validation-results.md 1.8 KB
Robust Ultra-Short Validation Results
Command:
rtk uv run python scripts/explore_ultrashort.py --robust-all --history-limit 50000 --window-size 240
Scope:
- Symbols:
BTC-USDT-SWAP,ETH-USDT-SWAP - Bars:
1m,3m,5m - History:
50,000candles per symbol/bar - Evaluation windows:
240report candles per window - Windowing: complete non-overlapping windows
- Result file:
ultrashort-robust-all.csv
Gross-return limitation:
These results exclude fees, slippage, and funding rates. They are not live-trading-ready profitability claims.
Supported Current Candidate Family
RSI2 is the strongest current gross-return candidate family because multiple RSI2 parameter sets have positive ci95_low in the 50,000-candle robust run.
Top supported row by confidence interval lower bound:
- Symbol/bar:
BTC-USDT-SWAP 3m - Candidate:
rsi2-t50-l18.0-s82.0 - Sample count:
208 - Average return:
0.004964944867230226 - 95% CI:
[0.0021465031908155787, 0.007783386543644873] - Median return:
0.005718299303763979 - Positive-window rate:
0.6442307692307693 - Worst return:
-0.09055481231134109 - P10 return:
-0.019867937019411638 - P90 return:
0.030006449668830256 - Trade count:
3142 - Average trades per window:
15.10576923076923 - Win rate:
0.6750833353564286 - Max drawdown:
0.10233260066528144
Rejected Prior Candidate
VWAP reversion is rejected as a supported gross-return candidate because robust validation did not produce a positive 95% confidence interval lower bound for the tested VWAP parameter set family.
Top VWAP robust row by confidence interval lower bound:
- Symbol/bar:
BTC-USDT-SWAP 3m - Candidate:
vwap-revert-w56-z2.4-sl0.006 - Sample count:
207 - Average return:
0.000949 - 95% CI lower bound:
-0.003921 - 95% CI upper bound:
0.005819