{
 "genere_le": "2026-11-03 02:38",
 "avertissement": "Backtest sur données publiques, pas de résultats en réel.",
 "panneau": {
  "debut": "2007-08-01",
  "fin": "2026-10-30",
  "jours": 4751,
  "variables": [
   "BZ_ret1",
   "BZ_ret5",
   "BZ_ret21",
   "BZ_ret63",
   "BZ_volratio",
   "BZ_ma20",
   "BZ_ma50",
   "CL_ret1",
   "CL_ret5",
   "CL_ret21",
   "CL_ret63",
   "CL_volratio",
   "CL_ma20",
   "CL_ma50",
   "HO_ret1",
   "HO_ret5",
   "HO_ret21",
   "HO_ret63",
   "HO_volratio",
   "HO_ma20",
   "HO_ma50",
   "RB_ret1",
   "RB_ret5",
   "RB_ret21",
   "RB_ret63",
   "RB_volratio",
   "RB_ma20",
   "RB_ma50",
   "HOBZ_d1",
   "HOBZ_d5",
   "HOBZ_d21",
   "HOBZ_d63",
   "HOBZ_ecart_ma20",
   "HOBZ_ecart_ma63",
   "RBBZ_d1",
   "RBBZ_d5",
   "RBBZ_d21",
   "RBBZ_d63",
   "RBBZ_ecart_ma20",
   "RBBZ_ecart_ma63",
   "CLBZ_d21",
   "NG_ret5",
   "NG_ret21",
   "DXY_ret5",
   "DXY_ret21",
   "TNX_d5",
   "TNX_d21",
   "VIX_d5",
   "VIX_ecart_ma63",
   "stk_brut_hors_spr_var1s",
   "stk_brut_hors_spr_var4s",
   "stk_essence_var1s",
   "stk_essence_var4s",
   "stk_distillats_var1s",
   "stk_distillats_var4s",
   "mois_sin",
   "mois_cos",
   "jour_sem"
  ]
 },
 "protocole": {
  "debut_entrainement": "2008-06-01",
  "debut_test": "2012-01-01",
  "fenetre": "croissante",
  "reentrainement": "mensuel",
  "purge": "h jours",
  "calibration": "Platt mensuel sur prévisions hors échantillon passées (min 250)",
  "bootstrap": "circulaire par blocs, 2000 tirages, blocs {1: 10, 5: 20, 21: 63}",
  "seuil_strategie": 0.6,
  "frais_bp": 2.0,
  "modele_principal": "ens (moyenne logistique + gradient boosting), désigné à l'avance"
 },
 "preparation": [
  "BZ: 231 rolls corrigés (0 exacts via EIA n°2, 231 par marché proche, 0 mis à zéro)",
  "CL: 17 cotation(s) Yahoo remplacée(s) par le contrat n°1 EIA (2000-09-20, 2000-10-16, 2000-10-20, 2000-12-13, 2000-12-19, 2001-01-22)",
  "CL: 20-22/04/2020 (prix négatif) calculés sur le contrat de juin (EIA n°2)",
  "CL: 315 rolls corrigés (280 exacts via EIA n°2, 31 par marché proche, 4 mis à zéro)",
  "HO: 15 cotation(s) Yahoo remplacée(s) par le contrat n°1 EIA (2000-09-26, 2000-09-29, 2000-12-21, 2001-01-31, 2001-02-28, 2001-03-30)",
  "HO: 313 rolls corrigés (262 exacts via EIA n°2, 51 par marché proche, 0 mis à zéro)",
  "RB: 37 cotation(s) Yahoo remplacée(s) par le contrat n°1 EIA (2005-10-03, 2005-10-04, 2005-10-05, 2005-10-06, 2005-10-07, 2005-10-10)",
  "RB: 311 rolls corrigés (218 exacts via EIA n°2, 93 par marché proche, 0 mis à zéro)"
 ],
 "test_anti_fuite": {
  "date_coupure": "2019-06-14",
  "ecart_max": 6.892264536872972e-13,
  "nan_identiques": true,
  "ok": true
 },
 "controle_positif": [
  {
   "cible": "BZ",
   "h": 1,
   "accord_plante": 0.6,
   "accord_reel_test": 0.6037514654161782,
   "hgb_train": 0.5969460227272727,
   "hgb_test": 0.6019929660023446,
   "logit_train": 0.5973011363636364,
   "logit_test": 0.5767878077373975
  },
  {
   "cible": "BZ",
   "h": 1,
   "accord_plante": 0.55,
   "accord_reel_test": 0.5574443141852286,
   "hgb_train": 0.5848721590909091,
   "hgb_test": 0.5404454865181711,
   "logit_train": 0.5568181818181818,
   "logit_test": 0.5375146541617819
  },
  {
   "cible": "HO_BZ",
   "h": 5,
   "accord_plante": 0.6,
   "accord_reel_test": 0.6045828437132785,
   "hgb_train": 0.62890625,
   "hgb_test": 0.5910693301997649,
   "logit_train": 0.6022727272727273,
   "logit_test": 0.5505287896592245
  },
  {
   "cible": "HO_BZ",
   "h": 5,
   "accord_plante": 0.55,
   "accord_reel_test": 0.5575793184488836,
   "hgb_train": 0.6345880681818182,
   "hgb_test": 0.5305522914218567,
   "logit_train": 0.5951704545454546,
   "logit_test": 0.5041128084606346
  },
  {
   "cible": "RB",
   "h": 5,
   "accord_plante": 0.6,
   "accord_reel_test": 0.6045828437132785,
   "hgb_train": 0.6111505681818182,
   "hgb_test": 0.6245593419506463,
   "logit_train": 0.6118607954545454,
   "logit_test": 0.5716803760282021
  },
  {
   "cible": "RB",
   "h": 5,
   "accord_plante": 0.55,
   "accord_reel_test": 0.5575793184488836,
   "hgb_train": 0.6147017045454546,
   "hgb_test": 0.5517038777908343,
   "logit_train": 0.5933948863636364,
   "logit_test": 0.5505287896592245
  },
  {
   "cible": "BZ",
   "h": 21,
   "accord_plante": 0.6,
   "accord_reel_test": 0.604982206405694,
   "hgb_train": 0.6395596590909091,
   "hgb_test": 0.6233689205219455,
   "logit_train": 0.6526988636363636,
   "logit_test": 0.5966785290628707
  },
  {
   "cible": "BZ",
   "h": 21,
   "accord_plante": 0.55,
   "accord_reel_test": 0.5581257413997628,
   "hgb_train": 0.6583806818181818,
   "hgb_test": 0.561091340450771,
   "logit_train": 0.6363636363636364,
   "logit_test": 0.5729537366548043
  },
  {
   "cible": "RB_BZ",
   "h": 21,
   "accord_plante": 0.6,
   "accord_reel_test": 0.604982206405694,
   "hgb_train": 0.6459517045454546,
   "hgb_test": 0.6168446026097272,
   "logit_train": 0.6448863636363636,
   "logit_test": 0.6014234875444839
  },
  {
   "cible": "RB_BZ",
   "h": 21,
   "accord_plante": 0.55,
   "accord_reel_test": 0.5581257413997628,
   "hgb_train": 0.6434659090909091,
   "hgb_test": 0.5794780545670225,
   "logit_train": 0.6264204545454546,
   "logit_test": 0.5836298932384342
  }
 ],
 "fourchettes": [
  {
   "cible": "BZ",
   "nom": "Brent",
   "h": 1,
   "unite": "%",
   "n": 3680,
   "couverture_80": 0.8160326086956522,
   "correlation_rang": 0.2956677595529789,
   "ampleur_quintile_calme": 0.914774218832953,
   "ampleur_quintile_agite": 2.4551534085440347
  },
  {
   "cible": "BZ",
   "nom": "Brent",
   "h": 5,
   "unite": "%",
   "n": 3676,
   "couverture_80": 0.8003264417845484,
   "correlation_rang": 0.2651239782974843,
   "ampleur_quintile_calme": 2.255387100479516,
   "ampleur_quintile_agite": 5.52843537315662
  },
  {
   "cible": "BZ",
   "nom": "Brent",
   "h": 21,
   "unite": "%",
   "n": 3660,
   "couverture_80": 0.7852459016393443,
   "correlation_rang": 0.22191522630727878,
   "ampleur_quintile_calme": 5.282377192377206,
   "ampleur_quintile_agite": 9.805958996389474
  },
  {
   "cible": "CL",
   "nom": "WTI",
   "h": 1,
   "unite": "%",
   "n": 3680,
   "couverture_80": 0.8135869565217392,
   "correlation_rang": 0.2959583020874966,
   "ampleur_quintile_calme": 1.0485665442504841,
   "ampleur_quintile_agite": 2.8721204442770825
  },
  {
   "cible": "CL",
   "nom": "WTI",
   "h": 5,
   "unite": "%",
   "n": 3676,
   "couverture_80": 0.8033188248095756,
   "correlation_rang": 0.24568407246023308,
   "ampleur_quintile_calme": 2.47831617434708,
   "ampleur_quintile_agite": 6.2852579405088935
  },
  {
   "cible": "CL",
   "nom": "WTI",
   "h": 21,
   "unite": "%",
   "n": 3660,
   "couverture_80": 0.7975409836065573,
   "correlation_rang": 0.20598520968360273,
   "ampleur_quintile_calme": 5.632795693986344,
   "ampleur_quintile_agite": 12.259725400465076
  },
  {
   "cible": "HO",
   "nom": "Heating oil (distillats)",
   "h": 1,
   "unite": "%",
   "n": 3680,
   "couverture_80": 0.8070652173913043,
   "correlation_rang": 0.3325358383212033,
   "ampleur_quintile_calme": 0.9302720773970382,
   "ampleur_quintile_agite": 2.6410341002616904
  },
  {
   "cible": "HO",
   "nom": "Heating oil (distillats)",
   "h": 5,
   "unite": "%",
   "n": 3676,
   "couverture_80": 0.7883569096844396,
   "correlation_rang": 0.2856299735666338,
   "ampleur_quintile_calme": 2.3045071299137243,
   "ampleur_quintile_agite": 5.908022684690581
  },
  {
   "cible": "HO",
   "nom": "Heating oil (distillats)",
   "h": 21,
   "unite": "%",
   "n": 3660,
   "couverture_80": 0.7601092896174864,
   "correlation_rang": 0.28000415022531644,
   "ampleur_quintile_calme": 5.33086955139781,
   "ampleur_quintile_agite": 12.919170577277832
  },
  {
   "cible": "RB",
   "nom": "Essence RBOB",
   "h": 1,
   "unite": "%",
   "n": 3680,
   "couverture_80": 0.81875,
   "correlation_rang": 0.2572336607099833,
   "ampleur_quintile_calme": 1.124893769530494,
   "ampleur_quintile_agite": 2.5599074863905766
  },
  {
   "cible": "RB",
   "nom": "Essence RBOB",
   "h": 5,
   "unite": "%",
   "n": 3676,
   "couverture_80": 0.808759521218716,
   "correlation_rang": 0.24452986247584663,
   "ampleur_quintile_calme": 2.5790638564242,
   "ampleur_quintile_agite": 5.581511226934608
  },
  {
   "cible": "RB",
   "nom": "Essence RBOB",
   "h": 21,
   "unite": "%",
   "n": 3660,
   "couverture_80": 0.7863387978142077,
   "correlation_rang": 0.17739359513328,
   "ampleur_quintile_calme": 5.395096073203508,
   "ampleur_quintile_agite": 10.228279074205412
  },
  {
   "cible": "HO_BZ",
   "nom": "Crack HO − Brent",
   "h": 1,
   "unite": "$/bbl",
   "n": 3680,
   "couverture_80": 0.8230978260869565,
   "correlation_rang": 0.47592936607979663,
   "ampleur_quintile_calme": 0.3810608853590942,
   "ampleur_quintile_agite": 2.4510330194093415
  },
  {
   "cible": "HO_BZ",
   "nom": "Crack HO − Brent",
   "h": 5,
   "unite": "$/bbl",
   "n": 3676,
   "couverture_80": 0.8139281828073993,
   "correlation_rang": 0.45968133797434585,
   "ampleur_quintile_calme": 0.8684709312501798,
   "ampleur_quintile_agite": 5.28411289688449
  },
  {
   "cible": "HO_BZ",
   "nom": "Crack HO − Brent",
   "h": 21,
   "unite": "$/bbl",
   "n": 3660,
   "couverture_80": 0.7972677595628416,
   "correlation_rang": 0.4006304052351601,
   "ampleur_quintile_calme": 1.9593738451975344,
   "ampleur_quintile_agite": 10.638066317910553
  },
  {
   "cible": "RB_BZ",
   "nom": "Crack RB − Brent",
   "h": 1,
   "unite": "$/bbl",
   "n": 3680,
   "couverture_80": 0.8225543478260869,
   "correlation_rang": 0.3035229793335465,
   "ampleur_quintile_calme": 0.530342465102996,
   "ampleur_quintile_agite": 1.3272959590994433
  },
  {
   "cible": "RB_BZ",
   "nom": "Crack RB − Brent",
   "h": 5,
   "unite": "$/bbl",
   "n": 3676,
   "couverture_80": 0.8250816104461371,
   "correlation_rang": 0.3000187324011153,
   "ampleur_quintile_calme": 1.2132169953533347,
   "ampleur_quintile_agite": 3.0692049203642453
  },
  {
   "cible": "RB_BZ",
   "nom": "Crack RB − Brent",
   "h": 21,
   "unite": "$/bbl",
   "n": 3660,
   "couverture_80": 0.828688524590164,
   "correlation_rang": 0.2771407285014855,
   "ampleur_quintile_calme": 2.7098966922869594,
   "ampleur_quintile_agite": 6.055343654892676
  }
 ],
 "variables_modele": [
  "BZ_ret1",
  "BZ_ret5",
  "BZ_ret21",
  "BZ_ret63",
  "BZ_volratio",
  "BZ_ma20",
  "BZ_ma50",
  "CL_ret1",
  "CL_ret5",
  "CL_ret21",
  "CL_ret63",
  "CL_volratio",
  "CL_ma20",
  "CL_ma50",
  "HO_ret1",
  "HO_ret5",
  "HO_ret21",
  "HO_ret63",
  "HO_volratio",
  "HO_ma20",
  "HO_ma50",
  "RB_ret1",
  "RB_ret5",
  "RB_ret21",
  "RB_ret63",
  "RB_volratio",
  "RB_ma20",
  "RB_ma50",
  "HOBZ_d1",
  "HOBZ_d5",
  "HOBZ_d21",
  "HOBZ_d63",
  "HOBZ_ecart_ma20",
  "HOBZ_ecart_ma63",
  "RBBZ_d1",
  "RBBZ_d5",
  "RBBZ_d21",
  "RBBZ_d63",
  "RBBZ_ecart_ma20",
  "RBBZ_ecart_ma63",
  "CLBZ_d21",
  "NG_ret5",
  "NG_ret21",
  "DXY_ret5",
  "DXY_ret21",
  "TNX_d5",
  "TNX_d21",
  "VIX_d5",
  "VIX_ecart_ma63",
  "stk_brut_hors_spr_var1s",
  "stk_brut_hors_spr_var4s",
  "stk_essence_var1s",
  "stk_essence_var4s",
  "stk_distillats_var1s",
  "stk_distillats_var4s",
  "mois_sin",
  "mois_cos",
  "jour_sem"
 ],
 "resultats": [
  {
   "cible": "BZ",
   "nom": "Brent",
   "h": 1,
   "n": 3680,
   "debut": "2012-01-03",
   "fin": "2026-10-29",
   "part_hausse": 0.5239130434782608,
   "baselines": {
    "pile_ou_face": {
     "precision": 0.5
    },
    "derive": {
     "precision": 0.5228260869565218,
     "ic95": [
      0.5073369565217392,
      0.5385869565217392
     ]
    },
    "momentum": {
     "precision": 0.4907608695652174,
     "ic95": [
      0.4752717391304348,
      0.5051630434782609
     ]
    },
    "retour_moyenne": {
     "precision": 0.49483695652173915,
     "ic95": [
      0.47771059782608694,
      0.5125
     ]
    }
   },
   "meilleure_baseline": "derive",
   "modeles": {
    "logit": {
     "precision": 0.5296195652173913,
     "ic95": [
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      0.5462024456521739
     ],
     "ecart_vs_meilleure_baseline": 0.006793478260869565,
     "ic95_ecart": [
      -0.008152173913043478,
      0.021739130434782608
     ],
     "p_valeur_unilaterale": 0.2005,
     "p_valeur_vs_50": 0.0,
     "brier": 0.24937601454677732,
     "brier_climatologie": 0.2496144286291955,
     "periode_calibree_debut": "2013-02-01",
     "calibration": [
      {
       "de": 0.5,
       "a": 0.55,
       "n": 2940,
       "confiance_moyenne": 0.5209744961038848,
       "taux_reussite": 0.5227891156462585
      },
      {
       "de": 0.55,
       "a": 0.6,
       "n": 408,
       "confiance_moyenne": 0.565090607204092,
       "taux_reussite": 0.5490196078431373
      },
      {
       "de": 0.6,
       "a": 0.65,
       "n": 54,
       "confiance_moyenne": 0.6198429089244955,
       "taux_reussite": 0.6296296296296297
      },
      {
       "de": 0.65,
       "a": 0.7,
       "n": 13,
       "confiance_moyenne": 0.6700832372151653,
       "taux_reussite": 0.46153846153846156
      },
      {
       "de": 0.7,
       "a": 1.0,
       "n": 4,
       "confiance_moyenne": 0.774340371972343,
       "taux_reussite": 0.25
      }
     ],
     "top20": {
      "n": 503,
      "precision": 0.5606361829025845,
      "ic95": [
       0.5168986083499006,
       0.6003976143141153
      ],
      "part_jours": 0.13668478260869565,
      "baselines_memes_jours": {
       "derive": 0.558648111332008,
       "momentum": 0.5049701789264414,
       "retour_moyenne": 0.47912524850894633
      },
      "toujours_hausse_memes_jours": 0.4850894632206759,
      "meilleure_reference_memes_jours": 0.558648111332008
     },
     "par_annee": {
      "2012": {
       "precision": 0.5583333333333333,
       "n": 240
      },
      "2013": {
       "precision": 0.5355648535564853,
       "n": 239
      },
      "2014": {
       "precision": 0.5748987854251012,
       "n": 247
      },
      "2015": {
       "precision": 0.49206349206349204,
       "n": 252
      },
      "2016": {
       "precision": 0.516,
       "n": 250
      },
      "2017": {
       "precision": 0.46184738955823296,
       "n": 249
      },
      "2018": {
       "precision": 0.47580645161290325,
       "n": 248
      },
      "2019": {
       "precision": 0.5100401606425703,
       "n": 249
      },
      "2020": {
       "precision": 0.545816733067729,
       "n": 251
      },
      "2021": {
       "precision": 0.5776892430278885,
       "n": 251
      },
      "2022": {
       "precision": 0.556,
       "n": 250
      },
      "2023": {
       "precision": 0.5241935483870968,
       "n": 248
      },
      "2024": {
       "precision": 0.5220883534136547,
       "n": 249
      },
      "2025": {
       "precision": 0.5140562248995983,
       "n": 249
      },
      "2026": {
       "precision": 0.5913461538461539,
       "n": 208
      }
     },
     "strategie": {
      "unite": "rendement (fraction du notionnel)",
      "part_jours_signal": 0.021733224667209998,
      "nb_signaux": 80,
      "reussite_signaux": 0.5625,
      "sans_frais": {
       "gain_annuel": 0.004319818623409833,
       "vol_annuelle": 0.09655686005727009,
       "sharpe": 0.04473859879917025,
       "pire_baisse_cumulee": -0.3895795420239675,
       "gain_total": 0.06310020774909364
      },
      "frais_2bp": {
       "gain_annuel": 0.0035804543202313435,
       "vol_annuelle": 0.09658361337260551,
       "sharpe": 0.03707103301694121,
       "pire_baisse_cumulee": -0.39317954202396754,
       "gain_total": 0.05230020774909355
      },
      "achat_conservation": {
       "gain_annuel": 0.1327491743761892,
       "vol_annuelle": 0.37356686155888236,
       "sharpe": 0.3553558627289134,
       "pire_baisse_cumulee": -1.329469139612264,
       "gain_total": 1.9390861542807634
      },
      "rotation_annuelle": 3.6968215158924207
     }
    },
    "hgb": {
     "precision": 0.5173913043478261,
     "ic95": [
      0.5013519021739131,
      0.533695652173913
     ],
     "ecart_vs_meilleure_baseline": -0.005434782608695652,
     "ic95_ecart": [
      -0.01875,
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 ]
}