Stage 1
Direction edge experiment
Experiment Summary
Random Forest ยท 30s direction target
- Train rows
- 4419
- Test rows
- 1895
- Default confidence
- 0.8
- Accuracy
- 0.3789
- Started
- 2026-06-24 10:38:58.997122+02:00
- Completed
- 2026-06-24 10:39:17.880895+02:00
Class Metrics
| Class | Precision | Recall | F1 |
|---|---|---|---|
| long | 0.38 | 0.3847 | 0.3823 |
| short | 0.3507 | 0.5083 | 0.4151 |
| flat | 0.5048 | 0.2043 | 0.2909 |
Confusion Matrix
| Actual \ Predicted | Long | Short | Flat |
|---|---|---|---|
| Long | 277 | 388 | 55 |
| Short | 277 | 336 | 48 |
| Flat | 175 | 234 | 105 |
Feature Importance
Top 20 features reported by the trained model.
cross_exchange_spread_percent
0.026138
ask_wall_score
0.025839
cross_exchange_price_deviation_percent
0.025359
mid_price_delta
0.025347
wall_shift_score
0.024931
candle_return_3
0.024767
candle_momentum_5
0.023843
order_book_imbalance_20
0.023437
imbalance_5_delta
0.023191
bid_wall_score
0.023068
capture_latency_ms
0.022897
imbalance_10_delta
0.022863
spread_percent
0.022182
order_book_imbalance_10
0.02213
ask_depth_5_delta
0.021879
volume_24h
0.021692
bid_depth_10_delta
0.021251
ask_depth_10_delta
0.021032
price_change_percent_24h
0.020824
order_book_imbalance_5
0.020642
Probability Diagnostics
Maximum class probabilities on the held-out rows used by shadow backtesting.
Minimum0.3357
Mean0.4305
P250.3975
Median0.4213
P750.4551
P900.4916
Maximum0.6672
At 0.80, 0 rows clear confidence,
but only 0 predict long/short.
At 0.60, 15 rows clear confidence,
with 1 actionable predictions.
Confident flat predictions are skipped by shadow backtest.
Confidence Threshold Funnel
| Threshold | All above | Actionable | Flat | Long | Short |
|---|---|---|---|---|---|
| ≥ 0.5 | 152 | 74 | 78 | 22 | 52 |
| ≥ 0.55 | 58 | 17 | 41 | 3 | 14 |
| ≥ 0.6 | 15 | 1 | 14 | 0 | 1 |
| ≥ 0.65 | 2 | 0 | 2 | 0 | 0 |
| ≥ 0.7 | 0 | 0 | 0 | 0 | 0 |
| ≥ 0.75 | 0 | 0 | 0 | 0 | 0 |
| ≥ 0.8 | 0 | 0 | 0 | 0 | 0 |
| ≥ 0.9 | 0 | 0 | 0 | 0 | 0 |
Shadow signals equal actionable rows: confidence above threshold and prediction is long or short.
Max Probability Histogram
0-0.1
0
0.1-0.2
0
0.2-0.3
0
0.3-0.4
516
0.4-0.5
1227
0.5-0.6
137
0.6-0.7
15
0.7-0.8
0
0.8-0.9
0
0.9-1
0
Top Confident Predictions
Highest max probabilities with predicted and actual outcomes.
| Captured | Exchange | Symbol | Prediction | Actual | Correct | Max probability | P long | P short | P flat | Future return % |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-06-22 04:59:04 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.6672 | 0.1409 | 0.1919 | 0.6672 | -0.019802 |
| 2026-06-22 05:01:19 | htx | VELVET/USDT:USDT | flat | short | no | 0.6592 | 0.1141 | 0.2267 | 0.6592 | -0.17821 |
| 2026-06-22 05:24:25 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.6335 | 0.1642 | 0.2024 | 0.6335 | 0 |
| 2026-06-22 05:23:52 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.6311 | 0.1384 | 0.2304 | 0.6311 | 0.010416 |
| 2026-06-22 04:58:27 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.6259 | 0.1733 | 0.2009 | 0.6259 | -0.001042 |
| 2026-06-22 05:22:43 | htx | VELVET/USDT:USDT | flat | short | no | 0.6224 | 0.1809 | 0.1967 | 0.6224 | -0.107166 |
| 2026-06-22 06:44:05 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.6199 | 0.1802 | 0.1999 | 0.6199 | -0.048111 |
| 2026-06-22 05:01:51 | htx | VELVET/USDT:USDT | flat | long | no | 0.6175 | 0.2008 | 0.1816 | 0.6175 | 0.248478 |
| 2026-06-22 05:23:18 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.6145 | 0.1795 | 0.206 | 0.6145 | -0.006249 |
| 2026-06-22 04:04:55 | mexc | VELVET/USDT:USDT | short | flat | no | 0.6133 | 0.201 | 0.6133 | 0.1857 | -0.041819 |
| 2026-06-22 05:35:54 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.6047 | 0.1699 | 0.2254 | 0.6047 | 0 |
| 2026-06-22 04:57:54 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.6033 | 0.1932 | 0.2035 | 0.6033 | 0.039618 |
| 2026-06-22 05:22:08 | htx | VELVET/USDT:USDT | flat | short | no | 0.601 | 0.1496 | 0.2494 | 0.601 | -0.069661 |
| 2026-06-22 05:00:46 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.6006 | 0.1543 | 0.2451 | 0.6006 | 0 |
| 2026-06-22 04:57:22 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.6005 | 0.1497 | 0.2498 | 0.6005 | -0.009382 |
| 2026-06-22 05:35:20 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.6 | 0.218 | 0.182 | 0.6 | 0 |
| 2026-06-22 05:32:38 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.5996 | 0.2448 | 0.1556 | 0.5996 | 0 |
| 2026-06-22 05:26:08 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.5982 | 0.1847 | 0.2171 | 0.5982 | 0 |
| 2026-06-22 05:00:10 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.5956 | 0.1879 | 0.2165 | 0.5956 | 0.011465 |
| 2026-06-22 04:47:04 | htx | VELVET/USDT:USDT | flat | short | no | 0.5936 | 0.1837 | 0.2227 | 0.5936 | -0.052215 |
| 2026-06-22 06:10:24 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.5891 | 0.1734 | 0.2374 | 0.5891 | -0.029866 |
| 2026-06-22 05:21:35 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.5887 | 0.1986 | 0.2127 | 0.5887 | -0.025986 |
| 2026-06-22 07:26:58 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.5868 | 0.2317 | 0.1815 | 0.5868 | -0.019347 |
| 2026-06-22 06:02:33 | mexc | VELVET/USDT:USDT | short | short | yes | 0.5868 | 0.3189 | 0.5868 | 0.0943 | -0.292604 |
| 2026-06-22 05:31:33 | htx | VELVET/USDT:USDT | flat | flat | yes | 0.5801 | 0.1871 | 0.2328 | 0.5801 | 0 |
Run Shadow Backtest
Historical simulation on held-out test rows only. No orders or live predictions.
Shadow Backtest Results
Expectancy values are percentages per accepted historical signal.
| Edge | Confidence | Signals | Long / Short | Win rate % | Avg win % | Avg loss % | Raw expectancy % | Net expectancy % | Max drawdown % | Profit factor | Fees + slip % | Created |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Weak / Insufficient | 0.6 | 1 | 0 / 1 | 0 | - | -0.1082 | 0.0418 | -0.1082 | 0.1082 | 0 | 0.15 | 2026-06-24 10:44 |
| Weak / Insufficient | 0.7 | 0 | 0 / 0 | - | - | - | - | - | - | - | 0.15 | 2026-06-24 10:43 |
| Weak / Insufficient | 0.8 | 0 | 0 / 0 | - | - | - | - | - | - | - | 0.15 | 2026-06-24 10:42 |