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"oos_sharpe": 2.8251, "all_windows": [ { "window_id": 1, @@ -16,10 +16,10 @@ "train_end": "2024-12-31", "oos_start": "2025-01-01", "loss_fn": "evar", - "n_train": 4218, - "n_oos": 304, - "oos_ann_return": 0.0664, - "oos_sharpe": 1.3681, + "n_train": 4214, + "n_oos": 305, + "oos_ann_return": 0.0675, + "oos_sharpe": 1.3548, "model_path": "models/deepm_optionA_w1_evar.pt" }, { @@ -28,10 +28,10 @@ "train_end": "2024-12-31", "oos_start": "2025-01-01", "loss_fn": "sharpe", - "n_train": 4218, - "n_oos": 304, - "oos_ann_return": 0.1902, - "oos_sharpe": 2.4987, + "n_train": 4214, + "n_oos": 305, + "oos_ann_return": 0.086, + "oos_sharpe": 0.8394, "model_path": "models/deepm_optionA_w1_sharpe.pt" }, { @@ -41,9 +41,9 @@ "oos_start": "2025-01-01", "loss_fn": "evar", "n_train": 3774, - "n_oos": 304, - "oos_ann_return": 0.0643, - "oos_sharpe": 1.2916, + "n_oos": 305, + "oos_ann_return": 0.068, + "oos_sharpe": 1.4326, "model_path": "models/deepm_optionA_w2_evar.pt" }, { @@ -53,9 +53,9 @@ "oos_start": "2025-01-01", "loss_fn": "sharpe", "n_train": 3774, - "n_oos": 304, - "oos_ann_return": 0.4664, - "oos_sharpe": 1.9343, + "n_oos": 305, + "oos_ann_return": 0.1683, + "oos_sharpe": 1.5198, "model_path": "models/deepm_optionA_w2_sharpe.pt" }, { @@ -65,9 +65,9 @@ "oos_start": "2025-01-01", "loss_fn": "evar", "n_train": 3270, - "n_oos": 304, - "oos_ann_return": 0.0643, - "oos_sharpe": 1.291, + "n_oos": 305, + "oos_ann_return": 0.0675, + "oos_sharpe": 1.3546, "model_path": "models/deepm_optionA_w3_evar.pt" }, { @@ -77,9 +77,9 @@ "oos_start": "2025-01-01", "loss_fn": "sharpe", "n_train": 3270, - "n_oos": 304, - "oos_ann_return": 0.1288, - "oos_sharpe": 1.2988, + "n_oos": 305, + "oos_ann_return": 0.0979, + "oos_sharpe": 1.0801, "model_path": "models/deepm_optionA_w3_sharpe.pt" }, { @@ -89,9 +89,9 @@ "oos_start": "2025-01-01", "loss_fn": "evar", "n_train": 2768, - "n_oos": 304, - "oos_ann_return": 0.0708, - "oos_sharpe": 1.5909, + "n_oos": 305, + "oos_ann_return": 0.071, + "oos_sharpe": 1.5298, "model_path": "models/deepm_optionA_w4_evar.pt" }, { @@ -101,9 +101,9 @@ "oos_start": "2025-01-01", "loss_fn": "sharpe", "n_train": 2768, - "n_oos": 304, - "oos_ann_return": 0.1889, - "oos_sharpe": 1.5674, + "n_oos": 305, + "oos_ann_return": 0.203, + "oos_sharpe": 1.5101, "model_path": "models/deepm_optionA_w4_sharpe.pt" }, { @@ -113,9 +113,9 @@ "oos_start": "2025-01-01", "loss_fn": "evar", "n_train": 2264, - "n_oos": 304, - "oos_ann_return": 0.0758, - "oos_sharpe": 1.7232, + "n_oos": 305, + "oos_ann_return": 0.076, + "oos_sharpe": 1.6385, "model_path": "models/deepm_optionA_w5_evar.pt" }, { @@ -125,9 +125,9 @@ "oos_start": "2025-01-01", "loss_fn": "sharpe", "n_train": 2264, - "n_oos": 304, - "oos_ann_return": 0.1699, - "oos_sharpe": 1.8048, + "n_oos": 305, + "oos_ann_return": 0.1842, + "oos_sharpe": 1.2937, "model_path": "models/deepm_optionA_w5_sharpe.pt" }, { @@ -137,9 +137,9 @@ "oos_start": "2025-01-01", "loss_fn": "evar", "n_train": 1761, - "n_oos": 304, - "oos_ann_return": 0.0734, - "oos_sharpe": 1.5089, + "n_oos": 305, + "oos_ann_return": 0.0694, + "oos_sharpe": 1.4988, "model_path": "models/deepm_optionA_w6_evar.pt" }, { @@ -149,9 +149,9 @@ "oos_start": "2025-01-01", "loss_fn": "sharpe", "n_train": 1761, - "n_oos": 304, - "oos_ann_return": 0.193, - "oos_sharpe": 1.8404, + "n_oos": 305, + "oos_ann_return": 0.189, + "oos_sharpe": 1.8347, "model_path": "models/deepm_optionA_w6_sharpe.pt" }, { @@ -161,9 +161,9 @@ "oos_start": "2025-01-01", "loss_fn": "evar", "n_train": 1258, - "n_oos": 304, - "oos_ann_return": 0.1174, - "oos_sharpe": 1.6901, + "n_oos": 305, + "oos_ann_return": 0.0856, + "oos_sharpe": 1.6834, "model_path": "models/deepm_optionA_w7_evar.pt" }, { @@ -173,9 +173,9 @@ "oos_start": "2025-01-01", "loss_fn": "sharpe", "n_train": 1258, - "n_oos": 304, - "oos_ann_return": 0.2758, - "oos_sharpe": 2.6769, + "n_oos": 305, + "oos_ann_return": 0.2721, + "oos_sharpe": 1.9482, "model_path": "models/deepm_optionA_w7_sharpe.pt" }, { @@ -185,9 +185,9 @@ "oos_start": "2025-01-01", "loss_fn": "evar", "n_train": 753, - "n_oos": 304, - "oos_ann_return": 0.1653, - "oos_sharpe": 1.9456, + "n_oos": 305, + "oos_ann_return": 0.1254, + "oos_sharpe": 2.0137, "model_path": "models/deepm_optionA_w8_evar.pt" }, { @@ -197,9 +197,9 @@ "oos_start": "2025-01-01", "loss_fn": "sharpe", "n_train": 753, - "n_oos": 304, - "oos_ann_return": 0.4178, - "oos_sharpe": 1.9452, + "n_oos": 305, + "oos_ann_return": 0.335, + "oos_sharpe": 2.8251, "model_path": "models/deepm_optionA_w8_sharpe.pt" } ], @@ -216,7 +216,7 @@ ], "include_cash": true, "n_asset_feats": 8, - "n_macro_feats": 19, + "n_macro_feats": 0, "config": { "lookback": 60, "asset_hidden_dim": 64, diff --git a/models/meta_optionB.json b/models/meta_optionB.json index 36a3cd8a8a3dd272eecb81146229ac9c0bcf07dd..8da12e233d9553186c40a34ca7c5cc93eb91ef0b 100644 --- a/models/meta_optionB.json +++ b/models/meta_optionB.json @@ -1,8 +1,8 @@ { "option": "B", - "trained_at": "2026-03-22T22:45:32.217774", - "elapsed_sec": 169.0, - "n_params": 130136, + "trained_at": "2026-03-24T07:57:02.005882", + "elapsed_sec": 184.3, + "n_params": 128920, "n_assets": 12, "tickers": [ "SPY", @@ -20,100 +20,104 @@ ], "include_cash": false, "n_asset_feats": 8, - "n_macro_feats": 19, + "n_macro_feats": 0, "lookback": 60, "loss_fn": "sharpe", - "best_val_loss": -1.065188, - "best_val_sharpe": 0.737, - "best_val_ann_return": 0.135, - "test_loss": -1.286194, - "test_sharpe": 1.1685, - "test_ann_return": 0.1633, + "best_val_loss": -1.058972, + "best_val_sharpe": 0.5784, + "best_val_ann_return": 0.1317, + "test_loss": -1.29712, + "test_sharpe": 1.0218, + "test_ann_return": 0.1841, "splits": { - "n_train": 3165, - "n_val": 678, + "n_train": 3163, + "n_val": 677, "n_test": 679, - "train_start": "2008-04-01", - "train_end": "2020-10-22", - "val_end": "2023-07-06", - "test_end": "2026-03-20" + "train_start": "2008-04-07", + "train_end": "2020-10-26", + "val_end": "2023-07-07", + "test_end": "2026-03-23" }, "history": { "train_loss": [ - -1.018363, - -1.270202, - -1.326929, - -1.341149, - -1.423769, - -1.465609, - -1.677552, - -1.516519, - -1.914392, - -1.842705, - -2.03663, - -2.1002, - -2.166616, - -2.335768, - -2.441712, - -2.585725, - -2.726448 + -1.020042, + -1.167205, + -1.254054, + -1.239736, + -1.292994, + -1.307315, + -1.14883, + -1.384772, + -1.342838, + -1.293135, + -1.364155, + -1.394598, + -1.41912, + -1.421946, + -1.366219, + -1.395897, + -1.4288, + -1.370392 ], "val_loss": [ - -0.995352, - -1.065188, - -0.872977, - -0.821426, - -0.787064, - -0.692991, - -0.336334, - -0.198337, - -0.312745, - -0.249764, - -0.226757, - -0.56387, - -0.415868, - -0.313672, - -0.334182, - -0.274734, - -0.407855 + -1.068052, + -1.058248, + -1.058972, + -1.065847, + -1.026129, + -1.032467, + -1.040951, + -0.863039, + -0.892911, + -0.893515, + -0.917829, + -0.747523, + -0.808028, + -0.77347, + -0.729559, + -0.840387, + -0.771971, + -0.803555 ], "val_sharpe": [ - 0.7025, - 0.737, - 0.4904, - 0.4069, - 0.3544, - 0.2272, - 0.1289, - 0.0314, - 0.3158, - 0.022, - -0.0851, - 0.1049, - 0.2563, - 0.337, - 0.2472, - 0.2297, - 0.2 + 0.7175, + 0.6004, + 0.5784, + 0.6144, + 0.6406, + 0.5649, + 0.6255, + 0.213, + 0.392, + 0.4277, + 0.4544, + 0.1371, + 0.2914, + 0.1898, + 0.1556, + 0.3549, + 0.2247, + 0.287 ], "val_ann_return": [ - 0.1215, - 0.135, - 0.0884, - 0.0796, - 0.0768, - 0.0496, - 0.0222, - 0.0059, - 0.0545, - 0.0041, - -0.0176, - 0.0239, - 0.0587, - 0.08, - 0.0585, - 0.0556, - 0.0466 + 0.1239, + 0.1203, + 0.1317, + 0.1206, + 0.1138, + 0.1086, + 0.115, + 0.0435, + 0.0741, + 0.0784, + 0.0852, + 0.0254, + 0.0528, + 0.0355, + 0.0287, + 0.0643, + 0.0413, + 0.0526 ] }, "config": { diff --git a/models/meta_optionB_window.json b/models/meta_optionB_window.json index a28d50d0d06841dcfd8db8bdbc518f5944705ea7..600e103d6419338e2d97345e6c0f8b4da9361429 100644 --- a/models/meta_optionB_window.json +++ b/models/meta_optionB_window.json @@ -1,14 +1,14 @@ { "option": "B", - "trained_at": "2026-03-23T00:14:23.179640", - "elapsed_sec": 3610.2, + "trained_at": "2026-03-24T09:21:17.985151", + "elapsed_sec": 2960.9, "n_windows": 8, - "winning_window": 7, - "winning_train_start": "2020-01-01", + "winning_window": 8, + "winning_train_start": "2022-01-01", "winning_train_end": "2024-12-31", "winning_loss": "sharpe", - "oos_ann_return": 0.4522, - "oos_sharpe": 2.1622, + "oos_ann_return": 0.2984, + "oos_sharpe": 1.7319, "all_windows": [ { "window_id": 1, @@ -16,10 +16,10 @@ "train_end": "2024-12-31", "oos_start": "2025-01-01", "loss_fn": "evar", - "n_train": 4218, - "n_oos": 304, - "oos_ann_return": 0.1204, - "oos_sharpe": 0.9211, + "n_train": 4214, + "n_oos": 305, + "oos_ann_return": 0.1168, + "oos_sharpe": 0.9371, "model_path": "models/deepm_optionB_w1_evar.pt" }, { @@ -28,10 +28,10 @@ "train_end": "2024-12-31", "oos_start": "2025-01-01", "loss_fn": "sharpe", - "n_train": 4218, - "n_oos": 304, - "oos_ann_return": 0.2904, - "oos_sharpe": 1.5623, + "n_train": 4214, + "n_oos": 305, + "oos_ann_return": 0.17, + "oos_sharpe": 0.6876, "model_path": "models/deepm_optionB_w1_sharpe.pt" }, { @@ -41,9 +41,9 @@ "oos_start": "2025-01-01", "loss_fn": "evar", "n_train": 3774, - "n_oos": 304, - "oos_ann_return": 0.1286, - "oos_sharpe": 1.0155, + "n_oos": 305, + "oos_ann_return": 0.1429, + "oos_sharpe": 1.0773, "model_path": "models/deepm_optionB_w2_evar.pt" }, { @@ -53,9 +53,9 @@ "oos_start": "2025-01-01", "loss_fn": "sharpe", "n_train": 3774, - "n_oos": 304, - "oos_ann_return": 0.1695, - "oos_sharpe": 0.9175, + "n_oos": 305, + "oos_ann_return": 0.1501, + "oos_sharpe": 0.8064, "model_path": "models/deepm_optionB_w2_sharpe.pt" }, { @@ -65,9 +65,9 @@ "oos_start": "2025-01-01", "loss_fn": "evar", "n_train": 3270, - "n_oos": 304, - "oos_ann_return": 0.1207, - "oos_sharpe": 0.9608, + "n_oos": 305, + "oos_ann_return": 0.1214, + "oos_sharpe": 0.9757, "model_path": "models/deepm_optionB_w3_evar.pt" }, { @@ -77,9 +77,9 @@ "oos_start": "2025-01-01", "loss_fn": "sharpe", "n_train": 3270, - "n_oos": 304, - "oos_ann_return": 0.2744, - "oos_sharpe": 1.3136, + "n_oos": 305, + "oos_ann_return": 0.1684, + "oos_sharpe": 1.0426, "model_path": "models/deepm_optionB_w3_sharpe.pt" }, { @@ -89,9 +89,9 @@ "oos_start": "2025-01-01", "loss_fn": "evar", "n_train": 2768, - "n_oos": 304, - "oos_ann_return": 0.1349, - "oos_sharpe": 1.06, + "n_oos": 305, + "oos_ann_return": 0.1774, + "oos_sharpe": 1.2342, "model_path": "models/deepm_optionB_w4_evar.pt" }, { @@ -101,9 +101,9 @@ "oos_start": "2025-01-01", "loss_fn": "sharpe", "n_train": 2768, - "n_oos": 304, - "oos_ann_return": 0.2678, - "oos_sharpe": 1.3949, + "n_oos": 305, + "oos_ann_return": 0.2238, + "oos_sharpe": 1.0262, "model_path": "models/deepm_optionB_w4_sharpe.pt" }, { @@ -113,9 +113,9 @@ "oos_start": "2025-01-01", "loss_fn": "evar", "n_train": 2264, - "n_oos": 304, - "oos_ann_return": 0.1816, - "oos_sharpe": 1.3794, + "n_oos": 305, + "oos_ann_return": 0.1887, + "oos_sharpe": 1.4199, "model_path": "models/deepm_optionB_w5_evar.pt" }, { @@ -125,9 +125,9 @@ "oos_start": "2025-01-01", "loss_fn": "sharpe", "n_train": 2264, - "n_oos": 304, - "oos_ann_return": 0.2129, - "oos_sharpe": 1.3089, + "n_oos": 305, + "oos_ann_return": 0.241, + "oos_sharpe": 1.0689, "model_path": "models/deepm_optionB_w5_sharpe.pt" }, { @@ -137,9 +137,9 @@ "oos_start": "2025-01-01", "loss_fn": "evar", "n_train": 1761, - "n_oos": 304, - "oos_ann_return": 0.1739, - "oos_sharpe": 1.3005, + "n_oos": 305, + "oos_ann_return": 0.134, + "oos_sharpe": 1.0471, "model_path": "models/deepm_optionB_w6_evar.pt" }, { @@ -149,9 +149,9 @@ "oos_start": "2025-01-01", "loss_fn": "sharpe", "n_train": 1761, - "n_oos": 304, - "oos_ann_return": 0.4265, - "oos_sharpe": 2.004, + "n_oos": 305, + "oos_ann_return": 0.2158, + "oos_sharpe": 1.3391, "model_path": "models/deepm_optionB_w6_sharpe.pt" }, { @@ -161,9 +161,9 @@ "oos_start": "2025-01-01", "loss_fn": "evar", "n_train": 1258, - "n_oos": 304, - "oos_ann_return": 0.1745, - "oos_sharpe": 1.2275, + "n_oos": 305, + "oos_ann_return": 0.131, + "oos_sharpe": 0.9413, "model_path": "models/deepm_optionB_w7_evar.pt" }, { @@ -173,9 +173,9 @@ "oos_start": "2025-01-01", "loss_fn": "sharpe", "n_train": 1258, - "n_oos": 304, - "oos_ann_return": 0.4522, - "oos_sharpe": 2.1622, + "n_oos": 305, + "oos_ann_return": 0.2094, + "oos_sharpe": 1.2712, "model_path": "models/deepm_optionB_w7_sharpe.pt" }, { @@ -185,9 +185,9 @@ "oos_start": "2025-01-01", "loss_fn": "evar", "n_train": 753, - "n_oos": 304, - "oos_ann_return": 0.2013, - "oos_sharpe": 1.4137, + "n_oos": 305, + "oos_ann_return": 0.1856, + "oos_sharpe": 1.2962, "model_path": "models/deepm_optionB_w8_evar.pt" }, { @@ -197,9 +197,9 @@ "oos_start": "2025-01-01", "loss_fn": "sharpe", "n_train": 753, - "n_oos": 304, - "oos_ann_return": 0.256, - "oos_sharpe": 1.5353, + "n_oos": 305, + "oos_ann_return": 0.2984, + "oos_sharpe": 1.7319, "model_path": "models/deepm_optionB_w8_sharpe.pt" } ], @@ -220,7 +220,7 @@ ], "include_cash": false, "n_asset_feats": 8, - "n_macro_feats": 19, + "n_macro_feats": 0, "config": { "lookback": 60, "asset_hidden_dim": 64, diff --git a/models/scaler_optionA.pkl b/models/scaler_optionA.pkl index e3cfe507ef3b7aab4c1efd5144389e7d1bcc7c69..67d3a442654af901ec5d5aa4d08d536821bc091a 100644 --- a/models/scaler_optionA.pkl +++ b/models/scaler_optionA.pkl @@ -1,3 +1,3 @@ version https://git-lfs.github.com/spec/v1 -oid sha256:eaa35fcc2db875e6df40004faecffc1c627f218cdb913e1fcac1ed2bb43e2f65 -size 927 +oid sha256:f094bf0cd9c7c466f13620491a4d8dbd1ab77db0f916166bf0438e9ebefbe79f +size 645 diff --git a/models/scaler_optionA_window.pkl b/models/scaler_optionA_window.pkl index 1fa26f65c5aa964a89748ba1eacd030fb86844b0..c91c2695bea63647334d701573a82e53ba95910d 100644 --- a/models/scaler_optionA_window.pkl +++ b/models/scaler_optionA_window.pkl @@ -1,3 +1,3 @@ version https://git-lfs.github.com/spec/v1 -oid sha256:de27cc3593ac26117ec79021fb5d91b19fa3307da30c0ce6cc94f51c1b01f41f -size 927 +oid sha256:33d6604fd911ef7b5b034c542ddbc4386e56990fbc8a1d664798a9dc2408d7ac +size 645 diff --git a/models/scaler_optionB.pkl b/models/scaler_optionB.pkl index 99761b396f121149320ae7d44e51605acc4fbdec..0db62e7dabb79341d0dda9d5a65a263ffcdbf47e 100644 --- a/models/scaler_optionB.pkl +++ b/models/scaler_optionB.pkl @@ -1,3 +1,3 @@ version https://git-lfs.github.com/spec/v1 -oid sha256:bbe2868d18a82b51edfdd219639f4b48309ce0fb6f403448ffc9fc714662aa71 -size 927 +oid sha256:1d2cf27e5be3af8e9e63705c155769fb38be7d820c82c6afa7ffa614a4ea2b4d +size 645 diff --git a/models/scaler_optionB_window.pkl b/models/scaler_optionB_window.pkl index 04487e3785fdd1741ba5e92de44ae88a57b30dfc..1ad5a23cb561ffbcfe14262423041d37946cf0eb 100644 --- a/models/scaler_optionB_window.pkl +++ b/models/scaler_optionB_window.pkl @@ -1,3 +1,3 @@ version https://git-lfs.github.com/spec/v1 -oid sha256:0cfcf9b69d17fa8a77b011ed69940da214bf572ff1ca505c57686ddc11a1f415 -size 927 +oid sha256:2140c7ca2793e21dd8e24a37a61fd6fceaf255d06b4bbe7d33cb30f12c839e8d +size 645 diff --git a/models/signal_A.json b/models/signal_A.json index 0e9e8c8f95746655f9e6105e32061aef6eeb0237..ed2ab49e3f0c290f903ff325d235a3742da1195f 100644 --- a/models/signal_A.json +++ b/models/signal_A.json @@ -2,31 +2,31 @@ "option": "A", "mode": "fixed_split", "option_name": "Fixed Income / Alts", - "signal_date": "2026-03-23", - "last_data_date": "2026-03-20", - "generated_at": "2026-03-23T00:14:26.416586", + "signal_date": "2026-03-24", + "last_data_date": "2026-03-23", + "generated_at": "2026-03-24T09:21:21.215486", "pick": "VNQ", - "conviction": 0.6893, + "conviction": 0.9993, "weights": { - "TLT": 0.0733, - "LQD": 0.0474, - "HYG": 0.0297, - "VNQ": 0.6893, - "GLD": 0.0121, - "SLV": 0.0024, - "PFF": 0.0688, - "MBB": 0.0769 + "TLT": 0.0005, + "LQD": 0.0001, + "HYG": 0.0, + "VNQ": 0.9993, + "GLD": 0.0, + "SLV": 0.0, + "PFF": 0.0, + "MBB": 0.0 }, "regime_context": { - "VIX": 24.06, + "VIX": 26.78, 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a/models/signal_B.json b/models/signal_B.json index f88ea6f9361bc9059947a01333eb9c447dd01ff2..76f71dd3dca4e4a7e88d4c7c47326771bddd1a92 100644 --- a/models/signal_B.json +++ b/models/signal_B.json @@ -2,35 +2,35 @@ "option": "B", "mode": "fixed_split", "option_name": "Equity Sectors", - "signal_date": "2026-03-23", - "last_data_date": "2026-03-20", - "generated_at": "2026-03-23T00:14:26.872653", + "signal_date": "2026-03-24", + "last_data_date": "2026-03-23", + "generated_at": "2026-03-24T09:21:21.662922", "pick": "QQQ", - "conviction": 0.277, + "conviction": 0.7955, "weights": { - "SPY": 0.0549, - "QQQ": 0.277, - "XLK": 0.0791, - "XLF": 0.0234, - "XLE": 0.0159, - "XLV": 0.1756, - "XLI": 0.0239, - "XLY": 0.1129, - "XLP": 0.068, - "XLU": 0.1345, - "GDX": 0.0217, - "XME": 0.013 + "SPY": 0.0091, + "QQQ": 0.7955, + "XLK": 0.0397, + "XLF": 0.0033, + "XLE": 0.0007, + "XLV": 0.0925, + "XLI": 0.0026, + "XLY": 0.0303, + "XLP": 0.0149, + "XLU": 0.0104, + "GDX": 0.0008, + "XME": 0.0004 }, 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