{ "ranking_metric": "cumulative_return", "family_comparison": [ { "experiment": "family_comparison", "family_name": "baseline_ml", "family_label": "Simple ML Baseline", "family_source_name": "baseline-ml", "scenario_name": "base", "scenario_order": 1, "run_name": "family_comparison_baseline_ml_base", "strategy_name": "elastic_net_regression", "source": "baseline-ml", "source_subtype": "baseline_linear", "task": "regression", "evaluation_split": "test", "status": "no_tradable_signals", "diagnostic_reason": "test: signal_count == 0 for split 'test'.", "skip_reason": "test: signal_count == 0 for split 'test'.", "signal_threshold": 0.0, "signal_threshold_mode": "constant", "threshold_objective": "avg_signal_return_bps", "selected_threshold_objective_value": null, "prediction_mode": "static", "calibration_method": "none", "feature_importance_method": "permutation_validation", "selected_hyperparameters_json": "{\"alpha\": 1.0, \"estimator\": \"elastic_net\", \"l1_ratio\": 0.2, \"random_state\": 42}", "checkpoint_selection_metric": null, "best_checkpoint_metric_value": null, "checkpoint_selection_effective_metric": null, "best_checkpoint_effective_metric_value": NaN, "checkpoint_selection_fallback_used": false, "selected_loss": null, "regression_loss": null, "use_balanced_classification_loss": false, "preprocessing_scaler": null, "winsorize_lower_quantile": NaN, "winsorize_upper_quantile": NaN, "signal_count_by_split": "{\"test\": 0}", "trade_count": 0, "active_position_count": 0, "cumulative_return": 0.0, "realized_cumulative_return": 0.0, "annualized_return": 0.0, "realized_annualized_return": 0.0, "sharpe_ratio": NaN, "simple_annualized_sharpe": NaN, "raw_period_sharpe": NaN, "autocorr_adjusted_sharpe": NaN, "realized_sharpe_ratio": NaN, "max_drawdown": NaN, "realized_max_drawdown": NaN, "mark_to_market_max_drawdown": NaN, "win_rate": NaN, "profit_factor": NaN, "average_trade_return_bps": NaN, "median_trade_return_bps": NaN, "average_trade_pnl_usd": NaN, "expectancy_per_trade_usd": NaN, "expectancy_per_trade_bps": NaN, "average_holding_hours": NaN, "median_holding_hours": NaN, "max_consecutive_losses": 0, "exposure_time_fraction": 0.0, "average_gross_leverage": 0.0, "max_gross_leverage": 0.0, "total_turnover_usd": 0.0, "total_fees_usd": 0.0, "total_gas_cost_usd": 0.0, "total_other_friction_usd": 0.0, "total_embedded_slippage_cost_usd": 0.0, "total_funding_pnl_usd": 0.0, "funding_contribution_share": 0.0, "total_gross_pnl_usd": 0.0, "total_net_pnl_usd": 0.0, "final_equity_usd": 100000.0, "realized_final_equity_usd": 100000.0, "has_trades": false, "strategy_detail_label": "baseline_linear | static | thr=0", "scenario_label": "base" }, { "experiment": "family_comparison", "family_name": "deep_learning", "family_label": "Deep Learning", "family_source_name": "dl", "scenario_name": "base", "scenario_order": 1, "run_name": "family_comparison_deep_learning_base", "strategy_name": "transformer_encoder", "source": "dl", "source_subtype": "deep_learning", "task": "regression", "evaluation_split": "test", "status": "no_tradable_signals", "diagnostic_reason": "test: signal_count == 0 for split 'test'.", "skip_reason": "test: signal_count == 0 for split 'test'.", "signal_threshold": 0.0, "signal_threshold_mode": "constant", "threshold_objective": "avg_signal_return_bps", "selected_threshold_objective_value": null, "prediction_mode": "static", "calibration_method": "none", "feature_importance_method": "ablation_validation", "selected_hyperparameters_json": "{\"batch_size\": 256, \"dropout\": 0.1, \"learning_rate\": 0.001, \"lookback_steps\": 48, \"model_name\": \"transformer_encoder\", \"transformer_d_model\": 64, \"transformer_dim_feedforward\": 128, \"transformer_nhead\": 4, \"transformer_num_layers\": 2, \"transformer_pooling\": \"last\", \"weight_decay\": 1e-05}", "checkpoint_selection_metric": "validation_avg_signal_return_bps", "best_checkpoint_metric_value": null, "checkpoint_selection_effective_metric": "validation_loss", "best_checkpoint_effective_metric_value": 0.9488472537, "checkpoint_selection_fallback_used": true, "selected_loss": "huber", "regression_loss": "huber", "use_balanced_classification_loss": false, "preprocessing_scaler": "robust", "winsorize_lower_quantile": 0.01, "winsorize_upper_quantile": 0.99, "signal_count_by_split": "{\"test\": 0}", "trade_count": 0, "active_position_count": 0, "cumulative_return": 0.0, "realized_cumulative_return": 0.0, "annualized_return": 0.0, "realized_annualized_return": 0.0, "sharpe_ratio": NaN, "simple_annualized_sharpe": NaN, "raw_period_sharpe": NaN, "autocorr_adjusted_sharpe": NaN, "realized_sharpe_ratio": NaN, "max_drawdown": NaN, "realized_max_drawdown": NaN, "mark_to_market_max_drawdown": NaN, "win_rate": NaN, "profit_factor": NaN, "average_trade_return_bps": NaN, "median_trade_return_bps": NaN, "average_trade_pnl_usd": NaN, "expectancy_per_trade_usd": NaN, "expectancy_per_trade_bps": NaN, "average_holding_hours": NaN, "median_holding_hours": NaN, "max_consecutive_losses": 0, "exposure_time_fraction": 0.0, "average_gross_leverage": 0.0, "max_gross_leverage": 0.0, "total_turnover_usd": 0.0, "total_fees_usd": 0.0, "total_gas_cost_usd": 0.0, "total_other_friction_usd": 0.0, "total_embedded_slippage_cost_usd": 0.0, "total_funding_pnl_usd": 0.0, "funding_contribution_share": 0.0, "total_gross_pnl_usd": 0.0, "total_net_pnl_usd": 0.0, "final_equity_usd": 100000.0, "realized_final_equity_usd": 100000.0, "has_trades": false, "strategy_detail_label": "deep_learning | static | thr=0 | loss=huber | ckpt=validation_loss | scale=robust | fallback", "scenario_label": "base" }, { "experiment": "family_comparison", "family_name": "rule_based", "family_label": "Rule-Based Baseline", "family_source_name": "rules", "scenario_name": "base", "scenario_order": 1, "run_name": "family_comparison_rule_based_base", "strategy_name": "spread_zscore_1p5", "source": "rules", "source_subtype": "rule_based", "task": "classification", "evaluation_split": "test", "status": "completed", "diagnostic_reason": null, "skip_reason": null, "signal_threshold": 2.0, "signal_threshold_mode": "constant", "threshold_objective": "avg_signal_return_bps", "selected_threshold_objective_value": null, "prediction_mode": "static", "calibration_method": "none", "feature_importance_method": "not_applicable", "selected_hyperparameters_json": "{}", "checkpoint_selection_metric": null, "best_checkpoint_metric_value": null, "checkpoint_selection_effective_metric": null, "best_checkpoint_effective_metric_value": NaN, "checkpoint_selection_fallback_used": false, "selected_loss": null, "regression_loss": null, "use_balanced_classification_loss": false, "preprocessing_scaler": null, "winsorize_lower_quantile": NaN, "winsorize_upper_quantile": NaN, "signal_count_by_split": "{\"test\": 237}", "trade_count": 200, "active_position_count": 200, "cumulative_return": -0.06474853785395251, "realized_cumulative_return": -0.06474853785395351, "annualized_return": -0.06341853594380031, "realized_annualized_return": -0.06341853594380031, "sharpe_ratio": -14.07210740647856, "simple_annualized_sharpe": -14.07210740647856, "raw_period_sharpe": -0.1503512655954362, "autocorr_adjusted_sharpe": -12.912401738581721, "realized_sharpe_ratio": -14.13756554511874, "max_drawdown": -0.06474853785395185, "realized_max_drawdown": -0.06474853785395185, "mark_to_market_max_drawdown": -0.06474853785395185, "win_rate": 0.0, "profit_factor": 0.0, "average_trade_return_bps": -32.37426892697597, "median_trade_return_bps": -32.56414006936874, "average_trade_pnl_usd": -32.37426892697597, "expectancy_per_trade_usd": -32.37426892697597, "expectancy_per_trade_bps": -32.37426892697597, "average_holding_hours": 1.185, "median_holding_hours": 1.0, "max_consecutive_losses": 200, "exposure_time_fraction": 0.026477488548765502, "average_gross_leverage": 0.0052954977097531, "max_gross_leverage": 0.2, "total_turnover_usd": 8000000.0, "total_fees_usd": 4000.0, "total_gas_cost_usd": 400.0, "total_other_friction_usd": 0.0, "total_embedded_slippage_cost_usd": 2399.9999999999995, "total_funding_pnl_usd": 7.913600000000001, "funding_contribution_share": 0.0012222052052897425, "total_gross_pnl_usd": -2074.853785395194, "total_net_pnl_usd": -6474.853785395195, "final_equity_usd": 93525.14621460481, "realized_final_equity_usd": 93525.14621460481, "has_trades": true, "strategy_detail_label": "rule_based | static | thr=2", "scenario_label": "base" } ], "cost_sensitivity_range": [ { "family_name": "baseline_ml", "max": 0.0, "min": 0.0, "metric_range": 0.0 }, { "family_name": "deep_learning", "max": 0.0, "min": 0.0, "metric_range": 0.0 }, { "family_name": "rule_based", "max": -0.03074271730077649, "min": -0.10075436366025536, "metric_range": 0.07001164635947887 } ], "best_holding_window_by_family": [ { "family_name": "baseline_ml", "family_label": "Simple ML Baseline", "scenario_name": "hold_24h", "holding_window_hours": 24, "strategy_name": "elastic_net_regression", "source_subtype": "baseline_linear", "strategy_detail_label": "baseline_linear | static | thr=0", "prediction_mode": "static", "calibration_method": "none", "signal_threshold": 0.0, "threshold_objective": "avg_signal_return_bps", "feature_importance_method": "permutation_validation", "checkpoint_selection_metric": null, "best_checkpoint_metric_value": null, "checkpoint_selection_effective_metric": null, "best_checkpoint_effective_metric_value": NaN, "checkpoint_selection_fallback_used": false, "selected_loss": null, "regression_loss": null, "use_balanced_classification_loss": false, "preprocessing_scaler": null, "winsorize_lower_quantile": NaN, "winsorize_upper_quantile": NaN, "cumulative_return": 0.0 }, { "family_name": "deep_learning", "family_label": "Deep Learning", "scenario_name": "hold_24h", "holding_window_hours": 24, "strategy_name": "transformer_encoder", "source_subtype": "deep_learning", "strategy_detail_label": "deep_learning | static | thr=0 | loss=huber | ckpt=validation_loss | scale=robust | fallback", "prediction_mode": "static", "calibration_method": "none", "signal_threshold": 0.0, "threshold_objective": "avg_signal_return_bps", "feature_importance_method": "ablation_validation", "checkpoint_selection_metric": "validation_avg_signal_return_bps", "best_checkpoint_metric_value": null, "checkpoint_selection_effective_metric": "validation_loss", "best_checkpoint_effective_metric_value": 0.9488472537, "checkpoint_selection_fallback_used": true, "selected_loss": "huber", "regression_loss": "huber", "use_balanced_classification_loss": false, "preprocessing_scaler": "robust", "winsorize_lower_quantile": 0.01, "winsorize_upper_quantile": 0.99, "cumulative_return": 0.0 }, { "family_name": "rule_based", "family_label": "Rule-Based Baseline", "scenario_name": "hold_24h", "holding_window_hours": 24, "strategy_name": "spread_zscore_1p5", "source_subtype": "rule_based", "strategy_detail_label": "rule_based | static | thr=2", "prediction_mode": "static", "calibration_method": "none", "signal_threshold": 2.0, "threshold_objective": "avg_signal_return_bps", "feature_importance_method": "not_applicable", "checkpoint_selection_metric": null, "best_checkpoint_metric_value": null, "checkpoint_selection_effective_metric": null, "best_checkpoint_effective_metric_value": NaN, "checkpoint_selection_fallback_used": false, "selected_loss": null, "regression_loss": null, "use_balanced_classification_loss": false, "preprocessing_scaler": null, "winsorize_lower_quantile": NaN, "winsorize_upper_quantile": NaN, "cumulative_return": -0.06474853785395251 } ], "best_rule_threshold_by_strategy": [ { "strategy_name": "combined_funding_spread", "scenario_name": "score_0", "min_signal_score": 0.0, "source_subtype": "rule_based", "strategy_detail_label": "rule_based | static | thr=0", "prediction_mode": "static", "calibration_method": "none", "signal_threshold": 0.0, "threshold_objective": "avg_signal_return_bps", "feature_importance_method": "not_applicable", "checkpoint_selection_metric": null, "best_checkpoint_metric_value": null, "checkpoint_selection_effective_metric": null, "best_checkpoint_effective_metric_value": null, "checkpoint_selection_fallback_used": false, "selected_loss": null, "regression_loss": null, "use_balanced_classification_loss": false, "preprocessing_scaler": null, "winsorize_lower_quantile": null, "winsorize_upper_quantile": null, "cumulative_return": 0.0 }, { "strategy_name": "funding_threshold_2bps", "scenario_name": "score_0", "min_signal_score": 0.0, "source_subtype": "rule_based", "strategy_detail_label": "rule_based | static | thr=3", "prediction_mode": "static", "calibration_method": "none", "signal_threshold": 3.0, "threshold_objective": "avg_signal_return_bps", "feature_importance_method": "not_applicable", "checkpoint_selection_metric": null, "best_checkpoint_metric_value": null, "checkpoint_selection_effective_metric": null, "best_checkpoint_effective_metric_value": null, "checkpoint_selection_fallback_used": false, "selected_loss": null, "regression_loss": null, "use_balanced_classification_loss": false, "preprocessing_scaler": null, "winsorize_lower_quantile": null, "winsorize_upper_quantile": null, "cumulative_return": 0.0 }, { "strategy_name": "spread_zscore_1p5", "scenario_name": "score_2p0", "min_signal_score": 2.0, "source_subtype": "rule_based", "strategy_detail_label": "rule_based | static | thr=2", "prediction_mode": "static", "calibration_method": "none", "signal_threshold": 2.0, "threshold_objective": "avg_signal_return_bps", "feature_importance_method": "not_applicable", "checkpoint_selection_metric": null, "best_checkpoint_metric_value": null, "checkpoint_selection_effective_metric": null, "best_checkpoint_effective_metric_value": null, "checkpoint_selection_fallback_used": false, "selected_loss": null, "regression_loss": null, "use_balanced_classification_loss": false, "preprocessing_scaler": null, "winsorize_lower_quantile": null, "winsorize_upper_quantile": null, "cumulative_return": -0.0011447957239713036 } ], "most_damaging_ablation_cases": [ { "family_name": "baseline_ml", "family_label": "Simple ML Baseline", "scenario_name": "no_basis", "strategy_name": "logistic_l1", "source_subtype": "baseline_linear", "strategy_detail_label": "baseline_linear | static | thr=0.5", "prediction_mode": "static", "calibration_method": "none", "signal_threshold": 0.5, "threshold_objective": "avg_signal_return_bps", "feature_importance_method": "permutation_validation", "checkpoint_selection_metric": null, "best_checkpoint_metric_value": null, "checkpoint_selection_effective_metric": null, "best_checkpoint_effective_metric_value": NaN, "checkpoint_selection_fallback_used": false, "selected_loss": null, "regression_loss": null, "use_balanced_classification_loss": false, "preprocessing_scaler": null, "winsorize_lower_quantile": NaN, "winsorize_upper_quantile": NaN, "cumulative_return": -0.004023814332537623 }, { "family_name": "baseline_ml", "family_label": "Simple ML Baseline", "scenario_name": "no_volatility", "strategy_name": "logistic_l1", "source_subtype": "baseline_linear", "strategy_detail_label": "baseline_linear | static | thr=0.5", "prediction_mode": "static", "calibration_method": "none", "signal_threshold": 0.5, "threshold_objective": "avg_signal_return_bps", "feature_importance_method": "permutation_validation", "checkpoint_selection_metric": null, "best_checkpoint_metric_value": null, "checkpoint_selection_effective_metric": null, "best_checkpoint_effective_metric_value": NaN, "checkpoint_selection_fallback_used": false, "selected_loss": null, "regression_loss": null, "use_balanced_classification_loss": false, "preprocessing_scaler": null, "winsorize_lower_quantile": NaN, "winsorize_upper_quantile": NaN, "cumulative_return": -0.0003591843786664439 }, { "family_name": "baseline_ml", "family_label": "Simple ML Baseline", "scenario_name": "no_funding", "strategy_name": "logistic_l1", "source_subtype": "baseline_linear", "strategy_detail_label": "baseline_linear | static | thr=0.5", "prediction_mode": "static", "calibration_method": "none", "signal_threshold": 0.5, "threshold_objective": "avg_signal_return_bps", "feature_importance_method": "permutation_validation", "checkpoint_selection_metric": null, "best_checkpoint_metric_value": null, "checkpoint_selection_effective_metric": null, "best_checkpoint_effective_metric_value": NaN, "checkpoint_selection_fallback_used": false, "selected_loss": null, "regression_loss": null, "use_balanced_classification_loss": false, "preprocessing_scaler": null, "winsorize_lower_quantile": NaN, "winsorize_upper_quantile": NaN, "cumulative_return": -0.00033723407827002116 }, { "family_name": "baseline_ml", "family_label": "Simple ML Baseline", "scenario_name": "no_interaction", "strategy_name": "elastic_net_regression", "source_subtype": "baseline_linear", "strategy_detail_label": "baseline_linear | static | thr=0", "prediction_mode": "static", "calibration_method": "none", "signal_threshold": 0.0, "threshold_objective": "avg_signal_return_bps", "feature_importance_method": "permutation_validation", "checkpoint_selection_metric": null, "best_checkpoint_metric_value": null, "checkpoint_selection_effective_metric": null, "best_checkpoint_effective_metric_value": NaN, "checkpoint_selection_fallback_used": false, "selected_loss": null, "regression_loss": null, "use_balanced_classification_loss": false, "preprocessing_scaler": null, "winsorize_lower_quantile": NaN, "winsorize_upper_quantile": NaN, "cumulative_return": 0.0 }, { "family_name": "baseline_ml", "family_label": "Simple ML Baseline", "scenario_name": "no_liquidity", "strategy_name": "elastic_net_regression", "source_subtype": "baseline_linear", "strategy_detail_label": "baseline_linear | static | thr=0", "prediction_mode": "static", "calibration_method": "none", "signal_threshold": 0.0, "threshold_objective": "avg_signal_return_bps", "feature_importance_method": "permutation_validation", "checkpoint_selection_metric": null, "best_checkpoint_metric_value": null, "checkpoint_selection_effective_metric": null, "best_checkpoint_effective_metric_value": NaN, "checkpoint_selection_fallback_used": false, "selected_loss": null, "regression_loss": null, "use_balanced_classification_loss": false, "preprocessing_scaler": null, "winsorize_lower_quantile": NaN, "winsorize_upper_quantile": NaN, "cumulative_return": 0.0 } ] }