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--git a/models/latest_signals.json b/models/latest_signals.json index 255d3f5ac2cd054f52a117c892e591f608b28288..03d5a9c9fc21d01be20f06feb86720a3ec7dfa55 100644 --- a/models/latest_signals.json +++ b/models/latest_signals.json @@ -1,23 +1,23 @@ { - "generated_at": "2026-03-24T11:43:53.713278", + "generated_at": "2026-03-25T00:37:56.857111", "option_A": { "option": "A", "mode": "fixed_split", "option_name": "Fixed Income / Alts", "signal_date": "2026-03-24", "last_data_date": "2026-03-23", - "generated_at": "2026-03-24T11:43:53.023575", - "pick": "LQD", - "conviction": 0.6009, + "generated_at": "2026-03-25T00:37:56.205109", + "pick": "GLD", + "conviction": 0.524, "weights": { - "TLT": 0.0122, - "LQD": 0.6009, - "HYG": 0.0386, - "VNQ": 0.0149, - "GLD": 0.0017, - "SLV": 0.0017, - "PFF": 0.0441, - "MBB": 0.286 + "TLT": 0.2956, + "LQD": 0.0042, + "HYG": 0.0097, + "VNQ": 0.0766, + "GLD": 0.524, + "SLV": 0.0076, + "PFF": 0.0045, + "MBB": 0.0777 }, "regime_context": { "VIX": 26.78, @@ -25,12 +25,12 @@ "HY_SPREAD": 3.24, "USD_INDEX": 120.28 }, - "macro_stress": null, - "trained_at": "2026-03-24T10:12:26.942564", + "macro_stress": 1.841, + "trained_at": "2026-03-24T23:04:16.352643", "winning_loss": "sharpe", - "test_sharpe": 0.837, - "test_ann_return": 0.0615, - "model_n_params": 128400 + "test_sharpe": 1.9181, + "test_ann_return": 0.2435, + "model_n_params": 129616 }, "option_B": { "option": "B", @@ -38,22 +38,22 @@ "option_name": "Equity Sectors", "signal_date": "2026-03-24", "last_data_date": "2026-03-23", - "generated_at": "2026-03-24T11:43:53.472164", - "pick": "XLY", - "conviction": 0.2629, + "generated_at": "2026-03-25T00:37:56.637622", + "pick": "GDX", + "conviction": 0.8936, "weights": { - "SPY": 0.0297, - "QQQ": 0.2274, - "XLK": 0.1326, - "XLF": 0.0394, - "XLE": 0.0142, - "XLV": 0.0984, - "XLI": 0.0258, - "XLY": 0.2629, - "XLP": 0.0831, - "XLU": 0.0614, - "GDX": 0.0162, - "XME": 0.0089 + "SPY": 0.0037, + "QQQ": 0.0094, + "XLK": 0.0038, + "XLF": 0.0015, + "XLE": 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"SPY": 0.0, - "QQQ": 0.0, - "XLK": 1.0, - "XLF": 0.0, - "XLE": 0.0, + "QQQ": 0.0008, + "XLK": 0.9837, + "XLF": 0.0003, + "XLE": 0.0012, "XLV": 0.0, "XLI": 0.0, - "XLY": 0.0, + "XLY": 0.0001, "XLP": 0.0, - "XLU": 0.0, - "GDX": 0.0, - "XME": 0.0 + "XLU": 0.0048, + "GDX": 0.0089, + "XME": 0.0001 }, "regime_context": { "VIX": 26.78, @@ -131,13 +131,13 @@ "HY_SPREAD": 3.24, "USD_INDEX": 120.28 }, - "macro_stress": null, - "trained_at": "2026-03-24T11:43:49.505240", + "macro_stress": 1.841, + "trained_at": "2026-03-25T00:37:52.665370", "winning_window": 5, "winning_train_start": "2016-01-01", "winning_train_end": "2024-12-31", "winning_loss": "sharpe", - "oos_ann_return": 0.5296, - "oos_sharpe": 2.3296 + "oos_ann_return": 0.3991, + "oos_sharpe": 1.6489 } } \ No newline at end of file diff --git a/models/meta_optionA.json b/models/meta_optionA.json index 94395cdf720eac8f658114c2d50401101394a354..12a1d883c837b289c16180fa812b70b1bad5c0a7 100644 --- a/models/meta_optionA.json +++ 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"oos_ann_return": 0.491, + "oos_sharpe": 2.0518, "all_windows": [ { "window_id": 1, @@ -16,10 +16,10 @@ "train_end": "2024-12-31", "oos_start": "2025-01-01", "loss_fn": "evar", - "n_train": 4214, + "n_train": 4218, "n_oos": 305, - "oos_ann_return": 0.0676, - "oos_sharpe": 1.3717, + "oos_ann_return": 0.0731, + "oos_sharpe": 1.6733, "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": 4214, + "n_train": 4218, "n_oos": 305, - "oos_ann_return": 0.0723, - "oos_sharpe": 1.0278, + "oos_ann_return": 0.2333, + "oos_sharpe": 1.7411, "model_path": "models/deepm_optionA_w1_sharpe.pt" }, { @@ -42,8 +42,8 @@ "loss_fn": "evar", "n_train": 3774, "n_oos": 305, - "oos_ann_return": 0.0682, - "oos_sharpe": 1.4236, + "oos_ann_return": 0.0691, + "oos_sharpe": 1.4735, "model_path": "models/deepm_optionA_w2_evar.pt" }, { @@ -54,8 +54,8 @@ "loss_fn": "sharpe", "n_train": 3774, "n_oos": 305, - "oos_ann_return": 0.127, - "oos_sharpe": 1.5457, + "oos_ann_return": 0.491, + "oos_sharpe": 2.0518, "model_path": "models/deepm_optionA_w2_sharpe.pt" }, { @@ -66,8 +66,8 @@ "loss_fn": "evar", "n_train": 3270, "n_oos": 305, - "oos_ann_return": 0.0689, - "oos_sharpe": 1.3994, + "oos_ann_return": 0.0683, + "oos_sharpe": 1.6686, "model_path": "models/deepm_optionA_w3_evar.pt" }, { @@ -78,8 +78,8 @@ "loss_fn": "sharpe", "n_train": 3270, "n_oos": 305, - "oos_ann_return": 0.121, - "oos_sharpe": 1.2704, + "oos_ann_return": 0.1823, + "oos_sharpe": 1.4841, "model_path": "models/deepm_optionA_w3_sharpe.pt" }, { @@ -91,7 +91,7 @@ "n_train": 2768, "n_oos": 305, "oos_ann_return": 0.0675, - "oos_sharpe": 1.3568, + "oos_sharpe": 1.3578, "model_path": "models/deepm_optionA_w4_evar.pt" }, { @@ -102,8 +102,8 @@ "loss_fn": "sharpe", "n_train": 2768, "n_oos": 305, - "oos_ann_return": 0.1711, - "oos_sharpe": 1.6042, + "oos_ann_return": 0.173, + "oos_sharpe": 1.5932, "model_path": "models/deepm_optionA_w4_sharpe.pt" }, { @@ -114,8 +114,8 @@ "loss_fn": "evar", "n_train": 2264, "n_oos": 305, - "oos_ann_return": 0.0694, - "oos_sharpe": 1.4762, + "oos_ann_return": 0.0701, + "oos_sharpe": 1.5151, "model_path": "models/deepm_optionA_w5_evar.pt" }, { @@ -126,8 +126,8 @@ "loss_fn": "sharpe", "n_train": 2264, "n_oos": 305, - "oos_ann_return": 0.2356, - "oos_sharpe": 1.6256, + "oos_ann_return": 0.1904, + "oos_sharpe": 1.8984, "model_path": "models/deepm_optionA_w5_sharpe.pt" }, { @@ -138,8 +138,8 @@ "loss_fn": "evar", "n_train": 1761, "n_oos": 305, - "oos_ann_return": 0.0767, - "oos_sharpe": 1.7133, + "oos_ann_return": 0.0813, + "oos_sharpe": 1.7825, "model_path": "models/deepm_optionA_w6_evar.pt" }, { @@ -150,8 +150,8 @@ "loss_fn": "sharpe", "n_train": 1761, "n_oos": 305, - "oos_ann_return": 0.2162, - "oos_sharpe": 1.8829, + "oos_ann_return": 0.1905, + "oos_sharpe": 1.8927, "model_path": "models/deepm_optionA_w6_sharpe.pt" }, { @@ -162,8 +162,8 @@ "loss_fn": "evar", "n_train": 1258, "n_oos": 305, - "oos_ann_return": 0.0742, - "oos_sharpe": 1.5696, + "oos_ann_return": 0.1164, + "oos_sharpe": 1.7177, "model_path": "models/deepm_optionA_w7_evar.pt" }, { @@ -174,8 +174,8 @@ "loss_fn": "sharpe", "n_train": 1258, "n_oos": 305, - "oos_ann_return": 0.2881, - "oos_sharpe": 1.9415, + "oos_ann_return": 0.4115, + "oos_sharpe": 3.2104, "model_path": "models/deepm_optionA_w7_sharpe.pt" }, { @@ -186,8 +186,8 @@ "loss_fn": "evar", "n_train": 753, "n_oos": 305, - "oos_ann_return": 0.1352, - "oos_sharpe": 1.9264, + "oos_ann_return": 0.1517, + "oos_sharpe": 1.8542, "model_path": "models/deepm_optionA_w8_evar.pt" }, { @@ -198,8 +198,8 @@ "loss_fn": "sharpe", "n_train": 753, "n_oos": 305, - "oos_ann_return": 0.4337, - "oos_sharpe": 1.955, + "oos_ann_return": 0.373, + "oos_sharpe": 1.8165, "model_path": "models/deepm_optionA_w8_sharpe.pt" } ], @@ -216,7 +216,7 @@ ], "include_cash": true, "n_asset_feats": 8, - "n_macro_feats": 0, + "n_macro_feats": 19, "config": { "lookback": 60, "asset_hidden_dim": 64, diff --git a/models/meta_optionB.json b/models/meta_optionB.json index d399b8d1f244b068c0e2cc2c710e8b9251be43d6..a16abe6ed14cb984424366b9cb95fbea5f04a6c5 100644 --- a/models/meta_optionB.json +++ b/models/meta_optionB.json @@ -1,8 +1,8 @@ { "option": "B", - "trained_at": "2026-03-24T10:18:03.137972", - "elapsed_sec": 163.2, - "n_params": 128920, + "trained_at": "2026-03-24T23:12:22.132303", + "elapsed_sec": 312.3, + "n_params": 130136, "n_assets": 12, "tickers": [ "SPY", @@ -20,96 +20,156 @@ ], "include_cash": false, "n_asset_feats": 8, - "n_macro_feats": 0, + "n_macro_feats": 19, "lookback": 60, "loss_fn": "sharpe", - "best_val_loss": -1.091185, - "best_val_sharpe": 0.623, - "best_val_ann_return": 0.1215, - "test_loss": -1.246625, - "test_sharpe": 1.0304, - "test_ann_return": 0.1587, + "best_val_loss": -1.088513, + "best_val_sharpe": 0.7312, + "best_val_ann_return": 0.1754, + "test_loss": -1.502842, + "test_sharpe": 1.678, + "test_ann_return": 0.3247, "splits": { - "n_train": 3163, - "n_val": 677, + "n_train": 3166, + "n_val": 678, "n_test": 679, - "train_start": "2008-04-07", - "train_end": "2020-10-26", + "train_start": "2008-04-01", + "train_end": "2020-10-23", "val_end": "2023-07-07", "test_end": "2026-03-23" }, "history": { "train_loss": [ - -1.015088, - -1.211652, - -1.226289, - -1.25998, - -1.275347, - -1.232692, - -1.289618, - -1.276767, - -1.384307, - -1.327018, - -1.306344, - -1.364165, - -1.431595, - -1.433015, - -1.47288, - -1.480287 + -1.051404, + -1.304754, + -1.41558, + -1.396837, + -1.374497, + -1.678061, + -1.645621, + -1.65983, + -1.797703, + -1.997719, + -2.036616, + -2.082598, + -2.346268, + -2.481972, + -2.564923, + -2.39282, + -2.55097, + -2.516253, + -2.716902, + -2.740501, + -2.909051, + -2.894952, + -3.095359, + -3.183136, + -3.185232, + -3.219064, + -3.393171, + -3.37753, + -3.19088, + -3.377105, + -3.24734 ], "val_loss": [ - -1.091185, - -1.007615, - -0.998057, - -1.002759, - -0.969455, - 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0.2915, + 0.2935 ], "val_ann_return": [ - 0.1215, - 0.1057, - 0.1041, - 0.1031, - 0.0979, - 0.1136, - 0.1075, - 0.1055, - 0.1061, - 0.0858, - 0.0892, - 0.0768, - 0.0808, - 0.0784, - 0.0803, - 0.0662 + 0.125, + 0.1009, + 0.1387, + 0.1116, + 0.0793, + 0.0773, + 0.0437, + 0.0654, + 0.0587, + 0.0724, + 0.0562, + 0.0887, + 0.029, + 0.1102, + 0.1093, + 0.1754, + 0.0557, + 0.1534, + 0.0699, + 0.0643, + 0.0885, + 0.1118, + 0.0652, + 0.0828, + 0.0721, + 0.0791, + 0.0767, + 0.0674, + 0.065, + 0.0642, + 0.0645 ] }, "config": { diff --git a/models/meta_optionB_window.json b/models/meta_optionB_window.json index 2939aea519db81b24fb18a708f183eb220ffad55..41b7b5eecf61c22e5e682740daf49c051dfc8cfc 100644 --- a/models/meta_optionB_window.json +++ b/models/meta_optionB_window.json @@ -1,14 +1,14 @@ { "option": "B", - "trained_at": "2026-03-24T11:43:49.505240", - "elapsed_sec": 3344.4, + "trained_at": "2026-03-25T00:37:52.665370", + "elapsed_sec": 3277.0, "n_windows": 8, "winning_window": 5, "winning_train_start": "2016-01-01", "winning_train_end": "2024-12-31", "winning_loss": "sharpe", - "oos_ann_return": 0.5296, - "oos_sharpe": 2.3296, + "oos_ann_return": 0.3991, + "oos_sharpe": 1.6489, "all_windows": [ { "window_id": 1, @@ -16,10 +16,10 @@ "train_end": "2024-12-31", "oos_start": "2025-01-01", "loss_fn": "evar", - "n_train": 4214, + "n_train": 4218, "n_oos": 305, - "oos_ann_return": 0.1236, - "oos_sharpe": 0.9836, + "oos_ann_return": 0.1203, + "oos_sharpe": 0.9169, "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": 4214, + "n_train": 4218, "n_oos": 305, - "oos_ann_return": 0.1421, - "oos_sharpe": 0.8655, + "oos_ann_return": 0.2887, + "oos_sharpe": 1.2699, "model_path": "models/deepm_optionB_w1_sharpe.pt" }, { @@ -42,8 +42,8 @@ "loss_fn": "evar", "n_train": 3774, "n_oos": 305, - "oos_ann_return": 0.1334, - "oos_sharpe": 1.0409, + "oos_ann_return": 0.1445, + "oos_sharpe": 1.1467, "model_path": "models/deepm_optionB_w2_evar.pt" }, { @@ -54,8 +54,8 @@ "loss_fn": "sharpe", "n_train": 3774, "n_oos": 305, - "oos_ann_return": 0.1714, - "oos_sharpe": 0.9498, + "oos_ann_return": 0.2743, + "oos_sharpe": 1.4325, "model_path": "models/deepm_optionB_w2_sharpe.pt" }, { @@ -66,8 +66,8 @@ "loss_fn": "evar", "n_train": 3270, "n_oos": 305, - "oos_ann_return": 0.1495, - "oos_sharpe": 1.1706, + "oos_ann_return": 0.1888, + "oos_sharpe": 1.3263, "model_path": "models/deepm_optionB_w3_evar.pt" }, { @@ -78,8 +78,8 @@ "loss_fn": "sharpe", "n_train": 3270, "n_oos": 305, - "oos_ann_return": 0.267, - "oos_sharpe": 1.2452, + "oos_ann_return": 0.2726, + "oos_sharpe": 1.2029, "model_path": "models/deepm_optionB_w3_sharpe.pt" }, { @@ -90,8 +90,8 @@ "loss_fn": "evar", "n_train": 2768, "n_oos": 305, - "oos_ann_return": 0.139, - "oos_sharpe": 1.1059, + "oos_ann_return": 0.1347, + "oos_sharpe": 1.0163, "model_path": "models/deepm_optionB_w4_evar.pt" }, { @@ -102,8 +102,8 @@ "loss_fn": "sharpe", "n_train": 2768, "n_oos": 305, - "oos_ann_return": 0.347, - "oos_sharpe": 1.6201, + "oos_ann_return": 0.2787, + "oos_sharpe": 1.4282, "model_path": "models/deepm_optionB_w4_sharpe.pt" }, { @@ -114,8 +114,8 @@ "loss_fn": "evar", "n_train": 2264, "n_oos": 305, - "oos_ann_return": 0.1233, - "oos_sharpe": 0.9597, + "oos_ann_return": 0.1902, + "oos_sharpe": 1.455, "model_path": "models/deepm_optionB_w5_evar.pt" }, { @@ -126,8 +126,8 @@ "loss_fn": "sharpe", "n_train": 2264, "n_oos": 305, - "oos_ann_return": 0.5296, - "oos_sharpe": 2.3296, + "oos_ann_return": 0.3991, + "oos_sharpe": 1.6489, "model_path": "models/deepm_optionB_w5_sharpe.pt" }, { @@ -138,8 +138,8 @@ "loss_fn": "evar", "n_train": 1761, "n_oos": 305, - "oos_ann_return": 0.1599, - "oos_sharpe": 1.2228, + "oos_ann_return": 0.1918, + "oos_sharpe": 1.3661, "model_path": "models/deepm_optionB_w6_evar.pt" }, { @@ -150,8 +150,8 @@ "loss_fn": "sharpe", "n_train": 1761, "n_oos": 305, - "oos_ann_return": 0.2073, - "oos_sharpe": 1.0449, + "oos_ann_return": 0.3345, + "oos_sharpe": 1.3677, "model_path": "models/deepm_optionB_w6_sharpe.pt" }, { @@ -162,8 +162,8 @@ "loss_fn": "evar", "n_train": 1258, "n_oos": 305, - "oos_ann_return": 0.1394, - "oos_sharpe": 1.0691, + "oos_ann_return": 0.1908, + "oos_sharpe": 1.3268, "model_path": "models/deepm_optionB_w7_evar.pt" }, { @@ -174,8 +174,8 @@ "loss_fn": "sharpe", "n_train": 1258, "n_oos": 305, - "oos_ann_return": 0.2765, - "oos_sharpe": 1.2283, + "oos_ann_return": 0.2316, + "oos_sharpe": 1.1621, "model_path": "models/deepm_optionB_w7_sharpe.pt" }, { @@ -186,8 +186,8 @@ "loss_fn": "evar", "n_train": 753, "n_oos": 305, - "oos_ann_return": 0.1591, - "oos_sharpe": 1.1556, + "oos_ann_return": 0.2109, + "oos_sharpe": 1.3484, "model_path": "models/deepm_optionB_w8_evar.pt" }, { @@ -198,8 +198,8 @@ "loss_fn": "sharpe", "n_train": 753, "n_oos": 305, - "oos_ann_return": 0.2979, - "oos_sharpe": 1.4158, + "oos_ann_return": 0.2375, + "oos_sharpe": 1.4048, "model_path": "models/deepm_optionB_w8_sharpe.pt" } ], @@ -220,7 +220,7 @@ ], "include_cash": false, "n_asset_feats": 8, - "n_macro_feats": 0, + "n_macro_feats": 19, "config": { "lookback": 60, "asset_hidden_dim": 64, diff --git a/models/scaler_optionA.pkl b/models/scaler_optionA.pkl index 67d3a442654af901ec5d5aa4d08d536821bc091a..a2c1299605d463362b71a2a35e36ecde2ae82a2f 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:f094bf0cd9c7c466f13620491a4d8dbd1ab77db0f916166bf0438e9ebefbe79f -size 645 +oid sha256:8de8c7b9ec8abd3aea44567e3bb5ef203b53d20c57e70d477d4377ceb9bb6e5f +size 941 diff --git a/models/scaler_optionA_window.pkl b/models/scaler_optionA_window.pkl index c91c2695bea63647334d701573a82e53ba95910d..77d7dfd187808f5be02081ffefca263f816da3df 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 sha256:33d6604fd911ef7b5b034c542ddbc4386e56990fbc8a1d664798a9dc2408d7ac -size 645 +oid sha256:401915aa14be0ddc8441141a1f0a802a8a837a6634f6302c6334f367b5f6c026 +size 941 diff --git a/models/scaler_optionB.pkl b/models/scaler_optionB.pkl index 0db62e7dabb79341d0dda9d5a65a263ffcdbf47e..2d8bb1ec2dca1a3705510f42f0ee58dd8bbfa480 100644 --- a/models/scaler_optionB.pkl +++ b/models/scaler_optionB.pkl @@ -1,3 +1,3 @@ version https://git-lfs.github.com/spec/v1 -oid sha256:1d2cf27e5be3af8e9e63705c155769fb38be7d820c82c6afa7ffa614a4ea2b4d -size 645 +oid sha256:ca3d4f3c8003a0c3f15328aa3918afd10d6594a1c0328688ce4ba08dede6bd0d +size 941 diff --git a/models/scaler_optionB_window.pkl b/models/scaler_optionB_window.pkl index 3b01c225a874444e9b990728c37f958b23f832cb..96c757835f7fd581c2cec5d99b5381abba860776 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 sha256:63c930047cd5b0cca5e036ec852d9af17a88dc4557794f80d56bfa2b158fb07c -size 645 +oid sha256:1c7e6929eae6fded38a1d5eef2d5cd19ec555d98a7c0f6f59cd911b282ae52dd +size 941 diff --git a/models/signal_A.json b/models/signal_A.json index 65d8369b127753975201b1be186d4a32fcfecba4..8e8ee397733f064a8681513295b04a7f31331f06 100644 --- a/models/signal_A.json +++ b/models/signal_A.json @@ -4,18 +4,18 @@ "option_name": "Fixed Income / Alts", "signal_date": "2026-03-24", "last_data_date": "2026-03-23", - "generated_at": "2026-03-24T11:43:53.023575", - "pick": "LQD", - "conviction": 0.6009, + "generated_at": "2026-03-25T00:37:56.205109", + "pick": "GLD", + "conviction": 0.524, "weights": { - "TLT": 0.0122, - "LQD": 0.6009, - "HYG": 0.0386, - "VNQ": 0.0149, - "GLD": 0.0017, - "SLV": 0.0017, - "PFF": 0.0441, - "MBB": 0.286 + "TLT": 0.2956, + "LQD": 0.0042, + "HYG": 0.0097, + "VNQ": 0.0766, + "GLD": 0.524, + "SLV": 0.0076, + "PFF": 0.0045, + "MBB": 0.0777 }, "regime_context": { "VIX": 26.78, @@ -23,10 +23,10 @@ "HY_SPREAD": 3.24, "USD_INDEX": 120.28 }, - "macro_stress": null, - "trained_at": "2026-03-24T10:12:26.942564", + "macro_stress": 1.841, + "trained_at": "2026-03-24T23:04:16.352643", "winning_loss": "sharpe", - "test_sharpe": 0.837, - "test_ann_return": 0.0615, - "model_n_params": 128400 + "test_sharpe": 1.9181, + "test_ann_return": 0.2435, + "model_n_params": 129616 } \ No newline at end of file diff --git a/models/signal_A_window.json b/models/signal_A_window.json index 2b19b5eca167b7315d9ffe7e0697642a7e060901..b5a9c534060a069123c73d7a30628a25b9509eeb 100644 --- a/models/signal_A_window.json +++ b/models/signal_A_window.json @@ -4,18 +4,18 @@ "option_name": "Fixed Income / Alts", "signal_date": "2026-03-24", "last_data_date": "2026-03-23", - "generated_at": "2026-03-24T11:43:53.240765", + "generated_at": "2026-03-25T00:37:56.415955", "pick": "GLD", - "conviction": 0.7869, + "conviction": 0.5711, "weights": { - "TLT": 0.0, - "LQD": 0.0003, - "HYG": 0.2116, - "VNQ": 0.0006, - "GLD": 0.7869, - "SLV": 0.0001, - "PFF": 0.0004, - "MBB": 0.0001 + "TLT": 0.0821, + "LQD": 0.0572, + "HYG": 0.0706, + "VNQ": 0.0687, + "GLD": 0.5711, + "SLV": 0.0482, + "PFF": 0.0794, + "MBB": 0.0227 }, "regime_context": { "VIX": 26.78, @@ -23,12 +23,12 @@ "HY_SPREAD": 3.24, "USD_INDEX": 120.28 }, - "macro_stress": null, - "trained_at": "2026-03-24T10:48:05.088347", - "winning_window": 8, - "winning_train_start": "2022-01-01", + "macro_stress": 1.841, + "trained_at": "2026-03-24T23:43:15.705727", + "winning_window": 2, + "winning_train_start": "2010-01-01", "winning_train_end": "2024-12-31", "winning_loss": "sharpe", - "oos_ann_return": 0.4337, - "oos_sharpe": 1.955 + "oos_ann_return": 0.491, + "oos_sharpe": 2.0518 } \ No newline at end of file diff --git a/models/signal_B.json b/models/signal_B.json index 370a998274f4db5a034a0f75a807e41da7175eed..3bed69ccc0514f06cd692935170bdfd86e25adc8 100644 --- a/models/signal_B.json +++ b/models/signal_B.json @@ -4,22 +4,22 @@ "option_name": "Equity Sectors", "signal_date": "2026-03-24", "last_data_date": "2026-03-23", - "generated_at": "2026-03-24T11:43:53.472164", - "pick": "XLY", - "conviction": 0.2629, + "generated_at": "2026-03-25T00:37:56.637622", + "pick": "GDX", + "conviction": 0.8936, "weights": { - "SPY": 0.0297, - "QQQ": 0.2274, - "XLK": 0.1326, - "XLF": 0.0394, - "XLE": 0.0142, - "XLV": 0.0984, - "XLI": 0.0258, - "XLY": 0.2629, - "XLP": 0.0831, - "XLU": 0.0614, - "GDX": 0.0162, - "XME": 0.0089 + "SPY": 0.0037, + "QQQ": 0.0094, + "XLK": 0.0038, + "XLF": 0.0015, + "XLE": 0.0044, + "XLV": 0.0072, + "XLI": 0.0007, + "XLY": 0.0122, + "XLP": 0.0206, + "XLU": 0.0405, + "GDX": 0.8936, + "XME": 0.0025 }, "regime_context": { "VIX": 26.78, @@ -27,10 +27,10 @@ "HY_SPREAD": 3.24, "USD_INDEX": 120.28 }, - "macro_stress": null, - "trained_at": "2026-03-24T10:18:03.137972", + "macro_stress": 1.841, + "trained_at": "2026-03-24T23:12:22.132303", "winning_loss": "sharpe", - "test_sharpe": 1.0304, - "test_ann_return": 0.1587, - "model_n_params": 128920 + "test_sharpe": 1.678, + "test_ann_return": 0.3247, + "model_n_params": 130136 } \ No newline at end of file diff --git a/models/signal_B_window.json b/models/signal_B_window.json index f397cc408ec70284e9d2e09abba5584a08fc6d89..5bf477d7fd5899af0af1b65e57c4c476224be28f 100644 --- a/models/signal_B_window.json +++ b/models/signal_B_window.json @@ -4,22 +4,22 @@ "option_name": "Equity Sectors", "signal_date": "2026-03-24", "last_data_date": "2026-03-23", - "generated_at": "2026-03-24T11:43:53.713129", + "generated_at": "2026-03-25T00:37:56.856950", "pick": "XLK", - "conviction": 1.0, + "conviction": 0.9837, "weights": { "SPY": 0.0, - "QQQ": 0.0, - "XLK": 1.0, - "XLF": 0.0, - "XLE": 0.0, + "QQQ": 0.0008, + "XLK": 0.9837, + "XLF": 0.0003, + "XLE": 0.0012, "XLV": 0.0, "XLI": 0.0, - "XLY": 0.0, + "XLY": 0.0001, "XLP": 0.0, - "XLU": 0.0, - "GDX": 0.0, - "XME": 0.0 + "XLU": 0.0048, + "GDX": 0.0089, + "XME": 0.0001 }, "regime_context": { "VIX": 26.78, @@ -27,12 +27,12 @@ "HY_SPREAD": 3.24, "USD_INDEX": 120.28 }, - "macro_stress": null, - "trained_at": "2026-03-24T11:43:49.505240", + "macro_stress": 1.841, + "trained_at": "2026-03-25T00:37:52.665370", "winning_window": 5, "winning_train_start": "2016-01-01", "winning_train_end": "2024-12-31", "winning_loss": "sharpe", - "oos_ann_return": 0.5296, - "oos_sharpe": 2.3296 + "oos_ann_return": 0.3991, + "oos_sharpe": 1.6489 } \ No newline at end of file