rangebar-eval-metrics

# Range Bar Evaluation Metrics

Machine-readable reference + computation scripts for state-of-the-art metrics evaluating range bar (price-based sampling) data.

## When to Use This Skill

Use this skill when:

- Evaluating ML model performance on range bar data
- Computing Sharpe ratios with non-IID bar sequences
- Running Walk-Forward Optimization metric analysis
- Calculating PSR, DSR, or MinTRL statistical tests
- Generating evaluation reports from fold results

## Quick Start

```bash
# Compute metrics from predictions + actuals
python scripts/compute_metrics.py --predictions preds.npy --actuals actuals.npy --timestamps ts.npy

# Generate full evaluation report
python scripts/generate_report.py --results folds.jsonl --output report.md
```

## Metric Tiers

| Tier                   | Purpose            | Metrics                                                                  | Compute              |
| ---------------------- | ------------------ | ------------------------------------------------------------------------ | -------------------- |
| **Primary** (5)        | Research decisions | weekly_sharpe, hit_rate, cumulative_pnl, n_bars, positive_sharpe_rate    | Per-fold + aggregate |
| **Secondary/Risk** (5) | Additional context | max_drawdown, bar_sharpe, return_per_bar, profit_factor, cv_fold_returns | Per-fold             |
| **ML Quality** (3)     | Prediction health  | ic, prediction_autocorr, is_collapsed                                    | Per-fold             |
| **Diagnostic** (5)     | Final validation   | psr, dsr, autocorr_lag1, effective_n, binomial_pvalue                    | Aggregate only       |
| **Extended Risk** (5)  | Deep risk analysis | var_95, cvar_95, omega_ratio, sortino_ratio, ulcer_index                 | Per-fold (optional)  |

## Why Range Bars Need Special Treatment

Range bars violate standard IID assumptions:

1. **Variable duration**: Bars form based on price movement, not time
2. **Autocorrelation**: High-volatility periods