P2SAMAPA commited on
Commit
2fa586e
·
verified ·
1 Parent(s): 9fea4f7

[auto] Update DeePM model weights and signals

Browse files
Files changed (48) hide show
  1. models/deepm_optionA_best.pt +1 -1
  2. models/deepm_optionA_evar_best.pt +1 -1
  3. models/deepm_optionA_sharpe_best.pt +1 -1
  4. models/deepm_optionA_w1_evar.pt +1 -1
  5. models/deepm_optionA_w1_sharpe.pt +1 -1
  6. models/deepm_optionA_w2_evar.pt +1 -1
  7. models/deepm_optionA_w2_sharpe.pt +1 -1
  8. models/deepm_optionA_w3_evar.pt +1 -1
  9. models/deepm_optionA_w3_sharpe.pt +1 -1
  10. models/deepm_optionA_w4_evar.pt +1 -1
  11. models/deepm_optionA_w4_sharpe.pt +1 -1
  12. models/deepm_optionA_w5_evar.pt +1 -1
  13. models/deepm_optionA_w5_sharpe.pt +1 -1
  14. models/deepm_optionA_w6_evar.pt +1 -1
  15. models/deepm_optionA_w6_sharpe.pt +1 -1
  16. models/deepm_optionA_w7_evar.pt +1 -1
  17. models/deepm_optionA_w7_sharpe.pt +1 -1
  18. models/deepm_optionA_w8_evar.pt +1 -1
  19. models/deepm_optionA_w8_sharpe.pt +1 -1
  20. models/deepm_optionA_window_best.pt +1 -1
  21. models/deepm_optionB_best.pt +1 -1
  22. models/deepm_optionB_evar_best.pt +1 -1
  23. models/deepm_optionB_sharpe_best.pt +1 -1
  24. models/deepm_optionB_w1_evar.pt +1 -1
  25. models/deepm_optionB_w1_sharpe.pt +1 -1
  26. models/deepm_optionB_w2_evar.pt +1 -1
  27. models/deepm_optionB_w2_sharpe.pt +1 -1
  28. models/deepm_optionB_w3_evar.pt +1 -1
  29. models/deepm_optionB_w3_sharpe.pt +1 -1
  30. models/deepm_optionB_w4_evar.pt +1 -1
  31. models/deepm_optionB_w4_sharpe.pt +1 -1
  32. models/deepm_optionB_w5_evar.pt +1 -1
  33. models/deepm_optionB_w5_sharpe.pt +1 -1
  34. models/deepm_optionB_w6_evar.pt +1 -1
  35. models/deepm_optionB_w6_sharpe.pt +1 -1
  36. models/deepm_optionB_w7_evar.pt +1 -1
  37. models/deepm_optionB_w7_sharpe.pt +1 -1
  38. models/deepm_optionB_w8_evar.pt +1 -1
  39. models/deepm_optionB_w8_sharpe.pt +1 -1
  40. models/deepm_optionB_window_best.pt +1 -1
  41. models/meta_optionA.json +150 -110
  42. models/meta_optionA_window.json +54 -54
  43. models/meta_optionB.json +78 -90
  44. models/meta_optionB_window.json +52 -52
  45. models/scaler_optionA.pkl +1 -1
  46. models/scaler_optionA_window.pkl +1 -1
  47. models/scaler_optionB.pkl +1 -1
  48. models/scaler_optionB_window.pkl +1 -1
models/deepm_optionA_best.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:aff825a90cc8511dcbeea279f74f70ab24b6f7bc6063116e89e8314e5786e79f
3
  size 532854
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:28a73a8c1c2e96ee39558cea5a85e99f3ccccddb8dd404d2803ac9ee4454c0c1
3
  size 532854
models/deepm_optionA_evar_best.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:745e3514fb2a1b9d6f6b56e4258c18517631eb7e8592d75ad71f769cd27466d4
3
  size 532766
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:f5790c516585a45dafdddc06cf3d667725520b5626d88686bfd4701326b92d38
3
  size 532766
models/deepm_optionA_sharpe_best.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:aff825a90cc8511dcbeea279f74f70ab24b6f7bc6063116e89e8314e5786e79f
3
  size 532854
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:28a73a8c1c2e96ee39558cea5a85e99f3ccccddb8dd404d2803ac9ee4454c0c1
3
  size 532854
models/deepm_optionA_w1_evar.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:f97a8686fb41553fe61c30ea954693e8ebb4890d6959da625014a5c3ec7e24b5
3
  size 532614
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:bedf9a2b01a04b0c35d02a5c883b147b59f7b89f16b077cb180e14cf4a9cea90
3
  size 532614
models/deepm_optionA_w1_sharpe.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:7c27659838642f8d9c27f388caef8ec954b6e26161dca3797dc0e7b959378ed0
3
  size 532766
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:065cd456413e084aa6b0434af731b0d32c8b948752891679b967dfa56f66c85d
3
  size 532766
models/deepm_optionA_w2_evar.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:39695d3c2635717b81204561a661d82edc5b8d842ea297f7161f2bbf48a83602
3
  size 532614
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:89df74eec69232f21ea527bded7d99997dd771bf4249c78fd81985adafa5d00c
3
  size 532614
models/deepm_optionA_w2_sharpe.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:871b8923745243bff991a57bcc45bb1af5c1d5e5506b9ea224c384689e448aa0
3
  size 532766
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:15cf2154e36636e961ce84814cd1d579e4ab8b1523581a5e42fcb1b021be818b
3
  size 532766
models/deepm_optionA_w3_evar.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:72f5ad1c366ffeb8282c8c78cdff2f572026629256abe692a61a32561defd15a
3
  size 532614
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:f247c436bc65113ab978fb1b234b0dd1975e971f012cabe8e87fcb9be100c626
3
  size 532614
models/deepm_optionA_w3_sharpe.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:1a2fdbb4588b1209c079b3579235bc6b65780ea97551552d257b21faeb5388fd
3
  size 532766
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:045b8c79e0c42cbf6637c687a3c60f53c4d1b61e8758eb25f0dd0d83382da421
3
  size 532766
models/deepm_optionA_w4_evar.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:2c739d4d1b44e85c784bf36adafab74251f6ffe2b3d2efe75f4916b66c1ed7df
3
  size 532614
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:58aeb595a27b4126df19536d56e78be8cdea05d17ae3c1b71aba310d49330d2c
3
  size 532614
models/deepm_optionA_w4_sharpe.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:8b79a7ea13737019a0260c7c17cfbecb8bc4ae9067a361dcffb3abaf5b218598
3
  size 532766
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:21dafce9ed974386c473f2d83f86161c91fe4a9d132fb3bc80c4073d5ed381f6
3
  size 532766
models/deepm_optionA_w5_evar.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:eea7e52a20f6c224b7139fa49eebd7283bb9577511e7fe734f238d581be4857e
3
  size 532614
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:507aa53bbe1a3a2bc207f8860b829801f32575f1cbaa58dae8c7a3095f029a05
3
  size 532614
models/deepm_optionA_w5_sharpe.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:1f6a2ea42e5d1c3b2c1017d089faa51901ca4089a09b1ad27a87f5dd70f44907
3
  size 532766
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:7924cbe78b6d8219765c331c34f56f4ab1619685fc0553eaa95af4937d83f1db
3
  size 532766
models/deepm_optionA_w6_evar.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:35ff58e2e2ea551a54255dcaa12650f74f091e5916fdde80d456302dfec12aef
3
  size 532614
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:5b79afa1c1bd4e74de4dd2acaa9d041ef6152b5c62b7a82c8e673ab0a89bd4e4
3
  size 532614
models/deepm_optionA_w6_sharpe.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:23aeff2e72c5bb6fd20c2c55aa349bc73443c1d6378b9f1c41d00c3044bcda3e
3
  size 532766
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:f0266cf27078ce25cf861dc1f9f9751b42bb02cdc5b054423fd839e203e15e27
3
  size 532766
models/deepm_optionA_w7_evar.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:d71fbeaddafd1b7ff09882dcd0c92d8737188d97d06cdd5a0f1263b69e3507d8
3
  size 532614
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:c5e6abde401686ad0d2c32955a25be71e4d6b976f2ae9458f0181d5a01547b91
3
  size 532614
models/deepm_optionA_w7_sharpe.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:96ca8d8a62cc5bb6ee14b4f088d8615b3c8552aa3410b2554a0d9e696b35f4c6
3
  size 532766
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:870133579361a94a56a0bdfc4a1b292059b24f8baeab007c879c5eb066a9ab59
3
  size 532766
models/deepm_optionA_w8_evar.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:e4078e86570ce56239a05f635beee8904901cbaad0b10b41b3c892461b9597df
3
  size 532614
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:cc93c222588ec1c8712845b1e98a7ccd361d9b22182265700fb53ab138a9c510
3
  size 532614
models/deepm_optionA_w8_sharpe.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:25e0a3c4b37bfe7f54a383526f44dcb71c4d4bcedf5c8178bc736cc2a5fdddd2
3
  size 532766
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:915396ca09678698eb3e220a5dc5a11fb3a23143181afd984796a9c053cf7dbb
3
  size 532766
models/deepm_optionA_window_best.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:871b8923745243bff991a57bcc45bb1af5c1d5e5506b9ea224c384689e448aa0
3
  size 532766
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:870133579361a94a56a0bdfc4a1b292059b24f8baeab007c879c5eb066a9ab59
3
  size 532766
models/deepm_optionB_best.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:ee498a3d558f6b657e73c2e9c3003e2986017fa52fe955960e8223e9c03605b0
3
  size 539126
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:3eef51cc901a2a45472bc3a4c6df9e935efe667571db8e8c9143a4265329ed64
3
  size 539126
models/deepm_optionB_evar_best.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:871999b399fa6dfade917d7e346e30f4bb24cb0ff6fa6528a151d8b03fe27f70
3
  size 539038
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:21e4be1e2aa058164e0655be42efce30bb51143a408b6ede5df03c16a7d07bba
3
  size 539038
models/deepm_optionB_sharpe_best.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:ee498a3d558f6b657e73c2e9c3003e2986017fa52fe955960e8223e9c03605b0
3
  size 539126
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:3eef51cc901a2a45472bc3a4c6df9e935efe667571db8e8c9143a4265329ed64
3
  size 539126
models/deepm_optionB_w1_evar.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:90760b729599a834679929410b6e1b4682bbb2b8b90d54f4ad97bb420207b431
3
  size 538886
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:e242004f57010380e77883086dc7f1ca3aeea32643cfbb358c101c7ed59ae097
3
  size 538886
models/deepm_optionB_w1_sharpe.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:dfd08b8d4f21269149b82bf5141cc22ffbecded91be7beb577572c6d4ecef00a
3
  size 539038
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:b67b03cfcfccb12403162c8c7599c64ff4b27c05c29fdca7568322458b5ea97c
3
  size 539038
models/deepm_optionB_w2_evar.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:773fa08b2cd6731dcdead50786ea77e2d9ca3187996d8cb94ebc77de9caf7fbb
3
  size 538886
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:98ebce9f909056514da67e0e8fd4f87e11691694c94de9fb36348e24ff3e9dc4
3
  size 538886
models/deepm_optionB_w2_sharpe.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:c37f420414be6f4aefa55799208df03015fa53e8dc35f50bee3af62a13148d07
3
  size 539038
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:30d32dc2112fffe322986e157ff94e44500bde4ef276b06881d01972e16af6df
3
  size 539038
models/deepm_optionB_w3_evar.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:6c965e9c87552982b7171e239bf211737f2889a211e967330006cd571c6e8af4
3
  size 538886
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:973a36313c665f5c200d7ea98a5afdbf0162ae81701c95d7961940f55ded326b
3
  size 538886
models/deepm_optionB_w3_sharpe.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:5fe825953d9628005189d4b6cbd2c3b0e5ef64340ca9eab625f3ce33280ad074
3
  size 539038
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:b728f2b5d3f08605ff261dfb35b74d4f9eff98ce5499e0c8261984064b05c782
3
  size 539038
models/deepm_optionB_w4_evar.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:7ac14f69ddb4e63a8c24c74db423640a8a1dd510818c2799ab2cfedc970c879a
3
  size 538886
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:01e644e67c77ed5866de68e8ccc7e043d0ea08b7a02e3fac3b3ae1c612644695
3
  size 538886
models/deepm_optionB_w4_sharpe.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:b01f56f58f02bd3dbd83fd2397f40ec9a437b537671338429b7c03c75e1793ee
3
  size 539038
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:32c491048079bddc8652789b673fb064c6d4622f46e87edf4a1adb376ea26346
3
  size 539038
models/deepm_optionB_w5_evar.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:7483e0c5f8c4c675b3835eb00ad5cc962cd29444479f3a67cc1f43c4f338a1e0
3
  size 538886
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:0d44a9ae45a3897bd13e0e3beb6a8373e28a551a1dbe60764220aaef5437fac9
3
  size 538886
models/deepm_optionB_w5_sharpe.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:c67eac9eb384d58056d6f6acc1d5214c7446be51fb2eec15d29ee7c777186140
3
  size 539038
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:4941e28bd9f46ab7d4d3e1ff1aacf8104132c4556d94f4023d6e24404f12f16f
3
  size 539038
models/deepm_optionB_w6_evar.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:ad727940cfdface6f9dc3cf093b31c52e6f601dc5300f315e4b01bf9b4e19a1f
3
  size 538886
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:2d0404a2382d7877c55f0c330fd4f07bb23ed4b3b7e2be8276a88f4978a58a5e
3
  size 538886
models/deepm_optionB_w6_sharpe.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:37d57ecfebb522a756a17c94d35a003386bbd17540cfe6cd7676afc1e4c17ed7
3
  size 539038
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:08115ee465b6d33fb948d115e514dd148907146a02063cedd0abf93ecaa4f2cf
3
  size 539038
models/deepm_optionB_w7_evar.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:129a888be5621f080257f53685793937940e3e8b66543edc5e3294afe2751080
3
  size 538886
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:48479a9f59bcae5902940517c3543ee4cfeeb4484c4eef0cd9965d115fa1e373
3
  size 538886
models/deepm_optionB_w7_sharpe.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:a6abf94047b58a661c949f37b3a22837e3eb7b03132115c87027411faea481d2
3
  size 539038
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:3a02fc4ef25c0f75d14c3a0dc755139223c2280d6319c1f269d8d73a124955bc
3
  size 539038
models/deepm_optionB_w8_evar.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:f8436cfd04b93f757e889b91d341ae64c5b1a9c40590cb8073556ca3f16cb478
3
  size 538886
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:0cb97d415b470716c2895c5c5e0a482ea979b962bd318ee374fa4cbde3ae4f02
3
  size 538886
models/deepm_optionB_w8_sharpe.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:d535fa7a8dca9fd7e8f895c2ca1d92f44012ada0ce8e2b0f2c855735cee67778
3
  size 539038
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:8ff92681fc136a6bd8d1dce6c02373b9bc278d24137828609b1814b3b2e222a6
3
  size 539038
models/deepm_optionB_window_best.pt CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:b01f56f58f02bd3dbd83fd2397f40ec9a437b537671338429b7c03c75e1793ee
3
  size 539038
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:32c491048079bddc8652789b673fb064c6d4622f46e87edf4a1adb376ea26346
3
  size 539038
models/meta_optionA.json CHANGED
@@ -1,7 +1,7 @@
1
  {
2
  "option": "A",
3
- "trained_at": "2026-05-14T04:17:40.113314",
4
- "elapsed_sec": 169.5,
5
  "n_params": 129616,
6
  "n_assets": 8,
7
  "tickers": [
@@ -19,125 +19,165 @@
19
  "n_macro_feats": 19,
20
  "lookback": 60,
21
  "loss_fn": "sharpe",
22
- "best_val_loss": -0.607863,
23
- "best_val_sharpe": 0.3888,
24
- "best_val_ann_return": 0.0598,
25
- "test_loss": -1.814144,
26
- "test_sharpe": 1.3682,
27
- "test_ann_return": 0.1507,
28
  "splits": {
29
- "n_train": 3191,
30
- "n_val": 683,
31
- "n_test": 685,
32
  "train_start": "2008-04-01",
33
- "train_end": "2020-11-30",
34
- "val_end": "2023-08-18",
35
- "test_end": "2026-05-13"
36
  },
37
  "history": {
38
  "train_loss": [
39
- -0.908518,
40
- -1.462074,
41
- -1.712673,
42
- -1.835654,
43
- -2.049021,
44
- -1.951806,
45
- -1.791056,
46
- -1.928791,
47
- -1.974592,
48
- -1.983933,
49
- -2.223267,
50
- -2.151219,
51
- -2.468535,
52
- -2.704363,
53
- -2.76802,
54
- -2.780978,
55
- -2.718706,
56
- -2.955618,
57
- -3.250266,
58
- -3.26209,
59
- -3.358576,
60
- -3.498126,
61
- -3.766483,
62
- -3.69438
 
 
 
 
 
 
 
 
 
 
63
  ],
64
  "val_loss": [
65
- 0.245896,
66
- 0.053048,
67
- -0.362814,
68
- 0.219532,
69
- 0.018221,
70
- -0.150267,
71
- -0.513037,
72
- -0.38718,
73
- -0.607863,
74
- -0.183587,
75
- 0.088329,
76
- -0.198457,
77
- -0.243801,
78
- -0.277209,
79
- 0.053786,
80
- -0.211203,
81
- -0.047773,
82
- -0.047494,
83
- 0.072982,
84
- 0.081893,
85
- 0.220846,
86
- 0.318994,
87
- 0.297643,
88
- 0.158642
 
 
 
 
 
 
 
 
 
 
89
  ],
90
  "val_sharpe": [
91
- -0.3275,
92
- -0.2872,
93
- 0.0501,
94
- -0.3312,
95
- -0.2611,
96
- -0.1206,
97
- 0.2447,
98
- 0.1912,
99
- 0.3888,
100
- 0.0412,
101
- -0.1591,
102
- -0.0566,
103
- 0.0269,
104
- 0.053,
105
- -0.2452,
106
- 0.0867,
107
- 0.0011,
108
- -0.0951,
109
- -0.2373,
110
- -0.1933,
111
- -0.3356,
112
- -0.4401,
113
- -0.482,
114
- -0.2822
 
 
 
 
 
 
 
 
 
 
115
  ],
116
  "val_ann_return": [
117
- -0.0304,
118
- -0.0286,
119
- 0.0063,
120
- -0.035,
121
- -0.0291,
122
- -0.0145,
123
- 0.0334,
124
- 0.0246,
125
- 0.0598,
126
- 0.0047,
127
- -0.0169,
128
- -0.0076,
129
- 0.0035,
130
- 0.0077,
131
- -0.032,
132
- 0.0126,
133
- 0.0002,
134
- -0.0133,
135
- -0.0316,
136
- -0.0261,
137
- -0.0437,
138
- -0.0562,
139
- -0.0616,
140
- -0.0396
 
 
 
 
 
 
 
 
 
 
141
  ]
142
  },
143
  "config": {
 
1
  {
2
  "option": "A",
3
+ "trained_at": "2026-05-15T04:23:01.469973",
4
+ "elapsed_sec": 239.3,
5
  "n_params": 129616,
6
  "n_assets": 8,
7
  "tickers": [
 
19
  "n_macro_feats": 19,
20
  "lookback": 60,
21
  "loss_fn": "sharpe",
22
+ "best_val_loss": -0.194933,
23
+ "best_val_sharpe": 0.1509,
24
+ "best_val_ann_return": 0.0208,
25
+ "test_loss": -1.636816,
26
+ "test_sharpe": 1.7363,
27
+ "test_ann_return": 0.2188,
28
  "splits": {
29
+ "n_train": 3192,
30
+ "n_val": 684,
31
+ "n_test": 684,
32
  "train_start": "2008-04-01",
33
+ "train_end": "2020-12-01",
34
+ "val_end": "2023-08-22",
35
+ "test_end": "2026-05-14"
36
  },
37
  "history": {
38
  "train_loss": [
39
+ -1.044152,
40
+ -1.455117,
41
+ -1.554737,
42
+ -1.713494,
43
+ -1.783017,
44
+ -1.738215,
45
+ -1.92438,
46
+ -2.001883,
47
+ -2.050924,
48
+ -1.896724,
49
+ -2.113344,
50
+ -2.412755,
51
+ -2.48168,
52
+ -2.371606,
53
+ -2.675885,
54
+ -3.100071,
55
+ -3.237284,
56
+ -3.195938,
57
+ -3.339265,
58
+ -3.221176,
59
+ -3.448662,
60
+ -3.447101,
61
+ -3.415682,
62
+ -3.660204,
63
+ -3.916356,
64
+ -3.941073,
65
+ -4.114644,
66
+ -4.236738,
67
+ -4.149826,
68
+ -4.217768,
69
+ -4.373731,
70
+ -4.286546,
71
+ -4.608182,
72
+ -4.454493
73
  ],
74
  "val_loss": [
75
+ 0.369156,
76
+ 0.352669,
77
+ 0.315924,
78
+ 0.332231,
79
+ 0.406231,
80
+ 0.312961,
81
+ 0.412938,
82
+ -0.172444,
83
+ -0.037614,
84
+ 0.291075,
85
+ 0.312473,
86
+ -0.059231,
87
+ 0.168331,
88
+ -0.069204,
89
+ 0.015897,
90
+ 0.052611,
91
+ -0.096156,
92
+ -0.150298,
93
+ -0.194933,
94
+ 0.143509,
95
+ -0.030417,
96
+ -0.107336,
97
+ -0.08807,
98
+ -0.169722,
99
+ -0.118439,
100
+ -0.16037,
101
+ -0.160438,
102
+ -0.219547,
103
+ -0.194136,
104
+ -0.173582,
105
+ -0.177549,
106
+ -0.175528,
107
+ -0.208032,
108
+ -0.131312
109
  ],
110
  "val_sharpe": [
111
+ -0.4111,
112
+ -0.4037,
113
+ -0.3499,
114
+ -0.2565,
115
+ -0.3982,
116
+ -0.3093,
117
+ -0.3645,
118
+ 0.0692,
119
+ -0.0664,
120
+ -0.3768,
121
+ -0.2762,
122
+ -0.0171,
123
+ -0.0949,
124
+ -0.0537,
125
+ -0.0926,
126
+ -0.1058,
127
+ 0.0008,
128
+ 0.0349,
129
+ 0.1509,
130
+ -0.2234,
131
+ -0.0961,
132
+ -0.0124,
133
+ 0.0173,
134
+ 0.0464,
135
+ -0.0241,
136
+ -0.0037,
137
+ 0.0378,
138
+ 0.0981,
139
+ 0.0869,
140
+ 0.0428,
141
+ 0.0391,
142
+ 0.0224,
143
+ 0.0561,
144
+ 0.0109
145
  ],
146
  "val_ann_return": [
147
+ -0.0375,
148
+ -0.0377,
149
+ -0.0333,
150
+ -0.0257,
151
+ -0.0389,
152
+ -0.0311,
153
+ -0.0382,
154
+ 0.0103,
155
+ -0.0093,
156
+ -0.0577,
157
+ -0.0315,
158
+ -0.0026,
159
+ -0.0101,
160
+ -0.0073,
161
+ -0.0122,
162
+ -0.0139,
163
+ 0.0001,
164
+ 0.0049,
165
+ 0.0208,
166
+ -0.0307,
167
+ -0.0138,
168
+ -0.0017,
169
+ 0.0025,
170
+ 0.0065,
171
+ -0.0036,
172
+ -0.0005,
173
+ 0.0053,
174
+ 0.014,
175
+ 0.0122,
176
+ 0.0062,
177
+ 0.0056,
178
+ 0.0032,
179
+ 0.0079,
180
+ 0.0016
181
  ]
182
  },
183
  "config": {
models/meta_optionA_window.json CHANGED
@@ -1,14 +1,14 @@
1
  {
2
  "option": "A",
3
- "trained_at": "2026-05-14T05:06:03.311046",
4
- "elapsed_sec": 1916.4,
5
  "n_windows": 8,
6
- "winning_window": 2,
7
- "winning_train_start": "2010-01-01",
8
  "winning_train_end": "2024-12-31",
9
  "winning_loss": "sharpe",
10
- "oos_ann_return": 0.4206,
11
- "oos_sharpe": 2.0638,
12
  "all_windows": [
13
  {
14
  "window_id": 1,
@@ -17,9 +17,9 @@
17
  "oos_start": "2025-01-01",
18
  "loss_fn": "evar",
19
  "n_train": 4218,
20
- "n_oos": 341,
21
- "oos_ann_return": 0.0916,
22
- "oos_sharpe": 1.7798,
23
  "model_path": "models/deepm_optionA_w1_evar.pt"
24
  },
25
  {
@@ -29,9 +29,9 @@
29
  "oos_start": "2025-01-01",
30
  "loss_fn": "sharpe",
31
  "n_train": 4218,
32
- "n_oos": 341,
33
- "oos_ann_return": 0.2968,
34
- "oos_sharpe": 2.3484,
35
  "model_path": "models/deepm_optionA_w1_sharpe.pt"
36
  },
37
  {
@@ -41,9 +41,9 @@
41
  "oos_start": "2025-01-01",
42
  "loss_fn": "evar",
43
  "n_train": 3774,
44
- "n_oos": 341,
45
- "oos_ann_return": 0.0666,
46
- "oos_sharpe": 1.4077,
47
  "model_path": "models/deepm_optionA_w2_evar.pt"
48
  },
49
  {
@@ -53,9 +53,9 @@
53
  "oos_start": "2025-01-01",
54
  "loss_fn": "sharpe",
55
  "n_train": 3774,
56
- "n_oos": 341,
57
- "oos_ann_return": 0.4206,
58
- "oos_sharpe": 2.0638,
59
  "model_path": "models/deepm_optionA_w2_sharpe.pt"
60
  },
61
  {
@@ -65,9 +65,9 @@
65
  "oos_start": "2025-01-01",
66
  "loss_fn": "evar",
67
  "n_train": 3270,
68
- "n_oos": 341,
69
- "oos_ann_return": 0.0786,
70
- "oos_sharpe": 1.5791,
71
  "model_path": "models/deepm_optionA_w3_evar.pt"
72
  },
73
  {
@@ -77,9 +77,9 @@
77
  "oos_start": "2025-01-01",
78
  "loss_fn": "sharpe",
79
  "n_train": 3270,
80
- "n_oos": 341,
81
- "oos_ann_return": 0.2592,
82
- "oos_sharpe": 2.1052,
83
  "model_path": "models/deepm_optionA_w3_sharpe.pt"
84
  },
85
  {
@@ -89,9 +89,9 @@
89
  "oos_start": "2025-01-01",
90
  "loss_fn": "evar",
91
  "n_train": 2768,
92
- "n_oos": 341,
93
- "oos_ann_return": 0.0804,
94
- "oos_sharpe": 1.7347,
95
  "model_path": "models/deepm_optionA_w4_evar.pt"
96
  },
97
  {
@@ -101,9 +101,9 @@
101
  "oos_start": "2025-01-01",
102
  "loss_fn": "sharpe",
103
  "n_train": 2768,
104
- "n_oos": 341,
105
- "oos_ann_return": 0.2226,
106
- "oos_sharpe": 1.5337,
107
  "model_path": "models/deepm_optionA_w4_sharpe.pt"
108
  },
109
  {
@@ -113,9 +113,9 @@
113
  "oos_start": "2025-01-01",
114
  "loss_fn": "evar",
115
  "n_train": 2264,
116
- "n_oos": 341,
117
- "oos_ann_return": 0.0686,
118
- "oos_sharpe": 1.5081,
119
  "model_path": "models/deepm_optionA_w5_evar.pt"
120
  },
121
  {
@@ -125,9 +125,9 @@
125
  "oos_start": "2025-01-01",
126
  "loss_fn": "sharpe",
127
  "n_train": 2264,
128
- "n_oos": 341,
129
- "oos_ann_return": 0.1921,
130
- "oos_sharpe": 2.1483,
131
  "model_path": "models/deepm_optionA_w5_sharpe.pt"
132
  },
133
  {
@@ -137,9 +137,9 @@
137
  "oos_start": "2025-01-01",
138
  "loss_fn": "evar",
139
  "n_train": 1761,
140
- "n_oos": 341,
141
- "oos_ann_return": 0.0798,
142
- "oos_sharpe": 1.4822,
143
  "model_path": "models/deepm_optionA_w6_evar.pt"
144
  },
145
  {
@@ -149,9 +149,9 @@
149
  "oos_start": "2025-01-01",
150
  "loss_fn": "sharpe",
151
  "n_train": 1761,
152
- "n_oos": 341,
153
- "oos_ann_return": 0.3378,
154
- "oos_sharpe": 2.3356,
155
  "model_path": "models/deepm_optionA_w6_sharpe.pt"
156
  },
157
  {
@@ -161,9 +161,9 @@
161
  "oos_start": "2025-01-01",
162
  "loss_fn": "evar",
163
  "n_train": 1258,
164
- "n_oos": 341,
165
- "oos_ann_return": 0.1547,
166
- "oos_sharpe": 1.9624,
167
  "model_path": "models/deepm_optionA_w7_evar.pt"
168
  },
169
  {
@@ -173,9 +173,9 @@
173
  "oos_start": "2025-01-01",
174
  "loss_fn": "sharpe",
175
  "n_train": 1258,
176
- "n_oos": 341,
177
- "oos_ann_return": 0.2062,
178
- "oos_sharpe": 1.9947,
179
  "model_path": "models/deepm_optionA_w7_sharpe.pt"
180
  },
181
  {
@@ -185,9 +185,9 @@
185
  "oos_start": "2025-01-01",
186
  "loss_fn": "evar",
187
  "n_train": 753,
188
- "n_oos": 341,
189
- "oos_ann_return": 0.2104,
190
- "oos_sharpe": 2.0477,
191
  "model_path": "models/deepm_optionA_w8_evar.pt"
192
  },
193
  {
@@ -197,9 +197,9 @@
197
  "oos_start": "2025-01-01",
198
  "loss_fn": "sharpe",
199
  "n_train": 753,
200
- "n_oos": 341,
201
- "oos_ann_return": 0.3802,
202
- "oos_sharpe": 1.9385,
203
  "model_path": "models/deepm_optionA_w8_sharpe.pt"
204
  }
205
  ],
 
1
  {
2
  "option": "A",
3
+ "trained_at": "2026-05-15T05:07:36.529641",
4
+ "elapsed_sec": 2011.3,
5
  "n_windows": 8,
6
+ "winning_window": 7,
7
+ "winning_train_start": "2020-01-01",
8
  "winning_train_end": "2024-12-31",
9
  "winning_loss": "sharpe",
10
+ "oos_ann_return": 0.524,
11
+ "oos_sharpe": 2.3193,
12
  "all_windows": [
13
  {
14
  "window_id": 1,
 
17
  "oos_start": "2025-01-01",
18
  "loss_fn": "evar",
19
  "n_train": 4218,
20
+ "n_oos": 342,
21
+ "oos_ann_return": 0.068,
22
+ "oos_sharpe": 1.3228,
23
  "model_path": "models/deepm_optionA_w1_evar.pt"
24
  },
25
  {
 
29
  "oos_start": "2025-01-01",
30
  "loss_fn": "sharpe",
31
  "n_train": 4218,
32
+ "n_oos": 342,
33
+ "oos_ann_return": 0.3793,
34
+ "oos_sharpe": 2.655,
35
  "model_path": "models/deepm_optionA_w1_sharpe.pt"
36
  },
37
  {
 
41
  "oos_start": "2025-01-01",
42
  "loss_fn": "evar",
43
  "n_train": 3774,
44
+ "n_oos": 342,
45
+ "oos_ann_return": 0.0634,
46
+ "oos_sharpe": 1.2764,
47
  "model_path": "models/deepm_optionA_w2_evar.pt"
48
  },
49
  {
 
53
  "oos_start": "2025-01-01",
54
  "loss_fn": "sharpe",
55
  "n_train": 3774,
56
+ "n_oos": 342,
57
+ "oos_ann_return": 0.3777,
58
+ "oos_sharpe": 1.8584,
59
  "model_path": "models/deepm_optionA_w2_sharpe.pt"
60
  },
61
  {
 
65
  "oos_start": "2025-01-01",
66
  "loss_fn": "evar",
67
  "n_train": 3270,
68
+ "n_oos": 342,
69
+ "oos_ann_return": 0.0751,
70
+ "oos_sharpe": 1.6697,
71
  "model_path": "models/deepm_optionA_w3_evar.pt"
72
  },
73
  {
 
77
  "oos_start": "2025-01-01",
78
  "loss_fn": "sharpe",
79
  "n_train": 3270,
80
+ "n_oos": 342,
81
+ "oos_ann_return": 0.1685,
82
+ "oos_sharpe": 1.9629,
83
  "model_path": "models/deepm_optionA_w3_sharpe.pt"
84
  },
85
  {
 
89
  "oos_start": "2025-01-01",
90
  "loss_fn": "evar",
91
  "n_train": 2768,
92
+ "n_oos": 342,
93
+ "oos_ann_return": 0.0685,
94
+ "oos_sharpe": 1.4462,
95
  "model_path": "models/deepm_optionA_w4_evar.pt"
96
  },
97
  {
 
101
  "oos_start": "2025-01-01",
102
  "loss_fn": "sharpe",
103
  "n_train": 2768,
104
+ "n_oos": 342,
105
+ "oos_ann_return": 0.2231,
106
+ "oos_sharpe": 1.504,
107
  "model_path": "models/deepm_optionA_w4_sharpe.pt"
108
  },
109
  {
 
113
  "oos_start": "2025-01-01",
114
  "loss_fn": "evar",
115
  "n_train": 2264,
116
+ "n_oos": 342,
117
+ "oos_ann_return": 0.0676,
118
+ "oos_sharpe": 1.5307,
119
  "model_path": "models/deepm_optionA_w5_evar.pt"
120
  },
121
  {
 
125
  "oos_start": "2025-01-01",
126
  "loss_fn": "sharpe",
127
  "n_train": 2264,
128
+ "n_oos": 342,
129
+ "oos_ann_return": 0.1794,
130
+ "oos_sharpe": 1.9311,
131
  "model_path": "models/deepm_optionA_w5_sharpe.pt"
132
  },
133
  {
 
137
  "oos_start": "2025-01-01",
138
  "loss_fn": "evar",
139
  "n_train": 1761,
140
+ "n_oos": 342,
141
+ "oos_ann_return": 0.076,
142
+ "oos_sharpe": 1.4967,
143
  "model_path": "models/deepm_optionA_w6_evar.pt"
144
  },
145
  {
 
149
  "oos_start": "2025-01-01",
150
  "loss_fn": "sharpe",
151
  "n_train": 1761,
152
+ "n_oos": 342,
153
+ "oos_ann_return": 0.2506,
154
+ "oos_sharpe": 1.9963,
155
  "model_path": "models/deepm_optionA_w6_sharpe.pt"
156
  },
157
  {
 
161
  "oos_start": "2025-01-01",
162
  "loss_fn": "evar",
163
  "n_train": 1258,
164
+ "n_oos": 342,
165
+ "oos_ann_return": 0.1496,
166
+ "oos_sharpe": 1.9238,
167
  "model_path": "models/deepm_optionA_w7_evar.pt"
168
  },
169
  {
 
173
  "oos_start": "2025-01-01",
174
  "loss_fn": "sharpe",
175
  "n_train": 1258,
176
+ "n_oos": 342,
177
+ "oos_ann_return": 0.524,
178
+ "oos_sharpe": 2.3193,
179
  "model_path": "models/deepm_optionA_w7_sharpe.pt"
180
  },
181
  {
 
185
  "oos_start": "2025-01-01",
186
  "loss_fn": "evar",
187
  "n_train": 753,
188
+ "n_oos": 342,
189
+ "oos_ann_return": 0.1909,
190
+ "oos_sharpe": 1.9914,
191
  "model_path": "models/deepm_optionA_w8_evar.pt"
192
  },
193
  {
 
197
  "oos_start": "2025-01-01",
198
  "loss_fn": "sharpe",
199
  "n_train": 753,
200
+ "n_oos": 342,
201
+ "oos_ann_return": 0.3799,
202
+ "oos_sharpe": 2.1803,
203
  "model_path": "models/deepm_optionA_w8_sharpe.pt"
204
  }
205
  ],
models/meta_optionB.json CHANGED
@@ -1,7 +1,7 @@
1
  {
2
  "option": "B",
3
- "trained_at": "2026-05-14T04:34:04.345163",
4
- "elapsed_sec": 308.2,
5
  "n_params": 131176,
6
  "n_assets": 20,
7
  "tickers": [
@@ -31,105 +31,93 @@
31
  "n_macro_feats": 19,
32
  "lookback": 60,
33
  "loss_fn": "sharpe",
34
- "best_val_loss": -0.912583,
35
- "best_val_sharpe": 0.7386,
36
- "best_val_ann_return": 0.151,
37
- "test_loss": -1.991138,
38
- "test_sharpe": 1.8218,
39
- "test_ann_return": 0.2722,
40
  "splits": {
41
- "n_train": 3191,
42
- "n_val": 683,
43
- "n_test": 685,
44
  "train_start": "2008-04-01",
45
- "train_end": "2020-11-30",
46
- "val_end": "2023-08-18",
47
- "test_end": "2026-05-13"
48
  },
49
  "history": {
50
  "train_loss": [
51
- -1.026769,
52
- -1.205647,
53
- -1.263248,
54
- -1.346557,
55
- -1.345735,
56
- -1.45272,
57
- -1.438895,
58
- -1.611173,
59
- -1.60512,
60
- -1.619535,
61
- -1.800024,
62
- -1.795808,
63
- -1.910786,
64
- -2.025822,
65
- -2.085114,
66
- -2.073111,
67
- -2.29732,
68
- -2.325157,
69
- -2.445174
70
  ],
71
  "val_loss": [
72
- -0.60895,
73
- -0.737539,
74
- -0.682296,
75
- -0.912583,
76
- -0.818821,
77
- -0.880463,
78
- -0.716708,
79
- -0.702761,
80
- -0.572832,
81
- -0.372466,
82
- -0.439467,
83
- -0.350664,
84
- -0.327722,
85
- -0.256743,
86
- -0.263811,
87
- -0.320095,
88
- -0.20751,
89
- -0.165512,
90
- -0.217391
91
  ],
92
  "val_sharpe": [
93
- 0.4893,
94
- 0.4856,
95
- 0.4279,
96
- 0.7386,
97
- 0.4122,
98
- 0.4951,
99
- 0.4103,
100
- 0.3645,
101
- 0.3062,
102
- 0.0995,
103
- 0.223,
104
- 0.1564,
105
- 0.1031,
106
- 0.0875,
107
- 0.0993,
108
- 0.1225,
109
- 0.0756,
110
- 0.0466,
111
- 0.1096
112
  ],
113
  "val_ann_return": [
114
- 0.0896,
115
- 0.0866,
116
- 0.0738,
117
- 0.151,
118
- 0.0769,
119
- 0.0945,
120
- 0.0769,
121
- 0.0714,
122
- 0.062,
123
- 0.0204,
124
- 0.0449,
125
- 0.0333,
126
- 0.021,
127
- 0.0182,
128
- 0.0203,
129
- 0.0258,
130
- 0.0162,
131
- 0.0096,
132
- 0.0223
133
  ]
134
  },
135
  "config": {
 
1
  {
2
  "option": "B",
3
+ "trained_at": "2026-05-15T04:34:02.664163",
4
+ "elapsed_sec": 258.4,
5
  "n_params": 131176,
6
  "n_assets": 20,
7
  "tickers": [
 
31
  "n_macro_feats": 19,
32
  "lookback": 60,
33
  "loss_fn": "sharpe",
34
+ "best_val_loss": -0.66977,
35
+ "best_val_sharpe": 0.4652,
36
+ "best_val_ann_return": 0.0851,
37
+ "test_loss": -1.67021,
38
+ "test_sharpe": 1.4211,
39
+ "test_ann_return": 0.2179,
40
  "splits": {
41
+ "n_train": 3192,
42
+ "n_val": 684,
43
+ "n_test": 684,
44
  "train_start": "2008-04-01",
45
+ "train_end": "2020-12-01",
46
+ "val_end": "2023-08-22",
47
+ "test_end": "2026-05-14"
48
  },
49
  "history": {
50
  "train_loss": [
51
+ -1.065686,
52
+ -1.262035,
53
+ -1.325541,
54
+ -1.3525,
55
+ -1.3867,
56
+ -1.430412,
57
+ -1.598492,
58
+ -1.61946,
59
+ -1.585051,
60
+ -1.768159,
61
+ -1.9284,
62
+ -2.079005,
63
+ -2.067968,
64
+ -2.043298,
65
+ -2.189269,
66
+ -2.284474
 
 
 
67
  ],
68
  "val_loss": [
69
+ -0.66977,
70
+ -0.711745,
71
+ -0.630565,
72
+ -0.78858,
73
+ -0.530368,
74
+ -0.500752,
75
+ -0.546056,
76
+ -0.499627,
77
+ -0.481774,
78
+ -0.440908,
79
+ -0.505927,
80
+ -0.472592,
81
+ -0.468809,
82
+ -0.530618,
83
+ -0.584896,
84
+ -0.418126
 
 
 
85
  ],
86
  "val_sharpe": [
87
+ 0.4652,
88
+ 0.468,
89
+ 0.3189,
90
+ 0.4255,
91
+ 0.1836,
92
+ 0.2319,
93
+ 0.2051,
94
+ 0.153,
95
+ 0.1504,
96
+ 0.1544,
97
+ 0.199,
98
+ 0.2285,
99
+ 0.1994,
100
+ 0.2427,
101
+ 0.3025,
102
+ 0.1066
 
 
 
103
  ],
104
  "val_ann_return": [
105
+ 0.0851,
106
+ 0.0849,
107
+ 0.0579,
108
+ 0.0836,
109
+ 0.0344,
110
+ 0.0446,
111
+ 0.0418,
112
+ 0.03,
113
+ 0.0295,
114
+ 0.0317,
115
+ 0.0434,
116
+ 0.0499,
117
+ 0.0428,
118
+ 0.0537,
119
+ 0.0689,
120
+ 0.0238
 
 
 
121
  ]
122
  },
123
  "config": {
models/meta_optionB_window.json CHANGED
@@ -1,14 +1,14 @@
1
  {
2
  "option": "B",
3
- "trained_at": "2026-05-14T06:54:42.871393",
4
- "elapsed_sec": 6519.6,
5
  "n_windows": 8,
6
  "winning_window": 4,
7
  "winning_train_start": "2014-01-01",
8
  "winning_train_end": "2024-12-31",
9
  "winning_loss": "sharpe",
10
- "oos_ann_return": 0.5728,
11
- "oos_sharpe": 2.0102,
12
  "all_windows": [
13
  {
14
  "window_id": 1,
@@ -17,9 +17,9 @@
17
  "oos_start": "2025-01-01",
18
  "loss_fn": "evar",
19
  "n_train": 4218,
20
- "n_oos": 341,
21
- "oos_ann_return": 0.2624,
22
- "oos_sharpe": 1.5052,
23
  "model_path": "models/deepm_optionB_w1_evar.pt"
24
  },
25
  {
@@ -29,9 +29,9 @@
29
  "oos_start": "2025-01-01",
30
  "loss_fn": "sharpe",
31
  "n_train": 4218,
32
- "n_oos": 341,
33
- "oos_ann_return": 0.5549,
34
- "oos_sharpe": 1.9352,
35
  "model_path": "models/deepm_optionB_w1_sharpe.pt"
36
  },
37
  {
@@ -41,9 +41,9 @@
41
  "oos_start": "2025-01-01",
42
  "loss_fn": "evar",
43
  "n_train": 3774,
44
- "n_oos": 341,
45
- "oos_ann_return": 0.1627,
46
- "oos_sharpe": 1.2851,
47
  "model_path": "models/deepm_optionB_w2_evar.pt"
48
  },
49
  {
@@ -53,9 +53,9 @@
53
  "oos_start": "2025-01-01",
54
  "loss_fn": "sharpe",
55
  "n_train": 3774,
56
- "n_oos": 341,
57
- "oos_ann_return": 0.4062,
58
- "oos_sharpe": 1.7205,
59
  "model_path": "models/deepm_optionB_w2_sharpe.pt"
60
  },
61
  {
@@ -65,9 +65,9 @@
65
  "oos_start": "2025-01-01",
66
  "loss_fn": "evar",
67
  "n_train": 3270,
68
- "n_oos": 341,
69
- "oos_ann_return": 0.1647,
70
- "oos_sharpe": 1.3123,
71
  "model_path": "models/deepm_optionB_w3_evar.pt"
72
  },
73
  {
@@ -77,9 +77,9 @@
77
  "oos_start": "2025-01-01",
78
  "loss_fn": "sharpe",
79
  "n_train": 3270,
80
- "n_oos": 341,
81
- "oos_ann_return": 0.5542,
82
- "oos_sharpe": 2.1487,
83
  "model_path": "models/deepm_optionB_w3_sharpe.pt"
84
  },
85
  {
@@ -89,9 +89,9 @@
89
  "oos_start": "2025-01-01",
90
  "loss_fn": "evar",
91
  "n_train": 2768,
92
- "n_oos": 341,
93
- "oos_ann_return": 0.2431,
94
- "oos_sharpe": 1.7838,
95
  "model_path": "models/deepm_optionB_w4_evar.pt"
96
  },
97
  {
@@ -101,9 +101,9 @@
101
  "oos_start": "2025-01-01",
102
  "loss_fn": "sharpe",
103
  "n_train": 2768,
104
- "n_oos": 341,
105
- "oos_ann_return": 0.5728,
106
- "oos_sharpe": 2.0102,
107
  "model_path": "models/deepm_optionB_w4_sharpe.pt"
108
  },
109
  {
@@ -113,9 +113,9 @@
113
  "oos_start": "2025-01-01",
114
  "loss_fn": "evar",
115
  "n_train": 2264,
116
- "n_oos": 341,
117
- "oos_ann_return": 0.1928,
118
- "oos_sharpe": 1.4242,
119
  "model_path": "models/deepm_optionB_w5_evar.pt"
120
  },
121
  {
@@ -125,9 +125,9 @@
125
  "oos_start": "2025-01-01",
126
  "loss_fn": "sharpe",
127
  "n_train": 2264,
128
- "n_oos": 341,
129
- "oos_ann_return": 0.4975,
130
- "oos_sharpe": 1.7743,
131
  "model_path": "models/deepm_optionB_w5_sharpe.pt"
132
  },
133
  {
@@ -137,9 +137,9 @@
137
  "oos_start": "2025-01-01",
138
  "loss_fn": "evar",
139
  "n_train": 1761,
140
- "n_oos": 341,
141
- "oos_ann_return": 0.1856,
142
- "oos_sharpe": 1.4266,
143
  "model_path": "models/deepm_optionB_w6_evar.pt"
144
  },
145
  {
@@ -149,9 +149,9 @@
149
  "oos_start": "2025-01-01",
150
  "loss_fn": "sharpe",
151
  "n_train": 1761,
152
- "n_oos": 341,
153
- "oos_ann_return": 0.2629,
154
- "oos_sharpe": 1.5281,
155
  "model_path": "models/deepm_optionB_w6_sharpe.pt"
156
  },
157
  {
@@ -161,9 +161,9 @@
161
  "oos_start": "2025-01-01",
162
  "loss_fn": "evar",
163
  "n_train": 1258,
164
- "n_oos": 341,
165
- "oos_ann_return": 0.2431,
166
- "oos_sharpe": 1.5546,
167
  "model_path": "models/deepm_optionB_w7_evar.pt"
168
  },
169
  {
@@ -173,9 +173,9 @@
173
  "oos_start": "2025-01-01",
174
  "loss_fn": "sharpe",
175
  "n_train": 1258,
176
- "n_oos": 341,
177
- "oos_ann_return": 0.4338,
178
- "oos_sharpe": 2.1986,
179
  "model_path": "models/deepm_optionB_w7_sharpe.pt"
180
  },
181
  {
@@ -185,9 +185,9 @@
185
  "oos_start": "2025-01-01",
186
  "loss_fn": "evar",
187
  "n_train": 753,
188
- "n_oos": 341,
189
- "oos_ann_return": 0.2608,
190
- "oos_sharpe": 1.733,
191
  "model_path": "models/deepm_optionB_w8_evar.pt"
192
  },
193
  {
@@ -197,9 +197,9 @@
197
  "oos_start": "2025-01-01",
198
  "loss_fn": "sharpe",
199
  "n_train": 753,
200
- "n_oos": 341,
201
- "oos_ann_return": 0.3271,
202
- "oos_sharpe": 1.4513,
203
  "model_path": "models/deepm_optionB_w8_sharpe.pt"
204
  }
205
  ],
 
1
  {
2
  "option": "B",
3
+ "trained_at": "2026-05-15T06:48:50.191929",
4
+ "elapsed_sec": 6073.7,
5
  "n_windows": 8,
6
  "winning_window": 4,
7
  "winning_train_start": "2014-01-01",
8
  "winning_train_end": "2024-12-31",
9
  "winning_loss": "sharpe",
10
+ "oos_ann_return": 0.7849,
11
+ "oos_sharpe": 3.348,
12
  "all_windows": [
13
  {
14
  "window_id": 1,
 
17
  "oos_start": "2025-01-01",
18
  "loss_fn": "evar",
19
  "n_train": 4218,
20
+ "n_oos": 342,
21
+ "oos_ann_return": 0.2188,
22
+ "oos_sharpe": 1.5031,
23
  "model_path": "models/deepm_optionB_w1_evar.pt"
24
  },
25
  {
 
29
  "oos_start": "2025-01-01",
30
  "loss_fn": "sharpe",
31
  "n_train": 4218,
32
+ "n_oos": 342,
33
+ "oos_ann_return": 0.2852,
34
+ "oos_sharpe": 1.2477,
35
  "model_path": "models/deepm_optionB_w1_sharpe.pt"
36
  },
37
  {
 
41
  "oos_start": "2025-01-01",
42
  "loss_fn": "evar",
43
  "n_train": 3774,
44
+ "n_oos": 342,
45
+ "oos_ann_return": 0.0996,
46
+ "oos_sharpe": 0.6124,
47
  "model_path": "models/deepm_optionB_w2_evar.pt"
48
  },
49
  {
 
53
  "oos_start": "2025-01-01",
54
  "loss_fn": "sharpe",
55
  "n_train": 3774,
56
+ "n_oos": 342,
57
+ "oos_ann_return": 0.5731,
58
+ "oos_sharpe": 2.625,
59
  "model_path": "models/deepm_optionB_w2_sharpe.pt"
60
  },
61
  {
 
65
  "oos_start": "2025-01-01",
66
  "loss_fn": "evar",
67
  "n_train": 3270,
68
+ "n_oos": 342,
69
+ "oos_ann_return": 0.1903,
70
+ "oos_sharpe": 1.3831,
71
  "model_path": "models/deepm_optionB_w3_evar.pt"
72
  },
73
  {
 
77
  "oos_start": "2025-01-01",
78
  "loss_fn": "sharpe",
79
  "n_train": 3270,
80
+ "n_oos": 342,
81
+ "oos_ann_return": 0.4353,
82
+ "oos_sharpe": 1.4546,
83
  "model_path": "models/deepm_optionB_w3_sharpe.pt"
84
  },
85
  {
 
89
  "oos_start": "2025-01-01",
90
  "loss_fn": "evar",
91
  "n_train": 2768,
92
+ "n_oos": 342,
93
+ "oos_ann_return": 0.2084,
94
+ "oos_sharpe": 1.4968,
95
  "model_path": "models/deepm_optionB_w4_evar.pt"
96
  },
97
  {
 
101
  "oos_start": "2025-01-01",
102
  "loss_fn": "sharpe",
103
  "n_train": 2768,
104
+ "n_oos": 342,
105
+ "oos_ann_return": 0.7849,
106
+ "oos_sharpe": 3.348,
107
  "model_path": "models/deepm_optionB_w4_sharpe.pt"
108
  },
109
  {
 
113
  "oos_start": "2025-01-01",
114
  "loss_fn": "evar",
115
  "n_train": 2264,
116
+ "n_oos": 342,
117
+ "oos_ann_return": 0.2262,
118
+ "oos_sharpe": 1.7064,
119
  "model_path": "models/deepm_optionB_w5_evar.pt"
120
  },
121
  {
 
125
  "oos_start": "2025-01-01",
126
  "loss_fn": "sharpe",
127
  "n_train": 2264,
128
+ "n_oos": 342,
129
+ "oos_ann_return": 0.5002,
130
+ "oos_sharpe": 2.3761,
131
  "model_path": "models/deepm_optionB_w5_sharpe.pt"
132
  },
133
  {
 
137
  "oos_start": "2025-01-01",
138
  "loss_fn": "evar",
139
  "n_train": 1761,
140
+ "n_oos": 342,
141
+ "oos_ann_return": 0.1854,
142
+ "oos_sharpe": 1.331,
143
  "model_path": "models/deepm_optionB_w6_evar.pt"
144
  },
145
  {
 
149
  "oos_start": "2025-01-01",
150
  "loss_fn": "sharpe",
151
  "n_train": 1761,
152
+ "n_oos": 342,
153
+ "oos_ann_return": 0.405,
154
+ "oos_sharpe": 1.9595,
155
  "model_path": "models/deepm_optionB_w6_sharpe.pt"
156
  },
157
  {
 
161
  "oos_start": "2025-01-01",
162
  "loss_fn": "evar",
163
  "n_train": 1258,
164
+ "n_oos": 342,
165
+ "oos_ann_return": 0.2039,
166
+ "oos_sharpe": 1.4059,
167
  "model_path": "models/deepm_optionB_w7_evar.pt"
168
  },
169
  {
 
173
  "oos_start": "2025-01-01",
174
  "loss_fn": "sharpe",
175
  "n_train": 1258,
176
+ "n_oos": 342,
177
+ "oos_ann_return": 0.2777,
178
+ "oos_sharpe": 1.5791,
179
  "model_path": "models/deepm_optionB_w7_sharpe.pt"
180
  },
181
  {
 
185
  "oos_start": "2025-01-01",
186
  "loss_fn": "evar",
187
  "n_train": 753,
188
+ "n_oos": 342,
189
+ "oos_ann_return": 0.2564,
190
+ "oos_sharpe": 1.5352,
191
  "model_path": "models/deepm_optionB_w8_evar.pt"
192
  },
193
  {
 
197
  "oos_start": "2025-01-01",
198
  "loss_fn": "sharpe",
199
  "n_train": 753,
200
+ "n_oos": 342,
201
+ "oos_ann_return": 0.2792,
202
+ "oos_sharpe": 1.592,
203
  "model_path": "models/deepm_optionB_w8_sharpe.pt"
204
  }
205
  ],
models/scaler_optionA.pkl CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:c7639ad0152c5fc30b7cd4304fe911f87a127e61f0caafaff8c622445c0e9f9f
3
  size 941
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:8ff16ad29fc6622ed66d8d0f7dfab097b3f0ef574b744ab2eb74b61fd684cd05
3
  size 941
models/scaler_optionA_window.pkl CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:65f4da016339e294deba904a9b8fd861f24e60f75c726596f9aef508b2681e55
3
  size 941
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:22320543d4582486fde2ec668a14952e25db8fcfc303cdc539dd4ca2cb66716b
3
  size 941
models/scaler_optionB.pkl CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:bf28837cfe7139d90d423f4486de1ad7d701bd59e5c4e282ee20ee9d85fa5580
3
  size 941
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:1a90ade12fc5a1a339c8383aa0d596e66199022b4859b82b8edb9eb41a0b3913
3
  size 941
models/scaler_optionB_window.pkl CHANGED
@@ -1,3 +1,3 @@
1
  version https://git-lfs.github.com/spec/v1
2
- oid sha256:1df7016c945f9588fddf3ffc746fb02688d47bf408a03ea5bfbf9368a4f3175d
3
  size 941
 
1
  version https://git-lfs.github.com/spec/v1
2
+ oid sha256:9655c414ff2f3d96eaacb64c1af91c420942690edc1f085965455f690cd08405
3
  size 941