Test a research pipeline on placebo data
placebo_testDetect whether a pipeline finds edges in noise: generate randomized return-order datasets, run the pipeline on real and shuffled data, then compare results for a p-value.
Instructions
Does your pipeline find edges in noise? plan writes placebo files (your data's returns in random orders, so nothing is predictable); run the whole pipeline on real.csv and on each, then compare for a p-value that counts every choice it makes. Beating the placebos shows the pipeline finds more in the real order of the returns than in random orders of the same returns; it does not show the edge survives costs, capacity or the future.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| kind | No | plan: default prices. | |
| real | No | compare: the pipeline's result on the real data. | |
| seed | No | ||
| action | Yes | ||
| method | No | ||
| columns | No | plan: {asset: [values]} instead of data_file. | |
| placebos | No | plan: default 19, up to 199. | |
| data_file | No | plan, on your machine: CSV or JSON, a column per asset, dates optional. | |
| lower_is_better | No | ||
| placebo_results | No | compare: its result on each placebo, in file order. |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| dir | No | ||
| files | No | ||
| limits | No | ||
| source | No | ||
| p_value | No | ||
| placebo | No | ||
| verdict | No | ||
| plain_reading | No |