diff --git a/models/deepm_optionA_best.pt b/models/deepm_optionA_best.pt index ea2d1fc11b0e7fcb9ed8235b3bdf75f6b3016c0d..95e79c39df3db09b4866c3ea7a43f073b7da787c 100644 --- a/models/deepm_optionA_best.pt +++ b/models/deepm_optionA_best.pt @@ -1,3 +1,3 @@ version https://git-lfs.github.com/spec/v1 -oid sha256:09ac5e1488abdc6b187686fd47ab1b6829d1fa7b1753a14646a2208512576da5 +oid sha256:586bfe3c487913688fad9200ce551351c5801b9a68a72b16f79988e6faafe88f size 533110 diff --git a/models/deepm_optionA_evar_best.pt b/models/deepm_optionA_evar_best.pt index 6e3bf5b4ec724cee7d114b25b587de5bb025de3a..8a2e6de65c747577b11dca4e2f977d6c54641e55 100644 --- a/models/deepm_optionA_evar_best.pt +++ b/models/deepm_optionA_evar_best.pt @@ -1,3 +1,3 @@ version https://git-lfs.github.com/spec/v1 -oid sha256:c65676b434029942f0fc86e368cb14e6fdd5d3f409fc2360e21680aa619ee2a4 +oid sha256:aa0b730303b3d279bf1f647f09fce7a5e85b01672f61ed83064f8b18541b27ac size 533022 diff --git a/models/deepm_optionA_sharpe_best.pt b/models/deepm_optionA_sharpe_best.pt index ea2d1fc11b0e7fcb9ed8235b3bdf75f6b3016c0d..95e79c39df3db09b4866c3ea7a43f073b7da787c 100644 --- a/models/deepm_optionA_sharpe_best.pt +++ b/models/deepm_optionA_sharpe_best.pt @@ -1,3 +1,3 @@ version https://git-lfs.github.com/spec/v1 -oid sha256:09ac5e1488abdc6b187686fd47ab1b6829d1fa7b1753a14646a2208512576da5 +oid sha256:586bfe3c487913688fad9200ce551351c5801b9a68a72b16f79988e6faafe88f size 533110 diff --git a/models/deepm_optionA_w1_evar.pt b/models/deepm_optionA_w1_evar.pt new file mode 100644 index 0000000000000000000000000000000000000000..de8649d486e92e1c4a3f2c749587ba8322e6066d --- /dev/null +++ b/models/deepm_optionA_w1_evar.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:5b575e9857715b7ad0446c9124e376bc5cdf404e11a272697a3cd0335f3e4814 +size 532870 diff --git a/models/deepm_optionA_w1_sharpe.pt b/models/deepm_optionA_w1_sharpe.pt new file mode 100644 index 0000000000000000000000000000000000000000..d0cbb5aa891d4d02b38c3b6a9585e42648833dbd --- /dev/null +++ b/models/deepm_optionA_w1_sharpe.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:ae4eb2f654b3c030cadf6750635f17c1998befe1404ffa6a1266e10c7bf1744c +size 533022 diff --git a/models/deepm_optionA_w2_evar.pt b/models/deepm_optionA_w2_evar.pt new file mode 100644 index 0000000000000000000000000000000000000000..98d802f36756725e609b63f79efbdeee618e5064 --- /dev/null +++ b/models/deepm_optionA_w2_evar.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:fb36111e1773117ee01c54e1fa098184e815cfec4f12a06bdb9e2d0b4b10c56f +size 532870 diff --git a/models/deepm_optionA_w2_sharpe.pt b/models/deepm_optionA_w2_sharpe.pt new file mode 100644 index 0000000000000000000000000000000000000000..d64d97e96ec55413d787b64f4d8febb226fa3d10 --- /dev/null +++ b/models/deepm_optionA_w2_sharpe.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:6907c5a82bb9e8f94fa9aed97271da907e87ef51158f06485fcb20bfcd37800f +size 533022 diff --git a/models/deepm_optionA_w3_evar.pt b/models/deepm_optionA_w3_evar.pt new file mode 100644 index 0000000000000000000000000000000000000000..4e437bf96a375489ee9241bb80026dd9b613b6eb --- /dev/null +++ b/models/deepm_optionA_w3_evar.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:12d7e35bdc771502aaa7ee77b7a1682579cff9e517eee29250b8c751c4931b8e +size 532870 diff --git a/models/deepm_optionA_w3_sharpe.pt b/models/deepm_optionA_w3_sharpe.pt new file mode 100644 index 0000000000000000000000000000000000000000..75700a3b21853d7b90467822b5d929b1e29bb8ed --- /dev/null +++ b/models/deepm_optionA_w3_sharpe.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:c4e528e80fcdb61e972606236e601ebd2bc1892d995defd7cfad82ceccad0377 +size 533022 diff --git a/models/deepm_optionA_w4_evar.pt b/models/deepm_optionA_w4_evar.pt new file mode 100644 index 0000000000000000000000000000000000000000..f2743d0fe0944633a4882efe88ff8e82131650bd --- /dev/null +++ b/models/deepm_optionA_w4_evar.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:0caea30be5cacfa90d890fa5c89928fd572a52f94e8fb470c10611dbcd6ae3c1 +size 532870 diff --git a/models/deepm_optionA_w4_sharpe.pt b/models/deepm_optionA_w4_sharpe.pt new file mode 100644 index 0000000000000000000000000000000000000000..7914d9a7eb745fc380cf8fb1d53d0967756e1909 --- /dev/null +++ b/models/deepm_optionA_w4_sharpe.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:99f33c89ce31294e24933da843368c0613b6c6446cc4b2d3485a2029c250a53b +size 533022 diff --git a/models/deepm_optionA_w5_evar.pt b/models/deepm_optionA_w5_evar.pt new file mode 100644 index 0000000000000000000000000000000000000000..9f67d30b3db2408e7da64708c04e829021dc40ef --- /dev/null +++ b/models/deepm_optionA_w5_evar.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:ae410de153a9ed2a02d3b1fa29d95e91b230ddb308380ed6a1fe27667a6bec08 +size 532870 diff --git a/models/deepm_optionA_w5_sharpe.pt b/models/deepm_optionA_w5_sharpe.pt new file mode 100644 index 0000000000000000000000000000000000000000..2ad4bc595a421ea713ee01731175818d678c2bed --- /dev/null +++ b/models/deepm_optionA_w5_sharpe.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:30d92db1fec230b780ac9535be64a3de505c120a1007aadfb13f00e2ef204493 +size 533022 diff --git a/models/deepm_optionA_w6_evar.pt b/models/deepm_optionA_w6_evar.pt new file mode 100644 index 0000000000000000000000000000000000000000..106a3a8f4426067d4be57f0e67b14675518dc7d0 --- /dev/null +++ b/models/deepm_optionA_w6_evar.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:81d4982d998a3ca8ea315c396d1b3bba22e6631055afcc269277679014b9e808 +size 532870 diff --git a/models/deepm_optionA_w6_sharpe.pt b/models/deepm_optionA_w6_sharpe.pt new file mode 100644 index 0000000000000000000000000000000000000000..0ec43016afb3277a0a1868ce3e87513d8024a7f0 --- /dev/null +++ b/models/deepm_optionA_w6_sharpe.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:e92111a4fc213005e40e907a52ca72461ca56298758866d3e9b64c6438a55a43 +size 533022 diff --git a/models/deepm_optionA_w7_evar.pt b/models/deepm_optionA_w7_evar.pt new file mode 100644 index 0000000000000000000000000000000000000000..6684dc8d13dfdd4d98ac622c8ebbb55e3ba9ab65 --- /dev/null +++ b/models/deepm_optionA_w7_evar.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:70df280bdbb0036b3a4929376e47359287691883242165190a9cc8ad1c6d1464 +size 532870 diff --git a/models/deepm_optionA_w7_sharpe.pt b/models/deepm_optionA_w7_sharpe.pt new file mode 100644 index 0000000000000000000000000000000000000000..3e393c52ec95fcfa03a8414d39ea2933fe7c9794 --- /dev/null +++ b/models/deepm_optionA_w7_sharpe.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:573e6ecc7a180add44ae1372b05cf795b923cba1b67a8e43cf171289814efeae +size 533022 diff --git a/models/deepm_optionA_w8_evar.pt b/models/deepm_optionA_w8_evar.pt new file mode 100644 index 0000000000000000000000000000000000000000..b69877971ff9658e932aa82e363de9389907663c --- /dev/null +++ b/models/deepm_optionA_w8_evar.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:3f426a26199222ec0ca85900136c13234e03622a7930b75f438e3c6b6972e12e +size 532870 diff --git a/models/deepm_optionA_w8_sharpe.pt b/models/deepm_optionA_w8_sharpe.pt new file mode 100644 index 0000000000000000000000000000000000000000..16d5baecf8b7ccca1cf4756c029dcb8facf2df82 --- /dev/null +++ b/models/deepm_optionA_w8_sharpe.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:1721d1aa8c21c89d193ac835b3485c40b6d6887beceba3cb1313a91d3c60f37e +size 533022 diff --git a/models/deepm_optionA_window_best.pt b/models/deepm_optionA_window_best.pt new file mode 100644 index 0000000000000000000000000000000000000000..16d5baecf8b7ccca1cf4756c029dcb8facf2df82 --- /dev/null +++ b/models/deepm_optionA_window_best.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:1721d1aa8c21c89d193ac835b3485c40b6d6887beceba3cb1313a91d3c60f37e +size 533022 diff --git a/models/deepm_optionB_best.pt b/models/deepm_optionB_best.pt index 8deb0911e2fd3d52676c645de60e00e9b956265f..55ef535c7a3eb417c811e6ac065ab85f59d18af9 100644 --- a/models/deepm_optionB_best.pt +++ b/models/deepm_optionB_best.pt @@ -1,3 +1,3 @@ version https://git-lfs.github.com/spec/v1 -oid sha256:f2f36616076910dcf590458c791cce95975708b98003902ea6b687020fc73e5d +oid sha256:36c1a195502ab96af8a8fc5a177ad5f941f195d4c31645a41a8bc64b141d6e22 size 535286 diff --git a/models/deepm_optionB_evar_best.pt b/models/deepm_optionB_evar_best.pt index 061d590ca9d120146f316d13463b19e2d0e3058b..645f2ff343bf827d605e2c339b20ba8d837b3483 100644 --- a/models/deepm_optionB_evar_best.pt +++ b/models/deepm_optionB_evar_best.pt @@ -1,3 +1,3 @@ version https://git-lfs.github.com/spec/v1 -oid sha256:e611ab2c478cbf554ec6186f53a71f1345f6fbf6d612b2a3ed0cd95689fa01ac +oid sha256:f613b1a86260a54f631a62403d5009d1bb05df8e2fbd7f5a3496bbad459e17e5 size 535134 diff --git a/models/deepm_optionB_sharpe_best.pt b/models/deepm_optionB_sharpe_best.pt index 8deb0911e2fd3d52676c645de60e00e9b956265f..55ef535c7a3eb417c811e6ac065ab85f59d18af9 100644 --- a/models/deepm_optionB_sharpe_best.pt +++ b/models/deepm_optionB_sharpe_best.pt @@ -1,3 +1,3 @@ version https://git-lfs.github.com/spec/v1 -oid sha256:f2f36616076910dcf590458c791cce95975708b98003902ea6b687020fc73e5d +oid sha256:36c1a195502ab96af8a8fc5a177ad5f941f195d4c31645a41a8bc64b141d6e22 size 535286 diff --git a/models/deepm_optionB_w1_evar.pt b/models/deepm_optionB_w1_evar.pt new file mode 100644 index 0000000000000000000000000000000000000000..a7dbeb685225792d1d4d8568fb5c688d0aa6f7f0 --- /dev/null +++ b/models/deepm_optionB_w1_evar.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:832b4a71ed17ce7fe510cf515aedc2bc8ad6d03ddc4cd639f534ddda20ed5abc +size 534982 diff --git a/models/deepm_optionB_w1_sharpe.pt b/models/deepm_optionB_w1_sharpe.pt new file mode 100644 index 0000000000000000000000000000000000000000..0c62af347194031236cfac5d28c1da0f87d1b9e6 --- /dev/null +++ b/models/deepm_optionB_w1_sharpe.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:9132df5b67684945ecda5b60e660a7fd8f9ba60a3c37f0e41d883486faf7a8ba +size 535134 diff --git a/models/deepm_optionB_w2_evar.pt b/models/deepm_optionB_w2_evar.pt new file mode 100644 index 0000000000000000000000000000000000000000..dc0a33264c3730f75ded123beb32514b8a9a4a5c --- /dev/null +++ b/models/deepm_optionB_w2_evar.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:d1c2619765066e1bcd1d7419d601508b755cfddb74f45fcdb737c21e998d74ae +size 534982 diff --git a/models/deepm_optionB_w2_sharpe.pt b/models/deepm_optionB_w2_sharpe.pt new file mode 100644 index 0000000000000000000000000000000000000000..c3b373d0f9132ca3f6be7db285e7c39084d35f5d --- /dev/null +++ b/models/deepm_optionB_w2_sharpe.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:9d078f9cf5814197dd2a0315bda3fece8082247eeedbb392e05ede8c515128ae +size 535134 diff --git a/models/deepm_optionB_w3_evar.pt b/models/deepm_optionB_w3_evar.pt new file mode 100644 index 0000000000000000000000000000000000000000..0d5c51c8f6f02f18c89ca6ff69d493c5e873d222 --- /dev/null +++ b/models/deepm_optionB_w3_evar.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:9a8425acee71524cc97a52eb4be56387cdab8f4f0afc38adf01d4b89d405b33e +size 534982 diff --git a/models/deepm_optionB_w3_sharpe.pt b/models/deepm_optionB_w3_sharpe.pt new file mode 100644 index 0000000000000000000000000000000000000000..446465936a0d9e3d399382ed72174c8019488299 --- /dev/null +++ b/models/deepm_optionB_w3_sharpe.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:273b5b6d6e8ee2017bfe8e9d84ee67008f1e3f7a26710d99106e74c985d479b2 +size 535134 diff --git a/models/deepm_optionB_w4_evar.pt b/models/deepm_optionB_w4_evar.pt new file mode 100644 index 0000000000000000000000000000000000000000..a6b67eb8d2861cc33838cb5b47b55f8d97ba130e --- /dev/null +++ b/models/deepm_optionB_w4_evar.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:c45084108f0ab6fa6de83640dc9f2978529ae1c9f42a9e625e715a19dfc16894 +size 534982 diff --git a/models/deepm_optionB_w4_sharpe.pt b/models/deepm_optionB_w4_sharpe.pt new file mode 100644 index 0000000000000000000000000000000000000000..d07ca9ed39e2dec398cb190fccf4849ac9bd6f82 --- /dev/null +++ b/models/deepm_optionB_w4_sharpe.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:c37f38574f7329c2b64bb33188ba51330097853b00d1fff216608edf2fafbed4 +size 535134 diff --git a/models/deepm_optionB_w5_evar.pt b/models/deepm_optionB_w5_evar.pt new file mode 100644 index 0000000000000000000000000000000000000000..c09765a8bb04a4a14c62e410af2eb61eab0cbb08 --- /dev/null +++ b/models/deepm_optionB_w5_evar.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:e1d8bfa169de4643175e598d5c12c803a8b4988187aa485f1fba890ea75c08f4 +size 534982 diff --git a/models/deepm_optionB_w5_sharpe.pt b/models/deepm_optionB_w5_sharpe.pt new file mode 100644 index 0000000000000000000000000000000000000000..c2eba7d86f5a1462854db656f4454653cf31cb02 --- /dev/null +++ b/models/deepm_optionB_w5_sharpe.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:07743234bfc5ea7faf48cd3d272d0e8f98a4655644b3dd873127bf38fccc42d0 +size 535134 diff --git a/models/deepm_optionB_w6_evar.pt b/models/deepm_optionB_w6_evar.pt new file mode 100644 index 0000000000000000000000000000000000000000..64d48de6c6696522b1222febb4e8becb496eefe4 --- /dev/null +++ b/models/deepm_optionB_w6_evar.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:48975fc0ceea6e5ba5dc276b63661e0dcd21806f1fb48c9cd15fadfc8f771dfc +size 534982 diff --git a/models/deepm_optionB_w6_sharpe.pt b/models/deepm_optionB_w6_sharpe.pt new file mode 100644 index 0000000000000000000000000000000000000000..3bf88caf76112f49ff8605b88b2d3e8f332edd35 --- /dev/null +++ b/models/deepm_optionB_w6_sharpe.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:90a691cdf62addebce27e318778468bb6a41896663b79f78477b3587dedc421b +size 535134 diff --git a/models/deepm_optionB_w7_evar.pt b/models/deepm_optionB_w7_evar.pt new file mode 100644 index 0000000000000000000000000000000000000000..0c922077bb9886af6073f2915f7f4478e9080268 --- /dev/null +++ b/models/deepm_optionB_w7_evar.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:ceb1548a72e4097c129842f989f9618fb1f8cfbdaff0b25d69dc5d39ca6db27c +size 534982 diff --git a/models/deepm_optionB_w7_sharpe.pt b/models/deepm_optionB_w7_sharpe.pt new file mode 100644 index 0000000000000000000000000000000000000000..567267d428088b00b84d703a38d5ddfc0bb1dfcd --- /dev/null +++ b/models/deepm_optionB_w7_sharpe.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:a7fb0cde6bab9a01a04541cebbbc316116cf332ea74e3a1dd4137efb1c9a3a5b +size 535134 diff --git a/models/deepm_optionB_w8_evar.pt b/models/deepm_optionB_w8_evar.pt new file mode 100644 index 0000000000000000000000000000000000000000..b6366c5d4182813cd96349a1cf8912e7ddb9f5a1 --- /dev/null +++ b/models/deepm_optionB_w8_evar.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:c988803940880d06f3ddfaf1e6d044ffcdb1ca52aa71d9ef63c6269b196a35a4 +size 534982 diff --git a/models/deepm_optionB_w8_sharpe.pt b/models/deepm_optionB_w8_sharpe.pt new file mode 100644 index 0000000000000000000000000000000000000000..eeda604bd1229a32374bb37400dce55205c56620 --- /dev/null +++ b/models/deepm_optionB_w8_sharpe.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:c5a586a23d9ce553002402430d6df5464b53e5c5ccd50c1a29fb8228470abce3 +size 535134 diff --git a/models/deepm_optionB_window_best.pt b/models/deepm_optionB_window_best.pt new file mode 100644 index 0000000000000000000000000000000000000000..0c62af347194031236cfac5d28c1da0f87d1b9e6 --- /dev/null +++ b/models/deepm_optionB_window_best.pt @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:9132df5b67684945ecda5b60e660a7fd8f9ba60a3c37f0e41d883486faf7a8ba +size 535134 diff --git a/models/latest_signals.json b/models/latest_signals.json index 198d925f89332c0e2a95948392c1e1826b1ee420..6df68c6cc947090b43ed461d17c5d61596c9b202 100644 --- a/models/latest_signals.json +++ b/models/latest_signals.json @@ -1,23 +1,24 @@ { - "generated_at": "2026-03-22T09:47:13.987786", + "generated_at": "2026-03-22T12:13:30.934621", "option_A": { "option": "A", + "mode": "fixed_split", "option_name": "Fixed Income / Alts", "signal_date": "2026-03-23", "last_data_date": "2026-03-20", - "generated_at": "2026-03-22T09:47:13.756141", - "pick": "TLT", - "conviction": 0.5685, + "generated_at": "2026-03-22T12:13:30.290509", + "pick": "PFF", + "conviction": 0.8381, "weights": { - "TLT": 0.5685, - "LQD": 0.0088, - "HYG": 0.0052, - "VNQ": 0.2288, - "GLD": 0.1515, - "SLV": 0.0219, - "PFF": 0.0049, - "MBB": 0.0058, - "CASH": 0.0046 + "TLT": 0.0049, + "LQD": 0.0724, + "HYG": 0.0641, + "VNQ": 0.0058, + "GLD": 0.0004, + "SLV": 0.0006, + "PFF": 0.8381, + "MBB": 0.0111, + "CASH": 0.0026 }, "regime_context": { "VIX": 24.06, @@ -26,34 +27,35 @@ "USD_INDEX": 120.55 }, "macro_stress": 1.753, - "trained_at": "2026-03-22T09:41:20.225919", - "test_sharpe": 1.7264, - "test_ann_return": 0.1529, + "trained_at": "2026-03-22T10:59:24.030371", "winning_loss": "sharpe", + "test_sharpe": 1.8254, + "test_ann_return": 0.2369, "model_n_params": 129681 }, "option_B": { "option": "B", + "mode": "fixed_split", "option_name": "Equity Sectors", "signal_date": "2026-03-23", "last_data_date": "2026-03-20", - "generated_at": "2026-03-22T09:47:13.987592", - "pick": "GDX", - "conviction": 0.4637, + "generated_at": "2026-03-22T12:13:30.715113", + "pick": "CASH", + "conviction": 0.1343, "weights": { - "SPY": 0.037, - "QQQ": 0.0455, - "XLK": 0.049, - "XLF": 0.057, - "XLE": 0.1, - "XLV": 0.0306, - "XLI": 0.0343, - "XLY": 0.0397, - "XLP": 0.048, - "XLU": 0.0373, - "GDX": 0.4637, - "XME": 0.0428, - "CASH": 0.015 + "SPY": 0.0767, + "QQQ": 0.0982, + "XLK": 0.1081, + "XLF": 0.0638, + "XLE": 0.043, + "XLV": 0.0812, + "XLI": 0.0483, + "XLY": 0.0795, + "XLP": 0.1049, + "XLU": 0.0934, + "GDX": 0.0363, + "XME": 0.0323, + "CASH": 0.1343 }, "regime_context": { "VIX": 24.06, @@ -62,10 +64,84 @@ "USD_INDEX": 120.55 }, "macro_stress": 1.753, - "trained_at": "2026-03-22T09:47:10.461242", - "test_sharpe": 1.4435, - "test_ann_return": 0.2379, + "trained_at": "2026-03-22T11:04:26.391473", "winning_loss": "sharpe", + "test_sharpe": 1.2825, + "test_ann_return": 0.1501, "model_n_params": 130201 + }, + "option_A_window": { + "option": "A", + "mode": "shrinking_window", + "option_name": "Fixed Income / Alts", + "signal_date": "2026-03-23", + "last_data_date": "2026-03-20", + "generated_at": "2026-03-22T12:13:30.497208", + "pick": "GLD", + "conviction": 0.8632, + "weights": { + "TLT": 0.0023, + "LQD": 0.005, + "HYG": 0.0235, + "VNQ": 0.0201, + "GLD": 0.8632, + "SLV": 0.0301, + "PFF": 0.0264, + "MBB": 0.0182, + "CASH": 0.0112 + }, + "regime_context": { + "VIX": 24.06, + "T10Y2Y": 0.51, + "HY_SPREAD": 3.27, + "USD_INDEX": 120.55 + }, + "macro_stress": 1.753, + "trained_at": "2026-03-22T11:28:17.580317", + "winning_window": 8, + "winning_train_start": "2022-01-01", + "winning_train_end": "2024-12-31", + "winning_loss": "sharpe", + "oos_ann_return": 0.3874, + "oos_sharpe": 2.0963 + }, + "option_B_window": { + "option": "B", + "mode": "shrinking_window", + "option_name": "Equity Sectors", + "signal_date": "2026-03-23", + "last_data_date": "2026-03-20", + "generated_at": "2026-03-22T12:13:30.934460", + "pick": "XLY", + "conviction": 0.1696, + "weights": { + "SPY": 0.0313, + "QQQ": 0.0609, + "XLK": 0.0616, + "XLF": 0.1076, + "XLE": 0.0432, + "XLV": 0.081, + "XLI": 0.0963, + "XLY": 0.1696, + "XLP": 0.0735, + "XLU": 0.0538, + "GDX": 0.0414, + "XME": 0.101, + "CASH": 0.0787 + }, + "regime_context": { + "VIX": 24.06, + "T10Y2Y": 0.51, + "HY_SPREAD": 3.27, + "USD_INDEX": 120.55 + }, + "macro_stress": 1.753, + "trained_at": "2026-03-22T12:13:27.163130", + "winning_window": 1, + "winning_train_start": "2008-01-01", + "winning_train_end": "2024-12-31", + "winning_loss": "sharpe", + "oos_ann_return": 0.3014, + "oos_sharpe": 2.3115 } } \ No newline at end of file diff --git a/models/meta_optionA.json b/models/meta_optionA.json index 3e34f6a8077641cbf1caf7d9dacf2d6a88b7a7c0..a77ad343126d8b0784936256cb2032dfe0c551e6 100644 --- a/models/meta_optionA.json +++ b/models/meta_optionA.json @@ -1,7 +1,7 @@ { "option": "A", - "trained_at": "2026-03-22T09:41:20.225919", - "elapsed_sec": 269.6, + "trained_at": "2026-03-22T10:59:24.030371", + "elapsed_sec": 195.0, "n_params": 129681, "n_assets": 8, "tickers": [ @@ -18,12 +18,12 @@ "n_macro_feats": 19, "lookback": 60, "loss_fn": "sharpe", - "best_val_loss": -0.652553, - "best_val_sharpe": 0.6337, - "best_val_ann_return": 0.0925, - "test_loss": -1.684309, - "test_sharpe": 1.7264, - "test_ann_return": 0.1529, + "best_val_loss": -0.036744, + "best_val_sharpe": 0.3244, + "best_val_ann_return": 0.0366, + "test_loss": -1.673963, + "test_sharpe": 1.8254, + "test_ann_return": 0.2369, "splits": { "n_train": 3165, "n_val": 678, @@ -35,168 +35,128 @@ }, "history": { "train_loss": [ - -0.869884, - -1.331827, - -1.59395, - -1.84952, - -1.682532, - -1.923599, - -2.213486, - -2.438843, - -2.610385, - -2.188468, - -2.788136, - -2.695502, - -2.663987, - -2.915831, - -2.947421, - -2.944783, - -3.354509, - -2.957492, - -3.550997, - -3.634582, - -3.712763, - -3.721301, - -4.296794, - -4.287878, - -4.450342, - -4.976171, - -5.271943, - -5.547917, - -5.736678, - -5.868279, - -6.107494, - -6.373455, - -6.55715, - -6.691811, - -6.721646, - -6.891727, - -6.800876, - -7.152776, - -7.19051 + -0.939471, + -1.389963, + -1.558177, + -1.510001, + -1.691116, + -1.630547, + -1.943629, + -2.304902, + -2.157386, + -2.196231, + -2.233384, + -2.365399, + -2.482637, + -2.581574, + -2.701649, + -2.757852, + -3.287986, + -3.314487, + -3.402135, + -3.4686, + -3.528139, + -3.604646, + -3.721806, + -3.8311, + -4.118754, + -4.037277, + -3.987214, + -4.067247, + -4.271397 ], "val_loss": [ - 0.072028, - 0.115317, - 0.251525, - 0.069483, - 0.03856, - -0.216152, - -0.223552, - 0.093818, - -0.357307, - -0.284495, - -0.408309, - -0.113991, - -0.544484, - -0.009183, - -0.242665, - 0.079956, - -0.322308, - 0.140723, - -0.694209, - -0.483305, - -0.222921, - -0.209036, - -0.590935, - -0.652553, - -0.686455, - -0.502754, - -0.580338, - -0.523051, - -0.486912, - -0.632613, - -0.680914, - -0.421311, - -0.426086, - -0.587962, - -0.569313, - -0.47597, - -0.627583, - -0.605606, - -0.587504 + 0.209936, + 0.31319, + 0.113031, + 0.054664, + 0.10866, + 0.085752, + 0.157404, + 0.176584, + -0.103646, + -0.036803, + 0.036925, + 0.092516, + 0.015355, + -0.036744, + -0.001071, + 0.059634, + 0.094549, + 0.031227, + 0.085973, + -0.248738, + -0.119305, + -0.221884, + -0.166598, + 0.078343, + -0.194919, + -0.028733, + -0.00114, + -0.005418, + 0.035442 ], "val_sharpe": [ - -0.0644, - -0.1407, - -0.1993, - -0.0466, - 0.0218, - 0.0379, - 0.0771, - -0.1046, - 0.3594, - -0.0225, - 0.3346, - 0.1354, - 0.4032, - -0.011, - 0.424, - -0.056, - 0.5511, - -0.0914, - 0.2745, - 0.4843, - 0.2737, - 0.185, - 0.213, - 0.6337, - 0.5741, - 0.3393, - 0.4973, - 0.4637, - 0.4294, - 0.4998, - 0.4993, - 0.3361, - 0.3565, - 0.4521, - 0.4234, - 0.3591, - 0.4455, - 0.468, - 0.4386 + -0.2347, + -0.336, + -0.1829, + -0.0419, + -0.0473, + 0.0287, + -0.0646, + -0.0981, + 0.0077, + 0.2906, + 0.241, + 0.122, + 0.274, + 0.3244, + 0.2166, + 0.0966, + 0.0728, + 0.1983, + 0.0161, + 0.1429, + 0.0954, + 0.1501, + 0.2264, + -0.0488, + 0.1837, + -0.0869, + 0.159, + 0.0942, + 0.0585 ], "val_ann_return": [ - -0.0056, - -0.0121, - -0.0177, - -0.0045, - 0.0021, - 0.004, - 0.0082, - -0.0114, - 0.0488, - -0.0027, - 0.0445, - 0.0146, - 0.0547, - -0.0012, - 0.042, - -0.0058, - 0.0766, - -0.0093, - 0.0326, - 0.0694, - 0.0303, - 0.0206, - 0.0263, - 0.0925, - 0.0772, - 0.0404, - 0.0604, - 0.0616, - 0.0539, - 0.0588, - 0.0596, - 0.0395, - 0.0417, - 0.053, - 0.0506, - 0.042, - 0.053, - 0.0568, - 0.0521 + -0.0196, + -0.0287, + -0.0178, + -0.0037, + -0.0044, + 0.0028, + -0.0064, + -0.0102, + 0.0009, + 0.0313, + 0.0276, + 0.0129, + 0.0314, + 0.0366, + 0.0235, + 0.0104, + 0.0081, + 0.0225, + 0.0019, + 0.0187, + 0.0127, + 0.0201, + 0.0316, + -0.006, + 0.0254, + -0.0112, + 0.0199, + 0.0121, + 0.0073 ] }, "config": { diff --git a/models/meta_optionA_window.json b/models/meta_optionA_window.json new file mode 100644 index 0000000000000000000000000000000000000000..8d735f812510f5f6dad7b87893554de937d91bfe --- /dev/null +++ b/models/meta_optionA_window.json @@ -0,0 +1,225 @@ +{ + "option": "A", + "trained_at": "2026-03-22T11:28:17.580317", + "elapsed_sec": 1428.7, + "n_windows": 8, + "winning_window": 8, + "winning_train_start": "2022-01-01", + "winning_train_end": "2024-12-31", + "winning_loss": "sharpe", + "oos_ann_return": 0.3874, + "oos_sharpe": 2.0963, + "all_windows": [ + { + "window_id": 1, + "train_start": "2008-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "evar", + "n_train": 4218, + "n_oos": 304, + "oos_ann_return": 0.0134, + "oos_sharpe": 15303.8387, + "model_path": "models/deepm_optionA_w1_evar.pt" + }, + { + "window_id": 1, + "train_start": "2008-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "sharpe", + "n_train": 4218, + "n_oos": 304, + "oos_ann_return": 0.2608, + "oos_sharpe": 2.4676, + "model_path": "models/deepm_optionA_w1_sharpe.pt" + }, + { + "window_id": 2, + "train_start": "2010-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "evar", + "n_train": 3774, + "n_oos": 304, + "oos_ann_return": 0.0134, + "oos_sharpe": 36261.0715, + "model_path": "models/deepm_optionA_w2_evar.pt" + }, + { + "window_id": 2, + "train_start": "2010-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "sharpe", + "n_train": 3774, + "n_oos": 304, + "oos_ann_return": 0.2661, + "oos_sharpe": 1.9326, + "model_path": "models/deepm_optionA_w2_sharpe.pt" + }, + { + "window_id": 3, + "train_start": "2012-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "evar", + "n_train": 3270, + "n_oos": 304, + "oos_ann_return": 0.0134, + "oos_sharpe": 14681.9317, + "model_path": "models/deepm_optionA_w3_evar.pt" + }, + { + "window_id": 3, + "train_start": "2012-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "sharpe", + "n_train": 3270, + "n_oos": 304, + "oos_ann_return": 0.0758, + "oos_sharpe": 0.6148, + "model_path": "models/deepm_optionA_w3_sharpe.pt" + }, + { + "window_id": 4, + "train_start": "2014-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "evar", + "n_train": 2768, + "n_oos": 304, + "oos_ann_return": 0.0134, + "oos_sharpe": 10185.6191, + "model_path": "models/deepm_optionA_w4_evar.pt" + }, + { + "window_id": 4, + "train_start": "2014-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "sharpe", + "n_train": 2768, + "n_oos": 304, + "oos_ann_return": 0.1095, + "oos_sharpe": 1.446, + "model_path": "models/deepm_optionA_w4_sharpe.pt" + }, + { + "window_id": 5, + "train_start": "2016-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "evar", + "n_train": 2264, + "n_oos": 304, + "oos_ann_return": 0.0134, + "oos_sharpe": 1096.6312, + "model_path": "models/deepm_optionA_w5_evar.pt" + }, + { + "window_id": 5, + "train_start": "2016-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "sharpe", + "n_train": 2264, + "n_oos": 304, + "oos_ann_return": 0.1644, + "oos_sharpe": 2.3657, + "model_path": "models/deepm_optionA_w5_sharpe.pt" + }, + { + "window_id": 6, + "train_start": "2018-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "evar", + "n_train": 1761, + "n_oos": 304, + "oos_ann_return": 0.0179, + "oos_sharpe": 4.396, + "model_path": "models/deepm_optionA_w6_evar.pt" + }, + { + "window_id": 6, + "train_start": "2018-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "sharpe", + "n_train": 1761, + "n_oos": 304, + "oos_ann_return": 0.1642, + "oos_sharpe": 1.8248, + "model_path": "models/deepm_optionA_w6_sharpe.pt" + }, + { + "window_id": 7, + "train_start": "2020-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "evar", + "n_train": 1258, + "n_oos": 304, + "oos_ann_return": 0.0849, + "oos_sharpe": 1.9122, + "model_path": "models/deepm_optionA_w7_evar.pt" + }, + { + "window_id": 7, + "train_start": "2020-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "sharpe", + "n_train": 1258, + "n_oos": 304, + "oos_ann_return": 0.1984, + "oos_sharpe": 2.8234, + "model_path": "models/deepm_optionA_w7_sharpe.pt" + }, + { + "window_id": 8, + "train_start": "2022-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "evar", + "n_train": 753, + "n_oos": 304, + "oos_ann_return": 0.1081, + "oos_sharpe": 1.8675, + "model_path": "models/deepm_optionA_w8_evar.pt" + }, + { + "window_id": 8, + "train_start": "2022-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "sharpe", + "n_train": 753, + "n_oos": 304, + "oos_ann_return": 0.3874, + "oos_sharpe": 2.0963, + "model_path": "models/deepm_optionA_w8_sharpe.pt" + } + ], + "n_assets": 8, + "tickers": [ + "TLT", + "LQD", + "HYG", + "VNQ", + "GLD", + "SLV", + "PFF", + "MBB" + ], + "n_asset_feats": 8, + "n_macro_feats": 19, + "config": { + "lookback": 60, + "asset_hidden_dim": 64, + "macro_hidden_dim": 64, + "graph_hidden_dim": 64 + } +} \ No newline at end of file diff --git a/models/meta_optionB.json b/models/meta_optionB.json index 75945a3ff9675405ce948a47178e77a0efe6a8bb..b1f08e49fdd430647cbae24126a0f3ba8cdc04fc 100644 --- a/models/meta_optionB.json +++ b/models/meta_optionB.json @@ -1,7 +1,7 @@ { "option": "B", - "trained_at": "2026-03-22T09:47:10.461242", - "elapsed_sec": 189.0, + "trained_at": "2026-03-22T11:04:26.391473", + "elapsed_sec": 151.4, "n_params": 130201, "n_assets": 12, "tickers": [ @@ -22,12 +22,12 @@ "n_macro_feats": 19, "lookback": 60, "loss_fn": "sharpe", - "best_val_loss": -0.947001, - "best_val_sharpe": 0.7491, - "best_val_ann_return": 0.1677, - "test_loss": -1.284006, - "test_sharpe": 1.4435, - "test_ann_return": 0.2379, + "best_val_loss": -1.049846, + "best_val_sharpe": 0.7684, + "best_val_ann_return": 0.1144, + "test_loss": -1.418587, + "test_sharpe": 1.2825, + "test_ann_return": 0.1501, "splits": { "n_train": 3165, "n_val": 678, @@ -39,88 +39,76 @@ }, "history": { "train_loss": [ - -0.99345, - -1.249974, - -1.402435, - -1.338792, - -1.209602, - -1.363414, - -1.393575, - -1.536172, - -1.704517, - -1.847621, - -1.815292, - -2.034365, - -1.915034, - -1.927128, - -2.213792, - -2.084215, - -2.105586, - -2.487548, - -2.579513 + -1.04965, + -1.354829, + -1.783602, + -1.67238, + -1.718215, + -2.048243, + -2.178563, + -2.209486, + -2.347184, + -2.408727, + -2.453569, + -2.489992, + -2.162948, + -2.806999, + -2.515694, + -2.556902 ], "val_loss": [ - -1.020616, - -1.014517, - -0.839394, - -0.947001, - -0.933546, - -0.857604, - -0.668954, - -0.792295, - -0.777011, - -0.93956, - -1.400299, - -1.286249, - -1.523294, - -1.643814, - -1.846599, - -1.864505, - -1.766832, - -1.872876, - -1.949544 + -1.049846, + -1.720506, + -2.240231, + -1.929698, + -2.104919, + -2.250379, + -1.959047, + -0.916039, + -2.318177, + -2.32611, + -2.086918, + -1.030543, + -1.677597, + -2.067374, + -2.094461, + -1.825492 ], "val_sharpe": [ - 0.7847, - 0.63, - 0.4888, - 0.7491, - 0.5712, - 0.4577, - 0.3798, - 0.3545, - 0.2609, - 0.2688, - 0.361, - 0.2563, - 0.3827, - 0.398, - 0.7021, - 0.4936, - 0.7783, - 0.6996, - 0.4816 + 0.7684, + 0.7509, + 0.663, + 0.5142, + 0.9314, + 0.4107, + 0.7156, + 0.4905, + 0.6178, + 0.7953, + 0.5925, + 0.6097, + 0.4454, + 0.7713, + 0.5586, + 0.5506 ], "val_ann_return": [ - 0.1291, - 0.1177, - 0.0862, - 0.1677, - 0.0997, - 0.0819, - 0.0633, - 0.0611, - 0.044, - 0.0465, - 0.0548, + 0.1144, + 0.0731, + 0.0776, + 0.0475, 0.0345, - 0.0485, - 0.0523, - 0.0878, - 0.0593, - 0.0987, - 0.0899, - 0.0458 + 0.04, + 0.0495, + 0.0747, + 0.074, + 0.1, + 0.0529, + 0.0844, + 0.0432, + 0.061, + 0.0355, + 0.0592 ] }, "config": { diff --git a/models/meta_optionB_window.json b/models/meta_optionB_window.json new file mode 100644 index 0000000000000000000000000000000000000000..46a215a50c50c82d70838ed46d29842b588fe7be --- /dev/null +++ b/models/meta_optionB_window.json @@ -0,0 +1,229 @@ +{ + "option": "B", + "trained_at": "2026-03-22T12:13:27.163130", + "elapsed_sec": 2709.6, + "n_windows": 8, + "winning_window": 1, + "winning_train_start": "2008-01-01", + "winning_train_end": "2024-12-31", + "winning_loss": "sharpe", + "oos_ann_return": 0.3014, + "oos_sharpe": 2.3115, + "all_windows": [ + { + "window_id": 1, + "train_start": "2008-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "evar", + "n_train": 4218, + "n_oos": 304, + "oos_ann_return": 0.0134, + "oos_sharpe": 66472.5277, + "model_path": "models/deepm_optionB_w1_evar.pt" + }, + { + "window_id": 1, + "train_start": "2008-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "sharpe", + "n_train": 4218, + "n_oos": 304, + "oos_ann_return": 0.3014, + "oos_sharpe": 2.3115, + "model_path": "models/deepm_optionB_w1_sharpe.pt" + }, + { + "window_id": 2, + "train_start": "2010-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "evar", + "n_train": 3774, + "n_oos": 304, + "oos_ann_return": 0.0134, + "oos_sharpe": 64356.6666, + "model_path": "models/deepm_optionB_w2_evar.pt" + }, + { + "window_id": 2, + "train_start": "2010-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "sharpe", + "n_train": 3774, + "n_oos": 304, + "oos_ann_return": 0.1459, + "oos_sharpe": 1.0042, + "model_path": "models/deepm_optionB_w2_sharpe.pt" + }, + { + "window_id": 3, + "train_start": "2012-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "evar", + "n_train": 3270, + "n_oos": 304, + "oos_ann_return": 0.0134, + "oos_sharpe": 70483.3224, + "model_path": "models/deepm_optionB_w3_evar.pt" + }, + { + "window_id": 3, + "train_start": "2012-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "sharpe", + "n_train": 3270, + "n_oos": 304, + "oos_ann_return": 0.2649, + "oos_sharpe": 2.0824, + "model_path": "models/deepm_optionB_w3_sharpe.pt" + }, + { + "window_id": 4, + "train_start": "2014-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "evar", + "n_train": 2768, + "n_oos": 304, + "oos_ann_return": 0.0134, + "oos_sharpe": 41526.4553, + "model_path": "models/deepm_optionB_w4_evar.pt" + }, + { + "window_id": 4, + "train_start": "2014-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "sharpe", + "n_train": 2768, + "n_oos": 304, + "oos_ann_return": 0.2562, + "oos_sharpe": 1.2763, + "model_path": "models/deepm_optionB_w4_sharpe.pt" + }, + { + "window_id": 5, + "train_start": "2016-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "evar", + "n_train": 2264, + "n_oos": 304, + "oos_ann_return": 0.0136, + "oos_sharpe": 95.6671, + "model_path": "models/deepm_optionB_w5_evar.pt" + }, + { + "window_id": 5, + "train_start": "2016-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "sharpe", + "n_train": 2264, + "n_oos": 304, + "oos_ann_return": 0.1901, + "oos_sharpe": 1.2699, + "model_path": "models/deepm_optionB_w5_sharpe.pt" + }, + { + "window_id": 6, + "train_start": "2018-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "evar", + "n_train": 1761, + "n_oos": 304, + "oos_ann_return": 0.0152, + "oos_sharpe": 14.0732, + "model_path": "models/deepm_optionB_w6_evar.pt" + }, + { + "window_id": 6, + "train_start": "2018-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "sharpe", + "n_train": 1761, + "n_oos": 304, + "oos_ann_return": 0.2854, + "oos_sharpe": 1.3675, + "model_path": "models/deepm_optionB_w6_sharpe.pt" + }, + { + "window_id": 7, + "train_start": "2020-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "evar", + "n_train": 1258, + "n_oos": 304, + "oos_ann_return": 0.0848, + "oos_sharpe": 1.2474, + "model_path": "models/deepm_optionB_w7_evar.pt" + }, + { + "window_id": 7, + "train_start": "2020-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "sharpe", + "n_train": 1258, + "n_oos": 304, + "oos_ann_return": 0.196, + "oos_sharpe": 1.3039, + "model_path": "models/deepm_optionB_w7_sharpe.pt" + }, + { + "window_id": 8, + "train_start": "2022-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "evar", + "n_train": 753, + "n_oos": 304, + "oos_ann_return": 0.1793, + "oos_sharpe": 1.3535, + "model_path": "models/deepm_optionB_w8_evar.pt" + }, + { + "window_id": 8, + "train_start": "2022-01-01", + "train_end": "2024-12-31", + "oos_start": "2025-01-01", + "loss_fn": "sharpe", + "n_train": 753, + "n_oos": 304, + "oos_ann_return": 0.2196, + "oos_sharpe": 1.3065, + "model_path": "models/deepm_optionB_w8_sharpe.pt" + } + ], + "n_assets": 12, + "tickers": [ + "SPY", + "QQQ", + "XLK", + "XLF", + "XLE", + "XLV", + "XLI", + "XLY", + "XLP", + "XLU", + "GDX", + "XME" + ], + "n_asset_feats": 8, + "n_macro_feats": 19, + "config": { + "lookback": 60, + "asset_hidden_dim": 64, + "macro_hidden_dim": 64, + "graph_hidden_dim": 64 + } +} \ No newline at end of file diff --git a/models/scaler_optionA_window.pkl b/models/scaler_optionA_window.pkl new file mode 100644 index 0000000000000000000000000000000000000000..c2c2bfa27973bab5208574cd3ff5cf70ee3f0ec2 --- /dev/null +++ b/models/scaler_optionA_window.pkl @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:d215959fd257d1bc8337a471a05ebd19d3f33bd74e83697f518468f293488c79 +size 927 diff --git a/models/scaler_optionB_window.pkl b/models/scaler_optionB_window.pkl new file mode 100644 index 0000000000000000000000000000000000000000..2835c5db6544c2a2db442a5bd72f685ae4bb1c71 --- /dev/null +++ b/models/scaler_optionB_window.pkl @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:1ed156ffa07904405ce5e592469e80619efd012eeb85929cea1d6614a54b5a4d +size 927 diff --git a/models/signal_A.json b/models/signal_A.json index e1ca992c4c545b4142a234b0706afad06c983447..60218d878fab051d8d44c81c7571515417e40fa4 100644 --- a/models/signal_A.json +++ b/models/signal_A.json @@ -1,21 +1,22 @@ { "option": "A", + "mode": "fixed_split", "option_name": "Fixed Income / Alts", "signal_date": "2026-03-23", "last_data_date": "2026-03-20", - "generated_at": "2026-03-22T09:47:13.756141", - "pick": "TLT", - "conviction": 0.5685, + "generated_at": "2026-03-22T12:13:30.290509", + "pick": "PFF", + "conviction": 0.8381, "weights": { - "TLT": 0.5685, - "LQD": 0.0088, - "HYG": 0.0052, - "VNQ": 0.2288, - "GLD": 0.1515, - "SLV": 0.0219, - "PFF": 0.0049, - "MBB": 0.0058, - "CASH": 0.0046 + "TLT": 0.0049, + "LQD": 0.0724, + "HYG": 0.0641, + "VNQ": 0.0058, + "GLD": 0.0004, + "SLV": 0.0006, + "PFF": 0.8381, + "MBB": 0.0111, + "CASH": 0.0026 }, "regime_context": { "VIX": 24.06, @@ -24,9 +25,9 @@ "USD_INDEX": 120.55 }, "macro_stress": 1.753, - "trained_at": "2026-03-22T09:41:20.225919", - "test_sharpe": 1.7264, - "test_ann_return": 0.1529, + "trained_at": "2026-03-22T10:59:24.030371", "winning_loss": "sharpe", + "test_sharpe": 1.8254, + "test_ann_return": 0.2369, "model_n_params": 129681 } \ No newline at end of file diff --git a/models/signal_A_window.json b/models/signal_A_window.json new file mode 100644 index 0000000000000000000000000000000000000000..134a3e15744630052f7f2987204f0104870d14ce --- /dev/null +++ b/models/signal_A_window.json @@ -0,0 +1,35 @@ +{ + "option": "A", + "mode": "shrinking_window", + "option_name": "Fixed Income / Alts", + "signal_date": "2026-03-23", + "last_data_date": "2026-03-20", + "generated_at": "2026-03-22T12:13:30.497208", + "pick": "GLD", + "conviction": 0.8632, + "weights": { + "TLT": 0.0023, + "LQD": 0.005, + "HYG": 0.0235, + "VNQ": 0.0201, + "GLD": 0.8632, + "SLV": 0.0301, + "PFF": 0.0264, + "MBB": 0.0182, + "CASH": 0.0112 + }, + "regime_context": { + "VIX": 24.06, + "T10Y2Y": 0.51, + "HY_SPREAD": 3.27, + "USD_INDEX": 120.55 + }, + "macro_stress": 1.753, + "trained_at": "2026-03-22T11:28:17.580317", + "winning_window": 8, + "winning_train_start": "2022-01-01", + "winning_train_end": "2024-12-31", + "winning_loss": "sharpe", + "oos_ann_return": 0.3874, + "oos_sharpe": 2.0963 +} \ No newline at end of file diff --git a/models/signal_B.json b/models/signal_B.json index de27db26d6cdfdfb42ac6eda8324d423bfa1daae..8ae95ee7ecb654887377eec95e292b206d0af432 100644 --- a/models/signal_B.json +++ b/models/signal_B.json @@ -1,25 +1,26 @@ { "option": "B", + "mode": "fixed_split", "option_name": "Equity Sectors", "signal_date": "2026-03-23", "last_data_date": "2026-03-20", - "generated_at": "2026-03-22T09:47:13.987592", - "pick": "GDX", - "conviction": 0.4637, + "generated_at": "2026-03-22T12:13:30.715113", + "pick": "CASH", + "conviction": 0.1343, "weights": { - "SPY": 0.037, - "QQQ": 0.0455, - "XLK": 0.049, - "XLF": 0.057, - "XLE": 0.1, - "XLV": 0.0306, - "XLI": 0.0343, - "XLY": 0.0397, - "XLP": 0.048, - "XLU": 0.0373, - "GDX": 0.4637, - "XME": 0.0428, - "CASH": 0.015 + "SPY": 0.0767, + "QQQ": 0.0982, + "XLK": 0.1081, + "XLF": 0.0638, + "XLE": 0.043, + "XLV": 0.0812, + "XLI": 0.0483, + "XLY": 0.0795, + "XLP": 0.1049, + "XLU": 0.0934, + "GDX": 0.0363, + "XME": 0.0323, + "CASH": 0.1343 }, "regime_context": { "VIX": 24.06, @@ -28,9 +29,9 @@ "USD_INDEX": 120.55 }, "macro_stress": 1.753, - "trained_at": "2026-03-22T09:47:10.461242", - "test_sharpe": 1.4435, - "test_ann_return": 0.2379, + "trained_at": "2026-03-22T11:04:26.391473", "winning_loss": "sharpe", + "test_sharpe": 1.2825, + "test_ann_return": 0.1501, "model_n_params": 130201 } \ No newline at end of file diff --git a/models/signal_B_window.json b/models/signal_B_window.json new file mode 100644 index 0000000000000000000000000000000000000000..dd9f4ceab3b9a22927579af27c76d67b87f6ef26 --- /dev/null +++ b/models/signal_B_window.json @@ -0,0 +1,39 @@ +{ + "option": "B", + "mode": "shrinking_window", + "option_name": "Equity Sectors", + "signal_date": "2026-03-23", + "last_data_date": "2026-03-20", + "generated_at": "2026-03-22T12:13:30.934460", + "pick": "XLY", + "conviction": 0.1696, + "weights": { + "SPY": 0.0313, + "QQQ": 0.0609, + "XLK": 0.0616, + "XLF": 0.1076, + "XLE": 0.0432, + "XLV": 0.081, + "XLI": 0.0963, + "XLY": 0.1696, + "XLP": 0.0735, + "XLU": 0.0538, + "GDX": 0.0414, + "XME": 0.101, + "CASH": 0.0787 + }, + "regime_context": { + "VIX": 24.06, + "T10Y2Y": 0.51, + "HY_SPREAD": 3.27, + "USD_INDEX": 120.55 + }, + "macro_stress": 1.753, + "trained_at": "2026-03-22T12:13:27.163130", + "winning_window": 1, + "winning_train_start": "2008-01-01", + "winning_train_end": "2024-12-31", + "winning_loss": "sharpe", + "oos_ann_return": 0.3014, + "oos_sharpe": 2.3115 +} \ No newline at end of file diff --git a/models/signal_history_A.json b/models/signal_history_A.json index 0ea350e474cf3ad4c193fbaa3e4e8be35a566951..73cbe3131814505e6c6ed18597e04879b70f22b9 100644 --- a/models/signal_history_A.json +++ b/models/signal_history_A.json @@ -1,8 +1,8 @@ [ { "signal_date": "2026-03-23", - "pick": "TLT", - "conviction": 0.5685, - "generated_at": "2026-03-22T09:47:13.756141" + "pick": "PFF", + "conviction": 0.8381, + "generated_at": "2026-03-22T12:13:30.290509" } ] \ No newline at end of file diff --git a/models/signal_history_B.json b/models/signal_history_B.json index 1bf5c2b87341e1e32ce05ec97f0f9b3fa33a3708..5743b37c6edfcd90950ce90853a8a06c28e83094 100644 --- a/models/signal_history_B.json +++ b/models/signal_history_B.json @@ -1,8 +1,8 @@ [ { "signal_date": "2026-03-23", - "pick": "GDX", - "conviction": 0.4637, - "generated_at": "2026-03-22T09:47:13.987592" + "pick": "CASH", + "conviction": 0.1343, + "generated_at": "2026-03-22T12:13:30.715113" } ] \ No newline at end of file