[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 +180 -92
- models/meta_optionA_window.json +52 -52
- models/meta_optionB.json +76 -76
- 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
models/deepm_optionA_best.pt
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@@ -41,9 +41,9 @@
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| 41 |
"oos_start": "2025-01-01",
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| 42 |
"loss_fn": "evar",
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| 43 |
"n_train": 3774,
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"n_oos":
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| 45 |
-
"oos_ann_return": 0.
|
| 46 |
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"oos_sharpe": 1.
|
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"model_path": "models/deepm_optionA_w2_evar.pt"
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| 49 |
{
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|
@@ -53,9 +53,9 @@
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|
| 53 |
"oos_start": "2025-01-01",
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"loss_fn": "sharpe",
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"n_train": 3774,
|
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-
"n_oos":
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-
"oos_ann_return": 0.
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| 58 |
-
"oos_sharpe": 2.
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"model_path": "models/deepm_optionA_w2_sharpe.pt"
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| 61 |
{
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@@ -65,9 +65,9 @@
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"oos_start": "2025-01-01",
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"loss_fn": "evar",
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"n_train": 3270,
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-
"n_oos":
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-
"oos_ann_return": 0.
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| 70 |
-
"oos_sharpe": 1.
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"model_path": "models/deepm_optionA_w3_evar.pt"
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{
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@@ -77,9 +77,9 @@
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"oos_start": "2025-01-01",
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"loss_fn": "sharpe",
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"n_train": 3270,
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-
"n_oos":
|
| 81 |
-
"oos_ann_return": 0.
|
| 82 |
-
"oos_sharpe": 2.
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| 83 |
"model_path": "models/deepm_optionA_w3_sharpe.pt"
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{
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@@ -89,9 +89,9 @@
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"oos_start": "2025-01-01",
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"loss_fn": "evar",
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"n_train": 2768,
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-
"n_oos":
|
| 93 |
-
"oos_ann_return": 0.
|
| 94 |
-
"oos_sharpe": 1.
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| 95 |
"model_path": "models/deepm_optionA_w4_evar.pt"
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},
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| 97 |
{
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@@ -101,9 +101,9 @@
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"oos_start": "2025-01-01",
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"loss_fn": "sharpe",
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"n_train": 2768,
|
| 104 |
-
"n_oos":
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| 105 |
-
"oos_ann_return": 0.
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"oos_sharpe":
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"model_path": "models/deepm_optionA_w4_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": 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_optionA_w5_evar.pt"
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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":
|
| 129 |
-
"oos_ann_return": 0.
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| 130 |
-
"oos_sharpe": 1.
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"model_path": "models/deepm_optionA_w5_sharpe.pt"
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{
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@@ -137,9 +137,9 @@
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"oos_start": "2025-01-01",
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"loss_fn": "evar",
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"n_train": 1761,
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"n_oos":
|
| 141 |
-
"oos_ann_return": 0.
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| 142 |
-
"oos_sharpe": 1.
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"model_path": "models/deepm_optionA_w6_evar.pt"
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| 144 |
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| 145 |
{
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@@ -149,9 +149,9 @@
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| 149 |
"oos_start": "2025-01-01",
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| 150 |
"loss_fn": "sharpe",
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| 151 |
"n_train": 1761,
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| 152 |
-
"n_oos":
|
| 153 |
-
"oos_ann_return": 0.
|
| 154 |
-
"oos_sharpe":
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"model_path": "models/deepm_optionA_w6_sharpe.pt"
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{
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@@ -161,9 +161,9 @@
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"oos_start": "2025-01-01",
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"loss_fn": "evar",
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"n_train": 1258,
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"n_oos":
|
| 165 |
-
"oos_ann_return": 0.
|
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"oos_sharpe":
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"model_path": "models/deepm_optionA_w7_evar.pt"
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| 168 |
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{
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@@ -173,9 +173,9 @@
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"oos_start": "2025-01-01",
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"loss_fn": "sharpe",
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"n_train": 1258,
|
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-
"n_oos":
|
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-
"oos_ann_return": 0.
|
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"oos_sharpe":
|
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"model_path": "models/deepm_optionA_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,
|
| 188 |
-
"n_oos":
|
| 189 |
-
"oos_ann_return": 0.
|
| 190 |
-
"oos_sharpe": 2.
|
| 191 |
"model_path": "models/deepm_optionA_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": 2.
|
| 203 |
"model_path": "models/deepm_optionA_w8_sharpe.pt"
|
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}
|
| 205 |
],
|
|
|
|
| 1 |
{
|
| 2 |
"option": "A",
|
| 3 |
+
"trained_at": "2026-04-11T04:16:53.319965",
|
| 4 |
+
"elapsed_sec": 1924.2,
|
| 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 |
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"oos_ann_return": 0.4972,
|
| 11 |
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"oos_sharpe": 2.4151,
|
| 12 |
"all_windows": [
|
| 13 |
{
|
| 14 |
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|
|
|
|
| 17 |
"oos_start": "2025-01-01",
|
| 18 |
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|
| 19 |
"n_train": 4218,
|
| 20 |
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"n_oos": 318,
|
| 21 |
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|
| 22 |
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|
| 23 |
"model_path": "models/deepm_optionA_w1_evar.pt"
|
| 24 |
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|
| 25 |
{
|
|
|
|
| 29 |
"oos_start": "2025-01-01",
|
| 30 |
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|
| 31 |
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|
| 32 |
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|
| 33 |
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|
| 34 |
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|
| 35 |
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|
| 36 |
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|
| 37 |
{
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|
|
|
| 41 |
"oos_start": "2025-01-01",
|
| 42 |
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|
| 43 |
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|
| 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 |
{
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|
|
|
| 53 |
"oos_start": "2025-01-01",
|
| 54 |
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|
| 55 |
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|
| 56 |
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| 58 |
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|
| 59 |
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|
| 60 |
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|
| 61 |
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|
|
|
| 65 |
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|
| 66 |
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|
| 67 |
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|
| 70 |
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|
| 71 |
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|
| 72 |
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|
| 73 |
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|
|
|
| 77 |
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|
| 78 |
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|
| 79 |
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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 |
{
|
|
|
|
| 89 |
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|
| 90 |
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|
| 91 |
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|
| 92 |
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|
| 93 |
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|
| 94 |
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|
| 95 |
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|
| 96 |
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|
| 97 |
{
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|
|
|
| 101 |
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|
| 102 |
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|
| 103 |
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| 104 |
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| 106 |
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| 107 |
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|
| 108 |
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|
| 109 |
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|
|
|
| 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 |
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|
| 121 |
{
|
|
|
|
| 125 |
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|
| 126 |
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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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|
|
|
|
| 137 |
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|
| 138 |
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|
| 139 |
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|
| 140 |
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| 141 |
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|
| 142 |
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|
| 143 |
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|
| 144 |
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|
| 145 |
{
|
|
|
|
| 149 |
"oos_start": "2025-01-01",
|
| 150 |
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|
| 151 |
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|
| 152 |
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| 153 |
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|
| 154 |
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|
| 155 |
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|
| 156 |
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|
| 157 |
{
|
|
|
|
| 161 |
"oos_start": "2025-01-01",
|
| 162 |
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|
| 163 |
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|
| 164 |
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|
| 165 |
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|
| 166 |
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|
| 167 |
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|
| 168 |
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|
| 169 |
{
|
|
|
|
| 173 |
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|
| 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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|
| 179 |
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|
| 180 |
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|
| 181 |
{
|
|
|
|
| 185 |
"oos_start": "2025-01-01",
|
| 186 |
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|
| 187 |
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|
| 188 |
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"n_oos": 318,
|
| 189 |
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"oos_ann_return": 0.1712,
|
| 190 |
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"oos_sharpe": 2.0557,
|
| 191 |
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|
| 192 |
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|
| 193 |
{
|
|
|
|
| 197 |
"oos_start": "2025-01-01",
|
| 198 |
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|
| 199 |
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|
| 200 |
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| 201 |
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|
| 202 |
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|
| 203 |
"model_path": "models/deepm_optionA_w8_sharpe.pt"
|
| 204 |
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|
| 205 |
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|
models/meta_optionB.json
CHANGED
|
@@ -1,7 +1,7 @@
|
|
| 1 |
{
|
| 2 |
"option": "B",
|
| 3 |
-
"trained_at": "2026-04-
|
| 4 |
-
"elapsed_sec":
|
| 5 |
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|
| 6 |
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|
| 7 |
"tickers": [
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|
@@ -25,93 +25,93 @@
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|
| 25 |
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|
| 26 |
"lookback": 60,
|
| 27 |
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|
| 28 |
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| 29 |
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| 30 |
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| 31 |
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| 32 |
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|
| 33 |
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| 34 |
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| 35 |
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|
| 36 |
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| 37 |
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|
| 38 |
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|
| 39 |
-
"train_end": "2020-11-
|
| 40 |
-
"val_end": "2023-07-
|
| 41 |
-
"test_end": "2026-04-
|
| 42 |
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|
| 43 |
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| 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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-1.
|
| 49 |
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|
| 50 |
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-1.
|
| 51 |
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|
| 52 |
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|
| 53 |
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|
| 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 |
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|
| 60 |
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|
| 61 |
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| 62 |
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| 63 |
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| 64 |
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|
| 65 |
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|
| 67 |
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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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|
| 86 |
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|
| 87 |
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|
| 88 |
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|
| 89 |
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|
| 90 |
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|
| 91 |
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|
| 92 |
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|
| 93 |
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| 94 |
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|
| 95 |
-
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|
| 96 |
-
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|
| 97 |
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|
| 98 |
"val_ann_return": [
|
| 99 |
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|
| 100 |
-
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| 101 |
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| 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 |
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|
| 109 |
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| 110 |
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|
| 111 |
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|
| 112 |
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| 113 |
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| 115 |
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|
| 116 |
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|
| 117 |
"config": {
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|
|
|
| 1 |
{
|
| 2 |
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|
| 3 |
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"trained_at": "2026-04-11T03:44:46.520116",
|
| 4 |
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|
| 5 |
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|
| 6 |
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|
| 7 |
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|
| 25 |
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| 26 |
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| 27 |
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|
| 28 |
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|
| 29 |
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|
| 30 |
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|
| 31 |
+
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|
| 32 |
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"test_sharpe": 1.1517,
|
| 33 |
+
"test_ann_return": 0.1631,
|
| 34 |
"splits": {
|
| 35 |
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|
| 36 |
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|
| 37 |
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|
| 38 |
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|
| 39 |
+
"train_end": "2020-11-05",
|
| 40 |
+
"val_end": "2023-07-24",
|
| 41 |
+
"test_end": "2026-04-10"
|
| 42 |
},
|
| 43 |
"history": {
|
| 44 |
"train_loss": [
|
| 45 |
+
-1.037112,
|
| 46 |
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|
| 47 |
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-1.223879,
|
| 48 |
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-1.294867,
|
| 49 |
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|
| 50 |
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|
| 51 |
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|
| 52 |
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|
| 53 |
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|
| 54 |
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|
| 55 |
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-1.842738,
|
| 56 |
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-1.990511,
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| 57 |
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-2.05316,
|
| 58 |
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|
| 59 |
+
-2.356466,
|
| 60 |
+
-2.301413
|
| 61 |
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|
| 62 |
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|
| 63 |
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-1.424266,
|
| 64 |
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-1.298059,
|
| 65 |
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|
| 66 |
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-1.292006,
|
| 67 |
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-1.153632,
|
| 68 |
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|
| 69 |
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|
| 70 |
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-0.858068,
|
| 71 |
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|
| 72 |
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|
| 73 |
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|
| 74 |
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|
| 75 |
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|
| 76 |
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|
| 77 |
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|
| 78 |
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|
| 79 |
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|
| 80 |
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|
| 81 |
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0.7154,
|
| 82 |
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0.584,
|
| 83 |
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0.5577,
|
| 84 |
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0.4957,
|
| 85 |
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0.4639,
|
| 86 |
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0.271,
|
| 87 |
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0.1463,
|
| 88 |
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-0.052,
|
| 89 |
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-0.039,
|
| 90 |
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0.0023,
|
| 91 |
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-0.1454,
|
| 92 |
+
-0.0924,
|
| 93 |
+
0.0203,
|
| 94 |
+
-0.141,
|
| 95 |
+
0.0004,
|
| 96 |
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-0.1267
|
| 97 |
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|
| 98 |
"val_ann_return": [
|
| 99 |
+
0.1261,
|
| 100 |
+
0.1098,
|
| 101 |
+
0.1083,
|
| 102 |
+
0.1001,
|
| 103 |
+
0.0791,
|
| 104 |
+
0.048,
|
| 105 |
+
0.0322,
|
| 106 |
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-0.0113,
|
| 107 |
+
-0.0081,
|
| 108 |
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0.0005,
|
| 109 |
+
-0.0316,
|
| 110 |
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|
| 111 |
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0.0041,
|
| 112 |
+
-0.0315,
|
| 113 |
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0.0001,
|
| 114 |
+
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|
| 115 |
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|
| 116 |
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|
| 117 |
"config": {
|
models/meta_optionB_window.json
CHANGED
|
@@ -1,14 +1,14 @@
|
|
| 1 |
{
|
| 2 |
"option": "B",
|
| 3 |
-
"trained_at": "2026-04-
|
| 4 |
-
"elapsed_sec":
|
| 5 |
"n_windows": 8,
|
| 6 |
-
"winning_window":
|
| 7 |
-
"winning_train_start": "
|
| 8 |
"winning_train_end": "2024-12-31",
|
| 9 |
"winning_loss": "sharpe",
|
| 10 |
-
"oos_ann_return": 0.
|
| 11 |
-
"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 |
-
"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":
|
| 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 |
{
|
|
@@ -113,9 +113,9 @@
|
|
| 113 |
"oos_start": "2025-01-01",
|
| 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_optionB_w5_evar.pt"
|
| 120 |
},
|
| 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_optionB_w5_sharpe.pt"
|
| 132 |
},
|
| 133 |
{
|
|
@@ -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_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": 1.
|
| 155 |
"model_path": "models/deepm_optionB_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_optionB_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_optionB_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_optionB_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": 1.
|
| 203 |
"model_path": "models/deepm_optionB_w8_sharpe.pt"
|
| 204 |
}
|
| 205 |
],
|
|
|
|
| 1 |
{
|
| 2 |
"option": "B",
|
| 3 |
+
"trained_at": "2026-04-11T05:26:45.975122",
|
| 4 |
+
"elapsed_sec": 4192.7,
|
| 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": 0.6226,
|
| 11 |
+
"oos_sharpe": 2.3154,
|
| 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": 318,
|
| 21 |
+
"oos_ann_return": 0.2283,
|
| 22 |
+
"oos_sharpe": 1.4723,
|
| 23 |
"model_path": "models/deepm_optionB_w1_evar.pt"
|
| 24 |
},
|
| 25 |
{
|
|
|
|
| 29 |
"oos_start": "2025-01-01",
|
| 30 |
"loss_fn": "sharpe",
|
| 31 |
"n_train": 4218,
|
| 32 |
+
"n_oos": 318,
|
| 33 |
+
"oos_ann_return": 0.408,
|
| 34 |
+
"oos_sharpe": 2.0303,
|
| 35 |
"model_path": "models/deepm_optionB_w1_sharpe.pt"
|
| 36 |
},
|
| 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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"oos_ann_return": 0.1917,
|
| 46 |
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|
| 47 |
"model_path": "models/deepm_optionB_w2_evar.pt"
|
| 48 |
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|
| 49 |
{
|
|
|
|
| 53 |
"oos_start": "2025-01-01",
|
| 54 |
"loss_fn": "sharpe",
|
| 55 |
"n_train": 3774,
|
| 56 |
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|
| 57 |
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|
| 58 |
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"oos_sharpe": 1.066,
|
| 59 |
"model_path": "models/deepm_optionB_w2_sharpe.pt"
|
| 60 |
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|
| 61 |
{
|
|
|
|
| 65 |
"oos_start": "2025-01-01",
|
| 66 |
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|
| 67 |
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|
| 68 |
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|
| 69 |
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|
| 70 |
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|
| 71 |
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|
| 72 |
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|
| 73 |
{
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|
|
|
| 77 |
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|
| 78 |
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|
| 79 |
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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 |
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|
| 90 |
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|
| 91 |
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|
| 92 |
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|
| 93 |
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|
| 94 |
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|
| 95 |
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|
| 96 |
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|
| 97 |
{
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|
|
|
| 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 |
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|
| 109 |
{
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|
|
|
| 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 |
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|
| 121 |
{
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|
|
|
| 125 |
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|
| 126 |
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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 |
{
|
|
|
|
| 137 |
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|
| 138 |
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|
| 139 |
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|
| 140 |
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|
| 141 |
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|
| 142 |
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|
| 143 |
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|
| 144 |
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|
| 145 |
{
|
|
|
|
| 149 |
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|
| 150 |
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|
| 151 |
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|
| 152 |
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|
| 153 |
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|
| 154 |
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|
| 155 |
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|
| 156 |
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|
| 157 |
{
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|
|
|
| 161 |
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|
| 162 |
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|
| 163 |
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|
| 164 |
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|
| 165 |
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|
| 166 |
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|
| 167 |
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|
| 168 |
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|
| 169 |
{
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|
|
|
| 173 |
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|
| 174 |
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|
| 175 |
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|
| 176 |
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|
| 177 |
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|
| 178 |
+
"oos_sharpe": 1.5895,
|
| 179 |
"model_path": "models/deepm_optionB_w7_sharpe.pt"
|
| 180 |
},
|
| 181 |
{
|
|
|
|
| 185 |
"oos_start": "2025-01-01",
|
| 186 |
"loss_fn": "evar",
|
| 187 |
"n_train": 753,
|
| 188 |
+
"n_oos": 318,
|
| 189 |
+
"oos_ann_return": 0.201,
|
| 190 |
+
"oos_sharpe": 1.3358,
|
| 191 |
"model_path": "models/deepm_optionB_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": 318,
|
| 201 |
+
"oos_ann_return": 0.2411,
|
| 202 |
+
"oos_sharpe": 1.4826,
|
| 203 |
"model_path": "models/deepm_optionB_w8_sharpe.pt"
|
| 204 |
}
|
| 205 |
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|
models/scaler_optionA.pkl
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| 1 |
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models/scaler_optionA_window.pkl
CHANGED
|
@@ -1,3 +1,3 @@
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|
| 1 |
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| 2 |
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models/scaler_optionB.pkl
CHANGED
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models/scaler_optionB_window.pkl
CHANGED
|
@@ -1,3 +1,3 @@
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|
| 1 |
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| 2 |
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