[auto] Update DeePM model weights and signals
Browse files- models/deepm_optionA_best.pt +1 -1
- models/deepm_optionA_evar_best.pt +1 -1
- models/deepm_optionA_sharpe_best.pt +1 -1
- models/deepm_optionA_w1_evar.pt +1 -1
- models/deepm_optionA_w1_sharpe.pt +1 -1
- models/deepm_optionA_w2_evar.pt +1 -1
- models/deepm_optionA_w2_sharpe.pt +1 -1
- models/deepm_optionA_w3_evar.pt +1 -1
- models/deepm_optionA_w3_sharpe.pt +1 -1
- models/deepm_optionA_w4_evar.pt +1 -1
- models/deepm_optionA_w4_sharpe.pt +1 -1
- models/deepm_optionA_w5_evar.pt +1 -1
- models/deepm_optionA_w5_sharpe.pt +1 -1
- models/deepm_optionA_w6_evar.pt +1 -1
- models/deepm_optionA_w6_sharpe.pt +1 -1
- models/deepm_optionA_w7_evar.pt +1 -1
- models/deepm_optionA_w7_sharpe.pt +1 -1
- models/deepm_optionA_w8_evar.pt +1 -1
- models/deepm_optionA_w8_sharpe.pt +1 -1
- models/deepm_optionA_window_best.pt +1 -1
- models/deepm_optionB_best.pt +1 -1
- models/deepm_optionB_evar_best.pt +1 -1
- models/deepm_optionB_sharpe_best.pt +1 -1
- models/deepm_optionB_w1_evar.pt +1 -1
- models/deepm_optionB_w1_sharpe.pt +1 -1
- models/deepm_optionB_w2_evar.pt +1 -1
- models/deepm_optionB_w2_sharpe.pt +1 -1
- models/deepm_optionB_w3_evar.pt +1 -1
- models/deepm_optionB_w3_sharpe.pt +1 -1
- models/deepm_optionB_w4_evar.pt +1 -1
- models/deepm_optionB_w4_sharpe.pt +1 -1
- models/deepm_optionB_w5_evar.pt +1 -1
- models/deepm_optionB_w5_sharpe.pt +1 -1
- models/deepm_optionB_w6_evar.pt +1 -1
- models/deepm_optionB_w6_sharpe.pt +1 -1
- models/deepm_optionB_w7_evar.pt +1 -1
- models/deepm_optionB_w7_sharpe.pt +1 -1
- models/deepm_optionB_w8_evar.pt +1 -1
- models/deepm_optionB_w8_sharpe.pt +1 -1
- models/deepm_optionB_window_best.pt +1 -1
- models/meta_optionA.json +150 -110
- models/meta_optionA_window.json +54 -54
- models/meta_optionB.json +78 -90
- models/meta_optionB_window.json +52 -52
- models/scaler_optionA.pkl +1 -1
- models/scaler_optionA_window.pkl +1 -1
- models/scaler_optionB.pkl +1 -1
- models/scaler_optionB_window.pkl +1 -1
models/deepm_optionA_best.pt
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| 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":
|
| 93 |
-
"oos_ann_return": 0.
|
| 94 |
-
"oos_sharpe": 1.
|
| 95 |
"model_path": "models/deepm_optionA_w4_evar.pt"
|
| 96 |
},
|
| 97 |
{
|
|
@@ -101,9 +101,9 @@
|
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| 101 |
"oos_start": "2025-01-01",
|
| 102 |
"loss_fn": "sharpe",
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| 103 |
"n_train": 2768,
|
| 104 |
-
"n_oos":
|
| 105 |
-
"oos_ann_return": 0.
|
| 106 |
-
"oos_sharpe": 1.
|
| 107 |
"model_path": "models/deepm_optionA_w4_sharpe.pt"
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},
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{
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@@ -113,9 +113,9 @@
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| 113 |
"oos_start": "2025-01-01",
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"loss_fn": "evar",
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| 115 |
"n_train": 2264,
|
| 116 |
-
"n_oos":
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| 117 |
-
"oos_ann_return": 0.
|
| 118 |
-
"oos_sharpe": 1.
|
| 119 |
"model_path": "models/deepm_optionA_w5_evar.pt"
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| 120 |
},
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| 121 |
{
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@@ -125,9 +125,9 @@
|
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| 125 |
"oos_start": "2025-01-01",
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| 126 |
"loss_fn": "sharpe",
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| 127 |
"n_train": 2264,
|
| 128 |
-
"n_oos":
|
| 129 |
-
"oos_ann_return": 0.
|
| 130 |
-
"oos_sharpe":
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| 131 |
"model_path": "models/deepm_optionA_w5_sharpe.pt"
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| 132 |
},
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| 133 |
{
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@@ -137,9 +137,9 @@
|
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| 137 |
"oos_start": "2025-01-01",
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| 138 |
"loss_fn": "evar",
|
| 139 |
"n_train": 1761,
|
| 140 |
-
"n_oos":
|
| 141 |
-
"oos_ann_return": 0.
|
| 142 |
-
"oos_sharpe": 1.
|
| 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":
|
| 153 |
-
"oos_ann_return": 0.
|
| 154 |
-
"oos_sharpe":
|
| 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":
|
| 165 |
-
"oos_ann_return": 0.
|
| 166 |
-
"oos_sharpe": 1.
|
| 167 |
"model_path": "models/deepm_optionA_w7_evar.pt"
|
| 168 |
},
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| 169 |
{
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|
@@ -173,9 +173,9 @@
|
|
| 173 |
"oos_start": "2025-01-01",
|
| 174 |
"loss_fn": "sharpe",
|
| 175 |
"n_train": 1258,
|
| 176 |
-
"n_oos":
|
| 177 |
-
"oos_ann_return": 0.
|
| 178 |
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"oos_sharpe":
|
| 179 |
"model_path": "models/deepm_optionA_w7_sharpe.pt"
|
| 180 |
},
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| 181 |
{
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|
@@ -185,9 +185,9 @@
|
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| 185 |
"oos_start": "2025-01-01",
|
| 186 |
"loss_fn": "evar",
|
| 187 |
"n_train": 753,
|
| 188 |
-
"n_oos":
|
| 189 |
-
"oos_ann_return": 0.
|
| 190 |
-
"oos_sharpe":
|
| 191 |
"model_path": "models/deepm_optionA_w8_evar.pt"
|
| 192 |
},
|
| 193 |
{
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|
@@ -197,9 +197,9 @@
|
|
| 197 |
"oos_start": "2025-01-01",
|
| 198 |
"loss_fn": "sharpe",
|
| 199 |
"n_train": 753,
|
| 200 |
-
"n_oos":
|
| 201 |
-
"oos_ann_return": 0.
|
| 202 |
-
"oos_sharpe":
|
| 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 |
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"oos_ann_return": 0.524,
|
| 11 |
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"oos_sharpe": 2.3193,
|
| 12 |
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|
| 13 |
{
|
| 14 |
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|
|
|
|
| 17 |
"oos_start": "2025-01-01",
|
| 18 |
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|
| 19 |
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|
| 20 |
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|
| 21 |
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|
| 22 |
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|
| 23 |
"model_path": "models/deepm_optionA_w1_evar.pt"
|
| 24 |
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|
| 25 |
{
|
|
|
|
| 29 |
"oos_start": "2025-01-01",
|
| 30 |
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|
| 31 |
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|
| 32 |
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|
| 33 |
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|
| 34 |
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|
| 35 |
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|
| 36 |
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|
| 37 |
{
|
|
|
|
| 41 |
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|
| 42 |
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|
| 43 |
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|
| 44 |
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| 45 |
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|
| 46 |
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|
| 47 |
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|
| 48 |
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|
| 49 |
{
|
|
|
|
| 53 |
"oos_start": "2025-01-01",
|
| 54 |
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|
| 55 |
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|
| 56 |
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|
| 57 |
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|
| 58 |
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|
| 59 |
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|
| 60 |
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|
| 61 |
{
|
|
|
|
| 65 |
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|
| 66 |
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|
| 67 |
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|
| 68 |
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| 69 |
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|
| 70 |
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|
| 71 |
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|
| 72 |
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| 73 |
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|
|
|
| 77 |
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|
| 78 |
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|
| 79 |
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|
| 80 |
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| 81 |
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|
| 82 |
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|
| 83 |
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|
| 84 |
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|
| 85 |
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|
|
|
|
| 89 |
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|
| 90 |
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|
| 91 |
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|
| 92 |
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| 93 |
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|
| 94 |
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|
| 95 |
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|
| 96 |
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| 97 |
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|
|
|
| 101 |
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| 102 |
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| 103 |
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| 107 |
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| 108 |
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| 109 |
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|
| 113 |
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| 114 |
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| 115 |
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| 119 |
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|
| 120 |
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| 121 |
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|
|
|
| 125 |
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| 126 |
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| 127 |
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| 128 |
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| 129 |
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|
| 130 |
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| 131 |
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|
| 132 |
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| 133 |
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|
|
|
| 137 |
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|
| 138 |
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| 139 |
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| 140 |
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| 141 |
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| 142 |
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| 143 |
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|
| 144 |
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|
| 145 |
{
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|
|
|
| 149 |
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|
| 150 |
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|
| 151 |
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|
| 152 |
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| 153 |
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| 154 |
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| 155 |
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|
| 156 |
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|
| 157 |
{
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|
|
|
| 161 |
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|
| 162 |
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|
| 163 |
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|
| 164 |
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|
| 165 |
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|
| 166 |
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| 167 |
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|
| 168 |
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|
| 169 |
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|
|
|
| 173 |
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| 174 |
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|
| 175 |
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| 176 |
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| 177 |
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| 178 |
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|
| 179 |
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|
| 180 |
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|
| 181 |
{
|
|
|
|
| 185 |
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|
| 186 |
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|
| 187 |
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| 188 |
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|
| 189 |
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|
| 190 |
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|
| 191 |
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|
| 192 |
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|
| 193 |
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|
|
|
| 197 |
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|
| 198 |
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|
| 199 |
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| 200 |
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| 203 |
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|
| 204 |
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|
| 205 |
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models/meta_optionB.json
CHANGED
|
@@ -1,7 +1,7 @@
|
|
| 1 |
{
|
| 2 |
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|
| 3 |
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| 4 |
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| 5 |
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|
@@ -31,105 +31,93 @@
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| 31 |
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| 32 |
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| 33 |
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| 39 |
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| 40 |
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|
| 45 |
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| 46 |
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| 47 |
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| 48 |
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| 49 |
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| 54 |
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| 55 |
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| 58 |
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| 59 |
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| 60 |
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| 62 |
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|
| 63 |
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| 65 |
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| 67 |
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| 135 |
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| 1 |
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| 2 |
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| 60 |
+
-1.768159,
|
| 61 |
+
-1.9284,
|
| 62 |
+
-2.079005,
|
| 63 |
+
-2.067968,
|
| 64 |
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-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 |
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-0.481774,
|
| 78 |
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-0.440908,
|
| 79 |
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-0.505927,
|
| 80 |
+
-0.472592,
|
| 81 |
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|
| 82 |
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-0.530618,
|
| 83 |
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-0.584896,
|
| 84 |
+
-0.418126
|
|
|
|
|
|
|
|
|
|
| 85 |
],
|
| 86 |
"val_sharpe": [
|
| 87 |
+
0.4652,
|
| 88 |
+
0.468,
|
| 89 |
+
0.3189,
|
| 90 |
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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-
|
| 4 |
-
"elapsed_sec":
|
| 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.
|
| 11 |
-
"oos_sharpe":
|
| 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":
|
| 21 |
-
"oos_ann_return": 0.
|
| 22 |
-
"oos_sharpe": 1.
|
| 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":
|
| 33 |
-
"oos_ann_return": 0.
|
| 34 |
-
"oos_sharpe": 1.
|
| 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":
|
| 45 |
-
"oos_ann_return": 0.
|
| 46 |
-
"oos_sharpe":
|
| 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":
|
| 57 |
-
"oos_ann_return": 0.
|
| 58 |
-
"oos_sharpe":
|
| 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":
|
| 69 |
-
"oos_ann_return": 0.
|
| 70 |
-
"oos_sharpe": 1.
|
| 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":
|
| 81 |
-
"oos_ann_return": 0.
|
| 82 |
-
"oos_sharpe":
|
| 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":
|
| 93 |
-
"oos_ann_return": 0.
|
| 94 |
-
"oos_sharpe": 1.
|
| 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":
|
| 105 |
-
"oos_ann_return": 0.
|
| 106 |
-
"oos_sharpe":
|
| 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":
|
| 117 |
-
"oos_ann_return": 0.
|
| 118 |
-
"oos_sharpe": 1.
|
| 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":
|
| 129 |
-
"oos_ann_return": 0.
|
| 130 |
-
"oos_sharpe":
|
| 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":
|
| 141 |
-
"oos_ann_return": 0.
|
| 142 |
-
"oos_sharpe": 1.
|
| 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":
|
| 153 |
-
"oos_ann_return": 0.
|
| 154 |
-
"oos_sharpe": 1.
|
| 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":
|
| 165 |
-
"oos_ann_return": 0.
|
| 166 |
-
"oos_sharpe": 1.
|
| 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":
|
| 177 |
-
"oos_ann_return": 0.
|
| 178 |
-
"oos_sharpe":
|
| 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":
|
| 189 |
-
"oos_ann_return": 0.
|
| 190 |
-
"oos_sharpe": 1.
|
| 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":
|
| 201 |
-
"oos_ann_return": 0.
|
| 202 |
-
"oos_sharpe": 1.
|
| 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 |
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"n_oos": 342,
|
| 69 |
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"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 |
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|
| 80 |
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|
| 81 |
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"oos_ann_return": 0.4353,
|
| 82 |
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|
| 83 |
"model_path": "models/deepm_optionB_w3_sharpe.pt"
|
| 84 |
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|
| 85 |
{
|
|
|
|
| 89 |
"oos_start": "2025-01-01",
|
| 90 |
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|
| 91 |
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|
| 92 |
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|
| 93 |
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|
| 94 |
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|
| 95 |
"model_path": "models/deepm_optionB_w4_evar.pt"
|
| 96 |
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|
| 97 |
{
|
|
|
|
| 101 |
"oos_start": "2025-01-01",
|
| 102 |
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|
| 103 |
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|
| 104 |
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"n_oos": 342,
|
| 105 |
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"oos_ann_return": 0.7849,
|
| 106 |
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"oos_sharpe": 3.348,
|
| 107 |
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|
| 108 |
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|
| 109 |
{
|
|
|
|
| 113 |
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|
| 114 |
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|
| 115 |
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|
| 116 |
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|
| 117 |
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|
| 118 |
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|
| 119 |
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|
| 120 |
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|
| 121 |
{
|
|
|
|
| 125 |
"oos_start": "2025-01-01",
|
| 126 |
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|
| 127 |
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|
| 128 |
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|
| 129 |
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|
| 130 |
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"oos_sharpe": 2.3761,
|
| 131 |
"model_path": "models/deepm_optionB_w5_sharpe.pt"
|
| 132 |
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|
| 133 |
{
|
|
|
|
| 137 |
"oos_start": "2025-01-01",
|
| 138 |
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|
| 139 |
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|
| 140 |
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|
| 141 |
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"oos_ann_return": 0.1854,
|
| 142 |
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|
| 143 |
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|
| 144 |
},
|
| 145 |
{
|
|
|
|
| 149 |
"oos_start": "2025-01-01",
|
| 150 |
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|
| 151 |
"n_train": 1761,
|
| 152 |
+
"n_oos": 342,
|
| 153 |
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|
| 154 |
+
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|
| 155 |
"model_path": "models/deepm_optionB_w6_sharpe.pt"
|
| 156 |
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|
| 157 |
{
|
|
|
|
| 161 |
"oos_start": "2025-01-01",
|
| 162 |
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|
| 163 |
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|
| 164 |
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"n_oos": 342,
|
| 165 |
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"oos_ann_return": 0.2039,
|
| 166 |
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"oos_sharpe": 1.4059,
|
| 167 |
"model_path": "models/deepm_optionB_w7_evar.pt"
|
| 168 |
},
|
| 169 |
{
|
|
|
|
| 173 |
"oos_start": "2025-01-01",
|
| 174 |
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|
| 175 |
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|
| 176 |
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|
| 177 |
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|
| 178 |
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|
| 179 |
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|
| 180 |
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|
| 181 |
{
|
|
|
|
| 185 |
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|
| 186 |
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|
| 187 |
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|
| 188 |
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|
| 189 |
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|
| 190 |
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|
| 191 |
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|
| 192 |
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|
| 193 |
{
|
|
|
|
| 197 |
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|
| 198 |
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|
| 199 |
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|
| 200 |
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|
| 201 |
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|
| 202 |
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|
| 203 |
"model_path": "models/deepm_optionB_w8_sharpe.pt"
|
| 204 |
}
|
| 205 |
],
|
models/scaler_optionA.pkl
CHANGED
|
@@ -1,3 +1,3 @@
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|
| 1 |
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| 2 |
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|
| 3 |
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| 1 |
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| 3 |
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|
models/scaler_optionA_window.pkl
CHANGED
|
@@ -1,3 +1,3 @@
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|
| 1 |
version https://git-lfs.github.com/spec/v1
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| 2 |
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oid sha256:
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| 3 |
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|
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| 1 |
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models/scaler_optionB.pkl
CHANGED
|
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|
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models/scaler_optionB_window.pkl
CHANGED
|
@@ -1,3 +1,3 @@
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|
| 1 |
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| 2 |
-
oid sha256:
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| 3 |
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