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