trading-intelligence-system / results_summary.json
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{
"eval_results": {
"horizon_1": {
"direction_accuracy": 0.5023923444976076,
"information_coefficient": -0.0697907355802081,
"total_return": -0.04027914062500004,
"annualized_return": -0.048362814354447115,
"sharpe_ratio": -0.18286905540248344,
"max_drawdown": 0.1628602453727441,
"calmar_ratio": -0.29695897408337846,
"profit_factor": 0.9714067951038647,
"win_rate": 0.49760765550239233,
"avg_win": 0.008983709521159584,
"avg_loss": -0.009160065932415558,
"num_trades": 209
},
"horizon_5": {
"direction_accuracy": 0.4784688995215311,
"information_coefficient": 0.010945633314055403,
"total_return": 0.022679453125000082,
"annualized_return": 0.1440293942326747,
"sharpe_ratio": 0.5290225535659363,
"max_drawdown": 0.23332316512981952,
"calmar_ratio": 0.6172957064918119,
"profit_factor": 1.087252023862269,
"win_rate": 0.47619047619047616,
"avg_win": 0.023288328730268405,
"avg_loss": -0.019472217092036524,
"num_trades": 42
},
"horizon_20": {
"direction_accuracy": 0.46411483253588515,
"information_coefficient": 0.3579473158420533,
"total_return": -0.05529171875000005,
"annualized_return": -0.7282977242114106,
"sharpe_ratio": -1.6933695858083169,
"max_drawdown": 0.1384053493896242,
"calmar_ratio": -5.262063025761766,
"profit_factor": 0.7996861485775424,
"win_rate": 0.45454545454545453,
"avg_win": 0.03806111440062523,
"avg_loss": -0.03966255268702904,
"num_trades": 11
},
"summary": {
"num_test_samples": 209,
"avg_direction_accuracy": 0.4816586921850079,
"avg_ic": 0.09970073785863354
}
},
"model_params": {
"max_position_pct": 0.015,
"sl_atr_mult": 0.5,
"tp_atr_mult": 1.0,
"min_confidence": 0.55,
"max_trades_per_day": 50
},
"elapsed_seconds": 131.59195470809937
}