How much organised structure sits in the recent price path โ between pure order and pure noise (ordpy). ยท row #16 ยท ordpy ยท rolling-200 on close ยท Lรณpez-Ruiz 1995 / Rosso 2007; embedding m=3/ฯ=1 = PR#513
BAN
Verdict (worst valid cell)
0.97
Max โฯโ vs panel
0.29
Max Rยฒ
1.00
Min h_norm
210
Valid cells
140 / 65 / 5
PASS / WATCH / BAN
10 / 10
Slices done
fast
Cost tier
How this verdict was reached
5 cell(s) crossed a BAN line โ โฯโ>0.95 (a near-duplicate of an existing feature), Rยฒ>0.95 (rebuildable from the panel), or h_norm<0.05 (went nearly constant). Worst: โฯโ 0.969 vs bar_petrosian_fd. The whole-candidate verdict is the worst cell, so the candidate is BAN.
What this feature measures
In plain terms: How structurally complex the recent price path is. Not just how random it is (entropy), but how much genuine organised structure sits between two boring extremes: a dead-flat line and pure coin-flip noise.
Analogy: A flat line scores ~0 (no structure). Pure random noise also scores ~0 (no structure, just chaos). A richly patterned signal in between scores high.
High vs low: HIGH = the path carries organised, non-trivial structure. LOW = either dead-flat or essentially pure noise.
Tunable knobs (Axis-2): Only the ordinal embedding (m=3, ฯ=1) โ the already-ratified PR#513 project-wide constant. No tunable magic numbers.
How we test it
We slide a 200-bar window across real ClickHouse bars and compute this feature at every bar, for each of 21 (symbol ร threshold) cells across 6 crypto symbols, repeated over 10 historical 2-month windows ("slices") spanning 2021โ2026 โ 210 independent tests.
In each test we ask one question only: does this feature carry information the live production panel does not already have? (This is Axis-1 orthogonality โ no profit/signal claim is made here.)
Three checks per cell: rank-correlation vs the single closest feature (โฯโ), joint reconstructability from the whole panel (Rยฒ), and whether the feature actually varies (h_norm).
Read-only ClickHouse ยท against the live panel + the landed Petrosian/Katz fractal features.
What each number means
Max โฯโ (rank correlation): how strongly the feature tracks the single most-similar existing feature, in its worst cell. 0 = unrelated, 1 = a rename. Lower is better. โค0.85 good ยท 0.85โ0.95 watch ยท >0.95 banned (duplicate).
Max Rยฒ (joint redundancy): how much of the feature can be rebuilt from all existing features together. 0 = fully new, 1 = fully reconstructable. Lower is better. Same thresholds.
Min h_norm (liveness): how much the feature actually moves (normalised entropy of its own values). Near 0 = basically constant / collapsed = useless. Want โฅ0.05.
Worst-valid-cell rollup: the candidate inherits the verdict of its worst of 210 cells โ deliberately strict, so a feature only PASSES if it is orthogonal everywhere.
Per-slice (regime) orthogonality
Each row is one 2-month historical window. "Worst โฯโ" is the most-correlated existing feature in that regime's worst cell โ lower is better.
Slice
Valid
P / W / B
Worst โฯโ
Top competitor
slice012026-01 โ 02
21
17 / 4 / 0
0.89
bar_petrosian_fd
slice032025-07 โ 08
21
17 / 4 / 0
0.92
bar_petrosian_fd
slice052025-01 โ 02
21
14 / 7 / 0
0.92
bar_petrosian_fd
slice072024-07 โ 08
21
13 / 8 / 0
0.94
bar_petrosian_fd
slice092024-01 โ 02
21
13 / 6 / 2
0.97
bar_petrosian_fd
slice122023-04 โ 05
21
11 / 8 / 2
0.97
bar_petrosian_fd
slice142022-10 โ 11
21
11 / 10 / 0
0.92
bar_petrosian_fd
slice172022-01 โ 02
21
14 / 7 / 0
0.95
bar_petrosian_fd
slice202021-04 โ 05
21
15 / 5 / 1
0.96
bar_petrosian_fd
slice212021-01 โ 02
21
15 / 6 / 0
0.94
bar_petrosian_fd
Most-similar existing features (the candidate's nearest neighbours)
Which already-shipped features this candidate most often resembles. If one feature dominates here and โฯโ is high, the candidate may be re-deriving it.
bar_petrosian_fd โ most-similar existing feature in 198 cell(s)
bar_katz_fd โ most-similar existing feature in 8 cell(s)
duration_us โ most-similar existing feature in 3 cell(s)
Resource utilization
Hard cap: 2 CPU cores (CPUQuota 200%), 2 GB RAM, spare-only โ the loop runs at the lowest priority (CPUWeight 10, nice 19, ionice idle) and only starts when โฅ2 cores and โฅ2 GB are free, so it never competes with production (ClickHouse / the live sidecar).
This sweep: wall time 39m 07s ยท peak RAM 1912 MB of 2048 MB.
Data volume: 6,333,627 bar-rows processed across 210 cells. 28 of 210 cells were sub-sampled to the most-recent 100,000 bars (largest raw cell โ 1,058,962 bars). Sub-sampling keeps giant cells tractable and does not change the correlation estimate.
Safety: the sweep completing means it stayed within 2 GB โ had it exceeded, the cgroup would have killed only the loop, never the box, and the cap-worked event would be recorded (never raised).
Worth flagging to the operator
๐ด โฯโ 0.969 crosses 0.85 in โฅ1 cell (closest existing feature: bar_petrosian_fd) โ that cell is BAN (duplicate).
โน๏ธ 28 cell(s) sub-sampled to the 100,000-bar cap (estimate unaffected).