Generated 04/05/2026, 6:28:22 pm | Asset: BTC | 3,855,734 rows | 243 series | 142,968 configs | DB: 2487.1s | MC: 165.2s
Tests whether sustained orderbook sentiment extremes (sentiment ≥ threshold for ≥ N consecutive minutes) predict directional price moves within a forward horizon. Null distribution is circular-shift Monte Carlo (n=250). Stop-loss = 50% of target move. Conservative tie-breaking (stop assumed if both stop & target reachable within horizon).
| Exchange | Symbol | Type | Depth | Side | Threshold | Min Dur | Horizon | Target | N | Hit Rate | Null Avg | Edge | p-value | Total P&L | PF | Win% | MaxDD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 45 | 15m | 240m | 0.75% | 7 | 100.0% | 18.4% | 81.6% | 0.004 | 5.25% | 99 | 100% | 0.00% |
| binance | BTCUSDT | futures | 0.5% | SELL_PRESSURE | 45 | 1m | 240m | 0.75% | 10 | 100.0% | 19.1% | 80.9% | 0.004 | -1.50% | 0.5 | 20% | 3.00% |
| binance | BTCFDUSD | spot | 35% | BUY_SUPPORT | 50 | 1m | 240m | 0.75% | 10 | 100.0% | 19.5% | 80.5% | 0.004 | 1.88% | 2 | 50% | 1.88% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 45 | 10m | 240m | 0.75% | 9 | 100.0% | 19.7% | 80.3% | 0.004 | 5.63% | 16 | 89% | 0.38% |
| binance | BTCFDUSD | spot | 35% | BUY_SUPPORT | 50 | 3m | 240m | 0.75% | 6 | 100.0% | 23.7% | 76.3% | 0.004 | 1.13% | 2 | 50% | 1.13% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 45 | 15m | 360m | 0.75% | 7 | 100.0% | 24.6% | 75.4% | 0.004 | 5.25% | 99 | 100% | 0.00% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 45 | 10m | 360m | 0.75% | 9 | 100.0% | 25.0% | 75.0% | 0.004 | 5.63% | 16 | 89% | 0.38% |
| binance | BTCUSDT | spot | 5% | BUY_SUPPORT | 30 | 5m | 240m | 1% | 9 | 88.9% | 14.9% | 74.0% | 0.004 | 8.51% | 99 | 89% | 0.00% |
| binance | BTCUSDT | futures | 1% | SELL_PRESSURE | 55 | 1m | 240m | 0.5% | 27 | 100.0% | 29.8% | 70.2% | 0.004 | 8.25% | 5.714 | 74% | 1.75% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 40 | 10m | 360m | 0.75% | 13 | 92.3% | 26.7% | 65.6% | 0.004 | 6.38% | 6.667 | 77% | 1.13% |
| binance | BTCFDUSD | spot | 20% | BUY_SUPPORT | 45 | 1m | 120m | 0.5% | 14 | 85.7% | 20.8% | 64.9% | 0.004 | 1.66% | 1.714 | 43% | 1.75% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 50 | 1m | 240m | 0.75% | 36 | 86.1% | 21.5% | 64.6% | 0.004 | 14.59% | 5.333 | 67% | 3.38% |
| binance | BTCUSDT | futures | 5% | SELL_PRESSURE | 35 | 3m | 15m | 0.25% | 7 | 71.4% | 8.4% | 63.0% | 0.004 | 0.86% | 4 | 57% | 0.25% |
| binance | BTCFDUSD | spot | 20% | BUY_SUPPORT | 45 | 1m | 120m | 0.75% | 14 | 71.4% | 9.4% | 62.1% | 0.004 | 5.66% | 4.5 | 64% | 1.13% |
| binance | BTCUSDT | futures | 1% | SELL_PRESSURE | 55 | 1m | 360m | 0.5% | 27 | 100.0% | 38.4% | 61.6% | 0.004 | 8.25% | 5.714 | 74% | 1.75% |
| mexc | BTCUSDC | spot | 20% | BUY_SUPPORT | 30 | 5m | 120m | 1% | 6 | 66.7% | 5.5% | 61.2% | 0.004 | 4.04% | 8 | 67% | 0.50% |
| mexc | BTCUSDC | spot | 100% | BUY_SUPPORT | 30 | 5m | 120m | 1% | 6 | 66.7% | 5.7% | 61.0% | 0.004 | 4.04% | 8 | 67% | 0.50% |
| binance | BTCFDUSD | spot | 20% | BUY_SUPPORT | 45 | 1m | 60m | 0.5% | 14 | 71.4% | 10.5% | 61.0% | 0.004 | 2.47% | 2.4 | 43% | 1.25% |
| mexc | BTCUSDC | spot | 2% | BUY_SUPPORT | 30 | 5m | 120m | 1% | 6 | 66.7% | 6.7% | 60.0% | 0.004 | 4.04% | 8 | 67% | 0.50% |
| binance | BTCFDUSD | spot | 1% | BUY_SUPPORT | 60 | 3m | 240m | 1% | 10 | 70.0% | 11.3% | 58.7% | 0.004 | 1.60% | 1.6 | 40% | 1.40% |
| binance | BTCUSDT | futures | 1% | SELL_PRESSURE | 55 | 1m | 120m | 0.5% | 27 | 77.8% | 19.7% | 58.1% | 0.004 | 6.17% | 4 | 52% | 1.75% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 50 | 1m | 360m | 0.75% | 36 | 86.1% | 28.4% | 57.7% | 0.004 | 14.56% | 5.333 | 67% | 3.38% |
| binance | BTCUSDT | spot | 2% | SELL_PRESSURE | 55 | 1m | 120m | 0.25% | 14 | 100.0% | 43.4% | 56.6% | 0.004 | 1.25% | 2.667 | 57% | 0.63% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 40 | 10m | 240m | 0.75% | 13 | 76.9% | 20.3% | 56.6% | 0.004 | 5.68% | 5.333 | 62% | 1.13% |
| binance | BTCUSDT | spot | 2% | SELL_PRESSURE | 45 | 15m | 120m | 0.25% | 6 | 100.0% | 43.5% | 56.5% | 0.004 | -0.38% | 0.4 | 17% | 0.50% |
| mexc | BTC_USDT | futures | 35% | SELL_PRESSURE | 55 | 1m | 240m | 0.5% | 16 | 87.5% | 31.1% | 56.4% | 0.004 | 3.50% | 3.333 | 63% | 1.00% |
| binance | BTCFDUSD | spot | 2% | BUY_SUPPORT | 50 | 3m | 360m | 1% | 17 | 76.5% | 21.0% | 55.5% | 0.004 | 2.82% | 1.333 | 35% | 4.50% |
| binance | BTCFDUSD | spot | 1% | BUY_SUPPORT | 60 | 5m | 240m | 1% | 10 | 70.0% | 15.4% | 54.6% | 0.004 | 1.60% | 1.6 | 40% | 1.40% |
| mexc | BTC_USDT | futures | 10% | SELL_PRESSURE | 55 | 1m | 240m | 0.5% | 16 | 87.5% | 33.4% | 54.1% | 0.004 | 3.50% | 3.333 | 63% | 1.00% |
| binance | BTCUSDC | spot | 5% | SELL_PRESSURE | 30 | 15m | 120m | 0.5% | 8 | 75.0% | 21.9% | 53.1% | 0.004 | 2.70% | 12 | 75% | 0.30% |
| binance | BTCFDUSD | spot | 2% | BUY_SUPPORT | 50 | 1m | 360m | 1% | 25 | 76.0% | 22.9% | 53.1% | 0.004 | 7.34% | 2 | 44% | 4.00% |
| binance | BTCUSDT | futures | 1% | SELL_PRESSURE | 55 | 1m | 120m | 0.25% | 27 | 96.3% | 43.3% | 53.0% | 0.004 | 1.50% | 1.857 | 48% | 0.88% |
| binance | BTCFDUSD | spot | 20% | BUY_SUPPORT | 45 | 1m | 60m | 0.75% | 14 | 57.1% | 4.3% | 52.8% | 0.004 | 5.10% | 7 | 50% | 0.89% |
| binance | BTCFDUSD | spot | 0.5% | SELL_PRESSURE | 40 | 3m | 60m | 0.5% | 16 | 62.5% | 9.9% | 52.6% | 0.004 | -0.51% | 0.8 | 25% | 1.25% |
| binance | BTCFDUSD | spot | 1% | BUY_SUPPORT | 60 | 1m | 360m | 1% | 18 | 72.2% | 19.7% | 52.6% | 0.004 | -0.48% | 0.833 | 28% | 4.50% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 45 | 5m | 240m | 0.75% | 21 | 71.4% | 19.5% | 51.9% | 0.004 | 7.63% | 4.8 | 57% | 1.50% |
| binance | BTCFDUSD | spot | 2% | BUY_SUPPORT | 50 | 1m | 360m | 0.75% | 25 | 84.0% | 32.5% | 51.5% | 0.004 | 3.98% | 1.692 | 44% | 3.75% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 40 | 10m | 360m | 0.5% | 13 | 92.3% | 41.9% | 50.4% | 0.004 | 3.50% | 4.5 | 69% | 0.75% |
| mexc | BTC_USDT | futures | 2% | SELL_PRESSURE | 30 | 3m | 240m | 0.75% | 10 | 70.0% | 19.6% | 50.4% | 0.004 | 4.79% | 14 | 70% | 0.64% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 35 | 10m | 360m | 0.75% | 16 | 75.0% | 25.0% | 50.0% | 0.004 | 5.33% | 3.6 | 56% | 1.13% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 45 | 5m | 360m | 0.75% | 21 | 76.2% | 26.2% | 50.0% | 0.004 | 7.79% | 5.2 | 62% | 1.50% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 45 | 3m | 240m | 0.75% | 27 | 70.4% | 20.8% | 49.5% | 0.004 | 10.29% | 5.333 | 59% | 1.88% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 35 | 15m | 120m | 0.5% | 10 | 70.0% | 20.5% | 49.5% | 0.004 | 2.28% | 4 | 60% | 0.75% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 45 | 1m | 240m | 0.75% | 49 | 69.4% | 20.4% | 48.9% | 0.004 | 19.65% | 5.8 | 59% | 3.00% |
| deribit | BTC/USDT | spot | 1% | BUY_SUPPORT | 55 | 3m | 360m | 1% | 19 | 68.4% | 19.5% | 48.9% | 0.004 | 5.27% | 2.286 | 42% | 3.50% |
| binance | BTCFDUSD | spot | 2% | BUY_SUPPORT | 45 | 3m | 360m | 0.75% | 15 | 80.0% | 31.3% | 48.7% | 0.004 | -1.13% | 0.727 | 27% | 3.75% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 45 | 1m | 360m | 0.75% | 49 | 75.5% | 27.2% | 48.3% | 0.004 | 20.74% | 6.4 | 65% | 3.00% |
| binance | BTCUSDT | spot | 2% | SELL_PRESSURE | 50 | 3m | 120m | 0.25% | 17 | 94.1% | 46.1% | 48.0% | 0.004 | 0.88% | 1.778 | 47% | 0.50% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 45 | 1m | 240m | 0.5% | 49 | 79.6% | 32.1% | 47.4% | 0.004 | 10.87% | 3.867 | 59% | 2.00% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 45 | 3m | 360m | 0.75% | 27 | 74.1% | 26.6% | 47.4% | 0.004 | 10.45% | 5.667 | 63% | 1.88% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 40 | 10m | 120m | 0.25% | 13 | 92.3% | 45.1% | 47.2% | 0.004 | 1.38% | 3.2 | 62% | 0.38% |
| binance | BTCFDUSD | spot | 20% | BUY_SUPPORT | 45 | 1m | 30m | 0.25% | 14 | 64.3% | 17.9% | 46.4% | 0.004 | 0.12% | 0.857 | 21% | 0.63% |
| binance | BTCFDUSD | spot | 35% | BUY_SUPPORT | 50 | 1m | 30m | 0.5% | 10 | 50.0% | 4.7% | 45.3% | 0.004 | 0.87% | 1.5 | 30% | 0.75% |
| binance | BTCFDUSD | spot | 35% | BUY_SUPPORT | 40 | 10m | 30m | 0.25% | 13 | 61.5% | 17.1% | 44.5% | 0.004 | -0.24% | 0.667 | 23% | 0.75% |
| deribit | BTC/USDT | spot | 2% | BUY_SUPPORT | 40 | 1m | 60m | 0.75% | 6 | 50.0% | 5.9% | 44.1% | 0.004 | 2.44% | 99 | 50% | 0.10% |
| deribit | BTC/USDC | spot | 5% | BUY_SUPPORT | 40 | 1m | 120m | 0.5% | 104 | 62.5% | 20.5% | 42.0% | 0.004 | 19.90% | 3.086 | 52% | 2.96% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 45 | 3m | 240m | 0.5% | 27 | 74.1% | 32.8% | 41.3% | 0.004 | 4.97% | 3.111 | 52% | 1.25% |
| binance | BTCUSDT | spot | 2% | SELL_PRESSURE | 45 | 10m | 120m | 0.25% | 14 | 85.7% | 44.5% | 41.2% | 0.004 | -0.47% | 0.6 | 21% | 0.88% |
| binance | BTCUSDT | futures | 1% | SELL_PRESSURE | 40 | 10m | 30m | 0.25% | 12 | 58.3% | 17.3% | 41.0% | 0.004 | 0.92% | 2.5 | 42% | 0.25% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 30 | 15m | 240m | 0.5% | 15 | 73.3% | 32.4% | 40.9% | 0.004 | 2.25% | 2.286 | 53% | 0.75% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 45 | 1m | 240m | 0.25% | 49 | 98.0% | 57.5% | 40.5% | 0.004 | 3.25% | 2.083 | 51% | 1.13% |
| kucoin | BTC-USDC | spot | 10% | BUY_SUPPORT | 50 | 5m | 360m | 0.5% | 18 | 88.9% | 48.7% | 40.2% | 0.004 | 0.75% | 1.273 | 39% | 1.75% |
| deribit | BTC/USDT | spot | 50% | BUY_SUPPORT | 30 | 10m | 360m | 0.75% | 19 | 68.4% | 30.2% | 38.2% | 0.004 | 2.64% | 1.75 | 37% | 1.50% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 30 | 15m | 120m | 0.5% | 15 | 60.0% | 23.3% | 36.7% | 0.004 | 3.04% | 3.2 | 53% | 0.75% |
| binance | BTCUSDT | futures | 1% | SELL_PRESSURE | 35 | 10m | 120m | 0.25% | 22 | 81.8% | 45.2% | 36.6% | 0.004 | 0.25% | 1.143 | 36% | 0.75% |
| binance | BTCUSDT | futures | 1% | SELL_PRESSURE | 35 | 10m | 30m | 0.25% | 22 | 54.5% | 18.2% | 36.4% | 0.004 | 1.58% | 2 | 36% | 0.75% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 35 | 15m | 30m | 0.5% | 10 | 40.0% | 4.6% | 35.4% | 0.004 | 2.32% | 8 | 40% | 0.25% |
| binance | BTCUSDT | spot | 2% | SELL_PRESSURE | 50 | 3m | 30m | 0.25% | 17 | 52.9% | 18.7% | 34.2% | 0.004 | 0.82% | 1.714 | 35% | 0.38% |
| bybit | BTCUSDT | futures | 50% | SELL_PRESSURE | 35 | 5m | 240m | 0.25% | 36 | 88.9% | 55.9% | 33.0% | 0.004 | -0.75% | 0.769 | 28% | 1.13% |
| bybit | BTCUSDT | futures | 0.5% | SELL_PRESSURE | 35 | 5m | 240m | 0.25% | 36 | 88.9% | 55.9% | 33.0% | 0.004 | -0.75% | 0.769 | 28% | 1.13% |
| deribit | BTC/USDT | spot | 50% | BUY_SUPPORT | 30 | 10m | 360m | 1% | 19 | 52.6% | 19.7% | 32.9% | 0.004 | 5.27% | 2.333 | 37% | 1.03% |
| binance | BTCUSDC | spot | 1% | SELL_PRESSURE | 30 | 15m | 30m | 0.5% | 8 | 37.5% | 4.7% | 32.9% | 0.004 | 1.50% | 99 | 38% | 0.16% |
| binance | BTCUSDT | spot | 0.5% | BUY_SUPPORT | 35 | 1m | 60m | 0.25% | 20 | 65.0% | 32.3% | 32.7% | 0.004 | 0.39% | 1.273 | 35% | 0.69% |
| binance | BTCUSDT | futures | 1% | SELL_PRESSURE | 35 | 10m | 60m | 0.25% | 22 | 63.6% | 31.0% | 32.6% | 0.004 | 0.88% | 1.5 | 41% | 0.75% |
| mexc | BTCUSDC | spot | 50% | SELL_PRESSURE | 60 | 1m | 15m | 0.25% | 15 | 40.0% | 7.7% | 32.3% | 0.004 | 1.16% | 12 | 40% | 0.22% |
| mexc | BTCUSDC | spot | 1% | BUY_SUPPORT | 35 | 3m | 120m | 0.5% | 24 | 54.2% | 22.0% | 32.2% | 0.004 | 2.24% | 1.8 | 38% | 2.06% |
| mexc | BTCUSDC | spot | 100% | BUY_SUPPORT | 30 | 5m | 60m | 1% | 6 | 33.3% | 1.3% | 32.1% | 0.004 | 2.57% | 99 | 33% | 0.35% |
| deribit | BTC/USDE | spot | 10% | BUY_SUPPORT | 30 | 1m | 15m | 0.5% | 6 | 33.3% | 1.3% | 32.1% | 0.004 | 1.24% | 99 | 33% | 0.15% |
| mexc | BTCUSDC | spot | 2% | SELL_PRESSURE | 60 | 1m | 15m | 0.25% | 15 | 40.0% | 8.0% | 32.0% | 0.004 | 1.16% | 12 | 40% | 0.22% |
| bybit | BTCUSDT | futures | 10% | SELL_PRESSURE | 35 | 5m | 240m | 0.25% | 36 | 88.9% | 56.9% | 32.0% | 0.004 | -0.75% | 0.769 | 28% | 1.13% |
| mexc | BTCUSDC | spot | 10% | SELL_PRESSURE | 60 | 1m | 15m | 0.25% | 15 | 40.0% | 8.1% | 31.9% | 0.004 | 1.16% | 12 | 40% | 0.22% |
| mexc | BTCUSDC | spot | 100% | SELL_PRESSURE | 60 | 1m | 15m | 0.25% | 15 | 40.0% | 8.2% | 31.8% | 0.004 | 1.16% | 12 | 40% | 0.22% |
| mexc | BTCUSDC | spot | 1% | SELL_PRESSURE | 60 | 1m | 15m | 0.25% | 15 | 40.0% | 8.2% | 31.8% | 0.004 | 1.16% | 12 | 40% | 0.22% |
| bybit | BTCUSDT | futures | 20% | SELL_PRESSURE | 35 | 5m | 240m | 0.25% | 36 | 88.9% | 57.2% | 31.7% | 0.004 | -0.75% | 0.769 | 28% | 1.13% |
| binance | BTCUSDT | futures | 1% | SELL_PRESSURE | 35 | 10m | 15m | 0.25% | 22 | 40.9% | 9.4% | 31.5% | 0.004 | 2.09% | 4.5 | 41% | 0.21% |
| mexc | BTCUSDC | spot | 5% | SELL_PRESSURE | 60 | 1m | 15m | 0.25% | 15 | 40.0% | 8.6% | 31.4% | 0.004 | 1.16% | 12 | 40% | 0.22% |
| mexc | BTCUSDC | spot | 35% | SELL_PRESSURE | 60 | 1m | 15m | 0.25% | 15 | 40.0% | 8.6% | 31.4% | 0.004 | 1.16% | 12 | 40% | 0.22% |
| binance | BTCUSDT | futures | 1% | BUY_SUPPORT | 35 | 5m | 60m | 1% | 9 | 33.3% | 2.0% | 31.4% | 0.004 | 2.49% | 6 | 33% | 0.73% |
| deribit | BTC/USDT | spot | 2% | SELL_PRESSURE | 30 | 3m | 60m | 1% | 9 | 33.3% | 2.2% | 31.1% | 0.004 | 2.52% | 6 | 33% | 0.93% |
| deribit | BTC/USDT | spot | 2% | BUY_SUPPORT | 40 | 1m | 60m | 1% | 6 | 33.3% | 2.5% | 30.8% | 0.004 | 3.10% | 99 | 33% | 0.10% |
| binance | BTCUSDT | futures | 0.5% | SELL_PRESSURE | 30 | 1m | 30m | 0.25% | 61 | 47.5% | 18.1% | 29.4% | 0.004 | 1.63% | 1.273 | 34% | 1.50% |
| bybit | BTCUSDT | futures | 0.5% | SELL_PRESSURE | 45 | 5m | 120m | 1% | 9 | 33.3% | 4.3% | 29.0% | 0.004 | 4.46% | 99 | 33% | 0.00% |
| mexc | BTCUSDT | spot | 10% | BUY_SUPPORT | 35 | 3m | 60m | 0.75% | 12 | 33.3% | 4.9% | 28.5% | 0.004 | 2.00% | 2.667 | 33% | 0.75% |
| bybit | BTCUSDT | futures | 2% | SELL_PRESSURE | 30 | 5m | 240m | 0.25% | 58 | 84.5% | 56.3% | 28.1% | 0.004 | -2.00% | 0.636 | 24% | 2.63% |
| mexc | BTCUSDT | spot | 100% | BUY_SUPPORT | 35 | 3m | 60m | 0.75% | 12 | 33.3% | 5.4% | 27.9% | 0.004 | 2.00% | 2.667 | 33% | 0.75% |
| mexc | BTCUSDT | spot | 50% | BUY_SUPPORT | 35 | 3m | 60m | 0.75% | 12 | 33.3% | 5.5% | 27.8% | 0.004 | 2.00% | 2.667 | 33% | 0.75% |
| mexc | BTCUSDT | spot | 35% | BUY_SUPPORT | 35 | 3m | 60m | 0.75% | 12 | 33.3% | 5.5% | 27.8% | 0.004 | 2.00% | 2.667 | 33% | 0.75% |
| binance | BTCUSDC | spot | 2% | SELL_PRESSURE | 40 | 10m | 60m | 0.75% | 13 | 30.8% | 3.1% | 27.6% | 0.004 | 3.84% | 8 | 31% | 0.38% |
| mexc | BTCUSDT | spot | 2% | BUY_SUPPORT | 35 | 3m | 60m | 0.75% | 12 | 33.3% | 5.8% | 27.6% | 0.004 | 2.00% | 2.667 | 33% | 0.75% |
| mexc | BTCUSDT | spot | 5% | BUY_SUPPORT | 35 | 3m | 60m | 0.75% | 12 | 33.3% | 6.0% | 27.4% | 0.004 | 2.00% | 2.667 | 33% | 0.75% |
Episode detection: Contiguous runs where raw_sentiment ≥ threshold (BUY) or ≤ -threshold (SELL), with up to 2-minute gap tolerance. Minimum duration = minDuration consecutive minutes.
Scoring: For each episode, measure the maximum directional move (best_up for BUY, best_down for SELL) in the next horizonMinutes. Success = directional_move ≥ target_move_pct.
Monte Carlo: Circular-shift the sentiment series by a random offset (preserving autocorrelation) while keeping the price series fixed. Repeat 250 times. p_value = fraction of null-distribution hit-rates ≥ observed hit-rate.
Backtest: Per-trade P&L. Target = movePct, Stop = movePct/2. If best_down ≥ stop (whether or not target also reached), outcome = LOSS. If only target reached = WIN. Otherwise TIMEOUT (use actual final return). All trades equally weighted, 1 unit per trade.
Data: 3,855,734 rows, last 720h,
thresholds 30/35/40/45/50/55/60 |
Source: benchmark/results/extreme_sentiment_all_markets_mc.json