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--git a/models/latest_signals.json b/models/latest_signals.json index 6df68c6cc947090b43ed461d17c5d61596c9b202..7b6acde1f0b8e72b79d95ee563d94dc7c594c125 100644 --- a/models/latest_signals.json +++ b/models/latest_signals.json @@ -1,24 +1,23 @@ { - "generated_at": "2026-03-22T12:13:30.934621", + "generated_at": "2026-03-23T00:14:27.107372", "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": "2026-03-22T12:13:30.290509", - "pick": "PFF", - "conviction": 0.8381, + "generated_at": "2026-03-23T00:14:26.416586", + "pick": "VNQ", + "conviction": 0.6893, "weights": { - "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 + "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, @@ -27,11 +26,11 @@ "USD_INDEX": 120.55 }, "macro_stress": 1.753, - "trained_at": "2026-03-22T10:59:24.030371", + "trained_at": "2026-03-22T22:40:04.493754", "winning_loss": "sharpe", - "test_sharpe": 1.8254, - "test_ann_return": 0.2369, - "model_n_params": 129681 + "test_sharpe": 1.3188, + "test_ann_return": 0.1933, + "model_n_params": 129616 }, "option_B": { "option": "B", @@ -39,23 +38,22 @@ "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", + "conviction": 0.277, "weights": { - "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 + "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 }, "regime_context": { "VIX": 24.06, @@ -64,11 +62,11 @@ "USD_INDEX": 120.55 }, "macro_stress": 1.753, - "trained_at": "2026-03-22T11:04:26.391473", + "trained_at": "2026-03-22T22:45:32.217774", "winning_loss": "sharpe", - "test_sharpe": 1.2825, - "test_ann_return": 0.1501, - "model_n_params": 130201 + "test_sharpe": 1.1685, + "test_ann_return": 0.1633, + "model_n_params": 130136 }, "option_A_window": { "option": "A", @@ -76,19 +74,18 @@ "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", - "conviction": 0.8632, + "conviction": 0.7871, "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 + "TLT": 0.0049, + "LQD": 0.0056, + "HYG": 0.0096, + "VNQ": 0.0096, + "GLD": 0.7871, + "SLV": 0.1783, + "PFF": 0.0027, + "MBB": 0.0021 }, "regime_context": { "VIX": 24.06, @@ -97,13 +94,13 @@ "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", - "oos_ann_return": 0.3874, - "oos_sharpe": 2.0963 + "oos_ann_return": 0.4664, + "oos_sharpe": 1.9343 }, "option_B_window": { "option": "B", @@ -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 } } \ No newline at end of file diff --git a/models/meta_optionA.json b/models/meta_optionA.json index a77ad343126d8b0784936256cb2032dfe0c551e6..aa32fa3e9a6b0d0d8b078f79241c5bb560212fa2 100644 --- a/models/meta_optionA.json +++ b/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 @@ }, "history": { "train_loss": [ - -0.939471, - 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"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": [ { "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" }, { @@ -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", "n_train": 1761, "n_oos": 304, - "oos_ann_return": 0.0179, - "oos_sharpe": 4.396, + "oos_ann_return": 0.0734, + "oos_sharpe": 1.5089, "model_path": "models/deepm_optionA_w6_evar.pt" }, { @@ -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" }, { @@ -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": { diff --git a/models/meta_optionB.json b/models/meta_optionB.json index b1f08e49fdd430647cbae24126a0f3ba8cdc04fc..36a3cd8a8a3dd272eecb81146229ac9c0bcf07dd 100644 --- a/models/meta_optionB.json +++ b/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", - "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, + "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, "splits": { "n_train": 3165, "n_val": 678, @@ -39,76 +40,80 @@ }, "history": { "train_loss": [ - -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 + -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 ], "val_loss": [ - -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 + -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 ], "val_sharpe": [ - 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 + 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 ], "val_ann_return": [ - 0.1144, - 0.0731, - 0.0776, - 0.0475, - 0.0345, - 0.04, - 0.0495, - 0.0747, - 0.074, - 0.1, - 0.0529, - 0.0844, - 0.0432, - 0.061, - 0.0355, - 0.0592 + 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 ] }, "config": { @@ -119,7 +124,7 @@ "dropout": 0.2, "lr": 0.001, "batch_size": 64, - "max_epochs": 100, + "max_epochs": 150, "patience": 15, "evar_beta": 0.95 }, diff --git a/models/meta_optionB_window.json b/models/meta_optionB_window.json index 46a215a50c50c82d70838ed46d29842b588fe7be..a28d50d0d06841dcfd8db8bdbc518f5944705ea7 100644 --- a/models/meta_optionB_window.json +++ b/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", + "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, "all_windows": [ { "window_id": 1, @@ -18,8 +18,8 @@ "loss_fn": "evar", "n_train": 4218, "n_oos": 304, - "oos_ann_return": 0.0134, - "oos_sharpe": 66472.5277, + "oos_ann_return": 0.1204, + "oos_sharpe": 0.9211, "model_path": "models/deepm_optionB_w1_evar.pt" }, { @@ -30,8 +30,8 @@ "loss_fn": "sharpe", "n_train": 4218, "n_oos": 304, - "oos_ann_return": 0.3014, - "oos_sharpe": 2.3115, + "oos_ann_return": 0.2904, + "oos_sharpe": 1.5623, "model_path": "models/deepm_optionB_w1_sharpe.pt" }, { @@ -42,8 +42,8 @@ "loss_fn": "evar", "n_train": 3774, "n_oos": 304, - "oos_ann_return": 0.0134, - "oos_sharpe": 64356.6666, + "oos_ann_return": 0.1286, + "oos_sharpe": 1.0155, "model_path": "models/deepm_optionB_w2_evar.pt" }, { @@ -54,8 +54,8 @@ "loss_fn": "sharpe", "n_train": 3774, "n_oos": 304, - "oos_ann_return": 0.1459, - "oos_sharpe": 1.0042, + "oos_ann_return": 0.1695, + "oos_sharpe": 0.9175, "model_path": "models/deepm_optionB_w2_sharpe.pt" }, { @@ -66,8 +66,8 @@ "loss_fn": "evar", "n_train": 3270, "n_oos": 304, - "oos_ann_return": 0.0134, - "oos_sharpe": 70483.3224, + "oos_ann_return": 0.1207, + "oos_sharpe": 0.9608, "model_path": "models/deepm_optionB_w3_evar.pt" }, { @@ -78,8 +78,8 @@ "loss_fn": "sharpe", "n_train": 3270, "n_oos": 304, - "oos_ann_return": 0.2649, - "oos_sharpe": 2.0824, + "oos_ann_return": 0.2744, + "oos_sharpe": 1.3136, "model_path": "models/deepm_optionB_w3_sharpe.pt" }, { @@ -90,8 +90,8 @@ "loss_fn": "evar", "n_train": 2768, "n_oos": 304, - "oos_ann_return": 0.0134, - "oos_sharpe": 41526.4553, + "oos_ann_return": 0.1349, + "oos_sharpe": 1.06, "model_path": "models/deepm_optionB_w4_evar.pt" }, { @@ -102,8 +102,8 @@ "loss_fn": "sharpe", "n_train": 2768, "n_oos": 304, - "oos_ann_return": 0.2562, - "oos_sharpe": 1.2763, + "oos_ann_return": 0.2678, + "oos_sharpe": 1.3949, "model_path": "models/deepm_optionB_w4_sharpe.pt" }, { @@ -114,8 +114,8 @@ "loss_fn": "evar", "n_train": 2264, "n_oos": 304, - "oos_ann_return": 0.0136, - "oos_sharpe": 95.6671, + "oos_ann_return": 0.1816, + "oos_sharpe": 1.3794, "model_path": "models/deepm_optionB_w5_evar.pt" }, { @@ -126,8 +126,8 @@ "loss_fn": "sharpe", "n_train": 2264, "n_oos": 304, - "oos_ann_return": 0.1901, - "oos_sharpe": 1.2699, + "oos_ann_return": 0.2129, + "oos_sharpe": 1.3089, "model_path": "models/deepm_optionB_w5_sharpe.pt" }, { @@ -138,8 +138,8 @@ "loss_fn": "evar", "n_train": 1761, "n_oos": 304, - "oos_ann_return": 0.0152, - "oos_sharpe": 14.0732, + "oos_ann_return": 0.1739, + "oos_sharpe": 1.3005, "model_path": "models/deepm_optionB_w6_evar.pt" }, { @@ -150,8 +150,8 @@ "loss_fn": "sharpe", "n_train": 1761, "n_oos": 304, - "oos_ann_return": 0.2854, - "oos_sharpe": 1.3675, + "oos_ann_return": 0.4265, + "oos_sharpe": 2.004, "model_path": "models/deepm_optionB_w6_sharpe.pt" }, { @@ -162,8 +162,8 @@ "loss_fn": "evar", "n_train": 1258, "n_oos": 304, - "oos_ann_return": 0.0848, - "oos_sharpe": 1.2474, + "oos_ann_return": 0.1745, + "oos_sharpe": 1.2275, "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, + "oos_ann_return": 0.4522, + "oos_sharpe": 2.1622, "model_path": "models/deepm_optionB_w7_sharpe.pt" }, { @@ -186,8 +186,8 @@ "loss_fn": "evar", "n_train": 753, "n_oos": 304, - "oos_ann_return": 0.1793, - "oos_sharpe": 1.3535, + "oos_ann_return": 0.2013, + "oos_sharpe": 1.4137, "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, + "oos_ann_return": 0.256, + "oos_sharpe": 1.5353, "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": { diff --git a/models/scaler_optionA_window.pkl b/models/scaler_optionA_window.pkl index c2c2bfa27973bab5208574cd3ff5cf70ee3f0ec2..1fa26f65c5aa964a89748ba1eacd030fb86844b0 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:d215959fd257d1bc8337a471a05ebd19d3f33bd74e83697f518468f293488c79 +oid sha256:de27cc3593ac26117ec79021fb5d91b19fa3307da30c0ce6cc94f51c1b01f41f size 927 diff --git a/models/scaler_optionB_window.pkl b/models/scaler_optionB_window.pkl index 2835c5db6544c2a2db442a5bd72f685ae4bb1c71..04487e3785fdd1741ba5e92de44ae88a57b30dfc 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 sha256:1ed156ffa07904405ce5e592469e80619efd012eeb85929cea1d6614a54b5a4d +oid sha256:0cfcf9b69d17fa8a77b011ed69940da214bf572ff1ca505c57686ddc11a1f415 size 927 diff --git a/models/signal_A.json b/models/signal_A.json index 60218d878fab051d8d44c81c7571515417e40fa4..0e9e8c8f95746655f9e6105e32061aef6eeb0237 100644 --- a/models/signal_A.json +++ b/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", + "conviction": 0.6893, "weights": { - "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 + "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 }, "macro_stress": 1.753, - "trained_at": "2026-03-22T10:59:24.030371", + "trained_at": "2026-03-22T22:40:04.493754", "winning_loss": "sharpe", - "test_sharpe": 1.8254, - "test_ann_return": 0.2369, - "model_n_params": 129681 + "test_sharpe": 1.3188, + "test_ann_return": 0.1933, + "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 134a3e15744630052f7f2987204f0104870d14ce..b790bf494d2a0ee6f30d5957938e123a0e409ecd 100644 --- a/models/signal_A_window.json +++ b/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", - "conviction": 0.8632, + "conviction": 0.7871, "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 + "TLT": 0.0049, + "LQD": 0.0056, + "HYG": 0.0096, + "VNQ": 0.0096, + "GLD": 0.7871, + "SLV": 0.1783, + "PFF": 0.0027, + "MBB": 0.0021 }, "regime_context": { "VIX": 24.06, @@ -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", - "oos_ann_return": 0.3874, - "oos_sharpe": 2.0963 + "oos_ann_return": 0.4664, + "oos_sharpe": 1.9343 } \ No newline at end of file diff --git a/models/signal_B.json b/models/signal_B.json index 8ae95ee7ecb654887377eec95e292b206d0af432..f88ea6f9361bc9059947a01333eb9c447dd01ff2 100644 --- a/models/signal_B.json +++ b/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", + "conviction": 0.277, "weights": { - "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 + "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 }, "regime_context": { "VIX": 24.06, @@ -29,9 +28,9 @@ "USD_INDEX": 120.55 }, "macro_stress": 1.753, - "trained_at": "2026-03-22T11:04:26.391473", + "trained_at": "2026-03-22T22:45:32.217774", "winning_loss": "sharpe", - "test_sharpe": 1.2825, - "test_ann_return": 0.1501, - "model_n_params": 130201 + "test_sharpe": 1.1685, + "test_ann_return": 0.1633, + "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 dd9f4ceab3b9a22927579af27c76d67b87f6ef26..ce933ec1f35e1c3a6180d037c9519297bdbdb211 100644 --- a/models/signal_B_window.json +++ b/models/signal_B_window.json @@ -4,23 +4,22 @@ "option_name": "Equity Sectors", "signal_date": "2026-03-23", "last_data_date": "2026-03-20", - "generated_at": "2026-03-22T12:13:30.934460", - "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, @@ -29,11 +28,11 @@ "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 } \ No newline at end of file diff --git a/models/signal_history_A.json b/models/signal_history_A.json index 73cbe3131814505e6c6ed18597e04879b70f22b9..22bcabe72effd5323c13cfb4e38630e2355621f8 100644 --- a/models/signal_history_A.json +++ b/models/signal_history_A.json @@ -1,8 +1,8 @@ [ { "signal_date": "2026-03-23", - "pick": "PFF", - "conviction": 0.8381, - "generated_at": "2026-03-22T12:13:30.290509" + "pick": "VNQ", + "conviction": 0.6893, + "generated_at": "2026-03-23T00:14:26.416586" } ] \ No newline at end of file diff --git a/models/signal_history_B.json b/models/signal_history_B.json index 5743b37c6edfcd90950ce90853a8a06c28e83094..9097312258668be348cfbc7a94c218292097cbf5 100644 --- a/models/signal_history_B.json +++ b/models/signal_history_B.json @@ -1,8 +1,8 @@ [ { "signal_date": "2026-03-23", - "pick": "CASH", - "conviction": 0.1343, - "generated_at": "2026-03-22T12:13:30.715113" + "pick": "QQQ", + "conviction": 0.277, + "generated_at": "2026-03-23T00:14:26.872653" } ] \ No newline at end of file