Test window: 17 days | base rate 0.518 | label threshold 4bps
Predictive accuracy (TEST days)
- XGB AUC: 0.535 | LSTM AUC: 0.546 | Transformer AUC: 0.545
Simulated trading (TEST days)
| Variant | Trades | PF | WR | Net $ | Avg R |
|---|---|---|---|---|---|
| ORB_early (ungated) | 32 | 0.917 | 56.2% | -130 | -0.008 |
| MOM10 (ungated) | 0 | inf | 0.0% | +0 | +0.000 |
| ORB+XGB gate | 15 | 1.265 | 73.3% | +162 | +0.022 |
| MOM+XGB gate | 0 | inf | 0.0% | +0 | +0.000 |
| ORB+LSTM gate | 19 | 1.988 | 78.9% | +647 | +0.068 |
| MOM+LSTM gate | 0 | inf | 0.0% | +0 | +0.000 |
| ORB+TRM gate | 20 | 1.688 | 75.0% | +517 | +0.052 |
| MOM+TRM gate | 0 | inf | 0.0% | +0 | +0.000 |
Verdict
ML EDGE DETECTED — proceed to forward walk-forward validation (best gated PF inf)