yongkangc/cexlead_horizon_sweep_surface.html

## cexlead_horizon_sweep_surface.html
<!DOCTYPE html>
<html>
<head>
    <title>CexLead Exit Horizon Sweep — ETH 15m</title>
    <script src="https://cdn.plot.ly/plotly-2.27.0.min.js"></script>
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</head>
<body>
    <h1>⚡ CexLead Exit Horizon Sweep — ETH 15m</h1>
    <div class="subtitle">
        Fixed: 3.0 bps threshold | dist ≤ 0.20 | 200ms lookback | Sweep: forward_horizon 400ms–5000ms<br>
        Train: Feb 5–18 (14d) | Test: Feb 19–Mar 3 (13d)
    </div>

    <div class="summary">
        <strong>Key Findings:</strong><br>
        📈 Test Sharpe peaks at <span class="highlight">5000ms = 35.56</span>
        (Train peak: 600ms = 60.25)<br>
        💰 Test total P&L peaks at <span class="highlight">3000ms = $700.39</span>
        (more trades at shorter horizons offset lower avg P&L)<br>
        📊 Flat rate at 400ms: <span class="highlight">14.6%</span> → drops to 5.9% at 5000ms<br>
        🔍 Edge does NOT decay up to 5s — avg P&L per trade increases monotonically. Longer horizons = fewer trades but higher quality.
    </div>

    <div class="chart-grid">
        <div class="chart-container chart-full">
            <div id="chart-sharpe"></div>
        </div>
        <div class="chart-container">
            <div id="chart-avgpnl"></div>
        </div>
        <div class="chart-container">
            <div id="chart-winrate"></div>
        </div>
        <div class="chart-container">
            <div id="chart-flatrate"></div>
        </div>
        <div class="chart-container">
            <div id="chart-totalpnl"></div>
        </div>
        <div class="chart-container chart-full">
            <div id="chart-tradesperday"></div>
        </div>
    </div>

    <h2 style="color: #f0f6fc; margin-bottom: 12px; font-size: 18px;">Full Results Table</h2>
    <div class="table-container">
        <table>
            <thead>
                <tr>
                    <th style="text-align:left">Horizon (ms)</th>
                    <th>Period</th>
                    <th>Trades</th>
                    <th>Win %</th>
                    <th>Lose %</th>
                    <th>Flat %</th>
                    <th>Avg P&L</th>
                    <th>Total P&L</th>
                    <th>Sharpe</th>
                    <th>Trades/Day</th>
                </tr>
            </thead>
            <tbody>
                <tr>
        <td>400</td>
        <td>test</td>
        <td>5330</td>
        <td>46.5%</td>
        <td>38.9%</td>
        <td>14.6%</td>
        <td>$0.0567</td>
        <td>$302.38</td>
        <td>31.77</td>
        <td>444.2</td>
    </tr><tr>
        <td>500</td>
        <td>test</td>
        <td>5236</td>
        <td>51.7%</td>
        <td>34.8%</td>
        <td>13.5%</td>
        <td>$0.0782</td>
        <td>$409.62</td>
        <td>32.32</td>
        <td>436.3</td>
    </tr><tr>
        <td>600</td>
        <td>test</td>
        <td>5137</td>
        <td>54.8%</td>
        <td>32.4%</td>
        <td>12.8%</td>
        <td>$0.0902</td>
        <td>$463.33</td>
        <td>31.99</td>
        <td>428.1</td>
    </tr><tr>
        <td>700</td>
        <td>test</td>
        <td>5049</td>
        <td>57.5%</td>
        <td>30.6%</td>
        <td>11.9%</td>
        <td>$0.1012</td>
        <td>$510.79</td>
        <td>32.21</td>
        <td>420.8</td>
    </tr><tr>
        <td>800</td>
        <td>test</td>
        <td>4978</td>
        <td>59.9%</td>
        <td>28.9%</td>
        <td>11.1%</td>
        <td>$0.1094</td>
        <td>$544.62</td>
        <td>32.79</td>
        <td>414.8</td>
    </tr><tr>
        <td>900</td>
        <td>test</td>
        <td>4919</td>
        <td>61.3%</td>
        <td>27.8%</td>
        <td>10.9%</td>
        <td>$0.1158</td>
        <td>$569.75</td>
        <td>32.99</td>
        <td>409.9</td>
    </tr><tr>
        <td>1000</td>
        <td>test</td>
        <td>4856</td>
        <td>62.1%</td>
        <td>27.4%</td>
        <td>10.4%</td>
        <td>$0.1203</td>
        <td>$584.01</td>
        <td>32.63</td>
        <td>404.7</td>
    </tr><tr>
        <td>2000</td>
        <td>test</td>
        <td>4473</td>
        <td>66.3%</td>
        <td>25.4%</td>
        <td>8.4%</td>
        <td>$0.1445</td>
        <td>$646.52</td>
        <td>33.44</td>
        <td>372.8</td>
    </tr><tr>
        <td>3000</td>
        <td>test</td>
        <td>4233</td>
        <td>68.1%</td>
        <td>24.1%</td>
        <td>7.7%</td>
        <td>$0.1655</td>
        <td>$700.39</td>
        <td>33.57</td>
        <td>352.8</td>
    </tr><tr>
        <td>4000</td>
        <td>test</td>
        <td>4037</td>
        <td>68.1%</td>
        <td>25.4%</td>
        <td>6.5%</td>
        <td>$0.1717</td>
        <td>$693.20</td>
        <td>34.82</td>
        <td>336.4</td>
    </tr><tr>
        <td>5000</td>
        <td>test</td>
        <td>3897</td>
        <td>67.8%</td>
        <td>26.3%</td>
        <td>5.9%</td>
        <td>$0.1760</td>
        <td>$686.02</td>
        <td>35.56</td>
        <td>324.8</td>
    </tr><tr>
        <td>400</td>
        <td>train</td>
        <td>17799</td>
        <td>27.2%</td>
        <td>52.7%</td>
        <td>20.1%</td>
        <td>$-0.0061</td>
        <td>$-108.55</td>
        <td>-4.36</td>
        <td>1271.4</td>
    </tr><tr>
        <td>500</td>
        <td>train</td>
        <td>16987</td>
        <td>35.0%</td>
        <td>44.2%</td>
        <td>20.8%</td>
        <td>$0.0117</td>
        <td>$199.54</td>
        <td>15.14</td>
        <td>1213.4</td>
    </tr><tr>
        <td>600</td>
        <td>train</td>
        <td>16299</td>
        <td>44.4%</td>
        <td>35.6%</td>
        <td>20.1%</td>
        <td>$0.0383</td>
        <td>$624.92</td>
        <td>60.25</td>
        <td>1164.2</td>
    </tr><tr>
        <td>700</td>
        <td>train</td>
        <td>15726</td>
        <td>50.6%</td>
        <td>30.0%</td>
        <td>19.4%</td>
        <td>$0.0577</td>
        <td>$908.15</td>
        <td>51.28</td>
        <td>1123.3</td>
    </tr><tr>
        <td>800</td>
        <td>train</td>
        <td>15266</td>
        <td>54.9%</td>
        <td>26.7%</td>
        <td>18.4%</td>
        <td>$0.0722</td>
        <td>$1102.38</td>
        <td>43.60</td>
        <td>1090.4</td>
    </tr><tr>
        <td>900</td>
        <td>train</td>
        <td>14927</td>
        <td>58.1%</td>
        <td>24.4%</td>
        <td>17.4%</td>
        <td>$0.0820</td>
        <td>$1224.36</td>
        <td>40.42</td>
        <td>1066.2</td>
    </tr><tr>
        <td>1000</td>
        <td>train</td>
        <td>14604</td>
        <td>60.4%</td>
        <td>22.8%</td>
        <td>16.8%</td>
        <td>$0.0892</td>
        <td>$1302.52</td>
        <td>37.82</td>
        <td>1043.1</td>
    </tr><tr>
        <td>2000</td>
        <td>train</td>
        <td>12333</td>
        <td>67.5%</td>
        <td>20.4%</td>
        <td>12.1%</td>
        <td>$0.1221</td>
        <td>$1505.31</td>
        <td>33.32</td>
        <td>880.9</td>
    </tr><tr>
        <td>3000</td>
        <td>train</td>
        <td>11096</td>
        <td>68.2%</td>
        <td>21.8%</td>
        <td>10.0%</td>
        <td>$0.1359</td>
        <td>$1507.78</td>
        <td>33.56</td>
        <td>792.6</td>
    </tr><tr>
        <td>4000</td>
        <td>train</td>
        <td>10223</td>
        <td>68.2%</td>
        <td>22.9%</td>
        <td>8.9%</td>
        <td>$0.1445</td>
        <td>$1476.96</td>
        <td>34.57</td>
        <td>730.2</td>
    </tr><tr>
        <td>5000</td>
        <td>train</td>
        <td>9551</td>
        <td>67.2%</td>
        <td>24.4%</td>
        <td>8.3%</td>
        <td>$0.1457</td>
        <td>$1391.37</td>
        <td>37.80</td>
        <td>682.2</td>
    </tr>
            </tbody>
        </table>
    </div>

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    Plotly.newPlot('chart-sharpe', [

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        yaxis: { ...layout_base.yaxis, title: 'Sharpe' },
        height: 400
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    // Avg P&L
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    // Win Rate
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        yaxis: { ...layout_base.yaxis, title: 'Win Rate (%)' },
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        yaxis: { ...layout_base.yaxis, title: 'Trades/Day' },
        height: 350
    });
    </script>
</body>
</html>
	<!DOCTYPE html>
	<html>
	<head>
	<title>CexLead Exit Horizon Sweep — ETH 15m</title>
	<script src="https://cdn.plot.ly/plotly-2.27.0.min.js"></script>
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	}
	td:first-child { text-align: left; }
	tr:hover { background: #1c2128; }
	.table-container {
	border: 1px solid #30363d;
	border-radius: 8px;
	overflow: hidden;
	}
	</style>
	</head>
	<body>
	<h1>⚡ CexLead Exit Horizon Sweep — ETH 15m</h1>
	<div class="subtitle">
	Fixed: 3.0 bps threshold \| dist ≤ 0.20 \| 200ms lookback \| Sweep: forward_horizon 400ms–5000ms<br>
	Train: Feb 5–18 (14d) \| Test: Feb 19–Mar 3 (13d)
	</div>

	<div class="summary">
	<strong>Key Findings:</strong><br>
	📈 Test Sharpe peaks at <span class="highlight">5000ms = 35.56</span>
	(Train peak: 600ms = 60.25)<br>
	💰 Test total P&L peaks at <span class="highlight">3000ms = $700.39</span>
	(more trades at shorter horizons offset lower avg P&L)<br>
	📊 Flat rate at 400ms: <span class="highlight">14.6%</span> → drops to 5.9% at 5000ms<br>
	🔍 Edge does NOT decay up to 5s — avg P&L per trade increases monotonically. Longer horizons = fewer trades but higher quality.
	</div>

	<div class="chart-grid">
	<div class="chart-container chart-full">
	<div id="chart-sharpe"></div>
	</div>
	<div class="chart-container">
	<div id="chart-avgpnl"></div>
	</div>
	<div class="chart-container">
	<div id="chart-winrate"></div>
	</div>
	<div class="chart-container">
	<div id="chart-flatrate"></div>
	</div>
	<div class="chart-container">
	<div id="chart-totalpnl"></div>
	</div>
	<div class="chart-container chart-full">
	<div id="chart-tradesperday"></div>
	</div>
	</div>

	<h2 style="color: #f0f6fc; margin-bottom: 12px; font-size: 18px;">Full Results Table</h2>
	<div class="table-container">
	<table>
	<thead>
	<tr>
	<th style="text-align:left">Horizon (ms)</th>
	<th>Period</th>
	<th>Trades</th>
	<th>Win %</th>
	<th>Lose %</th>
	<th>Flat %</th>
	<th>Avg P&L</th>
	<th>Total P&L</th>
	<th>Sharpe</th>
	<th>Trades/Day</th>
	</tr>
	</thead>
	<tbody>
	<tr>
	<td>400</td>
	<td>test</td>
	<td>5330</td>
	<td>46.5%</td>
	<td>38.9%</td>
	<td>14.6%</td>
	<td>$0.0567</td>
	<td>$302.38</td>
	<td>31.77</td>
	<td>444.2</td>
	</tr><tr>
	<td>500</td>
	<td>test</td>
	<td>5236</td>
	<td>51.7%</td>
	<td>34.8%</td>
	<td>13.5%</td>
	<td>$0.0782</td>
	<td>$409.62</td>
	<td>32.32</td>
	<td>436.3</td>
	</tr><tr>
	<td>600</td>
	<td>test</td>
	<td>5137</td>
	<td>54.8%</td>
	<td>32.4%</td>
	<td>12.8%</td>
	<td>$0.0902</td>
	<td>$463.33</td>
	<td>31.99</td>
	<td>428.1</td>
	</tr><tr>
	<td>700</td>
	<td>test</td>
	<td>5049</td>
	<td>57.5%</td>
	<td>30.6%</td>
	<td>11.9%</td>
	<td>$0.1012</td>
	<td>$510.79</td>
	<td>32.21</td>
	<td>420.8</td>
	</tr><tr>
	<td>800</td>
	<td>test</td>
	<td>4978</td>
	<td>59.9%</td>
	<td>28.9%</td>
	<td>11.1%</td>
	<td>$0.1094</td>
	<td>$544.62</td>
	<td>32.79</td>
	<td>414.8</td>
	</tr><tr>
	<td>900</td>
	<td>test</td>
	<td>4919</td>
	<td>61.3%</td>
	<td>27.8%</td>
	<td>10.9%</td>
	<td>$0.1158</td>
	<td>$569.75</td>
	<td>32.99</td>
	<td>409.9</td>
	</tr><tr>
	<td>1000</td>
	<td>test</td>
	<td>4856</td>
	<td>62.1%</td>
	<td>27.4%</td>
	<td>10.4%</td>
	<td>$0.1203</td>
	<td>$584.01</td>
	<td>32.63</td>
	<td>404.7</td>
	</tr><tr>
	<td>2000</td>
	<td>test</td>
	<td>4473</td>
	<td>66.3%</td>
	<td>25.4%</td>
	<td>8.4%</td>
	<td>$0.1445</td>
	<td>$646.52</td>
	<td>33.44</td>
	<td>372.8</td>
	</tr><tr>
	<td>3000</td>
	<td>test</td>
	<td>4233</td>
	<td>68.1%</td>
	<td>24.1%</td>
	<td>7.7%</td>
	<td>$0.1655</td>
	<td>$700.39</td>
	<td>33.57</td>
	<td>352.8</td>
	</tr><tr>
	<td>4000</td>
	<td>test</td>
	<td>4037</td>
	<td>68.1%</td>
	<td>25.4%</td>
	<td>6.5%</td>
	<td>$0.1717</td>
	<td>$693.20</td>
	<td>34.82</td>
	<td>336.4</td>
	</tr><tr>
	<td>5000</td>
	<td>test</td>
	<td>3897</td>
	<td>67.8%</td>
	<td>26.3%</td>
	<td>5.9%</td>
	<td>$0.1760</td>
	<td>$686.02</td>
	<td>35.56</td>
	<td>324.8</td>
	</tr><tr>
	<td>400</td>
	<td>train</td>
	<td>17799</td>
	<td>27.2%</td>
	<td>52.7%</td>
	<td>20.1%</td>
	<td>$-0.0061</td>
	<td>$-108.55</td>
	<td>-4.36</td>
	<td>1271.4</td>
	</tr><tr>
	<td>500</td>
	<td>train</td>
	<td>16987</td>
	<td>35.0%</td>
	<td>44.2%</td>
	<td>20.8%</td>
	<td>$0.0117</td>
	<td>$199.54</td>
	<td>15.14</td>
	<td>1213.4</td>
	</tr><tr>
	<td>600</td>
	<td>train</td>
	<td>16299</td>
	<td>44.4%</td>
	<td>35.6%</td>
	<td>20.1%</td>
	<td>$0.0383</td>
	<td>$624.92</td>
	<td>60.25</td>
	<td>1164.2</td>
	</tr><tr>
	<td>700</td>
	<td>train</td>
	<td>15726</td>
	<td>50.6%</td>
	<td>30.0%</td>
	<td>19.4%</td>
	<td>$0.0577</td>
	<td>$908.15</td>
	<td>51.28</td>
	<td>1123.3</td>
	</tr><tr>
	<td>800</td>
	<td>train</td>
	<td>15266</td>
	<td>54.9%</td>
	<td>26.7%</td>
	<td>18.4%</td>
	<td>$0.0722</td>
	<td>$1102.38</td>
	<td>43.60</td>
	<td>1090.4</td>
	</tr><tr>
	<td>900</td>
	<td>train</td>
	<td>14927</td>
	<td>58.1%</td>
	<td>24.4%</td>
	<td>17.4%</td>
	<td>$0.0820</td>
	<td>$1224.36</td>
	<td>40.42</td>
	<td>1066.2</td>
	</tr><tr>
	<td>1000</td>
	<td>train</td>
	<td>14604</td>
	<td>60.4%</td>
	<td>22.8%</td>
	<td>16.8%</td>
	<td>$0.0892</td>
	<td>$1302.52</td>
	<td>37.82</td>
	<td>1043.1</td>
	</tr><tr>
	<td>2000</td>
	<td>train</td>
	<td>12333</td>
	<td>67.5%</td>
	<td>20.4%</td>
	<td>12.1%</td>
	<td>$0.1221</td>
	<td>$1505.31</td>
	<td>33.32</td>
	<td>880.9</td>
	</tr><tr>
	<td>3000</td>
	<td>train</td>
	<td>11096</td>
	<td>68.2%</td>
	<td>21.8%</td>
	<td>10.0%</td>
	<td>$0.1359</td>
	<td>$1507.78</td>
	<td>33.56</td>
	<td>792.6</td>
	</tr><tr>
	<td>4000</td>
	<td>train</td>
	<td>10223</td>
	<td>68.2%</td>
	<td>22.9%</td>
	<td>8.9%</td>
	<td>$0.1445</td>
	<td>$1476.96</td>
	<td>34.57</td>
	<td>730.2</td>
	</tr><tr>
	<td>5000</td>
	<td>train</td>
	<td>9551</td>
	<td>67.2%</td>
	<td>24.4%</td>
	<td>8.3%</td>
	<td>$0.1457</td>
	<td>$1391.37</td>
	<td>37.80</td>
	<td>682.2</td>
	</tr>
	</tbody>
	</table>
	</div>

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	</html>
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