models/universal_metadata.json

{
  "tickers": [
    "AAPL",
    "MSFT",
    "GOOGL",
    "AMZN",
    "NVDA",
    "META",
    "TSLA",
    "AMD",
    "INTC",
    "CRM",
    "JPM",
    "BAC",
    "WFC",
    "GS",
    "MS",
    "BLK",
    "SCHW",
    "AXP",
    "JNJ",
    "UNH",
    "PFE",
    "MRK",
    "ABBV",
    "LLY",
    "BMY",
    "AMGN",
    "WMT",
    "PG",
    "KO",
    "PEP",
    "COST",
    "HD",
    "MCD",
    "NKE",
    "XOM",
    "CVX",
    "COP",
    "SLB",
    "CAT",
    "BA",
    "HON",
    "UPS",
    "RTX",
    "LMT",
    "DIS",
    "NFLX",
    "CMCSA",
    "T",
    "VZ",
    "RELIANCE.NS",
    "TCS.NS",
    "HDFCBANK.NS",
    "INFY.NS",
    "ICICIBANK.NS",
    "HINDUNILVR.NS",
    "SBIN.NS",
    "BHARTIARTL.NS",
    "KOTAKBANK.NS",
    "ITC.NS",
    "LT.NS",
    "AXISBANK.NS",
    "BAJFINANCE.NS",
    "MARUTI.NS",
    "TITAN.NS",
    "SUNPHARMA.NS",
    "ASIANPAINT.NS",
    "HCLTECH.NS",
    "WIPRO.NS",
    "TATAMOTORS.NS",
    "ONGC.NS",
    "NTPC.NS",
    "POWERGRID.NS",
    "TATASTEEL.NS",
    "JSWSTEEL.NS",
    "ULTRACEMCO.NS",
    "NESTLEIND.NS",
    "TECHM.NS",
    "ADANIENT.NS",
    "ADANIPORTS.NS"
  ],
  "period": "5y",
  "context": 192,
  "horizon": 7,
  "n_paths": 20000,
  "feature_columns": [
    "Open",
    "High",
    "Low",
    "Close",
    "Volume",
    "daily_return",
    "log_return",
    "high_low_range",
    "open_close_diff",
    "rolling_volatility_5",
    "rolling_volatility_10",
    "rolling_volatility_20",
    "sma_5",
    "sma_10",
    "sma_20",
    "ema_12",
    "ema_26",
    "rsi_14",
    "macd",
    "signal_line",
    "atr_14",
    "bb_upper",
    "bb_lower",
    "volume_ma_20",
    "volume_ratio",
    "momentum_5",
    "momentum_10",
    "rolling_mean_ret_5",
    "rolling_mean_ret_20",
    "rolling_std_ret_5",
    "rolling_std_ret_20",
    "rolling_skew_ret_20",
    "rolling_kurt_ret_20",
    "close_vs_sma_5",
    "close_vs_sma_20",
    "rolling_vol_30",
    "rolling_vol_60",
    "hist_vol_ann",
    "vol_ratio_5_20",
    "rolling_min_10",
    "rolling_max_10",
    "rolling_range_10",
    "rolling_min_60",
    "rolling_max_60",
    "forecast_price",
    "forecast_return_pct",
    "forecast_slope",
    "forecast_slope_step1",
    "forecast_acceleration",
    "forecast_interval_width",
    "forecast_interval_width_pct",
    "forecast_interval_width_final",
    "forecast_vol_daily",
    "forecast_vol_ann",
    "q10",
    "q50",
    "q90",
    "q50_final",
    "distance_from_close",
    "distance_from_close_pct",
    "timesfm_error_hist_mean",
    "timesfm_error_hist_std",
    "timesfm_error_hist_last",
    "timesfm_error_hist_count",
    "mc_expected_return",
    "mc_median_return",
    "mc_return_variance",
    "mc_return_std",
    "mc_prob_positive",
    "mc_prob_negative",
    "mc_prob_gain_5",
    "mc_prob_loss_5",
    "mc_prob_gain_10",
    "mc_prob_loss_10",
    "mc_var_95",
    "mc_cvar_95",
    "mc_mdd_mean",
    "mc_mdd_max"
  ],
  "targets": {
    "target_a": "Direction",
    "target_b": "Large Move",
    "target_c": "TimesFM Confidence"
  },
  "thresholds": {
    "large_move": 3.0,
    "timesfm_error": 2.0
  },
  "metrics": {
    "target_a": {
      "accuracy": 0.5072428582989399,
      "precision": 0.5064513045971518,
      "recall": 0.8513817480719794,
      "f1": 0.6351051716905376,
      "roc_auc": 0.505420324516072,
      "oof_auc": 0.5067343112661828,
      "params": {
        "max_depth": 5,
        "learning_rate": 0.1,
        "n_estimators": 363,
        "subsample": 0.8,
        "colsample_bytree": 0.8,
        "min_child_weight": 3,
        "gamma": 0.1,
        "reg_lambda": 2.0
      }
    },
    "target_b": {
      "accuracy": 0.6584122359796067,
      "precision": 0.17644483362521893,
      "recall": 0.6371541501976284,
      "f1": 0.2763586490656609,
      "roc_auc": 0.7055578995081025,
      "oof_auc": 0.7364952225424342,
      "params": {
        "max_depth": 3,
        "learning_rate": 0.1,
        "n_estimators": 233,
        "subsample": 0.8,
        "colsample_bytree": 0.7,
        "min_child_weight": 5,
        "gamma": 0.5,
        "reg_lambda": 1.0
      }
    },
    "target_c": {
      "accuracy": 0.6963664319818726,
      "precision": 0.589994461879269,
      "recall": 0.6761159297651788,
      "f1": 0.6301261829652997,
      "roc_auc": 0.762330423287098,
      "oof_auc": 0.786042757251642,
      "params": {
        "max_depth": 5,
        "learning_rate": 0.05,
        "n_estimators": 266,
        "subsample": 0.7,
        "colsample_bytree": 0.8,
        "min_child_weight": 3,
        "gamma": 0.1,
        "reg_lambda": 5.0
      }
    }
  }
}