| { |
| "model": "full_feature_tcn", |
| "recommended_horizon": "15m", |
| "zero_cost_test_backtest": { |
| "total_return": 0.6245530843303917, |
| "annualized_return": 24.446244451050607, |
| "sharpe": 9.099394595727173, |
| "sortino": 11.139839496973575, |
| "max_drawdown": -0.057883877621171864, |
| "calmar": 422.33252946601215, |
| "win_rate": 0.5141435805022906, |
| "profit_factor": 1.043355900647199, |
| "turnover": 0.24720554829376007, |
| "average_position": 0.704076828386147, |
| "average_holding_minutes": 5.69603806903349, |
| "trade_count": 389591, |
| "threshold_bps": 0.0, |
| "fixed_fee_bps": 0.0, |
| "fixed_slippage_bps": 0.0, |
| "horizon": "15m" |
| }, |
| "test_prediction_metrics": { |
| "mae": 0.0030127421487122774, |
| "rmse": 0.005572546739131212, |
| "direction_hit_rate": 0.48991103948019643, |
| "ic": 0.01989473523892385, |
| "icir": 0.06558929619901978, |
| "rank_ic": 0.019995910970156818, |
| "rank_icir": 0.07457593275847826 |
| }, |
| "baseline_backtests": { |
| "no_trade": { |
| "total_return": 0.0, |
| "annualized_return": 0.0, |
| "sharpe": 0.0, |
| "sortino": 0.0, |
| "max_drawdown": 0.0, |
| "calmar": 0.0, |
| "win_rate": 0.0, |
| "profit_factor": 0.0, |
| "turnover": 0.0, |
| "average_position": 0.0, |
| "average_holding_minutes": 0.0, |
| "trade_count": 0, |
| "horizon": "-" |
| }, |
| "buy_and_hold_equal_weight": { |
| "total_return": 0.0656705531897448, |
| "annualized_return": 0.5284418475478272, |
| "sharpe": 0.8937807779071612, |
| "sortino": 1.169374365147667, |
| "max_drawdown": -0.17344749083328315, |
| "calmar": 3.0466964094381903, |
| "win_rate": 0.5049048845797536, |
| "profit_factor": 1.003842757744322, |
| "turnover": 1.2690516377111384e-05, |
| "average_position": 1.0, |
| "average_holding_minutes": 78799.0, |
| "trade_count": 20, |
| "fixed_fee_bps": 0.0, |
| "fixed_slippage_bps": 0.0, |
| "horizon": "-" |
| } |
| }, |
| "warning": "Main result is zero-cost. Real-time downstream strategy must apply threshold, top-k, holding and cooldown constraints, then re-evaluate with realistic fees/slippage." |
| } |
|
|
