{
  "split": {
    "train_days": [
      "2026-07-28",
      "2026-07-29",
      "2026-07-30",
      "2026-07-31"
    ],
    "validation_days": [
      "2026-08-01",
      "2026-08-02"
    ],
    "test_days": [
      "2026-08-03",
      "2026-08-04"
    ],
    "markets": [
      23,
      11,
      11
    ],
    "embargo": "One complete market omitted at each boundary",
    "train_rows": 5796,
    "test_rows": 2772,
    "test_positive_fill_rate": 0.5541125541125541
  },
  "selection": {
    "fill_model": "gradient_boosting",
    "validation_brier": {
      "logistic": 0.2517452500006709,
      "gradient_boosting": 0.20819332935880944
    },
    "best_fixed": [
      0.05,
      1
    ],
    "validation_fixed_pnl": {
      "(0.01, 1)": -19.158,
      "(0.01, 5)": -62.756,
      "(0.01, 20)": -112.96,
      "(0.03, 1)": -17.219000000000005,
      "(0.03, 5)": -53.614999999999995,
      "(0.03, 20)": -83.76,
      "(0.05, 1)": -14.833,
      "(0.05, 5)": -45.14500000000001,
      "(0.05, 20)": -65.38
    }
  },
  "fill_models": {
    "logistic": {
      "brier": 0.25251212199219875,
      "log_loss": 0.698903394795319
    },
    "gradient_boosting": {
      "brier": 0.22362575664318352,
      "log_loss": 0.6365240102880808
    },
    "constant": {
      "brier": 0.24727510727038138
    },
    "quantity_fraction_mae": 0.45380638637869725,
    "adverse_brier_on_replay_filled": 0.2938894774394228
  },
  "fair_value_brier": {
    "fair": 0.17973396925973473,
    "unadjusted_fair": 0.41301519147098253,
    "constant_training_rate": 0.23663859769719883
  },
  "local_compute_ms": {
    "median": 2.059291990008205,
    "p95": 2.835846168454737,
    "n": 300
  }
}
STRICT {
  "fixed_3c_size5": {
    "net_pnl": -22.695000000000004,
    "market_count": 11,
    "filled_contracts": 665.0,
    "max_abs_inventory": 20.0,
    "settled_market_drawdown": 40.260000000000005,
    "day_block_bootstrap_total_95pct": [
      -58.42000000000001,
      13.029999999999998
    ],
    "bootstrap_days": 2,
    "abstentions": 0,
    "capital_normalization": "No Sharpe: collateral/capital return series not established"
  },
  "validation_best_fixed": {
    "net_pnl": -4.444000000000002,
    "market_count": 11,
    "filled_contracts": 146.0,
    "max_abs_inventory": 11.0,
    "settled_market_drawdown": 11.715,
    "day_block_bootstrap_total_95pct": [
      -19.03,
      10.141999999999998
    ],
    "bootstrap_days": 2,
    "abstentions": 0,
    "capital_normalization": "No Sharpe: collateral/capital return series not established"
  },
  "learned_value": {
    "net_pnl": -24.64000000000001,
    "market_count": 11,
    "filled_contracts": 960.0,
    "max_abs_inventory": 20.0,
    "settled_market_drawdown": 37.540000000000006,
    "day_block_bootstrap_total_95pct": [
      -62.400000000000006,
      13.119999999999987
    ],
    "bootstrap_days": 2,
    "abstentions": 79,
    "capital_normalization": "No Sharpe: collateral/capital return series not established"
  },
  "frozen_LinUCB": {
    "net_pnl": -82.353,
    "market_count": 11,
    "filled_contracts": 913.0,
    "max_abs_inventory": 20.0,
    "settled_market_drawdown": 82.353,
    "day_block_bootstrap_total_95pct": [
      -130.818,
      -33.888000000000005
    ],
    "bootstrap_days": 2,
    "abstentions": 0,
    "capital_normalization": "No Sharpe: collateral/capital return series not established"
  },
  "hindsight_best_fixed_per_market": {
    "net_pnl": 22.854999999999993,
    "market_count": 11,
    "filled_contracts": 387.0,
    "max_abs_inventory": 20.0,
    "settled_market_drawdown": 10.543,
    "day_block_bootstrap_total_95pct": [
      1.0140000000000025,
      44.695999999999984
    ],
    "bootstrap_days": 2,
    "abstentions": 0,
    "capital_normalization": "No Sharpe: collateral/capital return series not established"
  }
}
