models/meta_optionA.json

{
  "option": "A",
  "trained_at": "2026-05-20T04:35:57.095726",
  "elapsed_sec": 280.7,
  "n_params": 129616,
  "n_assets": 8,
  "tickers": [
    "TLT",
    "LQD",
    "HYG",
    "VNQ",
    "GLD",
    "SLV",
    "PFF",
    "MBB"
  ],
  "include_cash": false,
  "n_asset_feats": 8,
  "n_macro_feats": 19,
  "lookback": 60,
  "loss_fn": "sharpe",
  "best_val_loss": -1.086032,
  "best_val_sharpe": 0.753,
  "best_val_ann_return": 0.1331,
  "test_loss": -1.389212,
  "test_sharpe": 1.1117,
  "test_ann_return": 0.0957,
  "splits": {
    "n_train": 3194,
    "n_val": 684,
    "n_test": 685,
    "train_start": "2008-04-01",
    "train_end": "2020-12-03",
    "val_end": "2023-08-24",
    "test_end": "2026-05-19"
  },
  "history": {
    "train_loss": [
      -1.041926,
      -1.542902,
      -1.865778,
      -1.910498,
      -1.912012,
      -1.54149,
      -1.52118,
      -1.653631,
      -1.901384,
      -2.021771,
      -2.244453,
      -2.486226,
      -2.462337,
      -2.598892,
      -2.722711,
      -2.21932,
      -2.505665,
      -3.001994,
      -2.939082,
      -3.446512,
      -3.712664,
      -3.997123,
      -3.921175,
      -3.904075,
      -4.067317,
      -4.399647,
      -4.478738,
      -4.417014,
      -4.24635,
      -4.544388,
      -4.384583,
      -4.407669,
      -5.10715,
      -5.171373,
      -5.225397,
      -5.160486,
      -5.425391,
      -5.481322,
      -5.833064,
      -5.600924
    ],
    "val_loss": [
      0.222798,
      0.04798,
      -0.08841,
      -0.126536,
      0.006989,
      0.386157,
      0.271607,
      -0.388801,
      -0.411555,
      -0.438541,
      -0.503927,
      -0.446073,
      -1.036549,
      -0.650008,
      -0.918703,
      -0.994649,
      -0.663583,
      -0.766412,
      -0.861021,
      -0.982823,
      -0.889275,
      -0.988327,
      -0.947251,
      -0.975485,
      -1.086032,
      -1.017751,
      -0.932339,
      -0.926307,
      -0.852817,
      -0.923579,
      -0.820646,
      -0.929403,
      -0.898571,
      -0.96209,
      -0.976852,
      -0.817578,
      -0.758934,
      -0.927734,
      -0.785135,
      -0.919938
    ],
    "val_sharpe": [
      -0.2874,
      -0.2791,
      -0.2851,
      -0.1955,
      -0.4096,
      -0.4264,
      -0.3379,
      -0.047,
      -0.0728,
      -0.0581,
      0.2351,
      0.0665,
      0.6772,
      0.3423,
      0.6481,
      0.6739,
      0.3878,
      0.5024,
      0.5739,
      0.6409,
      0.573,
      0.6629,
      0.671,
      0.6433,
      0.753,
      0.6536,
      0.5782,
      0.6394,
      0.5775,
      0.6118,
      0.6119,
      0.5667,
      0.5961,
      0.621,
      0.6392,
      0.5324,
      0.4967,
      0.6201,
      0.4989,
      0.6229
    ],
    "val_ann_return": [
      -0.0258,
      -0.0274,
      -0.0374,
      -0.0284,
      -0.061,
      -0.0339,
      -0.0283,
      -0.0058,
      -0.0096,
      -0.0076,
      0.0365,
      0.0089,
      0.1092,
      0.0495,
      0.113,
      0.1124,
      0.0556,
      0.0834,
      0.0985,
      0.1093,
      0.1013,
      0.125,
      0.1223,
      0.1169,
      0.1331,
      0.1202,
      0.1039,
      0.1146,
      0.1052,
      0.112,
      0.1034,
      0.1032,
      0.1063,
      0.1126,
      0.115,
      0.0957,
      0.0892,
      0.1105,
      0.091,
      0.1127
    ]
  },
  "config": {
    "asset_hidden_dim": 64,
    "macro_hidden_dim": 64,
    "graph_hidden_dim": 64,
    "n_attn_heads": 2,
    "dropout": 0.2,
    "lr": 0.001,
    "batch_size": 64,
    "max_epochs": 150,
    "patience": 15,
    "evar_beta": 0.95
  },
  "winning_loss": "sharpe"
}