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 · 2026-07-26 06:30 UTC

0.1941

DSR · deflated Sharpe

0.4867

PBO · prob backtest overfit

Walk-forward
0.6141
Sharpe
-0.43
Max drawdown
-52.2%
Total return
-45.8%
BTC buy & hold
+214.4%
Δ Alpha
-260.2%
Period
2022-06-17 → 2026-07-26 · n=1500
Strategy
Sentealpha signal-driven v2 (WEIGHT_MATRIX_V2 active) · pandas

Notes

factor_exposure skipped — df_factors not provided

IC by regime9h 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+0.78639OK
2t1_halving_cycle−0.75939OK
3dji_7d_return−0.63215MEDIUM

Recovery

#SignalICnconf
1dias_ate_ecb+0.52032OK
2nasdaq_7d_return−0.46522MEDIUM
3dxy+0.43562OK

Bear decline

#SignalICnconf
1equity_breadth_pct+0.48967OK
2btc_power_law_ratio+0.438101OK
3safe_haven_proxy_score−0.39358OK

Capitulation

#SignalICnconf
1m36_eua_carbon_yoy_pct+0.40170OK
2wti_brent_spread−0.28569OK
3credit_stress_score−0.27574OK

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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