ARIMA_SAX_Hybrid_Forecaster/results/R2-H/R2_H_INFERENCE.json

199 lines
5.3 KiB
JSON

{
"experiment": "R2-H",
"stage": "analysis",
"protocol_version": "r2-h-v0.1.0-frozen",
"statistical_params": {
"method": "Moving Block Bootstrap (MBB)",
"block_length_M1": 60,
"replications": 10000,
"seed": 20260826,
"ci": "95% percentile [2.5,97.5]"
},
"fwer": {
"method": "joint cross-horizon block bootstrap (B=60 M1 blocks); max-stat under re-centered global null",
"family": [
60,
240
],
"alpha_familywise": 0.05,
"observed_excess_per_horizon": {
"H060": -0.00962448721994319,
"H240": -0.021436848203939762
},
"observed_max_stat": -0.00962448721994319,
"null_critical_value_95": 0.0305277572948488,
"null_p_value": 0.9387,
"global_gate_rejected": false
},
"cost": {
"round_trip_bps": 7.57,
"formula": "cost_atr=(7.57/10000)*(close[o]/ATR20[o])"
},
"per_horizon": {
"H015": {
"horizon_minutes": 15,
"role": "control",
"n_origins": 13193,
"n_traded": 13193,
"trade_coverage": 1.0,
"metrics": {
"direction_accuracy": {
"n": 13193,
"n_eff": 219,
"obs": 0.4936708860759494,
"ci_lo": 0.484954142348215,
"ci_hi": 0.5018570454028651
},
"gross_return_per_trade": {
"n": 13193,
"n_eff": 219,
"obs": 0.050154773362448404,
"ci_lo": -0.052425947518492576,
"ci_hi": 0.14422259635203652
},
"net_return_per_trade": {
"n": 13193,
"n_eff": 219,
"obs": -3.8665775987909043,
"ci_lo": -4.075294335142025,
"ci_hi": -3.676925101094533
},
"paired_error_diff_naive_minus_drift": {
"n": 13193,
"n_eff": 219,
"obs": -0.8502885613457368,
"ci_lo": -0.9295426036680581,
"ci_hi": -0.7886687592646824
},
"mase_drift_vs_naive": 1.1945595491751297,
"q1_A": false,
"q1_B": false,
"q1_C": false,
"q1_all": false,
"q2_economic_survival": false
}
},
"H060": {
"horizon_minutes": 60,
"role": "primary family",
"n_origins": 3169,
"n_traded": 3169,
"trade_coverage": 1.0,
"metrics": {
"direction_accuracy": {
"n": 3169,
"n_eff": 52,
"obs": 0.4903755127800568,
"ci_lo": 0.4704954244241086,
"ci_hi": 0.5071000315556958
},
"gross_return_per_trade": {
"n": 3169,
"n_eff": 52,
"obs": -0.06697813507112493,
"ci_lo": -0.623702735072727,
"ci_hi": 0.3891064976568514
},
"net_return_per_trade": {
"n": 3169,
"n_eff": 52,
"obs": -3.895794652408662,
"ci_lo": -4.615352603207609,
"ci_hi": -3.334686527577686
},
"paired_error_diff_naive_minus_drift": {
"n": 3169,
"n_eff": 52,
"obs": -5.061252743058717,
"ci_lo": -5.419362944532922,
"ci_hi": -4.72506315146994
},
"mase_drift_vs_naive": 1.5712886088003442,
"q1_A": false,
"q1_B": false,
"q1_C": false,
"q1_all": false,
"q2_economic_survival": false
}
},
"H240": {
"horizon_minutes": 240,
"role": "primary family",
"n_origins": 863,
"n_traded": 863,
"trade_coverage": 1.0,
"metrics": {
"direction_accuracy": {
"n": 863,
"n_eff": 14,
"obs": 0.47856315179606024,
"ci_lo": 0.440324449594438,
"ci_hi": 0.5144843568945539
},
"gross_return_per_trade": {
"n": 863,
"n_eff": 14,
"obs": -0.8881199082433306,
"ci_lo": -2.917973526152107,
"ci_hi": 0.7077819294641226
},
"net_return_per_trade": {
"n": 863,
"n_eff": 14,
"obs": -4.347895951756825,
"ci_lo": -6.535349717105384,
"ci_hi": -2.5812442357135272
},
"paired_error_diff_naive_minus_drift": {
"n": 863,
"n_eff": 14,
"obs": -26.496295362242172,
"ci_lo": -28.808525667326695,
"ci_hi": -24.73402098664279
},
"mase_drift_vs_naive": 2.5133052752882072,
"q1_A": false,
"q1_B": false,
"q1_C": false,
"q1_all": false,
"q2_economic_survival": false
}
}
},
"outcome": "NULL",
"integrity": {
"H015": {
"n_origins": 13193,
"rows": 26386,
"expected_rows": 26386,
"models_present": [
"drift",
"naive"
],
"complete": true,
"prediction_file_hash": "6ec7334c782999d7169bc4589b732ee85d93f7463fc8ceb47b9e54824eaf0e3b"
},
"H060": {
"n_origins": 3169,
"rows": 6338,
"expected_rows": 6338,
"models_present": [
"drift",
"naive"
],
"complete": true,
"prediction_file_hash": "abe8d26c040c543fdb8d94391b9678863165a981feeadafe3d9470212c560e5d"
},
"H240": {
"n_origins": 863,
"rows": 1726,
"expected_rows": 1726,
"models_present": [
"drift",
"naive"
],
"complete": true,
"prediction_file_hash": "3e84e32c38f38c626d42ec128a3d9a01c172173cdf021bb9bc52997382977343"
}
}
}