[auto] Update DeePM model weights and signals
Browse files- models/deepm_optionA_best.pt +1 -1
- models/deepm_optionA_evar_best.pt +1 -1
- models/deepm_optionA_sharpe_best.pt +1 -1
- models/deepm_optionA_w1_evar.pt +1 -1
- models/deepm_optionA_w1_sharpe.pt +1 -1
- models/deepm_optionA_w2_evar.pt +1 -1
- models/deepm_optionA_w2_sharpe.pt +1 -1
- models/deepm_optionA_w3_evar.pt +1 -1
- models/deepm_optionA_w3_sharpe.pt +1 -1
- models/deepm_optionA_w4_evar.pt +1 -1
- models/deepm_optionA_w4_sharpe.pt +1 -1
- models/deepm_optionA_w5_evar.pt +1 -1
- models/deepm_optionA_w5_sharpe.pt +1 -1
- models/deepm_optionA_w6_evar.pt +1 -1
- models/deepm_optionA_w6_sharpe.pt +1 -1
- models/deepm_optionA_w7_evar.pt +1 -1
- models/deepm_optionA_w7_sharpe.pt +1 -1
- models/deepm_optionA_w8_evar.pt +1 -1
- models/deepm_optionA_w8_sharpe.pt +1 -1
- models/deepm_optionA_window_best.pt +1 -1
- models/deepm_optionB_best.pt +1 -1
- models/deepm_optionB_evar_best.pt +1 -1
- models/deepm_optionB_sharpe_best.pt +1 -1
- models/deepm_optionB_w1_evar.pt +1 -1
- models/deepm_optionB_w1_sharpe.pt +1 -1
- models/deepm_optionB_w2_evar.pt +1 -1
- models/deepm_optionB_w2_sharpe.pt +1 -1
- models/deepm_optionB_w3_evar.pt +1 -1
- models/deepm_optionB_w3_sharpe.pt +1 -1
- models/deepm_optionB_w4_evar.pt +1 -1
- models/deepm_optionB_w4_sharpe.pt +1 -1
- models/deepm_optionB_w5_evar.pt +1 -1
- models/deepm_optionB_w5_sharpe.pt +1 -1
- models/deepm_optionB_w6_evar.pt +1 -1
- models/deepm_optionB_w6_sharpe.pt +1 -1
- models/deepm_optionB_w7_evar.pt +1 -1
- models/deepm_optionB_w7_sharpe.pt +1 -1
- models/deepm_optionB_w8_evar.pt +1 -1
- models/deepm_optionB_w8_sharpe.pt +1 -1
- models/deepm_optionB_window_best.pt +1 -1
- models/meta_optionA.json +134 -170
- models/meta_optionA_window.json +54 -54
- models/meta_optionB.json +166 -214
- models/meta_optionB_window.json +54 -54
- models/scaler_optionA.pkl +1 -1
- models/scaler_optionA_window.pkl +1 -1
- models/scaler_optionB.pkl +1 -1
- models/scaler_optionB_window.pkl +1 -1
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"n_oos":
|
| 33 |
-
"oos_ann_return": 0.
|
| 34 |
-
"oos_sharpe":
|
| 35 |
"model_path": "models/deepm_optionA_w1_sharpe.pt"
|
| 36 |
},
|
| 37 |
{
|
|
@@ -41,9 +41,9 @@
|
|
| 41 |
"oos_start": "2025-01-01",
|
| 42 |
"loss_fn": "evar",
|
| 43 |
"n_train": 3774,
|
| 44 |
-
"n_oos":
|
| 45 |
-
"oos_ann_return": 0.
|
| 46 |
-
"oos_sharpe": 1.
|
| 47 |
"model_path": "models/deepm_optionA_w2_evar.pt"
|
| 48 |
},
|
| 49 |
{
|
|
@@ -53,9 +53,9 @@
|
|
| 53 |
"oos_start": "2025-01-01",
|
| 54 |
"loss_fn": "sharpe",
|
| 55 |
"n_train": 3774,
|
| 56 |
-
"n_oos":
|
| 57 |
-
"oos_ann_return": 0.
|
| 58 |
-
"oos_sharpe": 2.
|
| 59 |
"model_path": "models/deepm_optionA_w2_sharpe.pt"
|
| 60 |
},
|
| 61 |
{
|
|
@@ -65,9 +65,9 @@
|
|
| 65 |
"oos_start": "2025-01-01",
|
| 66 |
"loss_fn": "evar",
|
| 67 |
"n_train": 3270,
|
| 68 |
-
"n_oos":
|
| 69 |
-
"oos_ann_return": 0.
|
| 70 |
-
"oos_sharpe": 1.
|
| 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 |
-
"n_oos":
|
| 81 |
-
"oos_ann_return": 0.
|
| 82 |
-
"oos_sharpe":
|
| 83 |
"model_path": "models/deepm_optionA_w3_sharpe.pt"
|
| 84 |
},
|
| 85 |
{
|
|
@@ -89,9 +89,9 @@
|
|
| 89 |
"oos_start": "2025-01-01",
|
| 90 |
"loss_fn": "evar",
|
| 91 |
"n_train": 2768,
|
| 92 |
-
"n_oos":
|
| 93 |
-
"oos_ann_return": 0.
|
| 94 |
-
"oos_sharpe": 1.
|
| 95 |
"model_path": "models/deepm_optionA_w4_evar.pt"
|
| 96 |
},
|
| 97 |
{
|
|
@@ -101,9 +101,9 @@
|
|
| 101 |
"oos_start": "2025-01-01",
|
| 102 |
"loss_fn": "sharpe",
|
| 103 |
"n_train": 2768,
|
| 104 |
-
"n_oos":
|
| 105 |
-
"oos_ann_return": 0.
|
| 106 |
-
"oos_sharpe":
|
| 107 |
"model_path": "models/deepm_optionA_w4_sharpe.pt"
|
| 108 |
},
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| 109 |
{
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@@ -113,9 +113,9 @@
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| 113 |
"oos_start": "2025-01-01",
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| 114 |
"loss_fn": "evar",
|
| 115 |
"n_train": 2264,
|
| 116 |
-
"n_oos":
|
| 117 |
-
"oos_ann_return": 0.
|
| 118 |
-
"oos_sharpe": 1.
|
| 119 |
"model_path": "models/deepm_optionA_w5_evar.pt"
|
| 120 |
},
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| 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":
|
| 131 |
"model_path": "models/deepm_optionA_w5_sharpe.pt"
|
| 132 |
},
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| 133 |
{
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|
@@ -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": 2.
|
| 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": 1.
|
| 191 |
"model_path": "models/deepm_optionA_w8_evar.pt"
|
| 192 |
},
|
| 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 |
],
|
|
|
|
| 1 |
{
|
| 2 |
"option": "A",
|
| 3 |
+
"trained_at": "2026-05-21T05:36:53.828215",
|
| 4 |
+
"elapsed_sec": 1997.1,
|
| 5 |
"n_windows": 8,
|
| 6 |
+
"winning_window": 2,
|
| 7 |
+
"winning_train_start": "2010-01-01",
|
| 8 |
"winning_train_end": "2024-12-31",
|
| 9 |
"winning_loss": "sharpe",
|
| 10 |
+
"oos_ann_return": 0.4107,
|
| 11 |
+
"oos_sharpe": 2.2043,
|
| 12 |
"all_windows": [
|
| 13 |
{
|
| 14 |
"window_id": 1,
|
|
|
|
| 17 |
"oos_start": "2025-01-01",
|
| 18 |
"loss_fn": "evar",
|
| 19 |
"n_train": 4218,
|
| 20 |
+
"n_oos": 346,
|
| 21 |
+
"oos_ann_return": 0.0667,
|
| 22 |
+
"oos_sharpe": 1.5027,
|
| 23 |
"model_path": "models/deepm_optionA_w1_evar.pt"
|
| 24 |
},
|
| 25 |
{
|
|
|
|
| 29 |
"oos_start": "2025-01-01",
|
| 30 |
"loss_fn": "sharpe",
|
| 31 |
"n_train": 4218,
|
| 32 |
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"n_oos": 346,
|
| 33 |
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|
| 34 |
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|
| 35 |
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|
| 36 |
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|
| 37 |
{
|
|
|
|
| 41 |
"oos_start": "2025-01-01",
|
| 42 |
"loss_fn": "evar",
|
| 43 |
"n_train": 3774,
|
| 44 |
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|
| 45 |
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|
| 46 |
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|
| 47 |
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|
| 48 |
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|
| 49 |
{
|
|
|
|
| 53 |
"oos_start": "2025-01-01",
|
| 54 |
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|
| 55 |
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|
| 56 |
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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 |
{
|
|
|
|
| 65 |
"oos_start": "2025-01-01",
|
| 66 |
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|
| 67 |
"n_train": 3270,
|
| 68 |
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|
| 69 |
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|
| 70 |
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|
| 71 |
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|
| 72 |
},
|
| 73 |
{
|
|
|
|
| 77 |
"oos_start": "2025-01-01",
|
| 78 |
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|
| 79 |
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|
| 80 |
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"n_oos": 346,
|
| 81 |
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|
| 82 |
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|
| 83 |
"model_path": "models/deepm_optionA_w3_sharpe.pt"
|
| 84 |
},
|
| 85 |
{
|
|
|
|
| 89 |
"oos_start": "2025-01-01",
|
| 90 |
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|
| 91 |
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|
| 92 |
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"n_oos": 346,
|
| 93 |
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"oos_ann_return": 0.0699,
|
| 94 |
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"oos_sharpe": 1.4962,
|
| 95 |
"model_path": "models/deepm_optionA_w4_evar.pt"
|
| 96 |
},
|
| 97 |
{
|
|
|
|
| 101 |
"oos_start": "2025-01-01",
|
| 102 |
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|
| 103 |
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|
| 104 |
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|
| 105 |
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|
| 106 |
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|
| 107 |
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|
| 108 |
},
|
| 109 |
{
|
|
|
|
| 113 |
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|
| 114 |
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|
| 115 |
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|
| 116 |
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|
| 117 |
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|
| 118 |
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|
| 119 |
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|
| 120 |
},
|
| 121 |
{
|
|
|
|
| 125 |
"oos_start": "2025-01-01",
|
| 126 |
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|
| 127 |
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|
| 128 |
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"n_oos": 346,
|
| 129 |
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|
| 130 |
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|
| 131 |
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|
| 132 |
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|
| 133 |
{
|
|
|
|
| 137 |
"oos_start": "2025-01-01",
|
| 138 |
"loss_fn": "evar",
|
| 139 |
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|
| 140 |
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|
| 141 |
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"oos_ann_return": 0.0661,
|
| 142 |
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|
| 143 |
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|
| 144 |
},
|
| 145 |
{
|
|
|
|
| 149 |
"oos_start": "2025-01-01",
|
| 150 |
"loss_fn": "sharpe",
|
| 151 |
"n_train": 1761,
|
| 152 |
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"n_oos": 346,
|
| 153 |
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"oos_ann_return": 0.2329,
|
| 154 |
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"oos_sharpe": 2.2675,
|
| 155 |
"model_path": "models/deepm_optionA_w6_sharpe.pt"
|
| 156 |
},
|
| 157 |
{
|
|
|
|
| 161 |
"oos_start": "2025-01-01",
|
| 162 |
"loss_fn": "evar",
|
| 163 |
"n_train": 1258,
|
| 164 |
+
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|
| 165 |
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|
| 166 |
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"oos_sharpe": 1.7141,
|
| 167 |
"model_path": "models/deepm_optionA_w7_evar.pt"
|
| 168 |
},
|
| 169 |
{
|
|
|
|
| 173 |
"oos_start": "2025-01-01",
|
| 174 |
"loss_fn": "sharpe",
|
| 175 |
"n_train": 1258,
|
| 176 |
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|
| 177 |
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|
| 178 |
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"oos_sharpe": 2.1093,
|
| 179 |
"model_path": "models/deepm_optionA_w7_sharpe.pt"
|
| 180 |
},
|
| 181 |
{
|
|
|
|
| 185 |
"oos_start": "2025-01-01",
|
| 186 |
"loss_fn": "evar",
|
| 187 |
"n_train": 753,
|
| 188 |
+
"n_oos": 346,
|
| 189 |
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"oos_ann_return": 0.1777,
|
| 190 |
+
"oos_sharpe": 1.7949,
|
| 191 |
"model_path": "models/deepm_optionA_w8_evar.pt"
|
| 192 |
},
|
| 193 |
{
|
|
|
|
| 197 |
"oos_start": "2025-01-01",
|
| 198 |
"loss_fn": "sharpe",
|
| 199 |
"n_train": 753,
|
| 200 |
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"n_oos": 346,
|
| 201 |
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"oos_ann_return": 0.3425,
|
| 202 |
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"oos_sharpe": 1.9398,
|
| 203 |
"model_path": "models/deepm_optionA_w8_sharpe.pt"
|
| 204 |
}
|
| 205 |
],
|
models/meta_optionB.json
CHANGED
|
@@ -1,7 +1,7 @@
|
|
| 1 |
{
|
| 2 |
"option": "B",
|
| 3 |
-
"trained_at": "2026-05-
|
| 4 |
-
"elapsed_sec":
|
| 5 |
"n_params": 131176,
|
| 6 |
"n_assets": 20,
|
| 7 |
"tickers": [
|
|
@@ -31,233 +31,185 @@
|
|
| 31 |
"n_macro_feats": 19,
|
| 32 |
"lookback": 60,
|
| 33 |
"loss_fn": "sharpe",
|
| 34 |
-
"best_val_loss": -0.
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| 35 |
-
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|
| 36 |
-
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| 37 |
-
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|
| 38 |
-
"test_sharpe": 1.
|
| 39 |
-
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|
| 40 |
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|
| 41 |
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|
| 42 |
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|
| 43 |
-
"n_test":
|
| 44 |
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|
| 45 |
"train_end": "2020-12-03",
|
| 46 |
"val_end": "2023-08-24",
|
| 47 |
-
"test_end": "2026-05-
|
| 48 |
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|
| 49 |
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|
| 50 |
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|
| 51 |
-
-1.
|
| 52 |
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-1.
|
| 53 |
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-1.
|
| 54 |
-
-1.
|
| 55 |
-
-1.
|
| 56 |
-
-1.
|
| 57 |
-
-1.
|
| 58 |
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-1.
|
| 59 |
-
-1.
|
| 60 |
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-1.
|
| 61 |
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-1.
|
| 62 |
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|
| 63 |
-
-
|
| 64 |
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|
| 65 |
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-
|
| 66 |
-
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|
| 67 |
-
-2.
|
| 68 |
-
-2.
|
| 69 |
-
-2.
|
| 70 |
-
-2.
|
| 71 |
-
-2.
|
| 72 |
-
-2.
|
| 73 |
-
-2.
|
| 74 |
-
-2.
|
| 75 |
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-2.
|
| 76 |
-
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|
| 77 |
-
-2.
|
| 78 |
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-
|
| 79 |
-
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|
| 80 |
-
-
|
| 81 |
-
-
|
| 82 |
-
-
|
| 83 |
-
-
|
| 84 |
-
-3.
|
| 85 |
-
-
|
| 86 |
-
-3.
|
| 87 |
-
-3.
|
| 88 |
-
-
|
| 89 |
-
-3.
|
| 90 |
-
-3.139408,
|
| 91 |
-
-3.218296,
|
| 92 |
-
-3.362106,
|
| 93 |
-
-3.400326,
|
| 94 |
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-3.465962,
|
| 95 |
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-3.418149,
|
| 96 |
-
-3.384303,
|
| 97 |
-
-3.480798,
|
| 98 |
-
-3.372553,
|
| 99 |
-
-3.559199,
|
| 100 |
-
-3.46132,
|
| 101 |
-
-3.539872
|
| 102 |
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|
| 103 |
"val_loss": [
|
| 104 |
-
-0.
|
| 105 |
-
-0.
|
| 106 |
-
-0.
|
| 107 |
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|
| 108 |
-
-0.
|
| 109 |
-
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|
| 110 |
-
-0.
|
| 111 |
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|
| 112 |
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|
| 113 |
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-0.
|
| 114 |
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|
| 115 |
-
-0.
|
| 116 |
-
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|
| 117 |
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-0.
|
| 118 |
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|
| 119 |
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|
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|
| 121 |
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-0.
|
| 122 |
-
-0.
|
| 123 |
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|
| 124 |
-
-0.
|
| 125 |
-
-0.
|
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models/meta_optionB_window.json
CHANGED
|
@@ -1,14 +1,14 @@
|
|
| 1 |
{
|
| 2 |
"option": "B",
|
| 3 |
-
"trained_at": "2026-05-
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| 4 |
-
"elapsed_sec":
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| 5 |
"n_windows": 8,
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| 6 |
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"winning_train_start": "
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"winning_train_end": "2024-12-31",
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| 9 |
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|
| 10 |
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| 11 |
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"oos_sharpe": 2.
|
| 12 |
"all_windows": [
|
| 13 |
{
|
| 14 |
"window_id": 1,
|
|
@@ -17,9 +17,9 @@
|
|
| 17 |
"oos_start": "2025-01-01",
|
| 18 |
"loss_fn": "evar",
|
| 19 |
"n_train": 4218,
|
| 20 |
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"n_oos":
|
| 21 |
-
"oos_ann_return": 0.
|
| 22 |
-
"oos_sharpe": 1.
|
| 23 |
"model_path": "models/deepm_optionB_w1_evar.pt"
|
| 24 |
},
|
| 25 |
{
|
|
@@ -29,9 +29,9 @@
|
|
| 29 |
"oos_start": "2025-01-01",
|
| 30 |
"loss_fn": "sharpe",
|
| 31 |
"n_train": 4218,
|
| 32 |
-
"n_oos":
|
| 33 |
-
"oos_ann_return": 0.
|
| 34 |
-
"oos_sharpe": 1.
|
| 35 |
"model_path": "models/deepm_optionB_w1_sharpe.pt"
|
| 36 |
},
|
| 37 |
{
|
|
@@ -41,9 +41,9 @@
|
|
| 41 |
"oos_start": "2025-01-01",
|
| 42 |
"loss_fn": "evar",
|
| 43 |
"n_train": 3774,
|
| 44 |
-
"n_oos":
|
| 45 |
-
"oos_ann_return": 0.
|
| 46 |
-
"oos_sharpe": 1.
|
| 47 |
"model_path": "models/deepm_optionB_w2_evar.pt"
|
| 48 |
},
|
| 49 |
{
|
|
@@ -53,9 +53,9 @@
|
|
| 53 |
"oos_start": "2025-01-01",
|
| 54 |
"loss_fn": "sharpe",
|
| 55 |
"n_train": 3774,
|
| 56 |
-
"n_oos":
|
| 57 |
-
"oos_ann_return": 0.
|
| 58 |
-
"oos_sharpe": 1.
|
| 59 |
"model_path": "models/deepm_optionB_w2_sharpe.pt"
|
| 60 |
},
|
| 61 |
{
|
|
@@ -65,9 +65,9 @@
|
|
| 65 |
"oos_start": "2025-01-01",
|
| 66 |
"loss_fn": "evar",
|
| 67 |
"n_train": 3270,
|
| 68 |
-
"n_oos":
|
| 69 |
-
"oos_ann_return": 0.
|
| 70 |
-
"oos_sharpe": 1.
|
| 71 |
"model_path": "models/deepm_optionB_w3_evar.pt"
|
| 72 |
},
|
| 73 |
{
|
|
@@ -77,9 +77,9 @@
|
|
| 77 |
"oos_start": "2025-01-01",
|
| 78 |
"loss_fn": "sharpe",
|
| 79 |
"n_train": 3270,
|
| 80 |
-
"n_oos":
|
| 81 |
-
"oos_ann_return": 0.
|
| 82 |
-
"oos_sharpe":
|
| 83 |
"model_path": "models/deepm_optionB_w3_sharpe.pt"
|
| 84 |
},
|
| 85 |
{
|
|
@@ -89,9 +89,9 @@
|
|
| 89 |
"oos_start": "2025-01-01",
|
| 90 |
"loss_fn": "evar",
|
| 91 |
"n_train": 2768,
|
| 92 |
-
"n_oos":
|
| 93 |
-
"oos_ann_return": 0.
|
| 94 |
-
"oos_sharpe": 1.
|
| 95 |
"model_path": "models/deepm_optionB_w4_evar.pt"
|
| 96 |
},
|
| 97 |
{
|
|
@@ -101,9 +101,9 @@
|
|
| 101 |
"oos_start": "2025-01-01",
|
| 102 |
"loss_fn": "sharpe",
|
| 103 |
"n_train": 2768,
|
| 104 |
-
"n_oos":
|
| 105 |
-
"oos_ann_return": 0.
|
| 106 |
-
"oos_sharpe": 2.
|
| 107 |
"model_path": "models/deepm_optionB_w4_sharpe.pt"
|
| 108 |
},
|
| 109 |
{
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|
@@ -113,9 +113,9 @@
|
|
| 113 |
"oos_start": "2025-01-01",
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"loss_fn": "evar",
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"n_train": 2264,
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-
"n_oos":
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-
"oos_ann_return": 0.
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"oos_sharpe": 1.
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"model_path": "models/deepm_optionB_w5_evar.pt"
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},
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{
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@@ -125,9 +125,9 @@
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"oos_start": "2025-01-01",
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"loss_fn": "sharpe",
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"n_train": 2264,
|
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-
"n_oos":
|
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-
"oos_ann_return": 0.
|
| 130 |
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"oos_sharpe": 2.
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"model_path": "models/deepm_optionB_w5_sharpe.pt"
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{
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"oos_start": "2025-01-01",
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"loss_fn": "evar",
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"n_train": 1761,
|
| 140 |
-
"n_oos":
|
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-
"oos_ann_return": 0.
|
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-
"oos_sharpe": 1.
|
| 143 |
"model_path": "models/deepm_optionB_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":
|
| 155 |
"model_path": "models/deepm_optionB_w6_sharpe.pt"
|
| 156 |
},
|
| 157 |
{
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|
@@ -161,9 +161,9 @@
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|
| 161 |
"oos_start": "2025-01-01",
|
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"loss_fn": "evar",
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"n_train": 1258,
|
| 164 |
-
"n_oos":
|
| 165 |
-
"oos_ann_return": 0.
|
| 166 |
-
"oos_sharpe": 1.
|
| 167 |
"model_path": "models/deepm_optionB_w7_evar.pt"
|
| 168 |
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| 169 |
{
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@@ -173,9 +173,9 @@
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| 173 |
"oos_start": "2025-01-01",
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"loss_fn": "sharpe",
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"n_train": 1258,
|
| 176 |
-
"n_oos":
|
| 177 |
-
"oos_ann_return": 0.
|
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"oos_sharpe":
|
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"model_path": "models/deepm_optionB_w7_sharpe.pt"
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{
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@@ -185,9 +185,9 @@
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"oos_start": "2025-01-01",
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"loss_fn": "evar",
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"n_train": 753,
|
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-
"n_oos":
|
| 189 |
-
"oos_ann_return": 0.
|
| 190 |
-
"oos_sharpe": 1.
|
| 191 |
"model_path": "models/deepm_optionB_w8_evar.pt"
|
| 192 |
},
|
| 193 |
{
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@@ -197,9 +197,9 @@
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|
| 197 |
"oos_start": "2025-01-01",
|
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"loss_fn": "sharpe",
|
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"n_train": 753,
|
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-
"n_oos":
|
| 201 |
-
"oos_ann_return": 0.
|
| 202 |
-
"oos_sharpe": 1.
|
| 203 |
"model_path": "models/deepm_optionB_w8_sharpe.pt"
|
| 204 |
}
|
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],
|
|
|
|
| 1 |
{
|
| 2 |
"option": "B",
|
| 3 |
+
"trained_at": "2026-05-21T07:03:12.136363",
|
| 4 |
+
"elapsed_sec": 5178.3,
|
| 5 |
"n_windows": 8,
|
| 6 |
+
"winning_window": 5,
|
| 7 |
+
"winning_train_start": "2016-01-01",
|
| 8 |
"winning_train_end": "2024-12-31",
|
| 9 |
"winning_loss": "sharpe",
|
| 10 |
+
"oos_ann_return": 0.5766,
|
| 11 |
+
"oos_sharpe": 2.3186,
|
| 12 |
"all_windows": [
|
| 13 |
{
|
| 14 |
"window_id": 1,
|
|
|
|
| 17 |
"oos_start": "2025-01-01",
|
| 18 |
"loss_fn": "evar",
|
| 19 |
"n_train": 4218,
|
| 20 |
+
"n_oos": 346,
|
| 21 |
+
"oos_ann_return": 0.1918,
|
| 22 |
+
"oos_sharpe": 1.4205,
|
| 23 |
"model_path": "models/deepm_optionB_w1_evar.pt"
|
| 24 |
},
|
| 25 |
{
|
|
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|
| 29 |
"oos_start": "2025-01-01",
|
| 30 |
"loss_fn": "sharpe",
|
| 31 |
"n_train": 4218,
|
| 32 |
+
"n_oos": 346,
|
| 33 |
+
"oos_ann_return": 0.2377,
|
| 34 |
+
"oos_sharpe": 1.3101,
|
| 35 |
"model_path": "models/deepm_optionB_w1_sharpe.pt"
|
| 36 |
},
|
| 37 |
{
|
|
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|
| 41 |
"oos_start": "2025-01-01",
|
| 42 |
"loss_fn": "evar",
|
| 43 |
"n_train": 3774,
|
| 44 |
+
"n_oos": 346,
|
| 45 |
+
"oos_ann_return": 0.1625,
|
| 46 |
+
"oos_sharpe": 1.3003,
|
| 47 |
"model_path": "models/deepm_optionB_w2_evar.pt"
|
| 48 |
},
|
| 49 |
{
|
|
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|
| 53 |
"oos_start": "2025-01-01",
|
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"loss_fn": "sharpe",
|
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"n_train": 3774,
|
| 56 |
+
"n_oos": 346,
|
| 57 |
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|
| 58 |
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"oos_sharpe": 1.9143,
|
| 59 |
"model_path": "models/deepm_optionB_w2_sharpe.pt"
|
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|
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{
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"oos_start": "2025-01-01",
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|
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"n_train": 3270,
|
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"n_oos": 346,
|
| 69 |
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"oos_ann_return": 0.2203,
|
| 70 |
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"oos_sharpe": 1.4751,
|
| 71 |
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|
| 72 |
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|
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{
|
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|
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"oos_start": "2025-01-01",
|
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|
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|
| 80 |
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|
| 81 |
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|
| 82 |
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|
| 83 |
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|
| 84 |
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|
| 85 |
{
|
|
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|
| 89 |
"oos_start": "2025-01-01",
|
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|
| 91 |
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|
| 92 |
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"n_oos": 346,
|
| 93 |
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|
| 94 |
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|
| 95 |
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|
| 96 |
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|
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{
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|
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|
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|
| 105 |
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|
| 106 |
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|
| 107 |
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|
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|
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{
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|
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|
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|
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|
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|
| 116 |
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|
| 117 |
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|
| 118 |
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|
| 119 |
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|
| 120 |
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|
| 121 |
{
|
|
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|
| 125 |
"oos_start": "2025-01-01",
|
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|
| 127 |
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|
| 128 |
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|
| 129 |
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|
| 130 |
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|
| 131 |
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|
| 132 |
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|
| 133 |
{
|
|
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|
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"oos_start": "2025-01-01",
|
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|
| 139 |
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|
| 140 |
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"n_oos": 346,
|
| 141 |
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|
| 142 |
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|
| 143 |
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|
| 144 |
},
|
| 145 |
{
|
|
|
|
| 149 |
"oos_start": "2025-01-01",
|
| 150 |
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|
| 151 |
"n_train": 1761,
|
| 152 |
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"n_oos": 346,
|
| 153 |
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"oos_ann_return": 0.4832,
|
| 154 |
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"oos_sharpe": 2.3749,
|
| 155 |
"model_path": "models/deepm_optionB_w6_sharpe.pt"
|
| 156 |
},
|
| 157 |
{
|
|
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|
| 161 |
"oos_start": "2025-01-01",
|
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|
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|
| 164 |
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|
| 165 |
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|
| 166 |
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"oos_sharpe": 1.4513,
|
| 167 |
"model_path": "models/deepm_optionB_w7_evar.pt"
|
| 168 |
},
|
| 169 |
{
|
|
|
|
| 173 |
"oos_start": "2025-01-01",
|
| 174 |
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|
| 175 |
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|
| 176 |
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|
| 177 |
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|
| 178 |
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"oos_sharpe": 2.0588,
|
| 179 |
"model_path": "models/deepm_optionB_w7_sharpe.pt"
|
| 180 |
},
|
| 181 |
{
|
|
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|
| 185 |
"oos_start": "2025-01-01",
|
| 186 |
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|
| 187 |
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|
| 188 |
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|
| 189 |
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|
| 190 |
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|
| 191 |
"model_path": "models/deepm_optionB_w8_evar.pt"
|
| 192 |
},
|
| 193 |
{
|
|
|
|
| 197 |
"oos_start": "2025-01-01",
|
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|
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|
| 200 |
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|
| 201 |
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|
| 202 |
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|
| 203 |
"model_path": "models/deepm_optionB_w8_sharpe.pt"
|
| 204 |
}
|
| 205 |
],
|
models/scaler_optionA.pkl
CHANGED
|
@@ -1,3 +1,3 @@
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|
| 1 |
version https://git-lfs.github.com/spec/v1
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| 2 |
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| 3 |
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models/scaler_optionA_window.pkl
CHANGED
|
@@ -1,3 +1,3 @@
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|
| 1 |
version https://git-lfs.github.com/spec/v1
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| 2 |
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oid sha256:
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| 3 |
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models/scaler_optionB.pkl
CHANGED
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@@ -1,3 +1,3 @@
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|
| 1 |
version https://git-lfs.github.com/spec/v1
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models/scaler_optionB_window.pkl
CHANGED
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@@ -1,3 +1,3 @@
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|
| 1 |
version https://git-lfs.github.com/spec/v1
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