Signal quality response

Training + validation: Jun 2023–Dec 2025
Test: May–Aug 2026

rho is the signal–next-return correlation:

s_{t} = ρ r_{t + 1} + \sqrt{1 - ρ^{2}} ε_{t}

rho=0 → noise; rho=0.8 → strong signal

Mean Seeds

Rule-Based Baseline

a_{t} = {\begin{cases} 1 & if N_{t} = 1 \\ \frac{1}{N_{t}} & if s_{t} > 0 \\ 1 & if s_{t} \leq 0 and \frac{q_{t} T}{N_{t}} > \frac{4 σ_{t}}{0.002} \\ 0 & otherwise \end{cases}

vs TWAP at rho = 0.8:

Mean Seeds Seed range