Lab · ML Experiments

ML — Pattern Discovery

Inverted workflow: find conditional edges in BTC data first, build strategies second.
55 experiments
Overview & Experiments 55 Synthesis Roadmap Lookahead Audit

Vol-clustering forecast

Promoted
2026-05-17 volatilitypersistencecore
Hypothesis
Trailing realized volatility predicts forward realized volatility — i.e. vol persists. Tested at 1h, 4h, 24h horizons walk-forward.
Verdict
**PROMOTE** — vol persistence is strong (4h IC = +0.736, positive in every walk-forward window). Build a vol-forecasting model and use it for position sizing or entry filtering.
IC_1d
+0.7225
IC_1h
+0.8140
IC_4h
+0.7359
IC_4h_CI
[+0.7265, +0.7453]
windows_pos
21
total_windows
21

Vol-clustering forecast

2026-05-17 · status: promoted · 12.5s

Hypothesis: Trailing realized volatility predicts forward realized volatility — i.e. vol persists. Tested at 1h, 4h, 24h horizons walk-forward.

Verdict: PROMOTE — vol persistence is strong (4h IC = +0.736, positive in every walk-forward window). Build a vol-forecasting model and use it for position sizing or entry filtering.

Key metrics

metric value
IC_1h +0.8140
IC_4h +0.7359
IC_1d +0.7225
IC_4h_CI [+0.7265, +0.7453]
windows_pos 21
total_windows 21

In einfachen Worten

Stell dir BTC wie das Wetter vor. Wir können nicht zuverlässig vorhersagen, ob es morgen steigt oder fällt — die Richtung ist fast pures Rauschen. Aber wir können vorhersagen, wie wild es sich bewegen wird. Wenn die letzten 4 Stunden ruhig waren, sind die nächsten 4 Stunden mit hoher Wahrscheinlichkeit auch ruhig. Wenn es gerade tobt, tobt es weiter.

Unsere Messung: der Zusammenhang zwischen Vergangenheits-Vol und Zukunfts-Vol ist +0.74 auf einer Skala von -1 (perfekt invers) bis +1 (perfekt). Das ist riesig für Finanzdaten — und vor allem: das gilt in jedem einzelnen der 21 Walk-Forward-Fenster der letzten 6 Jahre, nicht nur im Mittel.

Wie wir das praktisch nutzen

Wir bauen keine "Vol-Strategie", die direkt auf Volatilität wettet. Stattdessen ist der Forecast ein Regler für unsere bestehenden Strategien:

  1. Positionsgröße — bei niedrigem vorhergesagtem Vol: größere Position (gleiches $-Risiko, mehr Kontrakte). Bei hohem Vol: kleinere Position. Klassisches vol targeting.
  2. Stop-Loss-Distanz — statt nur naivem ATR-Multiplikator skaliert der Stop mit der erwarteten Vol.
  3. Entry-Filter — wenn die nächsten 4h sehr ruhig werden, lohnen sich Trendfolger nicht (keine Bewegung = kein Profit). Wenn extrem wild, droht Whipsaw.
  4. Strategie-Routing — Trendstrategien (EMA-Crossover) brauchen Bewegung, Mean-Reversion (RSI) braucht Range. Der Forecast wählt aus.

Das ist ein verlässlicher Boden, auf dem die Strategien stehen — kein Glücksspiel.

Approach

For each horizon h we compute the trailing rv_h (std of 1-bar log returns over the past h bars) and forward rv_h (the same over the next h bars). We sample every h bars to avoid heavy autocorrelation, then compute Spearman IC per walk-forward test window (12mo train / 3mo test, 1-day embargo).

Walk-forward windows: 21

  • train 2020-01-01 -> 2021-01-01 (527,040 bars) | test 2021-01-02 -> 2021-04-02 (129,600 bars)

  • train 2020-04-01 -> 2021-04-01 (525,600 bars) | test 2021-04-02 -> 2021-07-02 (131,040 bars)

  • train 2020-07-01 -> 2021-07-01 (525,600 bars) | test 2021-07-02 -> 2021-10-02 (132,480 bars)

  • train 2020-10-01 -> 2021-10-01 (525,600 bars) | test 2021-10-02 -> 2022-01-02 (132,480 bars)

  • train 2021-01-01 -> 2022-01-01 (525,600 bars) | test 2022-01-02 -> 2022-04-02 (129,600 bars)

  • train 2021-04-01 -> 2022-04-01 (525,600 bars) | test 2022-04-02 -> 2022-07-02 (131,040 bars)

  • train 2021-07-01 -> 2022-07-01 (525,600 bars) | test 2022-07-02 -> 2022-10-02 (132,480 bars)

  • train 2021-10-01 -> 2022-10-01 (525,600 bars) | test 2022-10-02 -> 2023-01-02 (132,480 bars)

  • train 2022-01-01 -> 2023-01-01 (525,600 bars) | test 2023-01-02 -> 2023-04-02 (129,600 bars)

  • train 2022-04-01 -> 2023-04-01 (525,600 bars) | test 2023-04-02 -> 2023-07-02 (131,040 bars)

  • train 2022-07-01 -> 2023-07-01 (525,600 bars) | test 2023-07-02 -> 2023-10-02 (132,480 bars)

  • train 2022-10-01 -> 2023-10-01 (525,600 bars) | test 2023-10-02 -> 2024-01-02 (132,480 bars)

  • train 2023-01-01 -> 2024-01-01 (525,600 bars) | test 2024-01-02 -> 2024-04-02 (131,040 bars)

  • train 2023-04-01 -> 2024-04-01 (527,040 bars) | test 2024-04-02 -> 2024-07-02 (131,040 bars)

  • train 2023-07-01 -> 2024-07-01 (527,040 bars) | test 2024-07-02 -> 2024-10-02 (132,480 bars)

  • train 2023-10-01 -> 2024-10-01 (527,040 bars) | test 2024-10-02 -> 2025-01-02 (132,480 bars)

  • train 2024-01-01 -> 2025-01-01 (527,040 bars) | test 2025-01-02 -> 2025-04-02 (129,600 bars)

  • train 2024-04-01 -> 2025-04-01 (525,600 bars) | test 2025-04-02 -> 2025-07-02 (131,040 bars)

  • train 2024-07-01 -> 2025-07-01 (525,600 bars) | test 2025-07-02 -> 2025-10-02 (132,480 bars)

  • train 2024-10-01 -> 2025-10-01 (525,600 bars) | test 2025-10-02 -> 2026-01-02 (132,480 bars)

  • train 2025-01-01 -> 2026-01-01 (525,600 bars) | test 2026-01-02 -> 2026-04-02 (129,600 bars)

Pooled results

horizon pooled_IC pooled_CI_low pooled_CI_high pooled_n windows_min_IC windows_max_IC windows_mean_IC stable_pos total_windows
1h 0.814 0.8105 0.8171 55,438 0.5571 0.8433 0.732 21 21
4h 0.7359 0.7265 0.7453 13,858 0.4281 0.7455 0.6073 21 21
1d 0.7225 0.7004 0.7434 2,308 0.2575 0.7047 0.4962 21 21

Per-window IC

1h horizon

window n IC ci_low ci_high p_value
2021-01-02 → 2021-04-02 2160 0.7382 0.7165 0.7642 0
2021-04-02 → 2021-07-02 2184 0.7465 0.7227 0.7676 0
2021-07-02 → 2021-10-02 2208 0.5571 0.527 0.5905 0
2021-10-02 → 2022-01-02 2208 0.5609 0.5275 0.5935 0
2022-01-02 → 2022-04-02 2160 0.669 0.6473 0.6965 0
2022-04-02 → 2022-07-02 2184 0.7727 0.7512 0.7921 0
2022-07-02 → 2022-10-02 2208 0.6263 0.5957 0.6538 0
2022-10-02 → 2023-01-02 2208 0.7675 0.7445 0.7878 0
2023-01-02 → 2023-04-02 2160 0.7745 0.7532 0.793 0
2023-04-02 → 2023-07-02 2184 0.6593 0.6333 0.686 0
2023-07-02 → 2023-10-02 2208 0.7567 0.7354 0.7755 0
2023-10-02 → 2024-01-02 2208 0.7462 0.7263 0.7645 0
2024-01-02 → 2024-04-02 2184 0.7915 0.765 0.8085 0
2024-04-02 → 2024-07-02 2184 0.7642 0.7404 0.7819 0
2024-07-02 → 2024-10-02 2208 0.7101 0.6842 0.7331 0
2024-10-02 → 2025-01-02 2208 0.798 0.7807 0.8142 0
2025-01-02 → 2025-04-02 2160 0.8433 0.8254 0.856 0
2025-04-02 → 2025-07-02 2184 0.7696 0.7514 0.7906 0
2025-07-02 → 2025-10-02 2208 0.7461 0.7249 0.7659 0
2025-10-02 → 2026-01-02 2208 0.7876 0.7702 0.807 0
2026-01-02 → 2026-04-02 2160 0.787 0.7658 0.8078 0

4h horizon

window n IC ci_low ci_high p_value
2021-01-02 → 2021-04-02 540 0.7048 0.6499 0.75 0
2021-04-02 → 2021-07-02 546 0.7455 0.7048 0.7868 0
2021-07-02 → 2021-10-02 552 0.4938 0.4338 0.563 0
2021-10-02 → 2022-01-02 552 0.4298 0.3571 0.499 0
2022-01-02 → 2022-04-02 540 0.5847 0.5253 0.6389 0
2022-04-02 → 2022-07-02 546 0.6671 0.6003 0.725 0
2022-07-02 → 2022-10-02 552 0.5051 0.4329 0.5682 0
2022-10-02 → 2023-01-02 552 0.6876 0.6341 0.7308 0
2023-01-02 → 2023-04-02 540 0.6278 0.5751 0.6767 0
2023-04-02 → 2023-07-02 546 0.4281 0.3484 0.5043 0
2023-07-02 → 2023-10-02 552 0.6169 0.5522 0.6778 0
2023-10-02 → 2024-01-02 552 0.5688 0.508 0.6384 0
2024-01-02 → 2024-04-02 546 0.7 0.6524 0.742 0
2024-04-02 → 2024-07-02 546 0.649 0.5864 0.7013 0
2024-07-02 → 2024-10-02 552 0.5242 0.4655 0.5801 0
2024-10-02 → 2025-01-02 552 0.6396 0.5809 0.686 0
2025-01-02 → 2025-04-02 540 0.723 0.6787 0.7682 0
2025-04-02 → 2025-07-02 546 0.6031 0.5444 0.6535 0
2025-07-02 → 2025-10-02 552 0.5902 0.5261 0.6513 0
2025-10-02 → 2026-01-02 552 0.6289 0.566 0.6858 0
2026-01-02 → 2026-04-02 540 0.6356 0.5733 0.6825 0

1d horizon

window n IC ci_low ci_high p_value
2021-01-02 → 2021-04-02 90 0.6714 0.5075 0.7731 0
2021-04-02 → 2021-07-02 91 0.7047 0.5606 0.8114 0
2021-07-02 → 2021-10-02 92 0.4895 0.3237 0.6657 0
2021-10-02 → 2022-01-02 92 0.2787 0.093 0.4765 0.0071
2022-01-02 → 2022-04-02 90 0.4782 0.3399 0.6282 0
2022-04-02 → 2022-07-02 91 0.6108 0.4097 0.7412 0
2022-07-02 → 2022-10-02 92 0.3492 0.1478 0.5361 0.0006
2022-10-02 → 2023-01-02 92 0.5766 0.4295 0.7048 0
2023-01-02 → 2023-04-02 90 0.6169 0.4649 0.7321 0
2023-04-02 → 2023-07-02 91 0.2575 0.0512 0.441 0.0137
2023-07-02 → 2023-10-02 92 0.3808 0.1437 0.5473 0.0002
2023-10-02 → 2024-01-02 92 0.3651 0.1538 0.5281 0.0003
2024-01-02 → 2024-04-02 91 0.6035 0.4335 0.7133 0
2024-04-02 → 2024-07-02 91 0.553 0.4007 0.6948 0
2024-07-02 → 2024-10-02 92 0.3833 0.1763 0.5163 0.0002
2024-10-02 → 2025-01-02 92 0.4654 0.2786 0.634 0
2025-01-02 → 2025-04-02 90 0.5396 0.3479 0.673 0
2025-04-02 → 2025-07-02 91 0.5514 0.3885 0.6966 0
2025-07-02 → 2025-10-02 92 0.3599 0.1497 0.5528 0.0004
2025-10-02 → 2026-01-02 92 0.5039 0.3326 0.6519 0
2026-01-02 → 2026-04-02 90 0.6805 0.5437 0.8007 0

per-window IC

scatter 4h