Update latest signals (2026-05-20T06:56:27.322889)

models/latest_signals.json

@@ -1,35 +1,35 @@
 {
-  "generated_at": "2026-05-19T07:30:55.929809",
+  "generated_at": "2026-05-20T06:56:27.322889",
   "option_A": {
     "option": "A",
     "mode": "fixed_split",
     "option_name": "Fixed Income / Alts",
-    "signal_date": "2026-05-19",
-    "last_data_date": "2026-05-18",
-    "generated_at": "2026-05-19T07:30:55.193740",
-    "pick": "PFF",
-    "conviction": 0.5205,
+    "signal_date": "2026-05-20",
+    "last_data_date": "2026-05-19",
+    "generated_at": "2026-05-20T06:56:26.593677",
+    "pick": "VNQ",
+    "conviction": 0.991,
     "weights": {
-      "TLT": 0.0918,
-      "LQD": 0.1856,
-      "HYG": 0.1026,
-      "VNQ": 0.0022,
-      "GLD": 0.0016,
-      "SLV": 0.0002,
-      "PFF": 0.5205,
-      "MBB": 0.0955
+      "TLT": 0.0065,
+      "LQD": 0.0,
+      "HYG": 0.0,
+      "VNQ": 0.991,
+      "GLD": 0.0005,
+      "SLV": 0.0013,
+      "PFF": 0.0003,
+      "MBB": 0.0003
     },
     "regime_context": {
-      "VIX": 18.43,
+      "VIX": 17.82,
       "T10Y2Y": 0.54,
-      "HY_SPREAD": 2.8,
+      "HY_SPREAD": 2.83,
       "USD_INDEX": 119.28
     },
-    "macro_stress": -0.688,
-    "trained_at": "2026-05-19T04:35:02.504936",
+    "macro_stress": -0.695,
+    "trained_at": "2026-05-20T04:35:57.095726",
     "winning_loss": "sharpe",
-    "test_sharpe": 1.6872,
-    "test_ann_return": 0.2014,
+    "test_sharpe": 1.1117,
+    "test_ann_return": 0.0957,
     "model_n_params": 129616,
     "actual_return": null,
     "hit": null
@@ -38,44 +38,44 @@
     "option": "B",
     "mode": "fixed_split",
     "option_name": "Equity Sectors",
-    "signal_date": "2026-05-19",
-    "last_data_date": "2026-05-18",
-    "generated_at": "2026-05-19T07:30:55.671706",
-    "pick": "QQQ",
-    "conviction": 0.8417,
+    "signal_date": "2026-05-20",
+    "last_data_date": "2026-05-19",
+    "generated_at": "2026-05-20T06:56:27.066865",
+    "pick": "XLV",
+    "conviction": 0.8542,
     "weights": {
-      "SPY": 0.0004,
-      "QQQ": 0.8417,
-      "XLK": 0.0758,
-      "XLF": 0.0001,
-      "XLE": 0.0001,
-      "XLV": 0.0074,
+      "SPY": 0.0,
+      "QQQ": 0.0143,
+      "XLK": 0.0001,
+      "XLF": 0.0,
+      "XLE": 0.0,
+      "XLV": 0.8542,
       "XLI": 0.0,
-      "XLY": 0.0032,
-      "XLP": 0.0006,
-      "XLU": 0.0044,
-      "GDX": 0.0011,
+      "XLY": 0.0025,
+      "XLP": 0.1233,
+      "XLU": 0.0045,
+      "GDX": 0.0,
       "XLB": 0.0,
-      "IWF": 0.0052,
+      "IWF": 0.0001,
       "IWD": 0.0,
-      "IWO": 0.0002,
-      "XSD": 0.0568,
-      "XBI": 0.0005,
-      "XLRE": 0.0025,
-      "IWM": 0.0001,
+      "IWO": 0.0,
+      "XSD": 0.0,
+      "XBI": 0.0002,
+      "XLRE": 0.0007,
+      "IWM": 0.0,
       "XME": 0.0
     },
     "regime_context": {
-      "VIX": 18.43,
+      "VIX": 17.82,
       "T10Y2Y": 0.54,
-      "HY_SPREAD": 2.8,
+      "HY_SPREAD": 2.83,
       "USD_INDEX": 119.28
     },
-    "macro_stress": -0.688,
-    "trained_at": "2026-05-19T05:00:24.553806",
+    "macro_stress": -0.695,
+    "trained_at": "2026-05-20T04:53:54.435894",
     "winning_loss": "sharpe",
-    "test_sharpe": 1.705,
-    "test_ann_return": 0.3906,
+    "test_sharpe": 1.6814,
+    "test_ann_return": 0.4544,
     "model_n_params": 131176,
     "actual_return": null,
     "hit": null
@@ -84,35 +84,35 @@
     "option": "A",
     "mode": "shrinking_window",
     "option_name": "Fixed Income / Alts",
-    "signal_date": "2026-05-19",
-    "last_data_date": "2026-05-18",
-    "generated_at": "2026-05-19T07:30:55.411819",
-    "pick": "GLD",
-    "conviction": 0.1817,
+    "signal_date": "2026-05-20",
+    "last_data_date": "2026-05-19",
+    "generated_at": "2026-05-20T06:56:26.809541",
+    "pick": "VNQ",
+    "conviction": 0.4036,
     "weights": {
-      "TLT": 0.0905,
-      "LQD": 0.1279,
-      "HYG": 0.108,
-      "VNQ": 0.1379,
-      "GLD": 0.1817,
-      "SLV": 0.1183,
-      "PFF": 0.1176,
-      "MBB": 0.1181
+      "TLT": 0.0334,
+      "LQD": 0.0275,
+      "HYG": 0.0497,
+      "VNQ": 0.4036,
+      "GLD": 0.0703,
+      "SLV": 0.0152,
+      "PFF": 0.3876,
+      "MBB": 0.0128
     },
     "regime_context": {
-      "VIX": 18.43,
+      "VIX": 17.82,
       "T10Y2Y": 0.54,
-      "HY_SPREAD": 2.8,
+      "HY_SPREAD": 2.83,
       "USD_INDEX": 119.28
     },
-    "macro_stress": -0.688,
-    "trained_at": "2026-05-19T05:32:36.735573",
+    "macro_stress": -0.695,
+    "trained_at": "2026-05-20T05:23:32.054668",
     "winning_window": 1,
     "winning_train_start": "2008-01-01",
     "winning_train_end": "2024-12-31",
     "winning_loss": "sharpe",
-    "oos_ann_return": 0.4655,
-    "oos_sharpe": 3.0335,
+    "oos_ann_return": 0.4275,
+    "oos_sharpe": 2.4467,
     "actual_return": null,
     "hit": null
   },
@@ -120,47 +120,47 @@
     "option": "B",
     "mode": "shrinking_window",
     "option_name": "Equity Sectors",
-    "signal_date": "2026-05-19",
-    "last_data_date": "2026-05-18",
-    "generated_at": "2026-05-19T07:30:55.929676",
-    "pick": "XLU",
-    "conviction": 0.729,
+    "signal_date": "2026-05-20",
+    "last_data_date": "2026-05-19",
+    "generated_at": "2026-05-20T06:56:27.322740",
+    "pick": "XSD",
+    "conviction": 0.8428,
     "weights": {
-      "SPY": 0.0049,
-      "QQQ": 0.0244,
-      "XLK": 0.0096,
-      "XLF": 0.0274,
-      "XLE": 0.0073,
-      "XLV": 0.0082,
-      "XLI": 0.0011,
-      "XLY": 0.0081,
-      "XLP": 0.1337,
-      "XLU": 0.729,
-      "GDX": 0.0332,
-      "XLB": 0.0002,
-      "IWF": 0.0017,
-      "IWD": 0.0005,
-      "IWO": 0.0003,
-      "XSD": 0.002,
-      "XBI": 0.0001,
-      "XLRE": 0.0076,
-      "IWM": 0.0003,
-      "XME": 0.0005
+      "SPY": 0.0,
+      "QQQ": 0.0011,
+      "XLK": 0.1427,
+      "XLF": 0.0025,
+      "XLE": 0.0002,
+      "XLV": 0.0009,
+      "XLI": 0.0006,
+      "XLY": 0.0009,
+      "XLP": 0.0024,
+      "XLU": 0.0011,
+      "GDX": 0.0008,
+      "XLB": 0.0001,
+      "IWF": 0.0005,
+      "IWD": 0.0003,
+      "IWO": 0.0002,
+      "XSD": 0.8428,
+      "XBI": 0.002,
+      "XLRE": 0.0003,
+      "IWM": 0.0002,
+      "XME": 0.0003
     },
     "regime_context": {
-      "VIX": 18.43,
+      "VIX": 17.82,
       "T10Y2Y": 0.54,
-      "HY_SPREAD": 2.8,
+      "HY_SPREAD": 2.83,
       "USD_INDEX": 119.28
     },
-    "macro_stress": -0.688,
-    "trained_at": "2026-05-19T07:30:51.829021",
-    "winning_window": 6,
-    "winning_train_start": "2018-01-01",
+    "macro_stress": -0.695,
+    "trained_at": "2026-05-20T06:56:23.264346",
+    "winning_window": 4,
+    "winning_train_start": "2014-01-01",
     "winning_train_end": "2024-12-31",
     "winning_loss": "sharpe",
-    "oos_ann_return": 0.501,
-    "oos_sharpe": 2.3311,
+    "oos_ann_return": 0.8107,
+    "oos_sharpe": 2.5851,
     "actual_return": null,
     "hit": null
   }