Window: 2023-01-15 .. 2026-07-31 (1292 days, 352 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) | 1292 | 352 | +181.60% | 1.03 | 1.33 | -26.71% |
| skip if z24>0 | 1292 | 180 | +1226.40% | 2.85 | 3.39 | -12.69% |
| skip if z24>+0.5 | 1292 | 247 | +1068.77% | 2.49 | 2.41 | -18.42% |
| skip if z6>0 | 1292 | 174 | +544.71% | 2.19 | 2.48 | -19.58% |
| require z24<0 | 1292 | 180 | +1226.40% | 2.85 | 3.39 | -12.69% |
| half size if z24>0 | 1292 | 352 | +523.22% | 1.93 | 1.81 | -16.00% |
gate60-long-day forward returns by z24 quartile
| Quartile | Mean daily ret | Days |
|---|
| Q1(low) | +2.602% | 88 |
| Q2 | +0.480% | 88 |
| Q3 | -0.218% | 88 |
| Q4(high) | -1.454% | 88 |
Bootstrap p(skip-if-z24>+0.5 beats baseline): 0.000
corr(z24, prior-day ETH return): +0.194
| Control variant | LongDays | Ret | Sharpe | PF |
|---|
| control: skip if prior-day ret>0 | 151 | +163.94% | 1.22 | 1.70 |
| control: skip if prior-day ret>+0.5% | 191 | +106.24% | 0.87 | 1.40 |
| depth AND reversal (skip if z24>0 OR lagret>0) | 234 | +588.13% | 1.97 | 2.01 |
| depth-only beats reversal? require z24<=0 AND lagret<=0 | 97 | +408.75% | 2.25 | 3.84 |
Per-year: baseline vs skip-if-z24>+0.5
| 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 | +0.00% | +0.00% | 0 | 0 |
IS/OOS split (IS < 2025-01-01, rule fixed before OOS)
| 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 | 96 | +50.83% | 0.99 | 1.40 |
| OOS | skip if z24>0 | 44 | +160.55% | 2.48 | 3.96 |