[auto] Update DeePM model weights and signals

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models/deepm_optionB_best.pt

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models/latest_signals.json

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@@ -111,23 +108,22 @@
     "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,
+    "generated_at": "2026-03-23T00:14:27.107229",
+    "pick": "QQQ",
+    "conviction": 0.9384,
     "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
+      "SPY": 0.002,
+      "QQQ": 0.9384,
+      "XLK": 0.0073,
+      "XLF": 0.0014,
+      "XLE": 0.0018,
+      "XLV": 0.0004,
+      "XLI": 0.0011,
+      "XLY": 0.004,
+      "XLP": 0.0001,
+      "XLU": 0.0419,
+      "GDX": 0.0004,
+      "XME": 0.0012
     },
     "regime_context": {
       "VIX": 24.06,
@@ -136,12 +132,12 @@
       "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",
+    "trained_at": "2026-03-23T00:14:23.179640",
+    "winning_window": 7,
+    "winning_train_start": "2020-01-01",
     "winning_train_end": "2024-12-31",
     "winning_loss": "sharpe",
-    "oos_ann_return": 0.3014,
-    "oos_sharpe": 2.3115
+    "oos_ann_return": 0.4522,
+    "oos_sharpe": 2.1622
   }
 }

models/meta_optionA.json

@@ -1,8 +1,8 @@
 {
   "option": "A",
-  "trained_at": "2026-03-22T10:59:24.030371",
-  "elapsed_sec": 195.0,
-  "n_params": 129681,
+  "trained_at": "2026-03-22T22:40:04.493754",
+  "elapsed_sec": 165.7,
+  "n_params": 129616,
   "n_assets": 8,
   "tickers": [
     "TLT",
@@ -14,16 +14,17 @@
     "PFF",
     "MBB"
   ],
+  "include_cash": false,
   "n_asset_feats": 8,
   "n_macro_feats": 19,
   "lookback": 60,
   "loss_fn": "sharpe",
-  "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,
+  "best_val_loss": -0.477839,
+  "best_val_sharpe": 0.4555,
+  "best_val_ann_return": 0.0709,
+  "test_loss": -1.690777,
+  "test_sharpe": 1.3188,
+  "test_ann_return": 0.1933,
   "splits": {
     "n_train": 3165,
     "n_val": 678,
@@ -35,128 +36,108 @@
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   "config": {
@@ -167,7 +148,7 @@
     "dropout": 0.2,
     "lr": 0.001,
     "batch_size": 64,
-    "max_epochs": 100,
+    "max_epochs": 150,
     "patience": 15,
     "evar_beta": 0.95
   },

models/meta_optionA_window.json

@@ -1,14 +1,14 @@
 {
   "option": "A",
-  "trained_at": "2026-03-22T11:28:17.580317",
-  "elapsed_sec": 1428.7,
+  "trained_at": "2026-03-22T23:14:12.962927",
+  "elapsed_sec": 1718.2,
   "n_windows": 8,
-  "winning_window": 8,
-  "winning_train_start": "2022-01-01",
+  "winning_window": 2,
+  "winning_train_start": "2010-01-01",
   "winning_train_end": "2024-12-31",
   "winning_loss": "sharpe",
-  "oos_ann_return": 0.3874,
-  "oos_sharpe": 2.0963,
+  "oos_ann_return": 0.4664,
+  "oos_sharpe": 1.9343,
   "all_windows": [
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       "window_id": 1,
@@ -18,8 +18,8 @@
       "loss_fn": "evar",
       "n_train": 4218,
       "n_oos": 304,
-      "oos_ann_return": 0.0134,
-      "oos_sharpe": 15303.8387,
+      "oos_ann_return": 0.0664,
+      "oos_sharpe": 1.3681,
       "model_path": "models/deepm_optionA_w1_evar.pt"
     },
     {
@@ -30,8 +30,8 @@
       "loss_fn": "sharpe",
       "n_train": 4218,
       "n_oos": 304,
-      "oos_ann_return": 0.2608,
-      "oos_sharpe": 2.4676,
+      "oos_ann_return": 0.1902,
+      "oos_sharpe": 2.4987,
       "model_path": "models/deepm_optionA_w1_sharpe.pt"
     },
     {
@@ -42,8 +42,8 @@
       "loss_fn": "evar",
       "n_train": 3774,
       "n_oos": 304,
-      "oos_ann_return": 0.0134,
-      "oos_sharpe": 36261.0715,
+      "oos_ann_return": 0.0643,
+      "oos_sharpe": 1.2916,
       "model_path": "models/deepm_optionA_w2_evar.pt"
     },
     {
@@ -54,8 +54,8 @@
       "loss_fn": "sharpe",
       "n_train": 3774,
       "n_oos": 304,
-      "oos_ann_return": 0.2661,
-      "oos_sharpe": 1.9326,
+      "oos_ann_return": 0.4664,
+      "oos_sharpe": 1.9343,
       "model_path": "models/deepm_optionA_w2_sharpe.pt"
     },
     {
@@ -66,8 +66,8 @@
       "loss_fn": "evar",
       "n_train": 3270,
       "n_oos": 304,
-      "oos_ann_return": 0.0134,
-      "oos_sharpe": 14681.9317,
+      "oos_ann_return": 0.0643,
+      "oos_sharpe": 1.291,
       "model_path": "models/deepm_optionA_w3_evar.pt"
     },
     {
@@ -78,8 +78,8 @@
       "loss_fn": "sharpe",
       "n_train": 3270,
       "n_oos": 304,
-      "oos_ann_return": 0.0758,
-      "oos_sharpe": 0.6148,
+      "oos_ann_return": 0.1288,
+      "oos_sharpe": 1.2988,
       "model_path": "models/deepm_optionA_w3_sharpe.pt"
     },
     {
@@ -90,8 +90,8 @@
       "loss_fn": "evar",
       "n_train": 2768,
       "n_oos": 304,
-      "oos_ann_return": 0.0134,
-      "oos_sharpe": 10185.6191,
+      "oos_ann_return": 0.0708,
+      "oos_sharpe": 1.5909,
       "model_path": "models/deepm_optionA_w4_evar.pt"
     },
     {
@@ -102,8 +102,8 @@
       "loss_fn": "sharpe",
       "n_train": 2768,
       "n_oos": 304,
-      "oos_ann_return": 0.1095,
-      "oos_sharpe": 1.446,
+      "oos_ann_return": 0.1889,
+      "oos_sharpe": 1.5674,
       "model_path": "models/deepm_optionA_w4_sharpe.pt"
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     {
@@ -114,8 +114,8 @@
       "loss_fn": "evar",
       "n_train": 2264,
       "n_oos": 304,
-      "oos_ann_return": 0.0134,
-      "oos_sharpe": 1096.6312,
+      "oos_ann_return": 0.0758,
+      "oos_sharpe": 1.7232,
       "model_path": "models/deepm_optionA_w5_evar.pt"
     },
     {
@@ -126,8 +126,8 @@
       "loss_fn": "sharpe",
       "n_train": 2264,
       "n_oos": 304,
-      "oos_ann_return": 0.1644,
-      "oos_sharpe": 2.3657,
+      "oos_ann_return": 0.1699,
+      "oos_sharpe": 1.8048,
       "model_path": "models/deepm_optionA_w5_sharpe.pt"
     },
     {
@@ -138,8 +138,8 @@
       "loss_fn": "evar",
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       "n_oos": 304,
-      "oos_ann_return": 0.0179,
-      "oos_sharpe": 4.396,
+      "oos_ann_return": 0.0734,
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       "model_path": "models/deepm_optionA_w6_evar.pt"
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     {
@@ -150,8 +150,8 @@
       "loss_fn": "sharpe",
       "n_train": 1761,
       "n_oos": 304,
-      "oos_ann_return": 0.1642,
-      "oos_sharpe": 1.8248,
+      "oos_ann_return": 0.193,
+      "oos_sharpe": 1.8404,
       "model_path": "models/deepm_optionA_w6_sharpe.pt"
     },
     {
@@ -162,8 +162,8 @@
       "loss_fn": "evar",
       "n_train": 1258,
       "n_oos": 304,
-      "oos_ann_return": 0.0849,
-      "oos_sharpe": 1.9122,
+      "oos_ann_return": 0.1174,
+      "oos_sharpe": 1.6901,
       "model_path": "models/deepm_optionA_w7_evar.pt"
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     {
@@ -174,8 +174,8 @@
       "loss_fn": "sharpe",
       "n_train": 1258,
       "n_oos": 304,
-      "oos_ann_return": 0.1984,
-      "oos_sharpe": 2.8234,
+      "oos_ann_return": 0.2758,
+      "oos_sharpe": 2.6769,
       "model_path": "models/deepm_optionA_w7_sharpe.pt"
     },
     {
@@ -186,8 +186,8 @@
       "loss_fn": "evar",
       "n_train": 753,
       "n_oos": 304,
-      "oos_ann_return": 0.1081,
-      "oos_sharpe": 1.8675,
+      "oos_ann_return": 0.1653,
+      "oos_sharpe": 1.9456,
       "model_path": "models/deepm_optionA_w8_evar.pt"
     },
     {
@@ -198,8 +198,8 @@
       "loss_fn": "sharpe",
       "n_train": 753,
       "n_oos": 304,
-      "oos_ann_return": 0.3874,
-      "oos_sharpe": 2.0963,
+      "oos_ann_return": 0.4178,
+      "oos_sharpe": 1.9452,
       "model_path": "models/deepm_optionA_w8_sharpe.pt"
     }
   ],
@@ -214,6 +214,7 @@
     "PFF",
     "MBB"
   ],
+  "include_cash": true,
   "n_asset_feats": 8,
   "n_macro_feats": 19,
   "config": {

models/meta_optionB.json

@@ -1,8 +1,8 @@
 {
   "option": "B",
-  "trained_at": "2026-03-22T11:04:26.391473",
-  "elapsed_sec": 151.4,
-  "n_params": 130201,
+  "trained_at": "2026-03-22T22:45:32.217774",
+  "elapsed_sec": 169.0,
+  "n_params": 130136,
   "n_assets": 12,
   "tickers": [
     "SPY",
@@ -18,16 +18,17 @@
     "GDX",
     "XME"
   ],
+  "include_cash": false,
   "n_asset_feats": 8,
   "n_macro_feats": 19,
   "lookback": 60,
   "loss_fn": "sharpe",
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-  "test_loss": -1.418587,
-  "test_sharpe": 1.2825,
-  "test_ann_return": 0.1501,
+  "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,
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@@ -39,76 +40,80 @@
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@@ -119,7 +124,7 @@
     "dropout": 0.2,
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     "batch_size": 64,
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+    "max_epochs": 150,
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models/meta_optionB_window.json

@@ -1,14 +1,14 @@
 {
   "option": "B",
-  "trained_at": "2026-03-22T12:13:27.163130",
-  "elapsed_sec": 2709.6,
+  "trained_at": "2026-03-23T00:14:23.179640",
+  "elapsed_sec": 3610.2,
   "n_windows": 8,
-  "winning_window": 1,
-  "winning_train_start": "2008-01-01",
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+  "winning_train_start": "2020-01-01",
   "winning_train_end": "2024-12-31",
   "winning_loss": "sharpe",
-  "oos_ann_return": 0.3014,
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@@ -18,8 +18,8 @@
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       "model_path": "models/deepm_optionB_w1_evar.pt"
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@@ -30,8 +30,8 @@
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       "n_oos": 304,
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       "model_path": "models/deepm_optionB_w1_sharpe.pt"
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@@ -42,8 +42,8 @@
       "loss_fn": "evar",
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       "n_oos": 304,
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-      "oos_sharpe": 64356.6666,
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       "n_oos": 304,
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-      "oos_sharpe": 70483.3224,
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       "model_path": "models/deepm_optionB_w3_evar.pt"
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       "model_path": "models/deepm_optionB_w3_sharpe.pt"
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@@ -90,8 +90,8 @@
       "loss_fn": "evar",
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       "n_oos": 304,
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-      "oos_sharpe": 41526.4553,
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       "model_path": "models/deepm_optionB_w4_evar.pt"
     },
     {
@@ -102,8 +102,8 @@
       "loss_fn": "sharpe",
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       "n_oos": 304,
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       "model_path": "models/deepm_optionB_w4_sharpe.pt"
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       "model_path": "models/deepm_optionB_w5_evar.pt"
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-      "oos_sharpe": 1.2699,
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       "model_path": "models/deepm_optionB_w5_sharpe.pt"
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@@ -138,8 +138,8 @@
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       "n_oos": 304,
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       "model_path": "models/deepm_optionB_w6_evar.pt"
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     {
@@ -150,8 +150,8 @@
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-      "oos_sharpe": 1.3675,
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       "model_path": "models/deepm_optionB_w6_sharpe.pt"
     },
     {
@@ -162,8 +162,8 @@
       "loss_fn": "evar",
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       "n_oos": 304,
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       "model_path": "models/deepm_optionB_w7_evar.pt"
     },
     {
@@ -174,8 +174,8 @@
       "loss_fn": "sharpe",
       "n_train": 1258,
       "n_oos": 304,
-      "oos_ann_return": 0.196,
-      "oos_sharpe": 1.3039,
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       "model_path": "models/deepm_optionB_w7_sharpe.pt"
     },
     {
@@ -186,8 +186,8 @@
       "loss_fn": "evar",
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       "n_oos": 304,
-      "oos_ann_return": 0.1793,
-      "oos_sharpe": 1.3535,
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       "model_path": "models/deepm_optionB_w8_evar.pt"
     },
     {
@@ -198,8 +198,8 @@
       "loss_fn": "sharpe",
       "n_train": 753,
       "n_oos": 304,
-      "oos_ann_return": 0.2196,
-      "oos_sharpe": 1.3065,
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       "model_path": "models/deepm_optionB_w8_sharpe.pt"
     }
   ],
@@ -218,6 +218,7 @@
     "GDX",
     "XME"
   ],
+  "include_cash": false,
   "n_asset_feats": 8,
   "n_macro_feats": 19,
   "config": {

models/scaler_optionA_window.pkl

@@ -1,3 +1,3 @@
 version https://git-lfs.github.com/spec/v1
-oid sha256:d215959fd257d1bc8337a471a05ebd19d3f33bd74e83697f518468f293488c79
+oid sha256:de27cc3593ac26117ec79021fb5d91b19fa3307da30c0ce6cc94f51c1b01f41f
 size 927

models/scaler_optionB_window.pkl

@@ -1,3 +1,3 @@
 version https://git-lfs.github.com/spec/v1
-oid sha256:1ed156ffa07904405ce5e592469e80619efd012eeb85929cea1d6614a54b5a4d
+oid sha256:0cfcf9b69d17fa8a77b011ed69940da214bf572ff1ca505c57686ddc11a1f415
 size 927

models/signal_A.json

@@ -4,19 +4,18 @@
   "option_name": "Fixed Income / Alts",
   "signal_date": "2026-03-23",
   "last_data_date": "2026-03-20",
-  "generated_at": "2026-03-22T12:13:30.290509",
-  "pick": "PFF",
-  "conviction": 0.8381,
+  "generated_at": "2026-03-23T00:14:26.416586",
+  "pick": "VNQ",
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   "weights": {
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-    "LQD": 0.0724,
-    "HYG": 0.0641,
-    "VNQ": 0.0058,
-    "GLD": 0.0004,
-    "SLV": 0.0006,
-    "PFF": 0.8381,
-    "MBB": 0.0111,
-    "CASH": 0.0026
+    "TLT": 0.0733,
+    "LQD": 0.0474,
+    "HYG": 0.0297,
+    "VNQ": 0.6893,
+    "GLD": 0.0121,
+    "SLV": 0.0024,
+    "PFF": 0.0688,
+    "MBB": 0.0769
   },
   "regime_context": {
     "VIX": 24.06,
@@ -25,9 +24,9 @@
     "USD_INDEX": 120.55
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   "macro_stress": 1.753,
-  "trained_at": "2026-03-22T10:59:24.030371",
+  "trained_at": "2026-03-22T22:40:04.493754",
   "winning_loss": "sharpe",
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-  "test_ann_return": 0.2369,
-  "model_n_params": 129681
+  "test_sharpe": 1.3188,
+  "test_ann_return": 0.1933,
+  "model_n_params": 129616
 }

models/signal_A_window.json

@@ -4,19 +4,18 @@
   "option_name": "Fixed Income / Alts",
   "signal_date": "2026-03-23",
   "last_data_date": "2026-03-20",
-  "generated_at": "2026-03-22T12:13:30.497208",
+  "generated_at": "2026-03-23T00:14:26.637459",
   "pick": "GLD",
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-    "SLV": 0.0301,
-    "PFF": 0.0264,
-    "MBB": 0.0182,
-    "CASH": 0.0112
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+    "HYG": 0.0096,
+    "VNQ": 0.0096,
+    "GLD": 0.7871,
+    "SLV": 0.1783,
+    "PFF": 0.0027,
+    "MBB": 0.0021
   },
   "regime_context": {
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@@ -25,11 +24,11 @@
     "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",
+  "trained_at": "2026-03-22T23:14:12.962927",
+  "winning_window": 2,
+  "winning_train_start": "2010-01-01",
   "winning_train_end": "2024-12-31",
   "winning_loss": "sharpe",
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-  "oos_sharpe": 2.0963
+  "oos_ann_return": 0.4664,
+  "oos_sharpe": 1.9343
 }

models/signal_B.json

@@ -4,23 +4,22 @@
   "option_name": "Equity Sectors",
   "signal_date": "2026-03-23",
   "last_data_date": "2026-03-20",
-  "generated_at": "2026-03-22T12:13:30.715113",
-  "pick": "CASH",
-  "conviction": 0.1343,
+  "generated_at": "2026-03-23T00:14:26.872653",
+  "pick": "QQQ",
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   "weights": {
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-    "XLK": 0.1081,
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-    "XLU": 0.0934,
-    "GDX": 0.0363,
-    "XME": 0.0323,
-    "CASH": 0.1343
+    "SPY": 0.0549,
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+    "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,
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   "regime_context": {
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@@ -29,9 +28,9 @@
     "USD_INDEX": 120.55
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-  "trained_at": "2026-03-22T11:04:26.391473",
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   "winning_loss": "sharpe",
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-  "model_n_params": 130201
+  "test_sharpe": 1.1685,
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+  "model_n_params": 130136
 }