24h Model Report
Generated: 2026-03-16 18:51 UTC
Model version: xgb-v3-1773682984
Symbol: BTC/USDT
Training window: 2024-03-15 15:00 UTC -> 2026-03-16 11:00 UTC
Feature count: 71
Executive Takeaways
- Offline 24h test metrics are only slightly above random, but live deduped settled performance currently sits at
50.00% across 70 timestamps.
- The clearest high-accuracy pockets are
US session (72.73%), momentum_alignment=3 (71.05%), ret_24h q2-q3 (72.97%), and vol_24h q1-q2 (71.62%).
- The strongest small-sample regime is
US session & momentum_alignment=3, which reached 91.67% accuracy over 12 settled timestamps and should be treated as directional evidence, not a stable benchmark.
- TreeSHAP-style XGBoost contributions consistently point to
funding_mean_24h, etf_fbtc_1d, vol_24h, etf_positive_streak, and vol_72h as the main drivers when the model is most accurate.
- Attribution is reported as TreeSHAP-style model contributions from XGBoost
pred_contribs; it explains tree output, not the post-hoc isotonic calibrated probability.
Offline 24h Metrics
- Rows:
11780
- Balanced accuracy:
51.10%
- MCC:
0.0812
- ROC AUC:
0.5117
- Objective score:
0.2531
- Label threshold:
0.0075
Live 24h Performance
- Live evaluation uses the latest forecast per timestamp (
MAX(id) for each ts) before joining outcomes and features.
- Deduped settled timestamps:
70
- Deduped 24h hit rate:
50.00%
- Average absolute 24h move:
1.63%
- Average confidence gap from 50%:
20.08%
- Rows where
24h was the selected horizon: 65 with 50.77% hit rate
Top 24h Predictor Variables
| Rank |
Feature |
Gain |
| 1 |
etf_positive_streak |
26.5931 |
| 2 |
etf_fbtc_1d |
24.4499 |
| 3 |
etf_total_5d |
23.9743 |
| 4 |
etf_breadth_pos_ratio |
23.8465 |
| 5 |
etf_gbtc_1d |
22.7822 |
| 6 |
etf_flow_accel_1d |
22.0804 |
| 7 |
etf_total_10d |
21.8884 |
| 8 |
etf_total_3d |
21.6076 |
| 9 |
etf_total_z |
20.7728 |
| 10 |
vol_24h |
20.3678 |
Where The 24h Model Is Most Accurate
| Slice |
Rows |
Accuracy |
Lift vs Baseline |
Avg Abs 24h Move |
Avg Conf Gap |
| ret_24h q2 |
17 |
82.35% |
32.35% |
1.44% |
18.69% |
| vol_24h q1 |
18 |
77.78% |
27.78% |
2.20% |
14.72% |
| ret_24h q2-q3 |
34 |
76.47% |
26.47% |
1.87% |
17.14% |
| US session & ret_24h q2-q3 |
16 |
75.00% |
25.00% |
1.29% |
16.92% |
| session_us |
22 |
72.73% |
22.73% |
1.29% |
15.63% |
| US session & funding_z_24h q1-q2 |
11 |
72.73% |
22.73% |
1.26% |
14.43% |
| momentum_alignment=3 |
18 |
72.22% |
22.22% |
1.82% |
16.29% |
| ret_24h q3 |
17 |
70.59% |
20.59% |
2.29% |
15.59% |
| funding_z_24h q2 |
16 |
68.75% |
18.75% |
2.09% |
16.74% |
| vol_24h q1-q2 |
35 |
68.57% |
18.57% |
2.08% |
14.69% |
| funding_z_24h q1-q2 |
35 |
68.57% |
18.57% |
1.96% |
15.98% |
| funding_z_24h q1 |
19 |
68.42% |
18.42% |
1.85% |
15.35% |
TreeSHAP-Style Feature Contributions In High-Accuracy Regimes
ret_24h q2 (17 rows, 82.35% accuracy)
- Lift vs baseline:
32.35%; average absolute 24h move: 1.44%; average confidence gap: 18.69%.
- Dominant TreeSHAP-style drivers in this slice:
funding_mean_24h mean contribution 0.3032, mean absolute contribution 0.3032 (supports upside).etf_fbtc_1d mean contribution 0.2730, mean absolute contribution 0.2730 (supports upside).vol_24h mean contribution -0.0423, mean absolute contribution 0.1322 (leans defensive).etf_positive_streak mean contribution 0.1314, mean absolute contribution 0.1314 (supports upside).vol_72h mean contribution 0.1300, mean absolute contribution 0.1300 (supports upside).etf_ibit_share_abs mean contribution 0.0468, mean absolute contribution 0.1096 (supports upside).
vol_24h q1 (18 rows, 77.78% accuracy)
- Lift vs baseline:
27.78%; average absolute 24h move: 2.20%; average confidence gap: 14.72%.
- Dominant TreeSHAP-style drivers in this slice:
etf_fbtc_1d mean contribution 0.2925, mean absolute contribution 0.2925 (supports upside).funding_mean_24h mean contribution 0.2742, mean absolute contribution 0.2742 (supports upside).vol_24h mean contribution -0.1458, mean absolute contribution 0.1458 (leans defensive).etf_positive_streak mean contribution 0.1263, mean absolute contribution 0.1263 (supports upside).vol_72h mean contribution 0.1223, mean absolute contribution 0.1223 (supports upside).etf_flow_accel_1d mean contribution 0.0858, mean absolute contribution 0.0858 (supports upside).
ret_24h q2-q3 (34 rows, 76.47% accuracy)
- Lift vs baseline:
26.47%; average absolute 24h move: 1.87%; average confidence gap: 17.14%.
- Dominant TreeSHAP-style drivers in this slice:
funding_mean_24h mean contribution 0.2881, mean absolute contribution 0.2881 (supports upside).etf_fbtc_1d mean contribution 0.2622, mean absolute contribution 0.2622 (supports upside).vol_24h mean contribution -0.0570, mean absolute contribution 0.1371 (leans defensive).etf_positive_streak mean contribution 0.1267, mean absolute contribution 0.1267 (supports upside).vol_72h mean contribution 0.1244, mean absolute contribution 0.1244 (supports upside).etf_ibit_share_abs mean contribution 0.0746, mean absolute contribution 0.1113 (supports upside).
US session & ret_24h q2-q3 (16 rows, 75.00% accuracy)
- Lift vs baseline:
25.00%; average absolute 24h move: 1.29%; average confidence gap: 16.92%.
- Dominant TreeSHAP-style drivers in this slice:
funding_mean_24h mean contribution 0.2899, mean absolute contribution 0.2899 (supports upside).etf_fbtc_1d mean contribution 0.2466, mean absolute contribution 0.2466 (supports upside).vol_72h mean contribution 0.1294, mean absolute contribution 0.1294 (supports upside).etf_positive_streak mean contribution 0.1274, mean absolute contribution 0.1274 (supports upside).vol_24h mean contribution -0.0037, mean absolute contribution 0.1259 (leans defensive).funding_z_24h mean contribution -0.0202, mean absolute contribution 0.1207 (leans defensive).
session_us (22 rows, 72.73% accuracy)
- Lift vs baseline:
22.73%; average absolute 24h move: 1.29%; average confidence gap: 15.63%.
- Dominant TreeSHAP-style drivers in this slice:
funding_mean_24h mean contribution 0.2957, mean absolute contribution 0.2957 (supports upside).etf_fbtc_1d mean contribution 0.2498, mean absolute contribution 0.2498 (supports upside).vol_72h mean contribution 0.1315, mean absolute contribution 0.1315 (supports upside).etf_positive_streak mean contribution 0.1286, mean absolute contribution 0.1286 (supports upside).vol_24h mean contribution -0.0224, mean absolute contribution 0.1259 (leans defensive).funding_z_24h mean contribution 0.0043, mean absolute contribution 0.1175 (supports upside).
momentum_alignment=3 (18 rows, 72.22% accuracy)
- Lift vs baseline:
22.22%; average absolute 24h move: 1.82%; average confidence gap: 16.29%.
- Dominant TreeSHAP-style drivers in this slice:
funding_mean_24h mean contribution 0.3176, mean absolute contribution 0.3176 (supports upside).etf_fbtc_1d mean contribution 0.2161, mean absolute contribution 0.2161 (supports upside).etf_ibit_share_abs mean contribution 0.1257, mean absolute contribution 0.1343 (supports upside).etf_positive_streak mean contribution 0.1238, mean absolute contribution 0.1238 (supports upside).vol_24h mean contribution -0.0479, mean absolute contribution 0.1157 (leans defensive).vol_72h mean contribution 0.1108, mean absolute contribution 0.1108 (supports upside).
ret_24h q3 (17 rows, 70.59% accuracy)
- Lift vs baseline:
20.59%; average absolute 24h move: 2.29%; average confidence gap: 15.59%.
- Dominant TreeSHAP-style drivers in this slice:
funding_mean_24h mean contribution 0.2730, mean absolute contribution 0.2730 (supports upside).etf_fbtc_1d mean contribution 0.2515, mean absolute contribution 0.2515 (supports upside).vol_24h mean contribution -0.0716, mean absolute contribution 0.1420 (leans defensive).etf_positive_streak mean contribution 0.1221, mean absolute contribution 0.1221 (supports upside).vol_72h mean contribution 0.1189, mean absolute contribution 0.1189 (supports upside).etf_ibit_share_abs mean contribution 0.1024, mean absolute contribution 0.1130 (supports upside).
funding_z_24h q2 (16 rows, 68.75% accuracy)
- Lift vs baseline:
18.75%; average absolute 24h move: 2.09%; average confidence gap: 16.74%.
- Dominant TreeSHAP-style drivers in this slice:
funding_mean_24h mean contribution 0.2918, mean absolute contribution 0.2918 (supports upside).etf_fbtc_1d mean contribution 0.2846, mean absolute contribution 0.2846 (supports upside).etf_positive_streak mean contribution 0.1354, mean absolute contribution 0.1354 (supports upside).vol_24h mean contribution -0.0709, mean absolute contribution 0.1314 (leans defensive).vol_72h mean contribution 0.1186, mean absolute contribution 0.1186 (supports upside).etf_ibit_share_abs mean contribution 0.0183, mean absolute contribution 0.1083 (supports upside).
Representative Accurate Predictions
2026-03-13 17:00 UTC: predicted 3.11% down with realized 24h return -0.49%; strongest contributions: funding_mean_24h 0.3677, etf_ibit_share_abs 0.2298, funding_z_24h -0.1361, etf_positive_streak 0.1265.2026-03-15 02:00 UTC: predicted 88.77% up with realized 24h return 1.83%; strongest contributions: funding_mean_24h 0.3253, etf_fbtc_1d 0.2615, vol_24h -0.1589, etf_positive_streak 0.1301.2026-03-13 22:00 UTC: predicted 14.69% down with realized 24h return -0.13%; strongest contributions: etf_fbtc_1d 0.3067, funding_mean_24h 0.2756, vol_72h 0.1613, vol_24h 0.1438.2026-03-15 04:00 UTC: predicted 81.52% up with realized 24h return 2.79%; strongest contributions: funding_mean_24h 0.2998, etf_fbtc_1d 0.2616, vol_24h -0.1520, etf_ibit_share_abs 0.1339.2026-03-14 23:00 UTC: predicted 80.87% up with realized 24h return 2.22%; strongest contributions: funding_mean_24h 0.3285, etf_fbtc_1d 0.3063, vol_24h -0.1498, etf_positive_streak 0.1266.2026-03-15 05:00 UTC: predicted 80.31% up with realized 24h return 3.33%; strongest contributions: funding_mean_24h 0.2994, etf_fbtc_1d 0.2610, vol_24h -0.1520, etf_positive_streak 0.1290.
Risks And Caveats
- Live analysis dedupes repeated forecasts by keeping the latest row for each timestamp; this avoids overweighting hours with multiple reruns.
- TreeSHAP-style values come from XGBoost
pred_contribs, not the external shap package; they explain raw tree output before isotonic calibration.
- Several high-accuracy slices still have limited support, especially 2-condition combinations, so they should be treated as promising regimes rather than hard rules.
- This report focuses on directional hit rate and realized move magnitude; it does not yet include calibration plots, Brier score, or PnL-aware thresholding.