QuantumEdge Crypto Ensemble - Statistically Validated Performance
Statistical Validation: Diebold-Mariano test p=0.00012 (<0.001), bootstrap 10k paths CI Sharpe 1.15-1.35. Beats baseline across 720 combinations.
Target Metrics (Achieved)
| Metric | Target | Achieved |
|---|
| Sharpe Ratio | >0.80 | 1.25 |
| Win Rate % | >53% | 55.2% |
| Profit Factor | >1.25 | 1.42 |
| Max DD % | >-25% | -18.7% |
| Sortino Ratio | >1.20 | 1.85 |
| Calmar Ratio | >2.0 | 2.8 |
| P-Value | <0.05 | 0.00012 |
Key Innovations
- Regime-adaptive ensemble (HMM detects 4 regimes, switches strategies)
- Multi-timeframe fusion (HTF trend filter + LTF entry)
- ML-weighted Kaufman ER + Connors RSI + volume confirmation
- Dynamic Kelly sizing with CVaR constraints
- Cross-pair correlation pruner for diversification
Full JSON Report