Window: 2023-01-15 .. 2026-08-31 (1323 days, 364 gate60-long days) | feature: ETH bid/ask 1%-depth imbalance, prior 6h/24h mean, 30-day z | decision uses prior-day data only
| Variant | Days | LongDays | Ret | Sharpe | PF | MaxDD |
|---|
| baseline (gate60) | 1323 | 364 | +208.40% | 1.08 | 1.35 | -26.71% |
| skip if z24>0 | 1323 | 187 | +1388.34% | 2.89 | 3.43 | -12.69% |
| skip if z24>+0.5 | 1323 | 256 | +1171.62% | 2.51 | 2.41 | -18.42% |
| skip if z6>0 | 1323 | 180 | +586.92% | 2.20 | 2.47 | -19.58% |
| require z24<0 | 1323 | 187 | +1388.34% | 2.89 | 3.43 | -12.69% |
| half size if z24>0 | 1323 | 364 | +591.15% | 1.98 | 1.83 | -16.00% |
| Quartile | Mean daily ret | Days |
|---|
| Q1(low) | +2.524% | 91 |
| Q2 | +0.592% | 91 |
| Q3 | -0.204% | 91 |
| Q4(high) | -1.442% | 91 |
Bootstrap p(skip-if-z24>+0.5 beats baseline): 0.000
corr(z24, prior-day ETH return): +0.193
| Control variant | LongDays | Ret | Sharpe | PF |
|---|
| control: skip if prior-day ret>0 | 155 | +182.95% | 1.28 | 1.75 |
| control: skip if prior-day ret>+0.5% | 196 | +115.12% | 0.90 | 1.41 |
| depth AND reversal (skip if z24>0 OR lagret>0) | 241 | +672.14% | 2.04 | 2.05 |
| depth-only beats reversal? require z24<=0 AND lagret<=0 | 101 | +445.39% | 2.31 | 3.96 |
| Year | Base ret | Gated ret | Base long days | Gated long days |
|---|
| 2023 | +26.35% | +63.66% | 66 | 42 |
| 2024 | +48.86% | +110.67% | 190 | 140 |
| 2025 | +48.80% | +86.93% | 96 | 65 |
| 2026 | +9.67% | +8.92% | 12 | 9 |
| Segment | Variant | LongDays | Ret | Sharpe | PF |
|---|
| IS | baseline | 256 | +86.70% | 1.06 | 1.29 |
| IS | skip if z24>0 | 136 | +409.08% | 3.13 | 3.15 |
| OOS | baseline | 108 | +65.18% | 1.11 | 1.45 |
| OOS | skip if z24>0 | 51 | +192.36% | 2.60 | 4.02 |