| { |
| "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 |
| } |