Feature interaction analysis

値は PF / Trades。* は100取引未満で判定保留。

Discovery / retrospective Validationは時系列分割だが、2026年MNQの損益は以前の研究で閲覧済み。独立した未使用Holdoutではない。

これらは約定済みTradeの事後コホート集計であり、Filter付き戦略を再実行した実行可能P&Lではない。

段階的コホート: 全取引 → NY AM membership → 時間ベースD。PF変化は選別後の約定済みTrade間の記述差であり、Filterの因果効果ではない。

Strategy	Period	ALL	NY AM	NY AM + D
donchian_20_10	discovery	0.98 / 2819	1.10 / 446	0.97 / 298
donchian_20_10	retrospective_validation	0.98 / 2087	0.92 / 347	0.96 / 228
donchian_ema_atr	discovery	1.01 / 1948	0.99 / 399	0.92 / 260
donchian_ema_atr	retrospective_validation	0.96 / 1492	0.94 / 307	1.12 / 200
supertrend_flip	discovery	1.02 / 1654	0.80 / 277	0.77 / 194
supertrend_flip	retrospective_validation	0.99 / 1290	0.89 / 221	0.89 / 148
chandelier_flip	discovery	0.99 / 2345	1.04 / 462	1.08 / 281
chandelier_flip	retrospective_validation	1.00 / 1731	0.89 / 372	0.75 / 235
ema_ribbon	discovery	0.98 / 2287	1.11 / 406	1.08 / 220
ema_ribbon	retrospective_validation	0.94 / 1670	0.96 / 289	0.82 / 164
squeeze_release	discovery	1.09 / 2022	1.92 / 209	2.08 / 119
squeeze_release	retrospective_validation	0.86 / 1555	1.12 / 177	1.26 / 93*
vwap_deviation	discovery	0.82 / 2091	0.94 / 431	0.95 / 266
vwap_deviation	retrospective_validation	0.87 / 1461	0.96 / 297	1.18 / 185
rolling_zscore	discovery	0.92 / 3340	0.91 / 451	1.00 / 320
rolling_zscore	retrospective_validation	0.91 / 2439	0.91 / 342	1.01 / 231
connors_rsi	discovery	0.85 / 15477	0.98 / 2112	0.89 / 956
connors_rsi	retrospective_validation	0.88 / 11477	0.94 / 1521	0.86 / 696
opening_range	discovery	0.97 / 450	0.98 / 284	0.96 / 151
opening_range	retrospective_validation	0.98 / 314	0.81 / 220	0.74 / 114
adx_di_cross	discovery	0.89 / 1826	0.98 / 310	1.09 / 172
adx_di_cross	retrospective_validation	0.80 / 1363	0.69 / 224	0.67 / 133
bbw_release	discovery	0.71 / 734	7.35 / 2*	7.35 / 2*
bbw_release	retrospective_validation	0.94 / 493	— / 0*	— / 0*
kaufman_efficiency	discovery	0.87 / 4965	1.10 / 536	1.00 / 243
kaufman_efficiency	retrospective_validation	0.86 / 3595	0.92 / 400	0.93 / 155
displacement_fvg	discovery	0.98 / 1251	1.20 / 407	1.13 / 282
displacement_fvg	retrospective_validation	1.02 / 895	0.99 / 315	1.10 / 232
madz_reversion	discovery	0.82 / 964	0.94 / 174	0.82 / 91*
madz_reversion	retrospective_validation	1.10 / 718	1.04 / 150	1.03 / 87*

固定Filterの約定エンジン再実行

以下は条件をEntry時点で適用し、単一ポジション制約とExitを含めて再計算した結果。各期間の開始時はフラット。

Strategy	Period	Base	NY AM	NY AM+D	+5m SMT	+15m SMT	+60m SMT
donchian_20_10	discovery	0.98 / 2819	1.10 / 482	0.98 / 334	0.70 / 33*	0.63 / 30*	1.59 / 27*
donchian_20_10	retrospective_validation	0.98 / 2087	0.92 / 363	0.96 / 242	1.58 / 24*	1.02 / 18*	2.03 / 16*
donchian_ema_atr	discovery	1.01 / 1948	0.97 / 435	0.90 / 296	0.82 / 29*	0.83 / 25*	1.08 / 24*
donchian_ema_atr	retrospective_validation	0.96 / 1492	0.90 / 321	1.06 / 213	1.34 / 22*	1.08 / 15*	2.74 / 14*
supertrend_flip	discovery	1.02 / 1654	0.80 / 277	0.77 / 194	0.89 / 12*	0.52 / 11*	1.55 / 21*
supertrend_flip	retrospective_validation	0.99 / 1290	0.89 / 221	0.89 / 148	0.85 / 15*	0.96 / 9*	1.73 / 12*
chandelier_flip	discovery	0.99 / 2345	1.04 / 462	1.08 / 281	0.43 / 25*	1.76 / 24*	1.21 / 38*
chandelier_flip	retrospective_validation	1.00 / 1731	0.89 / 372	0.75 / 235	0.54 / 25*	0.18 / 30*	0.88 / 24*
ema_ribbon	discovery	0.98 / 2287	1.09 / 441	1.05 / 257	0.73 / 32*	1.09 / 24*	1.21 / 32*
ema_ribbon	retrospective_validation	0.94 / 1670	0.93 / 318	0.78 / 192	0.87 / 29*	0.48 / 33*	1.50 / 13*
squeeze_release	discovery	1.09 / 2022	1.90 / 210	2.06 / 120	0.00 / 3*	0.67 / 8*	8.69 / 9*
squeeze_release	retrospective_validation	0.86 / 1555	1.12 / 177	1.26 / 93*	2.90 / 5*	1.34 / 9*	2.21 / 9*
vwap_deviation	discovery	0.82 / 2091	0.96 / 445	0.99 / 280	0.93 / 47*	0.66 / 58*	0.74 / 69*
vwap_deviation	retrospective_validation	0.87 / 1461	0.96 / 317	1.15 / 205	2.06 / 40*	1.45 / 42*	1.46 / 50*
rolling_zscore	discovery	0.92 / 3340	0.91 / 458	1.00 / 327	1.29 / 47*	0.84 / 59*	1.18 / 71*
rolling_zscore	retrospective_validation	0.91 / 2439	0.92 / 350	1.02 / 239	1.65 / 36*	1.17 / 42*	0.75 / 60*
connors_rsi	discovery	0.85 / 15477	0.98 / 2121	0.89 / 965	0.62 / 174	0.76 / 165	1.02 / 114
connors_rsi	retrospective_validation	0.88 / 11477	0.94 / 1524	0.85 / 699	0.81 / 142	0.89 / 126	0.90 / 89*
opening_range	discovery	0.97 / 450	0.98 / 284	0.96 / 151	0.12 / 9*	0.00 / 2*	1.31 / 5*
opening_range	retrospective_validation	0.98 / 314	0.81 / 220	0.74 / 114	2.57 / 3*	— / 1*	1.71 / 2*
adx_di_cross	discovery	0.89 / 1826	0.98 / 310	1.09 / 172	0.38 / 12*	1.21 / 13*	0.94 / 15*
adx_di_cross	retrospective_validation	0.80 / 1363	0.69 / 224	0.67 / 133	0.54 / 14*	0.49 / 16*	1.15 / 17*
bbw_release	discovery	0.71 / 734	7.35 / 2*	7.35 / 2*	— / 0*	— / 0*	— / 0*
bbw_release	retrospective_validation	0.94 / 493	— / 0*	— / 0*	— / 0*	— / 0*	— / 0*
kaufman_efficiency	discovery	0.87 / 4965	1.10 / 536	1.00 / 243	0.73 / 13*	0.34 / 11*	3.79 / 17*
kaufman_efficiency	retrospective_validation	0.86 / 3595	0.92 / 400	0.93 / 155	2.04 / 20*	0.52 / 12*	0.90 / 9*
displacement_fvg	discovery	0.98 / 1251	1.20 / 407	1.13 / 282	28.70 / 2*	0.98 / 18*	10.47 / 28*
displacement_fvg	retrospective_validation	1.02 / 895	0.99 / 315	1.10 / 232	0.68 / 4*	0.48 / 15*	0.71 / 21*
madz_reversion	discovery	0.82 / 964	0.94 / 175	0.81 / 92*	0.74 / 8*	0.86 / 9*	0.70 / 13*
madz_reversion	retrospective_validation	1.10 / 718	1.05 / 151	1.06 / 88*	6.99 / 9*	5.96 / 10*	2.23 / 14*

利益・DD・前段階差分を含む全指標は results/summary/filter_backtests.csv。

事前仮説H006: NY AM D × 方向一致SMT

Strategy	Period	TF	Direction	PF / n	Expectancy	Avg R	Status
donchian_20_10	discovery	5m	bullish	0.98 / 10*	-1.24	-0.12	insufficient_sample
donchian_20_10	discovery	5m	bearish	0.60 / 15*	-25.60	-0.22	insufficient_sample
donchian_20_10	discovery	15m	bullish	0.72 / 11*	-17.27	-0.20	insufficient_sample
donchian_20_10	discovery	15m	bearish	0.85 / 14*	-10.15	0.05	insufficient_sample
donchian_20_10	discovery	60m	bullish	1.16 / 11*	9.00	0.01	insufficient_sample
donchian_20_10	discovery	60m	bearish	2.11 / 14*	61.97	0.89	insufficient_sample
donchian_20_10	retrospective_validation	5m	bullish	1.97 / 16*	58.03	0.47	insufficient_sample
donchian_20_10	retrospective_validation	5m	bearish	1.15 / 6*	9.62	0.17	insufficient_sample
donchian_20_10	retrospective_validation	15m	bullish	0.77 / 8*	-22.78	0.10	insufficient_sample
donchian_20_10	retrospective_validation	15m	bearish	3.82 / 6*	156.34	0.98	insufficient_sample
donchian_20_10	retrospective_validation	60m	bullish	0.96 / 4*	-3.90	-0.12	insufficient_sample
donchian_20_10	retrospective_validation	60m	bearish	2.69 / 9*	100.94	0.65	insufficient_sample
donchian_ema_atr	discovery	5m	bullish	1.23 / 9*	10.63	0.00	insufficient_sample
donchian_ema_atr	discovery	5m	bearish	0.82 / 13*	-9.39	-0.02	insufficient_sample
donchian_ema_atr	discovery	15m	bullish	0.83 / 10*	-9.99	-0.12	insufficient_sample
donchian_ema_atr	discovery	15m	bearish	1.04 / 12*	2.86	0.22	insufficient_sample
donchian_ema_atr	discovery	60m	bullish	0.50 / 10*	-33.45	-0.31	insufficient_sample
donchian_ema_atr	discovery	60m	bearish	1.68 / 12*	43.94	0.71	insufficient_sample
donchian_ema_atr	retrospective_validation	5m	bullish	2.10 / 16*	66.03	0.52	insufficient_sample
donchian_ema_atr	retrospective_validation	5m	bearish	0.47 / 4*	-64.12	-0.26	insufficient_sample
donchian_ema_atr	retrospective_validation	15m	bullish	0.96 / 7*	-3.54	0.26	insufficient_sample
donchian_ema_atr	retrospective_validation	15m	bearish	7.36 / 4*	216.81	1.23	insufficient_sample
donchian_ema_atr	retrospective_validation	60m	bullish	1.29 / 3*	27.37	-0.01	insufficient_sample
donchian_ema_atr	retrospective_validation	60m	bearish	2.21 / 9*	76.92	0.41	insufficient_sample
supertrend_flip	discovery	5m	bullish	0.46 / 6*	-36.71	-0.59	insufficient_sample
supertrend_flip	discovery	5m	bearish	1.60 / 6*	24.35	0.46	insufficient_sample
supertrend_flip	discovery	15m	bullish	0.00 / 4*	-86.17	-1.00	insufficient_sample
supertrend_flip	discovery	15m	bearish	0.93 / 7*	-4.48	0.25	insufficient_sample
supertrend_flip	discovery	60m	bullish	0.87 / 10*	-8.81	0.04	insufficient_sample
supertrend_flip	discovery	60m	bearish	2.52 / 11*	67.69	0.87	insufficient_sample
supertrend_flip	retrospective_validation	5m	bullish	0.80 / 10*	-20.00	-0.11	insufficient_sample
supertrend_flip	retrospective_validation	5m	bearish	0.97 / 5*	-2.50	0.18	insufficient_sample
supertrend_flip	retrospective_validation	15m	bullish	0.93 / 3*	-5.36	-0.02	insufficient_sample
supertrend_flip	retrospective_validation	15m	bearish	0.98 / 6*	-2.17	-0.01	insufficient_sample
supertrend_flip	retrospective_validation	60m	bullish	0.96 / 6*	-4.45	-0.01	insufficient_sample
supertrend_flip	retrospective_validation	60m	bearish	3.60 / 6*	114.96	0.97	insufficient_sample
chandelier_flip	discovery	5m	bullish	0.78 / 13*	-12.28	-0.25	insufficient_sample
chandelier_flip	discovery	5m	bearish	0.14 / 12*	-59.36	-0.66	insufficient_sample
chandelier_flip	discovery	15m	bullish	1.80 / 12*	32.92	0.10	insufficient_sample
chandelier_flip	discovery	15m	bearish	1.72 / 12*	43.58	0.28	insufficient_sample
chandelier_flip	discovery	60m	bullish	1.20 / 20*	12.37	0.09	insufficient_sample
chandelier_flip	discovery	60m	bearish	1.22 / 18*	14.80	0.41	insufficient_sample
chandelier_flip	retrospective_validation	5m	bullish	0.45 / 16*	-63.96	-0.32	insufficient_sample
chandelier_flip	retrospective_validation	5m	bearish	0.71 / 9*	-30.41	-0.21	insufficient_sample
chandelier_flip	retrospective_validation	15m	bullish	0.17 / 16*	-75.18	-0.50	insufficient_sample
chandelier_flip	retrospective_validation	15m	bearish	0.19 / 14*	-98.65	-0.63	insufficient_sample
chandelier_flip	retrospective_validation	60m	bullish	0.51 / 12*	-50.25	-0.29	insufficient_sample
chandelier_flip	retrospective_validation	60m	bearish	1.38 / 12*	29.12	0.33	insufficient_sample
ema_ribbon	discovery	5m	bullish	0.41 / 17*	-44.33	-0.38	insufficient_sample
ema_ribbon	discovery	5m	bearish	0.91 / 6*	-6.87	0.06	insufficient_sample
ema_ribbon	discovery	15m	bullish	0.77 / 11*	-14.11	-0.13	insufficient_sample
ema_ribbon	discovery	15m	bearish	2.56 / 7*	102.33	0.69	insufficient_sample
ema_ribbon	discovery	60m	bullish	2.63 / 14*	60.30	0.62	insufficient_sample
ema_ribbon	discovery	60m	bearish	0.60 / 13*	-37.88	-0.02	insufficient_sample
ema_ribbon	retrospective_validation	5m	bullish	1.33 / 14*	26.42	0.35	insufficient_sample
ema_ribbon	retrospective_validation	5m	bearish	1.28 / 8*	34.79	0.16	insufficient_sample
ema_ribbon	retrospective_validation	15m	bullish	0.57 / 15*	-44.17	-0.22	insufficient_sample
ema_ribbon	retrospective_validation	15m	bearish	0.98 / 9*	-1.90	0.14	insufficient_sample
ema_ribbon	retrospective_validation	60m	bullish	4.25 / 6*	149.86	0.97	insufficient_sample
ema_ribbon	retrospective_validation	60m	bearish	0.50 / 6*	-65.04	-0.40	insufficient_sample
squeeze_release	discovery	5m	bullish	— / 0*	—	—	insufficient_sample
squeeze_release	discovery	5m	bearish	0.00 / 2*	-92.74	-0.80	insufficient_sample
squeeze_release	discovery	15m	bullish	0.00 / 2*	-37.41	-0.57	insufficient_sample
squeeze_release	discovery	15m	bearish	0.94 / 5*	-4.06	0.17	insufficient_sample
squeeze_release	discovery	60m	bullish	0.00 / 1*	-96.69	-1.00	insufficient_sample
squeeze_release	discovery	60m	bearish	33.22 / 8*	137.92	1.42	insufficient_sample
squeeze_release	retrospective_validation	5m	bullish	4.67 / 4*	115.30	0.82	insufficient_sample
squeeze_release	retrospective_validation	5m	bearish	0.00 / 1*	-76.68	-1.00	insufficient_sample
squeeze_release	retrospective_validation	15m	bullish	0.67 / 4*	-12.61	0.04	insufficient_sample
squeeze_release	retrospective_validation	15m	bearish	1.73 / 5*	38.45	0.11	insufficient_sample
squeeze_release	retrospective_validation	60m	bullish	— / 1*	66.76	0.36	insufficient_sample
squeeze_release	retrospective_validation	60m	bearish	1.99 / 8*	37.09	0.23	insufficient_sample
vwap_deviation	discovery	5m	bullish	0.85 / 17*	-8.80	-0.16	insufficient_sample
vwap_deviation	discovery	5m	bearish	1.95 / 15*	40.09	0.25	insufficient_sample
vwap_deviation	discovery	15m	bullish	0.29 / 18*	-59.53	-0.50	insufficient_sample
vwap_deviation	discovery	15m	bearish	0.90 / 27*	-5.34	-0.17	insufficient_sample
vwap_deviation	discovery	60m	bullish	0.67 / 28*	-21.73	-0.09	insufficient_sample
vwap_deviation	discovery	60m	bearish	0.80 / 30*	-14.44	-0.08	insufficient_sample
vwap_deviation	retrospective_validation	5m	bullish	0.95 / 12*	-4.31	-0.04	insufficient_sample
vwap_deviation	retrospective_validation	5m	bearish	2.96 / 13*	80.63	0.51	insufficient_sample
vwap_deviation	retrospective_validation	15m	bullish	0.56 / 15*	-47.72	-0.26	insufficient_sample
vwap_deviation	retrospective_validation	15m	bearish	1.02 / 12*	1.20	-0.11	insufficient_sample
vwap_deviation	retrospective_validation	60m	bullish	0.53 / 15*	-50.54	-0.38	insufficient_sample
vwap_deviation	retrospective_validation	60m	bearish	2.32 / 23*	65.65	0.42	insufficient_sample
rolling_zscore	discovery	5m	bullish	0.72 / 17*	-18.23	-0.15	insufficient_sample
rolling_zscore	discovery	5m	bearish	1.75 / 20*	24.20	0.12	insufficient_sample
rolling_zscore	discovery	15m	bullish	0.62 / 23*	-24.44	-0.15	insufficient_sample
rolling_zscore	discovery	15m	bearish	0.79 / 30*	-10.41	-0.12	insufficient_sample
rolling_zscore	discovery	60m	bullish	1.16 / 33*	7.69	0.05	insufficient_sample
rolling_zscore	discovery	60m	bearish	1.34 / 33*	15.92	0.12	insufficient_sample
rolling_zscore	retrospective_validation	5m	bullish	2.19 / 15*	57.13	0.32	insufficient_sample
rolling_zscore	retrospective_validation	5m	bearish	0.73 / 11*	-24.71	-0.04	insufficient_sample
rolling_zscore	retrospective_validation	15m	bullish	1.41 / 17*	25.56	0.14	insufficient_sample
rolling_zscore	retrospective_validation	15m	bearish	0.57 / 20*	-37.15	-0.17	insufficient_sample
rolling_zscore	retrospective_validation	60m	bullish	0.54 / 23*	-40.59	-0.38	insufficient_sample
rolling_zscore	retrospective_validation	60m	bearish	0.99 / 29*	-0.83	0.06	insufficient_sample
connors_rsi	discovery	5m	bullish	0.59 / 87*	-15.37	-0.17	insufficient_sample
connors_rsi	discovery	5m	bearish	0.62 / 84*	-12.40	-0.06	insufficient_sample
connors_rsi	discovery	15m	bullish	0.87 / 71*	-4.10	-0.03	insufficient_sample
connors_rsi	discovery	15m	bearish	0.64 / 90*	-12.62	-0.09	insufficient_sample
connors_rsi	discovery	60m	bullish	1.17 / 58*	5.33	0.10	insufficient_sample
connors_rsi	discovery	60m	bearish	0.82 / 53*	-5.97	-0.09	insufficient_sample
connors_rsi	retrospective_validation	5m	bullish	0.93 / 67*	-2.54	-0.00	insufficient_sample
connors_rsi	retrospective_validation	5m	bearish	0.67 / 71*	-16.33	-0.07	insufficient_sample
connors_rsi	retrospective_validation	15m	bullish	1.15 / 54*	5.74	0.03	insufficient_sample
connors_rsi	retrospective_validation	15m	bearish	0.74 / 68*	-12.07	-0.08	insufficient_sample
connors_rsi	retrospective_validation	60m	bullish	0.95 / 33*	-2.27	-0.02	insufficient_sample
connors_rsi	retrospective_validation	60m	bearish	0.87 / 56*	-5.08	-0.04	insufficient_sample
opening_range	discovery	5m	bullish	0.00 / 3*	-142.18	-1.00	insufficient_sample
opening_range	discovery	5m	bearish	0.00 / 3*	-110.18	-1.00	insufficient_sample
opening_range	discovery	15m	bullish	— / 0*	—	—	insufficient_sample
opening_range	discovery	15m	bearish	0.00 / 2*	-172.49	-1.00	insufficient_sample
opening_range	discovery	60m	bullish	— / 2*	190.70	1.49	insufficient_sample
opening_range	discovery	60m	bearish	0.52 / 3*	-77.21	-0.01	insufficient_sample
opening_range	retrospective_validation	5m	bullish	— / 1*	201.26	1.23	insufficient_sample
opening_range	retrospective_validation	5m	bearish	0.00 / 1*	-161.33	-1.00	insufficient_sample
opening_range	retrospective_validation	15m	bullish	— / 0*	—	—	insufficient_sample
opening_range	retrospective_validation	15m	bearish	— / 1*	319.38	1.97	insufficient_sample
opening_range	retrospective_validation	60m	bullish	0.00 / 1*	-186.24	-0.85	insufficient_sample
opening_range	retrospective_validation	60m	bearish	— / 1*	319.38	1.97	insufficient_sample
adx_di_cross	discovery	5m	bullish	0.53 / 5*	-26.60	-0.03	insufficient_sample
adx_di_cross	discovery	5m	bearish	0.28 / 7*	-42.28	-0.33	insufficient_sample
adx_di_cross	discovery	15m	bullish	1.93 / 5*	41.46	0.40	insufficient_sample
adx_di_cross	discovery	15m	bearish	0.84 / 8*	-8.50	-0.06	insufficient_sample
adx_di_cross	discovery	60m	bullish	1.25 / 5*	10.28	0.14	insufficient_sample
adx_di_cross	discovery	60m	bearish	0.81 / 10*	-8.97	0.16	insufficient_sample
adx_di_cross	retrospective_validation	5m	bullish	0.67 / 8*	-27.78	-0.02	insufficient_sample
adx_di_cross	retrospective_validation	5m	bearish	0.34 / 6*	-50.86	-0.25	insufficient_sample
adx_di_cross	retrospective_validation	15m	bullish	0.31 / 9*	-51.43	-0.39	insufficient_sample
adx_di_cross	retrospective_validation	15m	bearish	0.69 / 7*	-25.87	-0.18	insufficient_sample
adx_di_cross	retrospective_validation	60m	bullish	0.56 / 9*	-26.27	-0.27	insufficient_sample
adx_di_cross	retrospective_validation	60m	bearish	1.94 / 8*	47.15	0.49	insufficient_sample
bbw_release	discovery	5m	bullish	— / 0*	—	—	insufficient_sample
bbw_release	discovery	5m	bearish	— / 0*	—	—	insufficient_sample
bbw_release	discovery	15m	bullish	— / 0*	—	—	insufficient_sample
bbw_release	discovery	15m	bearish	— / 0*	—	—	insufficient_sample
bbw_release	discovery	60m	bullish	— / 0*	—	—	insufficient_sample
bbw_release	discovery	60m	bearish	— / 0*	—	—	insufficient_sample
bbw_release	retrospective_validation	5m	bullish	— / 0*	—	—	insufficient_sample
bbw_release	retrospective_validation	5m	bearish	— / 0*	—	—	insufficient_sample
bbw_release	retrospective_validation	15m	bullish	— / 0*	—	—	insufficient_sample
bbw_release	retrospective_validation	15m	bearish	— / 0*	—	—	insufficient_sample
bbw_release	retrospective_validation	60m	bullish	— / 0*	—	—	insufficient_sample
bbw_release	retrospective_validation	60m	bearish	— / 0*	—	—	insufficient_sample
kaufman_efficiency	discovery	5m	bullish	0.04 / 5*	-52.14	-0.45	insufficient_sample
kaufman_efficiency	discovery	5m	bearish	1.16 / 8*	8.68	-0.17	insufficient_sample
kaufman_efficiency	discovery	15m	bullish	0.00 / 4*	-40.32	-0.42	insufficient_sample
kaufman_efficiency	discovery	15m	bearish	0.51 / 7*	-21.44	-0.30	insufficient_sample
kaufman_efficiency	discovery	60m	bullish	0.00 / 4*	-42.62	-0.43	insufficient_sample
kaufman_efficiency	discovery	60m	bearish	8.47 / 13*	79.19	0.96	insufficient_sample
kaufman_efficiency	retrospective_validation	5m	bullish	1.91 / 13*	40.89	0.39	insufficient_sample
kaufman_efficiency	retrospective_validation	5m	bearish	2.47 / 7*	36.36	0.31	insufficient_sample
kaufman_efficiency	retrospective_validation	15m	bullish	0.55 / 5*	-33.38	-0.26	insufficient_sample
kaufman_efficiency	retrospective_validation	15m	bearish	0.49 / 7*	-35.70	-0.18	insufficient_sample
kaufman_efficiency	retrospective_validation	60m	bullish	1.59 / 3*	18.43	0.09	insufficient_sample
kaufman_efficiency	retrospective_validation	60m	bearish	0.78 / 6*	-19.65	-0.32	insufficient_sample
displacement_fvg	discovery	5m	bullish	— / 0*	—	—	insufficient_sample
displacement_fvg	discovery	5m	bearish	28.70 / 2*	58.72	0.94	insufficient_sample
displacement_fvg	discovery	15m	bullish	0.56 / 5*	-25.53	-0.25	insufficient_sample
displacement_fvg	discovery	15m	bearish	1.22 / 13*	8.47	0.08	insufficient_sample
displacement_fvg	discovery	60m	bullish	2.23 / 8*	15.14	0.07	insufficient_sample
displacement_fvg	discovery	60m	bearish	17.92 / 19*	105.04	1.12	insufficient_sample
displacement_fvg	retrospective_validation	5m	bullish	0.86 / 2*	-14.07	0.47	insufficient_sample
displacement_fvg	retrospective_validation	5m	bearish	0.19 / 2*	-31.21	-0.47	insufficient_sample
displacement_fvg	retrospective_validation	15m	bullish	0.62 / 6*	-14.87	-0.06	insufficient_sample
displacement_fvg	retrospective_validation	15m	bearish	0.41 / 9*	-29.64	-0.26	insufficient_sample
displacement_fvg	retrospective_validation	60m	bullish	0.24 / 7*	-36.71	-0.26	insufficient_sample
displacement_fvg	retrospective_validation	60m	bearish	0.87 / 14*	-9.23	-0.08	insufficient_sample
madz_reversion	discovery	5m	bullish	0.47 / 4*	-48.28	-0.26	insufficient_sample
madz_reversion	discovery	5m	bearish	1.06 / 4*	4.65	0.47	insufficient_sample
madz_reversion	discovery	15m	bullish	0.00 / 3*	-80.35	-1.00	insufficient_sample
madz_reversion	discovery	15m	bearish	0.82 / 5*	-13.83	0.17	insufficient_sample
madz_reversion	discovery	60m	bullish	1.26 / 9*	13.71	-0.02	insufficient_sample
madz_reversion	discovery	60m	bearish	0.00 / 4*	-95.42	-1.00	insufficient_sample
madz_reversion	retrospective_validation	5m	bullish	7.04 / 5*	218.14	0.78	insufficient_sample
madz_reversion	retrospective_validation	5m	bearish	4.45 / 3*	161.48	0.98	insufficient_sample
madz_reversion	retrospective_validation	15m	bullish	3.99 / 7*	140.77	0.57	insufficient_sample
madz_reversion	retrospective_validation	15m	bearish	— / 2*	150.56	1.13	insufficient_sample
madz_reversion	retrospective_validation	60m	bullish	3.14 / 6*	126.54	0.36	insufficient_sample
madz_reversion	retrospective_validation	60m	bearish	1.36 / 7*	27.37	-0.13	insufficient_sample

他の時間足も results/summary/interaction_performance.csv に保存。最高PFの組合せを自動採用しない。

100取引未満は insufficient_sample。今後は新しいデータ上で、Filter付きシグナルを約定エンジンから再実行して確認する。