2045 lines
66 KiB
JSON
2045 lines
66 KiB
JSON
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{
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"provenance": {
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"P2_COMMIT_SHA": "8d330343af688e2de2b2a1d12ce19a582714709a",
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"P2.6_SOURCE_SHA": "8d330343af688e2de2b2a1d12ce19a582714709a",
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"FEATURE_CONTRACT_SHA_recorded": "C44CC6F2B740C32D06F776BD7C3E669DC5A8A6DE0484230544EBFFCF517D38DD",
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"FEATURE_CONTRACT_SHA_file_now": "7b908b12255dbca3db244f7f2170d2537351ecad52cebb94053624f7b83fef22",
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"MODEL_SHA": "06df8452a112290ecb9bae1a3dbff6df492e084f8b872885d808bb0303ec6a70",
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"train_p26_script_sha": "e510ef3b9d87c35897f792bca15a9b0f8739dcaa554b4e1c4e512fbb96e939db",
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"build_features_p2_script_sha": "4680f9057b6ef32fe311c5ba10dac2a243e15f624f61921557c92eec59fccea7",
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"symbol": "XAUUSD",
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"timeframe": "M15",
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"window_start": "2017-01-01"
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},
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"script_sha": "41d8605a4e27f30338deab682b2f432696fc74f8c7b48c8b872c877c4fb0011d",
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"dataset_hash": "e85a08616191fb7ce4bbe79c1754228ddbcf54562034a322747501c7aabe124e",
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"event_definition": {
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"E_BUY": "f9==1 & f7>0 (CHoCH confirms bullish sweep)",
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"E_SELL": "f9==1 & f7<0 (CHoCH confirms bearish sweep)",
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"E_BUY_STRICT": "E_BUY & f18>=60",
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"E_SELL_STRICT": "E_SELL & f18>=60",
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"E_EQH": "f10==1 (equal-high swept, bearish bias)",
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"E_EQL": "f11==1 (equal-low swept, bullish bias)"
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},
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"entry_semantics": "A = close of closed decision bar",
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"horizons": [
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4,
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8,
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16,
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24
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],
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"tp_sl_combos": [
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[
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1.0,
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0.5
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],
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[
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1.5,
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0.75
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],
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[
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2.0,
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1.0
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],
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[
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1.0,
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1.0
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]
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],
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"events": {
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"E_BUY": {
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"n": 27096,
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"direction": 1,
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"n_with_future": 27096,
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"horizons": {
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"4": {
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"n": 27096,
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"L1": {
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"mean_fwd_atr": 0.04506733556689478,
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"median_fwd_atr": 0.033282711992099354,
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"P_dir_correct": 0.5114038972542073,
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"P_dir_wrong": 0.4870091526424565
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},
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"L2": {
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"MFE_median_atr": 0.7977446900655496,
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"MFE_mean_atr": 1.1176169371727807,
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"MAE_median_atr": 0.7707798678516301,
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"MAE_mean_atr": 1.1039928000045671,
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"t_MFE_median": 2.0,
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"t_MAE_median": 2.0
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},
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"L3": {
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"WIN": 7342,
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"LOSS": 15712,
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"UNRESOLVED": 3327,
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"AMBIGUOUS": 715,
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"P_win": 0.2709625036905816,
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"P_loss": 0.5798641865958075,
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"P_unresolved": 0.12278565101860053,
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"P_ambiguous": 0.026387658695010335,
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"median_t_TP": 2.0,
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"median_t_SL": 1.0
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},
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"1.5/0.75": {
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"WIN": 5143,
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"LOSS": 13207,
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"UNRESOLVED": 8548,
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"AMBIGUOUS": 198,
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"P_win": 0.1898066135222911,
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"P_loss": 0.4874151166223797,
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"P_unresolved": 0.31547091821671097,
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"P_ambiguous": 0.007307351638618246,
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"median_t_TP": 2.0,
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"median_t_SL": 2.0
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},
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"2.0/1.0": {
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"WIN": 3416,
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"AMBIGUOUS": 98,
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"P_win": 0.12607026867434307,
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"P_loss": 0.38972542072630645,
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"P_ambiguous": 0.003616770002952465,
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"median_t_TP": 3.0,
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"median_t_SL": 2.0
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},
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"1.0/1.0": {
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"WIN": 9587,
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"median_t_TP": 2.0,
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"median_t_SL": 2.0
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}
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},
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"L4": {},
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"invalidation": {
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"P_opposite_break_within_H": 0.37459403602007674,
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"P_opposite_break_before_TP": 0.36034839090640686
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}
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},
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"8": {
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"n": 27096,
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"L1": {
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"mean_fwd_atr": 0.10158292842927627,
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"median_fwd_atr": 0.06702843459217502,
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"P_dir_correct": 0.5166445231768527,
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"P_dir_wrong": 0.4821744906997343
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},
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"L2": {
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"MFE_median_atr": 1.1344694528893517,
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"t_MFE_median": 4.0,
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"t_MAE_median": 4.0
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"L3": {
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},
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},
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"2.0/1.0": {
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"median_t_TP": 4.0,
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"median_t_SL": 3.0
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"1.0/1.0": {
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"median_t_TP": 3.0,
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"median_t_SL": 3.0
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}
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},
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"L4": {},
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"invalidation": {
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"16": {
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||
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||
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"L4": {},
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||
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||
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||
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||
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||
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||
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|
||
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|
},
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||
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||
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|
||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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|
||
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|
||
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|
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||
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|
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|
||
|
|
"max_mi": 0.0002801575894815771
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||
|
|
},
|
||
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|
"E_SELL": {
|
||
|
|
"n_win": 8114,
|
||
|
|
"n_loss": 16260,
|
||
|
|
"max_abs_auc_dev": 0.0141073952026185,
|
||
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|
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|
||
|
|
"max_mi": 0.00041203277202620653
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||
|
|
}
|
||
|
|
},
|
||
|
|
"H24_TP2.0_SL1.0": {
|
||
|
|
"E_BUY": {
|
||
|
|
"n_win": 8304,
|
||
|
|
"n_loss": 16806,
|
||
|
|
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|
||
|
|
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|
||
|
|
"max_mi": 0.00045653148037987003
|
||
|
|
},
|
||
|
|
"E_SELL": {
|
||
|
|
"n_win": 7591,
|
||
|
|
"n_loss": 15968,
|
||
|
|
"max_abs_auc_dev": 0.016908858884941536,
|
||
|
|
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|
||
|
|
"max_mi": 0.0009530983098526504
|
||
|
|
}
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"entry_robustness": {
|
||
|
|
"n": 77851,
|
||
|
|
"median_abs_close_to_next_open_atr": 0.007589447054622368,
|
||
|
|
"p95_abs_close_to_next_open_atr": 0.054999019996647365
|
||
|
|
}
|
||
|
|
}
|