Cross-sectional ranker
A candidate model that contributes evidence to the desk read. It ranks a liquid spot universe by expected 14-day return relative to that day's median. It is not a buy list.
Current record: rejected. Not a promotion.
net_spread_not_above_relative_strengthregime_edge_concentrationepisode_edge_concentrationCurrent-state board
Ranks remain visible when an independent filter blocks eligibility. They are research context, not an instruction. Reliability uses prior LightGBM OOS hit rate and forward-return dispersion in the same rank decile and regime. It is not a probability or trade instruction.
| Symbol | Rank percentile | Prior OOS reliability bucket | State | Veto / filter | Feature evidence |
|---|---|---|---|---|---|
| ALLOUSDT | +100.00% | lower historical reliability (OOS hit 39%; dispersion 27.2%; n=2362) | research only | regime is not positive | realized_vol_30d breadth ret_90d_rank |
| RIFUSDT | +97.83% | lower historical reliability (OOS hit 39%; dispersion 27.2%; n=2362) | research only | regime is not positive | realized_vol_30d breadth ret_90d_rank |
| KAITOUSDT | +95.65% | lower historical reliability (OOS hit 39%; dispersion 27.2%; n=2362) | research only | regime is not positive | realized_vol_30d breadth ret_90d_rank |
| ZECUSDT | +93.48% | lower historical reliability (OOS hit 39%; dispersion 27.2%; n=2362) | research only | regime is not positive | realized_vol_30d breadth ret_90d_rank |
| TRXUSDT | +91.30% | lower historical reliability (OOS hit 39%; dispersion 27.2%; n=2362) | research only | regime is not positive | realized_vol_30d breadth ret_90d_rank |
| BTCUSDT | +89.13% | lower historical reliability (OOS hit 40%; dispersion 19.3%; n=2442) | research only | regime is not positive | realized_vol_30d breadth ret_90d_rank |
| WLDUSDT | +86.96% | lower historical reliability (OOS hit 40%; dispersion 19.3%; n=2442) | research only | regime is not positive | realized_vol_30d breadth ret_90d_rank |
| BNBUSDT | +84.78% | lower historical reliability (OOS hit 40%; dispersion 19.3%; n=2442) | research only | regime is not positive | realized_vol_30d breadth ret_90d_rank |
| NEARUSDT | +82.61% | lower historical reliability (OOS hit 40%; dispersion 19.3%; n=2442) | research only | regime is not positive | realized_vol_30d breadth ret_90d_rank |
| XLMUSDT | +80.43% | lower historical reliability (OOS hit 40%; dispersion 19.3%; n=2442) | research only | regime is not positive | realized_vol_30d breadth ret_90d_rank |
| XRPUSDT | +78.26% | lower historical reliability (OOS hit 37%; dispersion 18.1%; n=2038) | research only | regime is not positive | realized_vol_30d breadth ret_90d_rank |
| FETUSDT | +76.09% | lower historical reliability (OOS hit 37%; dispersion 18.1%; n=2038) | research only | regime is not positive | realized_vol_30d breadth ret_90d_rank |
| DOTUSDT | +73.91% | lower historical reliability (OOS hit 37%; dispersion 18.1%; n=2038) | research only | regime is not positive | realized_vol_30d breadth ret_90d_rank |
| SOLUSDT | +71.74% | lower historical reliability (OOS hit 37%; dispersion 18.1%; n=2038) | research only | regime is not positive | realized_vol_30d breadth ret_90d_rank |
| APTUSDT | +69.57% | lower historical reliability (OOS hit 37%; dispersion 18.1%; n=2063) | research only | regime is not positive | realized_vol_30d breadth ret_90d_rank |
| KITEUSDT | +67.39% | lower historical reliability (OOS hit 37%; dispersion 18.1%; n=2063) | research only | regime is not positive | realized_vol_30d breadth ret_90d_rank |
Method
Closed UTC daily candles from liquid Binance spot USDT pairs. LightGBM is compared with XGBoost and the Relative Strength baseline on identical time-ordered folds. The target is each coin's 14-day return less the eligible-universe median.
Independent controls
toxicity_top_decileOut-of-sample passport
Same rows, same chronological folds, fixed 40 bps round-trip cost on each rebalance. Net figures are historical measurements, not forecasts.
| Model | Median IC | Top-minus-bottom spread | Top-decile net | Max drawdown | Rebalances |
|---|---|---|---|---|---|
| LightGBM | 0.053 | +1.40% | -1.26% | -88.02% | 50 |
| XGBoost | 0.040 | +0.74% | -0.34% | -82.94% | 50 |
| Relative Strength | 0.003 | +1.33% | -0.41% | -79.94% | 50 |
| Fold | Test period | Median IC | Top-decile net |
|---|---|---|---|
| 1 | 2024-08-22 — 2025-02-17 | 0.047 | +3.38% |
| 2 | 2024-09-21 — 2025-03-19 | 0.041 | -0.27% |
| 3 | 2024-10-21 — 2025-04-18 | 0.076 | -0.93% |
| 4 | 2024-11-20 — 2025-05-18 | 0.084 | -1.05% |
| 5 | 2024-12-20 — 2025-06-17 | 0.099 | -4.54% |
| 6 | 2025-01-19 — 2025-07-17 | 0.062 | -0.96% |
| 7 | 2025-02-18 — 2025-08-16 | 0.069 | +1.58% |
| 8 | 2025-03-20 — 2025-09-15 | 0.090 | -0.04% |
| 9 | 2025-04-19 — 2025-10-15 | 0.096 | +0.20% |
| 10 | 2025-05-19 — 2025-11-14 | 0.123 | -2.43% |
| 11 | 2025-06-18 — 2025-12-14 | 0.084 | -0.37% |
| 12 | 2025-07-18 — 2026-01-13 | 0.071 | -2.40% |
| 13 | 2025-08-17 — 2026-02-12 | 0.074 | -5.25% |
| 14 | 2025-09-16 — 2026-03-14 | 0.056 | -2.49% |
| 15 | 2025-10-16 — 2026-04-13 | 0.068 | -2.01% |
| 16 | 2025-11-15 — 2026-05-13 | 0.030 | -3.20% |
| 17 | 2025-12-15 — 2026-06-12 | 0.047 | -3.21% |
| 18 | 2026-01-14 — 2026-07-12 | 0.022 | -2.56% |
Cost: 40 bps round-trip per rebalance.
Limitations
- Research candidate only; never a validated or live trading verdict.
- Fixed 40 bps round-trip cost is an estimate and excludes market impact.
- Past OOS folds do not establish future performance or execution quality.
- Built for daily candles and a 14-day cross-sectional horizon; it informs higher-timeframe research context, not a standalone trading instruction.
What would change our mind
A failed promotion gate, regime concentration, data revision, schema mismatch or live degradation sends this record back for review or rejection. Candidate is not a promotion to Indicators or Daily Read.
Research-only record. No execution path on this page.