399 lines
13 KiB
JSON
399 lines
13 KiB
JSON
|
{
|
||
|
|
"provenance": {
|
||
|
|
"P2_COMMIT_SHA": "8d330343af688e2de2b2a1d12ce19a582714709a",
|
||
|
|
"P2.6_SOURCE_SHA": "8d330343af688e2de2b2a1d12ce19a582714709a",
|
||
|
|
"FEATURE_CONTRACT_SHA_recorded": "C44CC6F2B740C32D06F776BD7C3E669DC5A8A6DE0484230544EBFFCF517D38DD",
|
||
|
|
"FEATURE_CONTRACT_SHA_file_now": "7b908b12255dbca3db244f7f2170d2537351ecad52cebb94053624f7b83fef22",
|
||
|
|
"MODEL_SHA": "06df8452a112290ecb9bae1a3dbff6df492e084f8b872885d808bb0303ec6a70",
|
||
|
|
"train_p26_script_sha": "e510ef3b9d87c35897f792bca15a9b0f8739dcaa554b4e1c4e512fbb96e939db",
|
||
|
|
"build_features_p2_script_sha": "4680f9057b6ef32fe311c5ba10dac2a243e15f624f61921557c92eec59fccea7",
|
||
|
|
"symbol": "XAUUSD",
|
||
|
|
"timeframe": "M15",
|
||
|
|
"window_start": "2017-01-01",
|
||
|
|
"P3_1_P3_2_1_CHECKPOINT_SHA": "dc1faa92f36ad22d4062315a5654965a08a006dc",
|
||
|
|
"script_sha": "d6da9ef0ae9145df92f5865419d28195388f278c7f5209132de6beea31afd110",
|
||
|
|
"dataset_hash": "e85a08616191fb7ce4bbe79c1754228ddbcf54562034a322747501c7aabe124e",
|
||
|
|
"event_semantics": "existing FEATURE_CONTRACT v1.0 (f9/f7/f10/f11)",
|
||
|
|
"entry_semantics": "close of closed decision bar",
|
||
|
|
"invalidation_semantics": "opposite structure break (f8 or f5 flip)"
|
||
|
|
},
|
||
|
|
"overlap_window_H": 8,
|
||
|
|
"combo": [
|
||
|
|
[
|
||
|
|
1.5,
|
||
|
|
0.75
|
||
|
|
],
|
||
|
|
[
|
||
|
|
1.0,
|
||
|
|
1.0
|
||
|
|
]
|
||
|
|
],
|
||
|
|
"families": {
|
||
|
|
"E_BUY": {
|
||
|
|
"n_original": 27096,
|
||
|
|
"n_clusters": 420,
|
||
|
|
"n_lead": 420,
|
||
|
|
"n_follow_on": 26676,
|
||
|
|
"median_cluster_size": 41.0,
|
||
|
|
"max_cluster_size": 388.0,
|
||
|
|
"retention_rate": 0.01550044286979628,
|
||
|
|
"follow_on_rate": 0.9844995571302038,
|
||
|
|
"deoverlap_verified_next_gt_H": true,
|
||
|
|
"outcomes": {
|
||
|
|
"1.5/0.75": {
|
||
|
|
"ALL": {
|
||
|
|
"n": 27096,
|
||
|
|
"P_win": 0.2650206672571597,
|
||
|
|
"P_loss": 0.5808975494537939,
|
||
|
|
"P_unresolved": 0.14585178624151166,
|
||
|
|
"P_ambiguous": 0.00822999704753469,
|
||
|
|
"MFE_median_atr": 1.1344694528893517,
|
||
|
|
"MAE_median_atr": 1.1122031122031557,
|
||
|
|
"median_t_TP": 4.0,
|
||
|
|
"median_t_SL": 2.0
|
||
|
|
},
|
||
|
|
"LEAD": {
|
||
|
|
"n": 420,
|
||
|
|
"P_win": 0.28095238095238095,
|
||
|
|
"P_loss": 0.6404761904761904,
|
||
|
|
"P_unresolved": 0.07380952380952381,
|
||
|
|
"P_ambiguous": 0.004761904761904762,
|
||
|
|
"MFE_median_atr": 1.3243101735636982,
|
||
|
|
"MAE_median_atr": 1.48039053240774,
|
||
|
|
"median_t_TP": 3.0,
|
||
|
|
"median_t_SL": 2.0
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"1.0/1.0": {
|
||
|
|
"ALL": {
|
||
|
|
"n": 27096,
|
||
|
|
"P_win": 0.4374077354591084,
|
||
|
|
"P_loss": 0.43094921759669325,
|
||
|
|
"P_unresolved": 0.12023914968999114,
|
||
|
|
"P_ambiguous": 0.011403897254207263,
|
||
|
|
"MFE_median_atr": 1.1344694528893517,
|
||
|
|
"MAE_median_atr": 1.1122031122031557,
|
||
|
|
"median_t_TP": 3.0,
|
||
|
|
"median_t_SL": 3.0
|
||
|
|
},
|
||
|
|
"LEAD": {
|
||
|
|
"n": 420,
|
||
|
|
"P_win": 0.44761904761904764,
|
||
|
|
"P_loss": 0.48333333333333334,
|
||
|
|
"P_unresolved": 0.05714285714285714,
|
||
|
|
"P_ambiguous": 0.011904761904761904,
|
||
|
|
"MFE_median_atr": 1.3243101735636982,
|
||
|
|
"MAE_median_atr": 1.48039053240774,
|
||
|
|
"median_t_TP": 2.0,
|
||
|
|
"median_t_SL": 2.0
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"E_SELL": {
|
||
|
|
"n_original": 25259,
|
||
|
|
"n_clusters": 391,
|
||
|
|
"n_lead": 391,
|
||
|
|
"n_follow_on": 24868,
|
||
|
|
"median_cluster_size": 43.0,
|
||
|
|
"max_cluster_size": 473.0,
|
||
|
|
"retention_rate": 0.015479631022605803,
|
||
|
|
"follow_on_rate": 0.9845203689773941,
|
||
|
|
"deoverlap_verified_next_gt_H": true,
|
||
|
|
"outcomes": {
|
||
|
|
"1.5/0.75": {
|
||
|
|
"ALL": {
|
||
|
|
"n": 25259,
|
||
|
|
"P_win": 0.2655291183340591,
|
||
|
|
"P_loss": 0.5869591036858149,
|
||
|
|
"P_unresolved": 0.1390791401084762,
|
||
|
|
"P_ambiguous": 0.008432637871649709,
|
||
|
|
"MFE_median_atr": 1.1222293953088103,
|
||
|
|
"MAE_median_atr": 1.1470588235294854,
|
||
|
|
"median_t_TP": 4.0,
|
||
|
|
"median_t_SL": 2.0
|
||
|
|
},
|
||
|
|
"LEAD": {
|
||
|
|
"n": 391,
|
||
|
|
"P_win": 0.289002557544757,
|
||
|
|
"P_loss": 0.6368286445012787,
|
||
|
|
"P_unresolved": 0.058823529411764705,
|
||
|
|
"P_ambiguous": 0.015345268542199489,
|
||
|
|
"MFE_median_atr": 1.4293315596941156,
|
||
|
|
"MAE_median_atr": 1.4915445321306384,
|
||
|
|
"median_t_TP": 3.0,
|
||
|
|
"median_t_SL": 1.0
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"1.0/1.0": {
|
||
|
|
"ALL": {
|
||
|
|
"n": 25259,
|
||
|
|
"P_win": 0.43635931747100043,
|
||
|
|
"P_loss": 0.43457777425868005,
|
||
|
|
"P_unresolved": 0.11738390276733046,
|
||
|
|
"P_ambiguous": 0.011679005502989033,
|
||
|
|
"MFE_median_atr": 1.1222293953088103,
|
||
|
|
"MAE_median_atr": 1.1470588235294854,
|
||
|
|
"median_t_TP": 3.0,
|
||
|
|
"median_t_SL": 3.0
|
||
|
|
},
|
||
|
|
"LEAD": {
|
||
|
|
"n": 391,
|
||
|
|
"P_win": 0.4398976982097187,
|
||
|
|
"P_loss": 0.48081841432225064,
|
||
|
|
"P_unresolved": 0.05370843989769821,
|
||
|
|
"P_ambiguous": 0.02557544757033248,
|
||
|
|
"MFE_median_atr": 1.4293315596941156,
|
||
|
|
"MAE_median_atr": 1.4915445321306384,
|
||
|
|
"median_t_TP": 2.0,
|
||
|
|
"median_t_SL": 2.0
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"E_EQH": {
|
||
|
|
"n_original": 877,
|
||
|
|
"n_clusters": 19,
|
||
|
|
"n_lead": 19,
|
||
|
|
"n_follow_on": 858,
|
||
|
|
"median_cluster_size": 17.0,
|
||
|
|
"max_cluster_size": 384.0,
|
||
|
|
"retention_rate": 0.021664766248574687,
|
||
|
|
"follow_on_rate": 0.9783352337514253,
|
||
|
|
"deoverlap_verified_next_gt_H": true,
|
||
|
|
"outcomes": {
|
||
|
|
"1.5/0.75": {
|
||
|
|
"ALL": {
|
||
|
|
"n": 877,
|
||
|
|
"P_win": 0.2896237172177879,
|
||
|
|
"P_loss": 0.5199543899657925,
|
||
|
|
"P_unresolved": 0.18586088939566706,
|
||
|
|
"P_ambiguous": 0.004561003420752566,
|
||
|
|
"MFE_median_atr": 1.145780051150922,
|
||
|
|
"MAE_median_atr": 0.9366890730029671,
|
||
|
|
"median_t_TP": 4.0,
|
||
|
|
"median_t_SL": 2.0
|
||
|
|
},
|
||
|
|
"LEAD": {
|
||
|
|
"n": 19,
|
||
|
|
"P_win": 0.15789473684210525,
|
||
|
|
"P_loss": 0.6842105263157895,
|
||
|
|
"P_unresolved": 0.15789473684210525,
|
||
|
|
"P_ambiguous": 0.0,
|
||
|
|
"MFE_median_atr": 0.7433628318582824,
|
||
|
|
"MAE_median_atr": 1.5919732441472811,
|
||
|
|
"median_t_TP": 1.5,
|
||
|
|
"median_t_SL": 1.0
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"1.0/1.0": {
|
||
|
|
"ALL": {
|
||
|
|
"n": 877,
|
||
|
|
"P_win": 0.45952109464082097,
|
||
|
|
"P_loss": 0.37400228050171036,
|
||
|
|
"P_unresolved": 0.1653363740022805,
|
||
|
|
"P_ambiguous": 0.0011402508551881414,
|
||
|
|
"MFE_median_atr": 1.145780051150922,
|
||
|
|
"MAE_median_atr": 0.9366890730029671,
|
||
|
|
"median_t_TP": 3.0,
|
||
|
|
"median_t_SL": 3.0
|
||
|
|
},
|
||
|
|
"LEAD": {
|
||
|
|
"n": 19,
|
||
|
|
"P_win": 0.21052631578947367,
|
||
|
|
"P_loss": 0.631578947368421,
|
||
|
|
"P_unresolved": 0.15789473684210525,
|
||
|
|
"P_ambiguous": 0.0,
|
||
|
|
"MFE_median_atr": 0.7433628318582824,
|
||
|
|
"MAE_median_atr": 1.5919732441472811,
|
||
|
|
"median_t_TP": 3.0,
|
||
|
|
"median_t_SL": 1.0
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"E_EQL": {
|
||
|
|
"n_original": 1617,
|
||
|
|
"n_clusters": 28,
|
||
|
|
"n_lead": 28,
|
||
|
|
"n_follow_on": 1589,
|
||
|
|
"median_cluster_size": 42.5,
|
||
|
|
"max_cluster_size": 504.0,
|
||
|
|
"retention_rate": 0.017316017316017316,
|
||
|
|
"follow_on_rate": 0.9826839826839827,
|
||
|
|
"deoverlap_verified_next_gt_H": true,
|
||
|
|
"outcomes": {
|
||
|
|
"1.5/0.75": {
|
||
|
|
"ALL": {
|
||
|
|
"n": 1617,
|
||
|
|
"P_win": 0.23129251700680273,
|
||
|
|
"P_loss": 0.5844155844155844,
|
||
|
|
"P_unresolved": 0.1756338899196042,
|
||
|
|
"P_ambiguous": 0.008658008658008658,
|
||
|
|
"MFE_median_atr": 1.0257069408740416,
|
||
|
|
"MAE_median_atr": 1.0588947156111497,
|
||
|
|
"median_t_TP": 4.0,
|
||
|
|
"median_t_SL": 2.0
|
||
|
|
},
|
||
|
|
"LEAD": {
|
||
|
|
"n": 28,
|
||
|
|
"P_win": 0.17857142857142858,
|
||
|
|
"P_loss": 0.6785714285714286,
|
||
|
|
"P_unresolved": 0.10714285714285714,
|
||
|
|
"P_ambiguous": 0.03571428571428571,
|
||
|
|
"MFE_median_atr": 0.982427249366695,
|
||
|
|
"MAE_median_atr": 1.2578684087007606,
|
||
|
|
"median_t_TP": 4.0,
|
||
|
|
"median_t_SL": 2.0
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"1.0/1.0": {
|
||
|
|
"ALL": {
|
||
|
|
"n": 1617,
|
||
|
|
"P_win": 0.4168212739641311,
|
||
|
|
"P_loss": 0.43846629560915273,
|
||
|
|
"P_unresolved": 0.137291280148423,
|
||
|
|
"P_ambiguous": 0.0074211502782931356,
|
||
|
|
"MFE_median_atr": 1.0257069408740416,
|
||
|
|
"MAE_median_atr": 1.0588947156111497,
|
||
|
|
"median_t_TP": 3.0,
|
||
|
|
"median_t_SL": 3.0
|
||
|
|
},
|
||
|
|
"LEAD": {
|
||
|
|
"n": 28,
|
||
|
|
"P_win": 0.39285714285714285,
|
||
|
|
"P_loss": 0.4642857142857143,
|
||
|
|
"P_unresolved": 0.14285714285714285,
|
||
|
|
"P_ambiguous": 0.0,
|
||
|
|
"MFE_median_atr": 0.982427249366695,
|
||
|
|
"MAE_median_atr": 1.2578684087007606,
|
||
|
|
"median_t_TP": 2.0,
|
||
|
|
"median_t_SL": 2.0
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"E_BUY_STRICT": {
|
||
|
|
"n_original": 13143,
|
||
|
|
"n_clusters": 392,
|
||
|
|
"n_lead": 392,
|
||
|
|
"n_follow_on": 12751,
|
||
|
|
"median_cluster_size": 19.5,
|
||
|
|
"max_cluster_size": 256.0,
|
||
|
|
"retention_rate": 0.029825762763448223,
|
||
|
|
"follow_on_rate": 0.9701742372365518,
|
||
|
|
"deoverlap_verified_next_gt_H": true,
|
||
|
|
"outcomes": {
|
||
|
|
"1.5/0.75": {
|
||
|
|
"ALL": {
|
||
|
|
"n": 13143,
|
||
|
|
"P_win": 0.27109487940348476,
|
||
|
|
"P_loss": 0.5731568135128966,
|
||
|
|
"P_unresolved": 0.146161454766796,
|
||
|
|
"P_ambiguous": 0.009586852316822643,
|
||
|
|
"MFE_median_atr": 1.1607052896725494,
|
||
|
|
"MAE_median_atr": 1.1060948081265094,
|
||
|
|
"median_t_TP": 4.0,
|
||
|
|
"median_t_SL": 2.0
|
||
|
|
},
|
||
|
|
"LEAD": {
|
||
|
|
"n": 392,
|
||
|
|
"P_win": 0.29336734693877553,
|
||
|
|
"P_loss": 0.5943877551020408,
|
||
|
|
"P_unresolved": 0.10714285714285714,
|
||
|
|
"P_ambiguous": 0.00510204081632653,
|
||
|
|
"MFE_median_atr": 1.197834216525893,
|
||
|
|
"MAE_median_atr": 1.3206928108387053,
|
||
|
|
"median_t_TP": 3.0,
|
||
|
|
"median_t_SL": 2.0
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"1.0/1.0": {
|
||
|
|
"ALL": {
|
||
|
|
"n": 13143,
|
||
|
|
"P_win": 0.44441908240127825,
|
||
|
|
"P_loss": 0.42646275583961046,
|
||
|
|
"P_unresolved": 0.11740089781632808,
|
||
|
|
"P_ambiguous": 0.01171726394278323,
|
||
|
|
"MFE_median_atr": 1.1607052896725494,
|
||
|
|
"MAE_median_atr": 1.1060948081265094,
|
||
|
|
"median_t_TP": 3.0,
|
||
|
|
"median_t_SL": 3.0
|
||
|
|
},
|
||
|
|
"LEAD": {
|
||
|
|
"n": 392,
|
||
|
|
"P_win": 0.45153061224489793,
|
||
|
|
"P_loss": 0.46683673469387754,
|
||
|
|
"P_unresolved": 0.07908163265306123,
|
||
|
|
"P_ambiguous": 0.002551020408163265,
|
||
|
|
"MFE_median_atr": 1.197834216525893,
|
||
|
|
"MAE_median_atr": 1.3206928108387053,
|
||
|
|
"median_t_TP": 3.0,
|
||
|
|
"median_t_SL": 2.0
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"E_SELL_STRICT": {
|
||
|
|
"n_original": 9859,
|
||
|
|
"n_clusters": 381,
|
||
|
|
"n_lead": 381,
|
||
|
|
"n_follow_on": 9478,
|
||
|
|
"median_cluster_size": 15.0,
|
||
|
|
"max_cluster_size": 197.0,
|
||
|
|
"retention_rate": 0.03864489299117557,
|
||
|
|
"follow_on_rate": 0.9613551070088244,
|
||
|
|
"deoverlap_verified_next_gt_H": true,
|
||
|
|
"outcomes": {
|
||
|
|
"1.5/0.75": {
|
||
|
|
"ALL": {
|
||
|
|
"n": 9859,
|
||
|
|
"P_win": 0.26148696622375495,
|
||
|
|
"P_loss": 0.5878892382594584,
|
||
|
|
"P_unresolved": 0.14311796328228016,
|
||
|
|
"P_ambiguous": 0.007505832234506542,
|
||
|
|
"MFE_median_atr": 1.0891499654457462,
|
||
|
|
"MAE_median_atr": 1.1635276532137229,
|
||
|
|
"median_t_TP": 4.0,
|
||
|
|
"median_t_SL": 2.0
|
||
|
|
},
|
||
|
|
"LEAD": {
|
||
|
|
"n": 381,
|
||
|
|
"P_win": 0.2782152230971129,
|
||
|
|
"P_loss": 0.5984251968503937,
|
||
|
|
"P_unresolved": 0.12073490813648294,
|
||
|
|
"P_ambiguous": 0.0026246719160104987,
|
||
|
|
"MFE_median_atr": 1.1970104633781247,
|
||
|
|
"MAE_median_atr": 1.3999999999998112,
|
||
|
|
"median_t_TP": 3.0,
|
||
|
|
"median_t_SL": 2.0
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"1.0/1.0": {
|
||
|
|
"ALL": {
|
||
|
|
"n": 9859,
|
||
|
|
"P_win": 0.4294553200121716,
|
||
|
|
"P_loss": 0.4352368394360483,
|
||
|
|
"P_unresolved": 0.1236433715386956,
|
||
|
|
"P_ambiguous": 0.011664469013084492,
|
||
|
|
"MFE_median_atr": 1.0891499654457462,
|
||
|
|
"MAE_median_atr": 1.1635276532137229,
|
||
|
|
"median_t_TP": 3.0,
|
||
|
|
"median_t_SL": 3.0
|
||
|
|
},
|
||
|
|
"LEAD": {
|
||
|
|
"n": 381,
|
||
|
|
"P_win": 0.43832020997375326,
|
||
|
|
"P_loss": 0.45144356955380577,
|
||
|
|
"P_unresolved": 0.09186351706036745,
|
||
|
|
"P_ambiguous": 0.01837270341207349,
|
||
|
|
"MFE_median_atr": 1.1970104633781247,
|
||
|
|
"MAE_median_atr": 1.3999999999998112,
|
||
|
|
"median_t_TP": 2.0,
|
||
|
|
"median_t_SL": 2.0
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|