Engine backtest certificate

Cross-validated robustness metrics for the live signal-driven strategy. DSR > 0.7 is publishable; PBO < 0.5 means out-of-sample meets or beats median in-sample. Updated automatically when the engine universe rotates (S104.A signal-driven backtester).

Engine backtest certificate
Last regenerated · 2026-09-06 09:22 UTC

0.2871

DSR · deflated Sharpe

0.5075

PBO · prob backtest overfit

Walk-forward
-0.2422
Sharpe
-0.28
Max drawdown
-55.4%
Total return
-37.7%
BTC buy & hold
+236.1%
Δ Alpha
-273.8%
Period
2022-07-29 → 2026-09-06 · n=1500
Strategy
Sentealpha signal-driven v2 (WEIGHT_MATRIX_V2 active) · pandas

Notes

factor_exposure skipped — df_factors not provided

IC by regime11h ago
Top signals ranked by |IC| within each market regime. F-66 IC = Spearman correlation between the signal and BTC d+H return. Values ≥ 0.5 are strong by Bailey & López de Prado (2014). Cell name "icir" preserved from the legacy F-66 schema; the metric is actually IC.

Bull rally

#SignalICnconf
1bullish_structure_4h+0.71854OK
2dji_7d_return−0.65726MEDIUM
3eq_btc_corr_30d−0.64126MEDIUM

Recovery

#SignalICnconf
1dxy+0.42374OK
2ecb_deposit_rate+0.381112OK
3btc_fear_greed−0.358112OK

Bear decline

#SignalICnconf
1rsi_div_4h+0.51825MEDIUM
2equity_breadth_pct+0.49173OK
3btc_power_law_ratio+0.481112OK

Capitulation

#SignalICnconf
1m11_inventory_stress_z−0.49517MEDIUM
2m35_spr_stocks_yoy_pct−0.43417MEDIUM
3m36_eua_carbon_yoy_pct+0.39475OK

The certificate is research-grade. Past performance does not predict future returns. The full RESEARCH_DISCLAIMER is enforced as a universal footer on every page.

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