{ "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 } } } }