Experiment #26 — breadth_expanding_positive_delta_v2
momentum_rotation_v2 ·
target=pnl_r ·
status=done ·
dataset_fingerprint=a2d392dff5a4…
Period: 2026-08-06 00:10:06 → 2026-11-03 23:15:04
Spec
{
"spec_version": "v1",
"strategy": "momentum_rotation_v2",
"date_range": {
"start": "2026-08-06",
"end": "2026-11-04"
},
"target": "pnl_r",
"conditions": {
"op": "AND",
"clauses": [
{
"feature": "regime.breadth_state",
"op": "==",
"value": "expanding"
},
{
"feature": "regime.delta_breadth_24h",
"op": ">=",
"value": 0.02
}
]
}
}
Inside filter main
| Split | N trades | Win rate | Expectancy R | PF | Mean MFE 8h | Mean MAE 8h | Δ vs matched | Δ vs univ | Boot CI (block) | Boot CI (iid) | p-value | Defl. SR | FE edge | Coins + |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| train | 0 | — | — | — | — | — | — | — | — | — | — | — | — | — |
| test | 118 | 52.54% | -0.0674 | 0.76 | 0.615 | 0.831 | -0.0579 | — | [-0.167, 0.102] incl 0 | [-0.170, 0.048] | 0.2944 | 0.054 | -0.0559 | 8 |
| full | 118 | 52.54% | -0.0674 | 0.76 | 0.615 | 0.831 | -0.0691 | -0.0868 | [-0.179, 0.098] incl 0 | [-0.175, 0.038] | 0.2061 | 0.034 | -0.0791 | 7 |
A only (clause 1 pass, clause 2 fail)
| Split | N trades | Win rate | Expectancy R | PF | Mean MFE 8h | Mean MAE 8h | Δ vs matched | Δ vs univ | Boot CI (block) | Boot CI (iid) | p-value | Defl. SR | FE edge | Coins + |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| train | 0 | — | — | — | — | — | — | — | — | — | — | — | — | — |
| test | 66 | 48.48% | -0.0770 | 0.68 | 0.554 | 0.513 | -0.0675 | — | [-0.243, 0.083] incl 0 | [-0.186, 0.046] | 0.2620 | 0.043 | 0.0046 | 5 |
| full | 66 | 48.48% | -0.0770 | 0.68 | 0.554 | 0.513 | -0.0786 | -0.0964 | [-0.256, 0.075] incl 0 | [-0.193, 0.034] | 0.1875 | 0.028 | -0.0213 | 4 |
B only (clause 2 pass, clause 1 fail)
| Split | N trades | Win rate | Expectancy R | PF | Mean MFE 8h | Mean MAE 8h | Δ vs matched | Δ vs univ | Boot CI (block) | Boot CI (iid) | p-value | Defl. SR | FE edge | Coins + |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| train | 0 | — | — | — | — | — | — | — | — | — | — | — | — | — |
| test | 287 | 52.96% | -0.0225 | 0.90 | 0.610 | 0.672 | -0.0130 | — | [-0.100, 0.085] incl 0 | [-0.076, 0.050] | 0.6862 | 0.171 | -0.0048 | 22 |
| full | 287 | 52.96% | -0.0225 | 0.90 | 0.610 | 0.672 | -0.0242 | -0.0419 | [-0.112, 0.079] incl 0 | [-0.084, 0.035] | 0.4368 | 0.093 | -0.0168 | 20 |
Outside (same strategy)
| Split | N trades | Win rate | Expectancy R | PF | Mean MFE 8h | Mean MAE 8h |
|---|---|---|---|---|---|---|
| train | 6115 | 58.53% | 0.0062 | 1.03 | 0.674 | 0.597 |
| test | 2504 | 55.91% | -0.0095 | 0.96 | 0.630 | 0.604 |
| full | 8619 | 57.77% | 0.0016 | 1.01 | 0.661 | 0.599 |
Universe baseline (all strategies)
| Split | N trades | Win rate | Expectancy R | PF | Mean MFE 8h | Mean MAE 8h |
|---|---|---|---|---|---|---|
| full | 25705 | 45.96% | 0.0194 | 1.05 | 1.778 | 1.579 |
Per-coin breakdown (inside/full)
Edge par coin (mean inside − mean outside). Les coins avec n_inside < 3 sont exclus du Fixed Effects. Un edge concentré sur 1-2 coins est suspect (biais mono-coin).
| Coin | N inside | N outside | Edge |
|---|---|---|---|
| 2Z | 1 | 61 | 0.7773 |
| CC | 1 | 90 | 0.6751 |
| TRUMP | 1 | 82 | 0.6020 |
| CRV | 2 | 139 | 0.4740 |
| STX | 1 | 98 | 0.4022 |
| COMP | 2 | 17 | 0.3983 |
| OP | 1 | 58 | 0.3880 |
| kPEPE | 4 | 45 | 0.3772 |
| GRASS | 2 | 176 | 0.2905 |
| AZTEC | 1 | 51 | 0.2444 |
| TIA | 2 | 91 | 0.2173 |
| XPL | 4 | 140 | 0.1867 |
| TRX | 2 | 5 | 0.1287 |
| ZEC | 5 | 128 | 0.0952 |
| LIT | 6 | 250 | 0.0942 |
| INIT | 9 | 81 | 0.0699 |
| UNI | 1 | 104 | 0.0691 |
| ZRO | 6 | 221 | 0.0534 |
| MON | 2 | 111 | 0.0513 |
| PURR | 3 | 190 | 0.0347 |
| HYPE | 1 | 23 | 0.0093 |
| PUMP | 5 | 259 | -0.0340 |
| USELESS | 4 | 67 | -0.0425 |
| SOPH | 6 | 64 | -0.0596 |
| CASHCAT | 9 | 61 | -0.0985 |
| BLUR | 2 | 42 | -0.1031 |
| PENDLE | 1 | 58 | -0.1248 |
| AERO | 1 | 100 | -0.1304 |
| ENA | 2 | 161 | -0.1409 |
| VVV | 2 | 193 | -0.1727 |
| RSR | 1 | 25 | -0.1999 |
| NIL | 3 | 261 | -0.2832 |
| RUNE | 3 | 53 | -0.4086 |
| AAVE | 2 | 32 | -0.4103 |
| XTEN | 2 | 7 | -0.4179 |
| DASH | 1 | 101 | -0.4367 |
| LINK | 1 | 19 | -0.4866 |
| PONS | 3 | 69 | -0.5098 |
| POL | 1 | 46 | -0.5773 |
| MORPHO | 4 | 67 | -0.6617 |
| SPX | 2 | 117 | -0.6701 |
| INJ | 1 | 117 | -0.6985 |
| REZ | 1 | 59 | -0.7259 |
| BCH | 1 | 30 | -0.8305 |
| CHIP | 2 | 274 | -0.9012 |
| STRK | 1 | 185 | -0.9139 |
| ATOM | 0 | 31 | — |
| SOL | 0 | 9 | — |
| AVAX | 0 | 20 | — |
| APE | 0 | 9 | — |
| LTC | 0 | 13 | — |
| ARB | 0 | 135 | — |
| DOGE | 0 | 4 | — |
| SUI | 0 | 33 | — |
| LDO | 0 | 39 | — |
| CFX | 0 | 12 | — |
| XRP | 0 | 9 | — |
| APT | 0 | 69 | — |
| WLD | 0 | 147 | — |
| YGG | 0 | 2 | — |
| kSHIB | 0 | 3 | — |
| SEI | 0 | 39 | — |
| DOT | 0 | 53 | — |
| TRB | 0 | 2 | — |
| KAS | 0 | 11 | — |
| BSV | 0 | 5 | — |
| ADA | 0 | 23 | — |
| MINA | 0 | 96 | — |
| POLYX | 0 | 1 | — |
| FET | 0 | 81 | — |
| NEAR | 0 | 171 | — |
| ZEN | 0 | 45 | — |
| FIL | 0 | 63 | — |
| PYTH | 0 | 103 | — |
| SUSHI | 0 | 15 | — |
| IMX | 0 | 2 | — |
| kBONK | 0 | 87 | — |
| SUPER | 0 | 19 | — |
| JUP | 0 | 92 | — |
| kLUNC | 0 | 1 | — |
| GALA | 0 | 10 | — |
| JTO | 0 | 123 | — |
| ACE | 0 | 142 | — |
| WIF | 0 | 38 | — |
| CAKE | 0 | 27 | — |
| PEOPLE | 0 | 21 | — |
| ENS | 0 | 1 | — |
| ETC | 0 | 13 | — |
| XAI | 0 | 8 | — |
| UMA | 0 | 2 | — |
| ONDO | 0 | 35 | — |
| ALT | 0 | 37 | — |
| ZETA | 0 | 3 | — |
| DYM | 0 | 5 | — |
| W | 0 | 85 | — |
| TAO | 0 | 33 | — |
| AR | 0 | 38 | — |
| kFLOKI | 0 | 3 | — |
| BOME | 0 | 28 | — |
| ETHFI | 0 | 147 | — |
| MNT | 0 | 6 | — |
| TNSR | 0 | 8 | — |
| SAGA | 0 | 60 | — |
| HBAR | 0 | 17 | — |
| POPCAT | 0 | 12 | — |
| EIGEN | 0 | 27 | — |
| BRETT | 0 | 3 | — |
| IO | 0 | 7 | — |
| ZK | 0 | 75 | — |
| RENDER | 0 | 27 | — |
| CELO | 0 | 1 | — |
| HMSTR | 0 | 1 | — |
| kNEIRO | 0 | 10 | — |
| GOAT | 0 | 1 | — |
| MOODENG | 0 | 5 | — |
| XLM | 0 | 20 | — |
| SAND | 0 | 55 | — |
| IOTA | 0 | 6 | — |
| ALGO | 0 | 38 | — |
| MOVE | 0 | 7 | — |
| VIRTUAL | 0 | 37 | — |
| PENGU | 0 | 75 | — |
| USUAL | 0 | 1 | — |
| FARTCOIN | 0 | 117 | — |
| BIO | 0 | 11 | — |
| GRIFFAIN | 0 | 46 | — |
| S | 0 | 44 | — |
| MELANIA | 0 | 15 | — |
| ANIME | 0 | 10 | — |
| BERA | 0 | 43 | — |
| KAITO | 0 | 105 | — |
| BABY | 0 | 7 | — |
| ZORA | 0 | 32 | — |
| NXPC | 0 | 5 | — |
| RESOLV | 0 | 5 | — |
| SYRUP | 0 | 64 | — |
| WLFI | 0 | 28 | — |
| SKY | 0 | 49 | — |
| ASTER | 0 | 18 | — |
| AVNT | 0 | 14 | — |
| STBL | 0 | 16 | — |
| 0G | 0 | 35 | — |
| HEMI | 0 | 172 | — |
| APEX | 0 | 31 | — |
| MET | 0 | 127 | — |
| MEGA | 0 | 54 | — |
| ICP | 0 | 47 | — |
| XMR | 0 | 55 | — |
| AXS | 0 | 14 | — |
| SKR | 0 | 85 | — |
How to read this page
Filter Attribution Mode (V1). On compare les trades réellement exécutés de la stratégie avec vs sans la condition. C'est utile pour décider "faut-il ajouter ce filtre à l'entrée de la stratégie ?", mais ça ne prouve pas que la feature est causalement prédictive — juste qu'elle améliore la sélection sur les trades déjà sélectionnés.
Baselines. On compare l'inside à deux baselines : (1) outside matched = les autres trades de la même stratégie sur la même fenêtre, (2) universe baseline = tous les trades toutes stratégies. Les deux doivent pointer dans le même sens pour qu'un edge soit crédible.
Walk-forward 70/30. Train = 70% chrono le plus ancien, Test = 30% récent. Si l'edge décroche entre les deux (overfit suspect), c'est souvent un régime shift plutôt que du vrai overfit — regarder les dates de chaque split.
Block bootstrap par jour. Les trades crypto du même jour sont corrélés (altcoins bougent ensemble). On resample des jours entiers, pas des trades individuels. Les CI iid (secondaires) sont plus serrés mais sous-estiment la variance.
Fixed effects edge. Moyenne des edges par coin (coins avec ≥3 inside trades). Protège contre "l'edge n'existe que sur SOL". Idéalement proche de l'edge global.
Deflated Sharpe. Correction López de Prado 2016 pour N expériences cumulées sur la stratégie. Secondaire sur un dataset de n < 300 trades (peu fiable) — on priorise bootstrap CI + FE edge pour le verdict.
Summary (markdown)
# Edge Experiment #26 **Strategy:** `momentum_rotation_v2` · **Target:** `pnl_r` · **Verdict:** `no_significant_signal` **Dataset:** 8737 trades (strategy) · 25705 universe · 118 inside / 8619 outside_matched **Period:** `2026-08-06 00:10:06` → `2026-11-03 23:15:04` ## Inside (full) - expectancy_r = -0.0674 - edge_vs_matched = -0.0691 - bootstrap CI [-0.1785, 0.0981] - fixed_effects_edge = -0.0791 - coins_positive = 7