Backtest & Ablation Study
Feature group contribution study · Section 8.2 · Full System
Projected values · Train models for live results
Ablation Study — Section 8.2
Click row to view equity curve| Experiment | Features | Dir. Accuracy | F1 Macro | Sharpe | Max Drawdown |
|---|---|---|---|---|---|
Baseline OHLCV only | 7 | 51.2% | 0.48 | 0.31 | -28.4% |
+ Order Book OHLCV + LOB (15 features) | 15 | 55.1% | 0.52 | 0.68 | -22.1% |
+ Derivatives OHLCV + LOB + Futures (24) | 24 | 58.7% | 0.55 | 0.92 | -18.6% |
Full System All 45 microstructure features | 45 | 62.3% | 0.59 | 1.14 | -14.2% |
Equity Curve
Full System
Return: +100.4%Sharpe: 1.14
Drawdown
Max: -14.2%Thesis Contribution — Section 8.2
Ablation study isolating statistical contribution of each data layer. Answers: "Does microstructure data improve prediction beyond OHLCV baselines?" · Sharpe ≥ 1.0 (Full System) meets publication-quality standards. RunPOST /predictions/training/triggerto populate with real trained values.