{ "project": "Open Market Rank Pattern Lab Walk-forward", "walk_forward_version": "2026-08-12.1", "generated_at": "2026-08-12T19:51:40.654135+00:00", "purpose": "Expanding-window out-of-sample test of whether historical price-shape similarity improves directional probability forecasts beyond same-market momentum/volatility matched controls.", "protocol": { "train_min_bars": 1000, "anchor_step_bars": 63, "windows_days": [ 20, 60, 120 ], "horizons_days": [ 1, 5, 20 ], "strict_future_exclusion": true, "min_analogs": 12, "min_matched_controls": 60, "probability_estimator": "Jeffreys-smoothed empirical up-frequency", "primary_metric": "paired Brier skill = matched-control Brier loss minus shape Brier loss; positive favors shape", "inference": "one-sided Newey-West/HAC test of mean paired Brier skill > 0; lag ceil(pattern_window / anchor_step)", "multiple_testing": { "family": "all asset × window × horizon cells with sufficient OOS events", "benjamini_hochberg_fdr_alpha": 0.1, "holm_familywise_alpha": 0.05 }, "strategy": { "long_if_p_up_at_least": 0.55, "short_if_p_up_at_most": 0.44999999999999996, "otherwise": "flat", "base_round_trip_cost_bps": { "index": 4.0, "etf": 4.0, "fx": 2.0, "commodity": 6.0, "crypto": 20.0 }, "stress": "2x base cost", "limitations": "Index rows are proxy-execution diagnostics. 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