Add results_summary.json
Browse files- results_summary.json +59 -0
results_summary.json
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{
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"eval_results": {
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"horizon_1": {
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"direction_accuracy": 0.5023923444976076,
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"information_coefficient": -0.0697907355802081,
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"total_return": -0.04027914062500004,
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"annualized_return": -0.048362814354447115,
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"sharpe_ratio": -0.18286905540248344,
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"max_drawdown": 0.1628602453727441,
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"calmar_ratio": -0.29695897408337846,
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"profit_factor": 0.9714067951038647,
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"win_rate": 0.49760765550239233,
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"avg_win": 0.008983709521159584,
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"avg_loss": -0.009160065932415558,
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"num_trades": 209
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},
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"horizon_5": {
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"direction_accuracy": 0.4784688995215311,
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"information_coefficient": 0.010945633314055403,
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"total_return": 0.022679453125000082,
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"annualized_return": 0.1440293942326747,
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"sharpe_ratio": 0.5290225535659363,
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"max_drawdown": 0.23332316512981952,
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"calmar_ratio": 0.6172957064918119,
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"profit_factor": 1.087252023862269,
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"win_rate": 0.47619047619047616,
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"avg_win": 0.023288328730268405,
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"avg_loss": -0.019472217092036524,
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"num_trades": 42
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},
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"horizon_20": {
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"direction_accuracy": 0.46411483253588515,
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"information_coefficient": 0.3579473158420533,
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"total_return": -0.05529171875000005,
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"annualized_return": -0.7282977242114106,
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"sharpe_ratio": -1.6933695858083169,
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"max_drawdown": 0.1384053493896242,
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"calmar_ratio": -5.262063025761766,
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"profit_factor": 0.7996861485775424,
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"win_rate": 0.45454545454545453,
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"avg_win": 0.03806111440062523,
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"avg_loss": -0.03966255268702904,
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"num_trades": 11
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},
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"summary": {
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"num_test_samples": 209,
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"avg_direction_accuracy": 0.4816586921850079,
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"avg_ic": 0.09970073785863354
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}
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},
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"model_params": {
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"max_position_pct": 0.015,
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"sl_atr_mult": 0.5,
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"tp_atr_mult": 1.0,
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"min_confidence": 0.55,
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"max_trades_per_day": 50
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},
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"elapsed_seconds": 131.59195470809937
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}
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