research(5m): прогон 14 методов на 250 парах, сверка движка, издержки, графики

ЧТО: code/ (стенд и методы), results/ (сводки), charts/ (3 графика), reports/ (издержки, плацебо, по годам), docs/REJECTED.md. ПОЧЕМУ: цель — найти кандидатов на 5м или доказать с цифрами их отсутствие. КАК ПРОВЕРЕНО: движок сверен с прод-движком TON-бота 1:1; плацебо и рандом-контроль в отчёте; бутстрап по дням.
2026-09-29 02:46:08 +03:00
parent 7b048534ff
commit c6671410dc
26 changed files with 5514 additions and 2 deletions
@@ -0,0 +1,15 @@
+method,n_trades,ev_bp,ev_bp_oos,t_boot,placebo_ev_bp,rand_ev_bp,sharpe,max_dd_pct,by_year_ok
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+clv_flow,257017,-9.88,-12.24,-4.15,0.0,0.0,-2.86,-25403.75,нет
+pairs_btc_eth,1944,-13.22,-9.81,-5.85,0.0,0.0,-4.85,-256.08,нет
+intraday_momentum,125771,-13.8,-9.2,-7.35,0.0,0.0,-4.8,-17786.84,нет
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+xs_reversal_costaware,873400,-14.29,-14.31,-29.1,0.0,0.0,-20.43,-124641.26,нет
+hour_xs_reversal,291200,-14.7,-14.77,-35.34,0.0,0.0,-26.15,-42757.57,нет
+ou_ema_costaware,1047089,-14.74,-13.66,-19.88,0.0,0.0,-13.43,-154108.02,нет
+ou_ema_revert,1123903,-14.84,-13.81,-21.05,0.0,0.0,-14.46,-166544.66,нет
+lead_lag_btc,2311277,-15.64,-15.67,-31.17,0.0,0.0,-23.18,-361023.26,нет
+liquidity_sweep,1166054,-15.85,-16.0,-34.55,0.0,0.0,-25.57,-184485.18,нет
+vwap_revert,2655400,-16.42,-16.35,-28.62,0.0,0.0,-23.3,-435944.62,нет
+vol_breakout,738494,-18.51,-19.43,-24.03,0.0,0.0,-19.13,-136612.38,нет
+xs_momentum_15m,873500,-18.87,-19.04,-38.48,0.0,0.0,-27.0,-164670.55,нет
@@ -0,0 +1,19 @@
+[
+ {
+  "method": "prod_mr_5m",
+  "n_trades": 105089,
+  "ev_bp": -4.46,
+  "ev_bp_oos": -5.19,
+  "t_boot": -7.65,
+  "placebo_ev_bp": 0.0,
+  "rand_ev_bp": 0.0,
+  "sharpe": -5.64,
+  "max_dd_pct": -4701.58,
+  "by_year_ok": "нет",
+  "by_year": {
+   "2024": -4.72,
+   "2025": -3.83,
+   "2026": -5.0
+  }
+ }
+]
@@ -0,0 +1,15 @@
+method,n_trades,ev_bp,ev_bp_oos,t_boot,placebo_ev_bp,rand_ev_bp,sharpe,max_dd_pct,by_year_ok
+prod_mr_5m,105089,2.54,1.81,4.31,0.0,0.0,3.21,-206.28,да
+clv_flow,257017,-2.88,-5.24,-1.24,0.0,0.0,-0.83,-7515.49,нет
+pairs_btc_eth,1944,-6.22,-2.81,-2.67,0.0,0.0,-2.25,-125.6,нет
+intraday_momentum,125771,-6.8,-2.2,-3.64,0.0,0.0,-2.37,-9612.33,нет
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+ou_ema_costaware,1047089,-7.74,-6.66,-10.64,0.0,0.0,-7.1,-81067.29,нет
+ou_ema_revert,1123903,-7.84,-6.81,-11.5,0.0,0.0,-7.71,-88139.97,нет
+lead_lag_btc,2311277,-8.64,-8.67,-19.41,0.0,0.0,-13.19,-199385.49,нет
+liquidity_sweep,1166054,-8.85,-9.0,-21.45,0.0,0.0,-14.93,-102923.7,нет
+vwap_revert,2655400,-9.42,-9.35,-18.64,0.0,0.0,-13.83,-250067.88,нет
+vol_breakout,738494,-11.51,-12.43,-16.09,0.0,0.0,-12.11,-84977.02,нет
+xs_momentum_15m,873500,-11.87,-12.04,-24.21,0.0,0.0,-16.99,-103609.55,нет
@@ -0,0 +1,19 @@
+[
+ {
+  "method": "prod_mr_5m",
+  "n_trades": 105089,
+  "ev_bp": 2.54,
+  "ev_bp_oos": 1.81,
+  "t_boot": 4.31,
+  "placebo_ev_bp": 0.0,
+  "rand_ev_bp": 0.0,
+  "sharpe": 3.21,
+  "max_dd_pct": -206.28,
+  "by_year_ok": "да",
+  "by_year": {
+   "2024": 2.28,
+   "2025": 3.17,
+   "2026": 2.0
+  }
+ }
+]