[auto] Update DeePM model weights and signals
Browse filesThis view is limited to 50 files because it contains too many changes. See raw diff
- models/deepm_optionA_best.pt +2 -2
- models/deepm_optionA_evar_best.pt +2 -2
- models/deepm_optionA_sharpe_best.pt +2 -2
- models/deepm_optionA_w1_evar.pt +2 -2
- models/deepm_optionA_w1_sharpe.pt +2 -2
- models/deepm_optionA_w2_evar.pt +2 -2
- models/deepm_optionA_w2_sharpe.pt +2 -2
- models/deepm_optionA_w3_evar.pt +2 -2
- models/deepm_optionA_w3_sharpe.pt +2 -2
- models/deepm_optionA_w4_evar.pt +2 -2
- models/deepm_optionA_w4_sharpe.pt +2 -2
- models/deepm_optionA_w5_evar.pt +2 -2
- models/deepm_optionA_w5_sharpe.pt +2 -2
- models/deepm_optionA_w6_evar.pt +2 -2
- models/deepm_optionA_w6_sharpe.pt +2 -2
- models/deepm_optionA_w7_evar.pt +2 -2
- models/deepm_optionA_w7_sharpe.pt +2 -2
- models/deepm_optionA_w8_evar.pt +2 -2
- models/deepm_optionA_w8_sharpe.pt +2 -2
- models/deepm_optionA_window_best.pt +2 -2
- models/deepm_optionB_best.pt +2 -2
- models/deepm_optionB_evar_best.pt +2 -2
- models/deepm_optionB_sharpe_best.pt +2 -2
- models/deepm_optionB_w1_evar.pt +2 -2
- models/deepm_optionB_w1_sharpe.pt +2 -2
- models/deepm_optionB_w2_evar.pt +2 -2
- models/deepm_optionB_w2_sharpe.pt +2 -2
- models/deepm_optionB_w3_evar.pt +2 -2
- models/deepm_optionB_w3_sharpe.pt +2 -2
- models/deepm_optionB_w4_evar.pt +2 -2
- models/deepm_optionB_w4_sharpe.pt +2 -2
- models/deepm_optionB_w5_evar.pt +2 -2
- models/deepm_optionB_w5_sharpe.pt +2 -2
- models/deepm_optionB_w6_evar.pt +2 -2
- models/deepm_optionB_w6_sharpe.pt +2 -2
- models/deepm_optionB_w7_evar.pt +2 -2
- models/deepm_optionB_w7_sharpe.pt +2 -2
- models/deepm_optionB_w8_evar.pt +2 -2
- models/deepm_optionB_w8_sharpe.pt +2 -2
- models/deepm_optionB_window_best.pt +2 -2
- models/latest_signals.json +92 -92
- models/meta_optionA.json +123 -111
- models/meta_optionA_window.json +57 -57
- models/meta_optionB.json +88 -84
- models/meta_optionB_window.json +57 -57
- models/scaler_optionA.pkl +2 -2
- models/scaler_optionA_window.pkl +2 -2
- models/scaler_optionB.pkl +2 -2
- models/scaler_optionB_window.pkl +2 -2
- models/signal_A.json +20 -20
models/deepm_optionA_best.pt
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models/deepm_optionA_w1_evar.pt
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models/deepm_optionA_w1_sharpe.pt
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models/deepm_optionA_w2_evar.pt
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models/deepm_optionA_w3_evar.pt
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models/deepm_optionA_w3_sharpe.pt
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models/deepm_optionA_w4_evar.pt
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models/deepm_optionA_w4_sharpe.pt
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models/deepm_optionA_w6_evar.pt
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models/deepm_optionA_w7_evar.pt
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models/deepm_optionB_best.pt
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| 1 |
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models/meta_optionA_window.json
CHANGED
|
@@ -1,14 +1,14 @@
|
|
| 1 |
{
|
| 2 |
"option": "A",
|
| 3 |
-
"trained_at": "2026-03-
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| 4 |
-
"elapsed_sec":
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| 5 |
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| 6 |
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"winning_train_start": "
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| 9 |
"winning_loss": "sharpe",
|
| 10 |
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| 11 |
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"oos_sharpe":
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| 12 |
"all_windows": [
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| 13 |
{
|
| 14 |
"window_id": 1,
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|
@@ -16,10 +16,10 @@
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|
| 16 |
"train_end": "2024-12-31",
|
| 17 |
"oos_start": "2025-01-01",
|
| 18 |
"loss_fn": "evar",
|
| 19 |
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"n_train":
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| 21 |
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|
| 22 |
-
"oos_sharpe": 1.
|
| 23 |
"model_path": "models/deepm_optionA_w1_evar.pt"
|
| 24 |
},
|
| 25 |
{
|
|
@@ -28,10 +28,10 @@
|
|
| 28 |
"train_end": "2024-12-31",
|
| 29 |
"oos_start": "2025-01-01",
|
| 30 |
"loss_fn": "sharpe",
|
| 31 |
-
"n_train":
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| 32 |
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"n_oos":
|
| 33 |
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|
| 34 |
-
"oos_sharpe":
|
| 35 |
"model_path": "models/deepm_optionA_w1_sharpe.pt"
|
| 36 |
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|
| 37 |
{
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|
@@ -41,9 +41,9 @@
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|
| 41 |
"oos_start": "2025-01-01",
|
| 42 |
"loss_fn": "evar",
|
| 43 |
"n_train": 3774,
|
| 44 |
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"n_oos":
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| 45 |
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"oos_ann_return": 0.
|
| 46 |
-
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|
| 47 |
"model_path": "models/deepm_optionA_w2_evar.pt"
|
| 48 |
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|
| 49 |
{
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|
@@ -53,9 +53,9 @@
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|
| 53 |
"oos_start": "2025-01-01",
|
| 54 |
"loss_fn": "sharpe",
|
| 55 |
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|
| 56 |
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"n_oos":
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| 57 |
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|
| 58 |
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|
| 59 |
"model_path": "models/deepm_optionA_w2_sharpe.pt"
|
| 60 |
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|
| 61 |
{
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|
@@ -65,9 +65,9 @@
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|
| 65 |
"oos_start": "2025-01-01",
|
| 66 |
"loss_fn": "evar",
|
| 67 |
"n_train": 3270,
|
| 68 |
-
"n_oos":
|
| 69 |
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|
| 70 |
-
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|
| 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 |
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|
| 81 |
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|
| 82 |
-
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|
| 83 |
"model_path": "models/deepm_optionA_w3_sharpe.pt"
|
| 84 |
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|
| 85 |
{
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|
@@ -89,9 +89,9 @@
|
|
| 89 |
"oos_start": "2025-01-01",
|
| 90 |
"loss_fn": "evar",
|
| 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_optionA_w4_evar.pt"
|
| 96 |
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|
| 97 |
{
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|
@@ -101,9 +101,9 @@
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|
| 101 |
"oos_start": "2025-01-01",
|
| 102 |
"loss_fn": "sharpe",
|
| 103 |
"n_train": 2768,
|
| 104 |
-
"n_oos":
|
| 105 |
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|
| 106 |
-
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|
| 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 |
-
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|
| 117 |
-
"oos_ann_return": 0.
|
| 118 |
-
"oos_sharpe": 1.
|
| 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":
|
| 129 |
-
"oos_ann_return": 0.
|
| 130 |
-
"oos_sharpe": 1.
|
| 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":
|
| 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": 1.
|
| 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 |
},
|
| 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_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":
|
| 189 |
-
"oos_ann_return": 0.
|
| 190 |
-
"oos_sharpe":
|
| 191 |
"model_path": "models/deepm_optionA_w8_evar.pt"
|
| 192 |
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|
| 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":
|
| 203 |
"model_path": "models/deepm_optionA_w8_sharpe.pt"
|
| 204 |
}
|
| 205 |
],
|
|
@@ -216,7 +216,7 @@
|
|
| 216 |
],
|
| 217 |
"include_cash": true,
|
| 218 |
"n_asset_feats": 8,
|
| 219 |
-
"n_macro_feats":
|
| 220 |
"config": {
|
| 221 |
"lookback": 60,
|
| 222 |
"asset_hidden_dim": 64,
|
|
|
|
| 1 |
{
|
| 2 |
"option": "A",
|
| 3 |
+
"trained_at": "2026-03-24T08:31:57.103619",
|
| 4 |
+
"elapsed_sec": 2092.5,
|
| 5 |
"n_windows": 8,
|
| 6 |
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"winning_window": 8,
|
| 7 |
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"winning_train_start": "2022-01-01",
|
| 8 |
"winning_train_end": "2024-12-31",
|
| 9 |
"winning_loss": "sharpe",
|
| 10 |
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"oos_ann_return": 0.335,
|
| 11 |
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"oos_sharpe": 2.8251,
|
| 12 |
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|
| 13 |
{
|
| 14 |
"window_id": 1,
|
|
|
|
| 16 |
"train_end": "2024-12-31",
|
| 17 |
"oos_start": "2025-01-01",
|
| 18 |
"loss_fn": "evar",
|
| 19 |
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"n_train": 4214,
|
| 20 |
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|
| 21 |
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"oos_ann_return": 0.0675,
|
| 22 |
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|
| 23 |
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|
| 24 |
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| 25 |
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| 28 |
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| 29 |
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| 41 |
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| 49 |
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|
| 53 |
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| 60 |
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| 61 |
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|
| 65 |
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| 66 |
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|
| 77 |
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|
| 89 |
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| 90 |
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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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| 113 |
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|
| 120 |
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|
| 125 |
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|
| 126 |
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|
| 127 |
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|
| 128 |
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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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| 144 |
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|
| 149 |
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| 150 |
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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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| 167 |
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{
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|
| 173 |
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| 174 |
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|
| 175 |
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|
| 180 |
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| 181 |
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|
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|
| 185 |
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| 186 |
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| 187 |
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| 188 |
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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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|
| 216 |
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| 217 |
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| 218 |
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| 222 |
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models/meta_optionB.json
CHANGED
|
@@ -1,8 +1,8 @@
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|
| 1 |
{
|
| 2 |
"option": "B",
|
| 3 |
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| 8 |
"SPY",
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|
@@ -20,100 +20,104 @@
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|
| 20 |
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|
| 21 |
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|
| 22 |
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| 23 |
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| 25 |
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models/meta_optionB_window.json
CHANGED
|
@@ -1,14 +1,14 @@
|
|
| 1 |
{
|
| 2 |
"option": "B",
|
| 3 |
-
"trained_at": "2026-03-
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| 4 |
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| 5 |
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| 9 |
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| 10 |
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| 11 |
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| 12 |
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| 13 |
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| 14 |
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|
@@ -16,10 +16,10 @@
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|
| 16 |
"train_end": "2024-12-31",
|
| 17 |
"oos_start": "2025-01-01",
|
| 18 |
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| 19 |
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| 22 |
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| 23 |
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| 24 |
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| 25 |
{
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|
@@ -28,10 +28,10 @@
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|
| 28 |
"train_end": "2024-12-31",
|
| 29 |
"oos_start": "2025-01-01",
|
| 30 |
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| 31 |
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"n_train":
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| 32 |
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| 34 |
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| 35 |
"model_path": "models/deepm_optionB_w1_sharpe.pt"
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| 36 |
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| 37 |
{
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|
@@ -41,9 +41,9 @@
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|
| 41 |
"oos_start": "2025-01-01",
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| 42 |
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| 43 |
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| 44 |
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| 47 |
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| 48 |
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| 49 |
{
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|
@@ -53,9 +53,9 @@
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|
| 53 |
"oos_start": "2025-01-01",
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| 54 |
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| 55 |
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| 56 |
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| 58 |
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|
| 59 |
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|
| 60 |
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|
| 61 |
{
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@@ -65,9 +65,9 @@
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| 65 |
"oos_start": "2025-01-01",
|
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|
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|
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-
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|
| 70 |
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|
| 71 |
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|
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{
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@@ -77,9 +77,9 @@
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"oos_start": "2025-01-01",
|
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|
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-
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|
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|
| 82 |
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|
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{
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@@ -89,9 +89,9 @@
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"oos_start": "2025-01-01",
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|
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-
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|
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|
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{
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@@ -101,9 +101,9 @@
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"oos_start": "2025-01-01",
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|
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|
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{
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@@ -113,9 +113,9 @@
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|
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{
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{
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{
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@@ -149,9 +149,9 @@
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"oos_start": "2025-01-01",
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{
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@@ -161,9 +161,9 @@
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|
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|
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|
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|
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{
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@@ -173,9 +173,9 @@
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"oos_start": "2025-01-01",
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{
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@@ -185,9 +185,9 @@
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|
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|
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|
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|
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{
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@@ -197,9 +197,9 @@
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| 203 |
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|
| 204 |
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|
| 205 |
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|
|
@@ -220,7 +220,7 @@
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|
| 220 |
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|
| 221 |
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|
| 222 |
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|
| 223 |
-
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| 224 |
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|
| 225 |
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|
| 226 |
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|
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|
| 1 |
{
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| 2 |
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|
| 3 |
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|
| 4 |
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| 5 |
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| 6 |
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| 8 |
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| 9 |
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| 10 |
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| 11 |
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| 12 |
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| 13 |
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| 16 |
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| 17 |
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| 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 |
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| 24 |
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| 25 |
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| 28 |
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| 29 |
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| 35 |
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| 36 |
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| 41 |
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| 42 |
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| 48 |
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| 53 |
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| 54 |
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models/scaler_optionA.pkl
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models/scaler_optionB_window.pkl
CHANGED
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models/signal_A.json
CHANGED
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@@ -2,31 +2,31 @@
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| 3 |
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| 24 |
+
"USD_INDEX": 120.28
|
| 25 |
},
|
| 26 |
+
"macro_stress": null,
|
| 27 |
+
"trained_at": "2026-03-24T07:50:33.528086",
|
| 28 |
"winning_loss": "sharpe",
|
| 29 |
+
"test_sharpe": 0.4935,
|
| 30 |
+
"test_ann_return": 0.0775,
|
| 31 |
+
"model_n_params": 128400
|
| 32 |
}
|