676999229 | |
| } | |
| ], | |
| "sample_size": 256, | |
| "skipped_models": { | |
| "xgboost": "XGBoost contributions disabled for deterministic diagnostics" | |
| } | |
| } | |
| } | |
| } |