yongkangc/cexlead_signal_sweep_surface.html

## cexlead_signal_sweep_surface.html
<!DOCTYPE html>
<html>
<head>
<title>CexLead Signal Sweep — ETH 15m Returns Surface</title>
<script src="https://cdn.plot.ly/plotly-2.27.0.min.js"></script>
<style>
  body { margin: 0; background: #0d1117; color: #c9d1d9; font-family: -apple-system, BlinkMacSystemFont, 'Segoe UI', sans-serif; }
  .container { max-width: 1400px; margin: 0 auto; padding: 20px; }
  h1 { text-align: center; font-size: 1.5em; margin-bottom: 4px; }
  .subtitle { text-align: center; color: #8b949e; font-size: 0.9em; margin-bottom: 20px; }
  .chart { width: 100%; height: 550px; }
  .grid-table { width: 100%; border-collapse: collapse; margin-top: 20px; font-size: 0.85em; }
  .grid-table th, .grid-table td { border: 1px solid #30363d; padding: 8px 12px; text-align: center; }
  .grid-table th { background: #161b22; color: #58a6ff; }
  .grid-table td { background: #0d1117; }
  .positive { color: #3fb950; }
  .negative { color: #f85149; }
  .winner { background: #1a3a1a !important; font-weight: bold; }
  .tabs { display: flex; gap: 8px; margin-bottom: 16px; justify-content: center; }
  .tab { padding: 8px 16px; border-radius: 6px; cursor: pointer; border: 1px solid #30363d; background: #161b22; color: #c9d1d9; }
  .tab.active { background: #1f6feb; border-color: #1f6feb; color: #fff; }
  .panels { display: flex; gap: 20px; flex-wrap: wrap; }
  .panel { flex: 1; min-width: 400px; }
</style>
</head>
<body>
<div class="container">
<h1>CexLead Signal Sweep — ETH 15m</h1>
<div class="subtitle">853K OB snapshots · 673 markets · Feb 23–Mar 1 2026 · 200ms lookback · 5s hold · $5/trade maker</div>

<div class="tabs">
  <div class="tab active" onclick="showMetric('sharpe')">Sharpe (Test)</div>
  <div class="tab" onclick="showMetric('pnl')">Total P&L (Test)</div>
  <div class="tab" onclick="showMetric('winrate')">Win Rate (Test)</div>
  <div class="tab" onclick="showMetric('edge')">Avg Edge ¢/trade</div>
  <div class="tab" onclick="showMetric('trades')">Trades/Day</div>
</div>

<div class="panels">
  <div class="panel"><div id="surface" class="chart"></div></div>
  <div class="panel"><div id="heatmap" class="chart"></div></div>
</div>

<h2 style="margin-top:30px; font-size:1.1em;">Full Grid — Test Set (Feb 28–Mar 1)</h2>
<div id="tableContainer"></div>
</div>

<script>
// Data from issue #1210 sweep results
// Thresholds (bps) as rows, distance filters as columns
const thresholds = [5, 8, 10, 12, 15, 20, 30];
const distances = [0.10, 0.15, 0.20, 0.30, 0.50];

// Test-set results (Feb 28–Mar 1)
// [sharpe, totalPnL, winRate, avgEdge_cents, tradesPerDay]
const testData = {
  // 5bps
  '5_0.10': [3.12, 48.50, 81.2, 7.1, 34],
  '5_0.15': [4.91, 76.00, 82.0, 7.9, 38],
  '5_0.20': [5.80, 98.60, 80.0, 6.8, 58],
  '5_0.30': [6.24, 127.20, 78.5, 6.7, 81.5],
  '5_0.50': [5.95, 138.00, 76.0, 6.1, 92],
  // 8bps
  '8_0.10': [2.45, 18.20, 79.0, 5.8, 12],
  '8_0.15': [3.20, 28.50, 80.5, 6.2, 18],
  '8_0.20': [3.55, 38.40, 79.0, 5.9, 26],
  '8_0.30': [3.89, 49.80, 80.0, 6.3, 28],
  '8_0.50': [3.65, 55.20, 77.5, 5.5, 35],
  // 10bps
  '10_0.10': [1.80, 9.50, 76.0, 4.8, 8],
  '10_0.15': [2.35, 15.60, 78.0, 5.2, 12],
  '10_0.20': [2.68, 22.10, 77.5, 5.0, 18],
  '10_0.30': [2.95, 29.80, 78.0, 5.4, 20],
  '10_0.50': [2.72, 33.50, 75.5, 4.6, 26],
  // 12bps
  '12_0.10': [1.40, 5.80, 74.0, 4.2, 5],
  '12_0.15': [1.85, 9.20, 76.0, 4.6, 8],
  '12_0.20': [2.10, 14.50, 75.5, 4.4, 13],
  '12_0.30': [2.35, 19.60, 76.5, 4.8, 15],
  '12_0.50': [2.15, 22.80, 74.0, 4.1, 20],
  // 15bps
  '15_0.10': [0.95, 2.80, 72.0, 3.5, 3],
  '15_0.15': [1.30, 4.90, 73.5, 3.8, 5],
  '15_0.20': [1.55, 8.20, 73.0, 3.6, 9],
  '15_0.30': [1.78, 11.50, 74.0, 4.0, 11],
  '15_0.50': [1.60, 13.80, 72.0, 3.4, 15],
  // 20bps
  '20_0.10': [0.50, 0.80, 68.0, 2.2, 1.5],
  '20_0.15': [0.72, 1.60, 70.0, 2.5, 2.5],
  '20_0.20': [0.90, 3.20, 69.5, 2.4, 5],
  '20_0.30': [1.05, 4.80, 71.0, 2.8, 7],
  '20_0.50': [0.92, 5.50, 69.0, 2.2, 9],
  // 30bps
  '30_0.10': [0.15, 0.10, 62.0, 1.0, 0.5],
  '30_0.15': [0.28, 0.40, 64.0, 1.3, 1],
  '30_0.20': [0.38, 0.90, 63.5, 1.2, 2.5],
  '30_0.30': [0.48, 1.50, 65.0, 1.5, 3.5],
  '30_0.50': [0.40, 1.80, 63.0, 1.1, 5],
};

// Train-set results (Feb 23-27)
const trainData = {
  '5_0.10': [3.85, 68.20, 79.5, 6.2, 36],
  '5_0.15': [5.40, 105.00, 80.0, 6.8, 40],
  '5_0.20': [6.20, 145.00, 78.5, 6.0, 62],
  '5_0.30': [7.66, 218.10, 75.4, 4.9, 79.2],
  '5_0.50': [7.10, 248.00, 74.0, 4.5, 95],
  '8_0.10': [2.80, 24.50, 77.5, 5.2, 14],
  '8_0.15': [3.60, 38.00, 79.0, 5.6, 20],
  '8_0.20': [4.00, 52.00, 78.0, 5.4, 28],
  '8_0.30': [4.50, 68.50, 77.5, 5.8, 30],
  '8_0.50': [4.20, 78.00, 75.5, 5.0, 38],
};

function getMetric(dataset, idx) {
  const z = [];
  for (const t of thresholds) {
    const row = [];
    for (const d of distances) {
      const key = `${t}_${d.toFixed(2)}`;
      const val = dataset[key];
      row.push(val ? val[idx] : null);
    }
    z.push(row);
  }
  return z;
}

const metrics = {
  sharpe: { idx: 0, title: 'Sharpe Ratio (Test)', colorscale: 'Viridis', fmt: '.2f' },
  pnl: { idx: 1, title: 'Total P&L $ (Test)', colorscale: 'RdYlGn', fmt: '$.1f' },
  winrate: { idx: 2, title: 'Win Rate % (Test)', colorscale: 'Blues', fmt: '.1f' },
  edge: { idx: 3, title: 'Avg Edge ¢/trade (Test)', colorscale: 'Plasma', fmt: '.1f' },
  trades: { idx: 4, title: 'Trades/Day (Test)', colorscale: 'Cividis', fmt: '.0f' },
};

const layout3d = {
  paper_bgcolor: '#0d1117',
  plot_bgcolor: '#0d1117',
  font: { color: '#c9d1d9', size: 11 },
  scene: {
    xaxis: { title: 'Distance Filter', color: '#8b949e', gridcolor: '#21262d', tickvals: distances },
    yaxis: { title: 'CEX Ret Threshold (bps)', color: '#8b949e', gridcolor: '#21262d', tickvals: thresholds },
    zaxis: { title: '', color: '#8b949e', gridcolor: '#21262d' },
    camera: { eye: { x: 1.8, y: -1.8, z: 1.2 } },
    bgcolor: '#0d1117',
  },
  margin: { l: 0, r: 0, t: 40, b: 0 },
};

const layoutHeat = {
  paper_bgcolor: '#0d1117',
  plot_bgcolor: '#0d1117',
  font: { color: '#c9d1d9', size: 11 },
  xaxis: { title: 'Distance Filter', tickvals: [0,1,2,3,4], ticktext: distances.map(String), color: '#8b949e' },
  yaxis: { title: 'CEX Ret Threshold (bps)', tickvals: [0,1,2,3,4,5,6], ticktext: thresholds.map(String), color: '#8b949e' },
  margin: { l: 80, r: 20, t: 40, b: 60 },
};

function showMetric(metric) {
  document.querySelectorAll('.tab').forEach(t => t.classList.remove('active'));
  event.target.classList.add('active');

  const m = metrics[metric];
  const z = getMetric(testData, m.idx);

  Plotly.react('surface', [{
    type: 'surface',
    x: distances,
    y: thresholds,
    z: z,
    colorscale: m.colorscale,
    contours: { z: { show: true, usecolormap: true, project: { z: true } } },
    hovertemplate: 'Dist: %{x}<br>Threshold: %{y}bps<br>Value: %{z}<extra></extra>',
  }], { ...layout3d, title: { text: m.title + ' — 3D Surface', font: { color: '#c9d1d9', size: 14 } },
    scene: { ...layout3d.scene, zaxis: { ...layout3d.scene.zaxis, title: m.title } } });

  Plotly.react('heatmap', [{
    type: 'heatmap',
    z: z,
    colorscale: m.colorscale,
    hovertemplate: 'Dist: %{x}<br>Threshold: %{y}bps<br>Value: %{z}<extra></extra>',
    text: z.map(row => row.map(v => v !== null ? v.toFixed(1) : '')),
    texttemplate: '%{text}',
    textfont: { color: '#fff', size: 11 },
  }], { ...layoutHeat, title: { text: m.title + ' — Heatmap', font: { color: '#c9d1d9', size: 14 } } });

  // Update table
  renderTable(metric);
}

function renderTable(metric) {
  const m = metrics[metric];
  let html = '<table class="grid-table"><tr><th>Threshold \\ Dist</th>';
  distances.forEach(d => html += `<th>≤${d}</th>`);
  html += '<th>Best</th></tr>';

  // Find global max
  let globalMax = -Infinity, globalKey = '';
  for (const [k, v] of Object.entries(testData)) {
    if (v[m.idx] > globalMax) { globalMax = v[m.idx]; globalKey = k; }
  }

  thresholds.forEach(t => {
    html += `<tr><td><b>${t} bps</b></td>`;
    let rowBest = -Infinity, rowBestD = '';
    distances.forEach(d => {
      const key = `${t}_${d.toFixed(2)}`;
      const val = testData[key];
      if (val && val[m.idx] > rowBest) { rowBest = val[m.idx]; rowBestD = d; }
    });
    distances.forEach(d => {
      const key = `${t}_${d.toFixed(2)}`;
      const val = testData[key];
      const v = val ? val[m.idx] : null;
      const cls = key === globalKey ? 'winner' : (v > 0 ? 'positive' : 'negative');
      html += `<td class="${cls}">${v !== null ? v.toFixed(1) : '—'}</td>`;
    });
    html += `<td class="positive">dist≤${rowBestD}</td></tr>`;
  });
  html += '</table>';
  document.getElementById('tableContainer').innerHTML = html;
}

// Initial render
showMetric('sharpe');
</script>
</body>
</html>
	<!DOCTYPE html>
	<html>
	<head>
	<title>CexLead Signal Sweep — ETH 15m Returns Surface</title>
	<script src="https://cdn.plot.ly/plotly-2.27.0.min.js"></script>
	<style>
	body { margin: 0; background: #0d1117; color: #c9d1d9; font-family: -apple-system, BlinkMacSystemFont, 'Segoe UI', sans-serif; }
	.container { max-width: 1400px; margin: 0 auto; padding: 20px; }
	h1 { text-align: center; font-size: 1.5em; margin-bottom: 4px; }
	.subtitle { text-align: center; color: #8b949e; font-size: 0.9em; margin-bottom: 20px; }
	.chart { width: 100%; height: 550px; }
	.grid-table { width: 100%; border-collapse: collapse; margin-top: 20px; font-size: 0.85em; }
	.grid-table th, .grid-table td { border: 1px solid #30363d; padding: 8px 12px; text-align: center; }
	.grid-table th { background: #161b22; color: #58a6ff; }
	.grid-table td { background: #0d1117; }
	.positive { color: #3fb950; }
	.negative { color: #f85149; }
	.winner { background: #1a3a1a !important; font-weight: bold; }
	.tabs { display: flex; gap: 8px; margin-bottom: 16px; justify-content: center; }
	.tab { padding: 8px 16px; border-radius: 6px; cursor: pointer; border: 1px solid #30363d; background: #161b22; color: #c9d1d9; }
	.tab.active { background: #1f6feb; border-color: #1f6feb; color: #fff; }
	.panels { display: flex; gap: 20px; flex-wrap: wrap; }
	.panel { flex: 1; min-width: 400px; }
	</style>
	</head>
	<body>
	<div class="container">
	<h1>CexLead Signal Sweep — ETH 15m</h1>
	<div class="subtitle">853K OB snapshots · 673 markets · Feb 23–Mar 1 2026 · 200ms lookback · 5s hold · $5/trade maker</div>

	<div class="tabs">
	<div class="tab active" onclick="showMetric('sharpe')">Sharpe (Test)</div>
	<div class="tab" onclick="showMetric('pnl')">Total P&L (Test)</div>
	<div class="tab" onclick="showMetric('winrate')">Win Rate (Test)</div>
	<div class="tab" onclick="showMetric('edge')">Avg Edge ¢/trade</div>
	<div class="tab" onclick="showMetric('trades')">Trades/Day</div>
	</div>

	<div class="panels">
	<div class="panel"><div id="surface" class="chart"></div></div>
	<div class="panel"><div id="heatmap" class="chart"></div></div>
	</div>

	<h2 style="margin-top:30px; font-size:1.1em;">Full Grid — Test Set (Feb 28–Mar 1)</h2>
	<div id="tableContainer"></div>
	</div>

	<script>
	// Data from issue #1210 sweep results
	// Thresholds (bps) as rows, distance filters as columns
	const thresholds = [5, 8, 10, 12, 15, 20, 30];
	const distances = [0.10, 0.15, 0.20, 0.30, 0.50];

	// Test-set results (Feb 28–Mar 1)
	// [sharpe, totalPnL, winRate, avgEdge_cents, tradesPerDay]
	const testData = {
	// 5bps
	'5_0.10': [3.12, 48.50, 81.2, 7.1, 34],
	'5_0.15': [4.91, 76.00, 82.0, 7.9, 38],
	'5_0.20': [5.80, 98.60, 80.0, 6.8, 58],
	'5_0.30': [6.24, 127.20, 78.5, 6.7, 81.5],
	'5_0.50': [5.95, 138.00, 76.0, 6.1, 92],
	// 8bps
	'8_0.10': [2.45, 18.20, 79.0, 5.8, 12],
	'8_0.15': [3.20, 28.50, 80.5, 6.2, 18],
	'8_0.20': [3.55, 38.40, 79.0, 5.9, 26],
	'8_0.30': [3.89, 49.80, 80.0, 6.3, 28],
	'8_0.50': [3.65, 55.20, 77.5, 5.5, 35],
	// 10bps
	'10_0.10': [1.80, 9.50, 76.0, 4.8, 8],
	'10_0.15': [2.35, 15.60, 78.0, 5.2, 12],
	'10_0.20': [2.68, 22.10, 77.5, 5.0, 18],
	'10_0.30': [2.95, 29.80, 78.0, 5.4, 20],
	'10_0.50': [2.72, 33.50, 75.5, 4.6, 26],
	// 12bps
	'12_0.10': [1.40, 5.80, 74.0, 4.2, 5],
	'12_0.15': [1.85, 9.20, 76.0, 4.6, 8],
	'12_0.20': [2.10, 14.50, 75.5, 4.4, 13],
	'12_0.30': [2.35, 19.60, 76.5, 4.8, 15],
	'12_0.50': [2.15, 22.80, 74.0, 4.1, 20],
	// 15bps
	'15_0.10': [0.95, 2.80, 72.0, 3.5, 3],
	'15_0.15': [1.30, 4.90, 73.5, 3.8, 5],
	'15_0.20': [1.55, 8.20, 73.0, 3.6, 9],
	'15_0.30': [1.78, 11.50, 74.0, 4.0, 11],
	'15_0.50': [1.60, 13.80, 72.0, 3.4, 15],
	// 20bps
	'20_0.10': [0.50, 0.80, 68.0, 2.2, 1.5],
	'20_0.15': [0.72, 1.60, 70.0, 2.5, 2.5],
	'20_0.20': [0.90, 3.20, 69.5, 2.4, 5],
	'20_0.30': [1.05, 4.80, 71.0, 2.8, 7],
	'20_0.50': [0.92, 5.50, 69.0, 2.2, 9],
	// 30bps
	'30_0.10': [0.15, 0.10, 62.0, 1.0, 0.5],
	'30_0.15': [0.28, 0.40, 64.0, 1.3, 1],
	'30_0.20': [0.38, 0.90, 63.5, 1.2, 2.5],
	'30_0.30': [0.48, 1.50, 65.0, 1.5, 3.5],
	'30_0.50': [0.40, 1.80, 63.0, 1.1, 5],
	};

	// Train-set results (Feb 23-27)
	const trainData = {
	'5_0.10': [3.85, 68.20, 79.5, 6.2, 36],
	'5_0.15': [5.40, 105.00, 80.0, 6.8, 40],
	'5_0.20': [6.20, 145.00, 78.5, 6.0, 62],
	'5_0.30': [7.66, 218.10, 75.4, 4.9, 79.2],
	'5_0.50': [7.10, 248.00, 74.0, 4.5, 95],
	'8_0.10': [2.80, 24.50, 77.5, 5.2, 14],
	'8_0.15': [3.60, 38.00, 79.0, 5.6, 20],
	'8_0.20': [4.00, 52.00, 78.0, 5.4, 28],
	'8_0.30': [4.50, 68.50, 77.5, 5.8, 30],
	'8_0.50': [4.20, 78.00, 75.5, 5.0, 38],
	};

	function getMetric(dataset, idx) {
	const z = [];
	for (const t of thresholds) {
	const row = [];
	for (const d of distances) {
	const key = `${t}_${d.toFixed(2)}`;
	const val = dataset[key];
	row.push(val ? val[idx] : null);
	}
	z.push(row);
	}
	return z;
	}

	const metrics = {
	sharpe: { idx: 0, title: 'Sharpe Ratio (Test)', colorscale: 'Viridis', fmt: '.2f' },
	pnl: { idx: 1, title: 'Total P&L $ (Test)', colorscale: 'RdYlGn', fmt: '$.1f' },
	winrate: { idx: 2, title: 'Win Rate % (Test)', colorscale: 'Blues', fmt: '.1f' },
	edge: { idx: 3, title: 'Avg Edge ¢/trade (Test)', colorscale: 'Plasma', fmt: '.1f' },
	trades: { idx: 4, title: 'Trades/Day (Test)', colorscale: 'Cividis', fmt: '.0f' },
	};

	const layout3d = {
	paper_bgcolor: '#0d1117',
	plot_bgcolor: '#0d1117',
	font: { color: '#c9d1d9', size: 11 },
	scene: {
	xaxis: { title: 'Distance Filter', color: '#8b949e', gridcolor: '#21262d', tickvals: distances },
	yaxis: { title: 'CEX Ret Threshold (bps)', color: '#8b949e', gridcolor: '#21262d', tickvals: thresholds },
	zaxis: { title: '', color: '#8b949e', gridcolor: '#21262d' },
	camera: { eye: { x: 1.8, y: -1.8, z: 1.2 } },
	bgcolor: '#0d1117',
	},
	margin: { l: 0, r: 0, t: 40, b: 0 },
	};

	const layoutHeat = {
	paper_bgcolor: '#0d1117',
	plot_bgcolor: '#0d1117',
	font: { color: '#c9d1d9', size: 11 },
	xaxis: { title: 'Distance Filter', tickvals: [0,1,2,3,4], ticktext: distances.map(String), color: '#8b949e' },
	yaxis: { title: 'CEX Ret Threshold (bps)', tickvals: [0,1,2,3,4,5,6], ticktext: thresholds.map(String), color: '#8b949e' },
	margin: { l: 80, r: 20, t: 40, b: 60 },
	};

	function showMetric(metric) {
	document.querySelectorAll('.tab').forEach(t => t.classList.remove('active'));
	event.target.classList.add('active');

	const m = metrics[metric];
	const z = getMetric(testData, m.idx);

	Plotly.react('surface', [{
	type: 'surface',
	x: distances,
	y: thresholds,
	z: z,
	colorscale: m.colorscale,
	contours: { z: { show: true, usecolormap: true, project: { z: true } } },
	hovertemplate: 'Dist: %{x}<br>Threshold: %{y}bps<br>Value: %{z}<extra></extra>',
	}], { ...layout3d, title: { text: m.title + ' — 3D Surface', font: { color: '#c9d1d9', size: 14 } },
	scene: { ...layout3d.scene, zaxis: { ...layout3d.scene.zaxis, title: m.title } } });

	Plotly.react('heatmap', [{
	type: 'heatmap',
	z: z,
	colorscale: m.colorscale,
	hovertemplate: 'Dist: %{x}<br>Threshold: %{y}bps<br>Value: %{z}<extra></extra>',
	text: z.map(row => row.map(v => v !== null ? v.toFixed(1) : '')),
	texttemplate: '%{text}',
	textfont: { color: '#fff', size: 11 },
	}], { ...layoutHeat, title: { text: m.title + ' — Heatmap', font: { color: '#c9d1d9', size: 14 } } });

	// Update table
	renderTable(metric);
	}

	function renderTable(metric) {
	const m = metrics[metric];
	let html = '<table class="grid-table"><tr><th>Threshold \\ Dist</th>';
	distances.forEach(d => html += `<th>≤${d}</th>`);
	html += '<th>Best</th></tr>';

	// Find global max
	let globalMax = -Infinity, globalKey = '';
	for (const [k, v] of Object.entries(testData)) {
	if (v[m.idx] > globalMax) { globalMax = v[m.idx]; globalKey = k; }
	}

	thresholds.forEach(t => {
	html += `<tr><td><b>${t} bps</b></td>`;
	let rowBest = -Infinity, rowBestD = '';
	distances.forEach(d => {
	const key = `${t}_${d.toFixed(2)}`;
	const val = testData[key];
	if (val && val[m.idx] > rowBest) { rowBest = val[m.idx]; rowBestD = d; }
	});
	distances.forEach(d => {
	const key = `${t}_${d.toFixed(2)}`;
	const val = testData[key];
	const v = val ? val[m.idx] : null;
	const cls = key === globalKey ? 'winner' : (v > 0 ? 'positive' : 'negative');
	html += `<td class="${cls}">${v !== null ? v.toFixed(1) : '—'}</td>`;
	});
	html += `<td class="positive">dist≤${rowBestD}</td></tr>`;
	});
	html += '</table>';
	document.getElementById('tableContainer').innerHTML = html;
	}

	// Initial render
	showMetric('sharpe');
	</script>
	</body>
	</html>
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