ANC Labs · Research

Models that learn from noisy data

ANC Labs is an independent research lab working on one question: how do you make machine learning hold up when the signal in financial data is barely distinguishable from noise?

4.1
observed seriessignal
Move the slider: the underlying signal never changes, but the more noise you add, the harder it is to see. Illustration.
higher signal efficiency than a standard xLSTM (synthetic tests, 5 cells)
16–36%
measurements in the synthetic lab
1,583
symbols in the universe, delisted coins included
832
01 — Problem

Why financial data is hard

Only a sliver of tomorrow's return on a coin is predictable. The rest is noise. Tails are fat, assets move together, and the market changes character from one period to the next.

Flexible models pick up the wrong thing in this setting: there is just enough data to memorise the noise instead of the signal. In our lab, a standard xLSTM reached its best validation score within the first two epochs in 86% of runs. What came after was memorisation.

Research in detail
  • DA-xLSTM
  • standard xLSTM
  • linear ceiling
0.40.60.81.01.52.54.5planted signal strength (t)efficiency0.40.60.81.01.52.54.5planted signal strength (t)efficiency
Figure 1. Efficiency is the information coefficient (IC) a model captures, as a share of the best achievable linear IC. Shaded bands show ±1 standard deviation across training panels. Synthetic lab, regime b.
02 — Synthetic SNR lab

A market where we know the signal

On real data you can't tell which model is more robust to noise, because nobody knows the true signal. So we first built a data generator calibrated to the statistics of the real market: fat tails, cross-sectional correlation, GARCH-style volatility, regime shifts and a funding component.

We set the strength of the signal ourselves, which means we can measure directly how much of it a model recovers.

13 of 13 calibration targets within tolerance.

How the lab works
realsynthetic
Cross-sectional correlation (ρ)real 0.581 · synthetic 0.553
Tail thickness (ν)real 2.78 · synthetic 3.08
Volatility persistencereal 0.969 · synthetic 0.946
Figure 2. Three of the calibration moments. Real values use data through the end of 2025 only.
03 — DA-xLSTM

A noise-robust xLSTM

xLSTM's exponential gating and large memory are strengths on clean data. At low signal-to-noise, a single outlier can dominate that memory for many steps, and spare capacity gets spent on noise. DA-xLSTM goes after this with three changes: a clipped training target, a deliberately smaller hidden state, and an average over five models.

We tested each change on its own first, against a hypothesis and pass criterion written down before the run. The combined model beat the standard xLSTM in all 5 test cells.

Architecture and ablation
Target clipping+0.062
Huber loss+0.109
Capacity (hidden 16 → 4)+0.061
5-model ensemble+0.093
Combined: DA-xLSTM+0.12–0.21
Figure 3. Whiskers are 95% confidence intervals for the single changes, measured in one test cell. The last row spans the combined model's lowest and highest gain across the five test cells; it is a range, not a confidence interval. Huber loss also helped but did not make the final configuration.
04 — Production systemLive forward test · since October 2026

milliways01

The production system at the centre of the research programme: a market-neutral, cross-sectional portfolio built each day on roughly the hundred most liquid Binance perpetuals. It combines two families of signals, one from order flow and one from funding, and is in a live forward test on an engine that runs on real-time market data and order books.

  1. 01Market data
  2. 02Recorder
  3. 03Decision engine
  4. 04Data validation
  5. 05Monitoring
01002003004005002020202120222023202420250100200300400500202020222024
Figure 4. Equity curve, indexed to 100 Historical simulation, 2020–2025 · model v1 · realistic cost and execution model
Sharpe ratio
1.76
annual compound return
25.3%
maximum drawdown
−14.4%
System and results
05 — Methodology

How we test

It's easy to fool yourself with noisy data, so every result goes through the same rules.

  1. 01

    No look-ahead

    Every feature is known at decision time. Decide on day t, trade on day t+1.

  2. 02

    After costs

    Nothing counts until fees, measured spreads and market impact are taken out.

  3. 03

    No survivorship bias

    The universe is rebuilt every day from that day's information, including coins that were later delisted.

  4. 04

    Pre-registration

    Hypothesis, metric and pass threshold are written down before a test runs.

  5. 05

    Independent reproduction

    Every number that drives a decision is produced a second time, independently.

  6. 06

    Mutation testing

    We check that critical safeguards really catch errors by breaking the code on purpose.

Full methodology
06 — Experiment map

155 experiments, 10 families

Every idea we've tried is on record: architectures, features, cross-sectional signals, risk management, data sources, execution. Each dot is one experiment. The 1,583 model runs from the synthetic lab come on top of these.

Cross-sectional signals
34
Direction models and architectures
22
Data sources
18
Risk, sizing and rebalancing
17
Intraday and event-driven
13
Cross-sectional ML
11
Other markets
11
Features and indicators
10
Execution and cost
10
Carry and structural trades
9
Experiment breakdown
07 — Lab

Built for the market

ANC Labs is a one-person, independent lab, and the research is a means, not the end. The goal is to build systems that earn sustainable returns in live markets, after costs.

So every idea faces the same question: does it hold up in a live market, with real costs? Every layer, from model development and data pipelines to test infrastructure and the live engine, is built around that goal. milliways01 is the first production system on that path.

The lab and its founder
  1. 01

    Returns after costs

    An idea only moves forward if it still pays after fees, spreads and market impact.

  2. 02

    Proven live

    No system moves to capital before a forward test on real-time market data.

  3. 03

    Risk first

    Drawdown, capacity and cost sensitivity are measured before capital grows.