Entry-Filter Testing
Candidate entry filters tested against trade R: Spearman rank correlation + chronological 70/30 train/test split. "held up" = filter direction consistent out-of-sample.
| Metric | n | ρ | p | Sig? | Train (filter vs other) | Test (filter vs other) | Held up? |
|---|---|---|---|---|---|---|---|
| CVD magnitude | 109236 | 0.001 | 0.7425 | n.s. | +0.03R vs +0.04R | +0.05R vs +0.08R | held up |
| Direction (long=1) | 109236 | -0.001 | 0.6641 | n.s. | +0.04R vs +0.00R | +0.07R vs +0.00R | held up |
| Hour of day (UTC) | 109236 | 0.001 | 0.75 | n.s. | +0.05R vs +0.02R | +0.08R vs +0.05R | held up |
Read: with very large n, small ρ is statistically significant but practically negligible. Focus on filters that both reach significance AND show a meaningful train/test gap that holds direction.