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03d5a9c9fc21d01be20f06feb86720a3ec7dfa55..b2f02723cb4dd82a5829d339591fda03b1c35e22 100644 --- a/models/latest_signals.json +++ b/models/latest_signals.json @@ -1,23 +1,23 @@ { - "generated_at": "2026-03-25T00:37:56.857111", + "generated_at": "2026-03-26T01:33:23.059906", "option_A": { "option": "A", "mode": "fixed_split", "option_name": "Fixed Income / Alts", "signal_date": "2026-03-24", "last_data_date": "2026-03-23", - "generated_at": "2026-03-25T00:37:56.205109", + "generated_at": "2026-03-26T01:33:22.428102", "pick": "GLD", - "conviction": 0.524, + "conviction": 0.9814, "weights": { - "TLT": 0.2956, - "LQD": 0.0042, - "HYG": 0.0097, - "VNQ": 0.0766, - "GLD": 0.524, - "SLV": 0.0076, - "PFF": 0.0045, - "MBB": 0.0777 + "TLT": 0.0071, + "LQD": 0.0002, + "HYG": 0.0002, + "VNQ": 0.0043, + "GLD": 0.9814, + "SLV": 0.0051, + "PFF": 0.0, + "MBB": 0.0018 }, "regime_context": { "VIX": 26.78, @@ -26,10 +26,10 @@ "USD_INDEX": 120.28 }, "macro_stress": 1.841, - "trained_at": "2026-03-24T23:04:16.352643", + "trained_at": "2026-03-25T23:59:47.964062", "winning_loss": "sharpe", - "test_sharpe": 1.9181, - "test_ann_return": 0.2435, + "test_sharpe": 1.2655, + "test_ann_return": 0.1071, "model_n_params": 129616 }, "option_B": { @@ -38,22 +38,22 @@ "option_name": "Equity Sectors", "signal_date": "2026-03-24", "last_data_date": "2026-03-23", - "generated_at": "2026-03-25T00:37:56.637622", - "pick": "GDX", - "conviction": 0.8936, + "generated_at": "2026-03-26T01:33:22.842060", + "pick": "XLK", + "conviction": 0.1277, "weights": { - "SPY": 0.0037, - "QQQ": 0.0094, - "XLK": 0.0038, - "XLF": 0.0015, - "XLE": 0.0044, - "XLV": 0.0072, - "XLI": 0.0007, - "XLY": 0.0122, - "XLP": 0.0206, - "XLU": 0.0405, - "GDX": 0.8936, - "XME": 0.0025 + "SPY": 0.1108, + "QQQ": 0.0946, + "XLK": 0.1277, + "XLF": 0.0659, + "XLE": 0.0647, + "XLV": 0.102, + "XLI": 0.0687, + "XLY": 0.0808, + "XLP": 0.0717, + "XLU": 0.1218, + "GDX": 0.0506, + "XME": 0.0408 }, "regime_context": { "VIX": 26.78, @@ -62,10 +62,10 @@ "USD_INDEX": 120.28 }, "macro_stress": 1.841, - "trained_at": "2026-03-24T23:12:22.132303", + "trained_at": "2026-03-26T00:05:18.046578", "winning_loss": "sharpe", - "test_sharpe": 1.678, - "test_ann_return": 0.3247, + "test_sharpe": 1.3155, + "test_ann_return": 0.1812, "model_n_params": 130136 }, "option_A_window": { @@ -74,18 +74,18 @@ "option_name": "Fixed Income / Alts", "signal_date": "2026-03-24", "last_data_date": "2026-03-23", - "generated_at": "2026-03-25T00:37:56.415955", + "generated_at": "2026-03-26T01:33:22.628369", "pick": "GLD", - "conviction": 0.5711, + "conviction": 0.5766, "weights": { - "TLT": 0.0821, - "LQD": 0.0572, - "HYG": 0.0706, - "VNQ": 0.0687, - "GLD": 0.5711, - "SLV": 0.0482, - "PFF": 0.0794, - "MBB": 0.0227 + "TLT": 0.0017, + "LQD": 0.004, + "HYG": 0.2024, + "VNQ": 0.0375, + "GLD": 0.5766, + "SLV": 0.0036, + "PFF": 0.1687, + "MBB": 0.0055 }, "regime_context": { "VIX": 26.78, @@ -94,13 +94,13 @@ "USD_INDEX": 120.28 }, "macro_stress": 1.841, - "trained_at": "2026-03-24T23:43:15.705727", - "winning_window": 2, - "winning_train_start": "2010-01-01", + "trained_at": "2026-03-26T00:36:30.420509", + "winning_window": 8, + "winning_train_start": "2022-01-01", "winning_train_end": "2024-12-31", "winning_loss": "sharpe", - "oos_ann_return": 0.491, - "oos_sharpe": 2.0518 + "oos_ann_return": 0.3874, + "oos_sharpe": 1.6528 }, "option_B_window": { "option": "B", @@ -108,22 +108,22 @@ "option_name": "Equity Sectors", "signal_date": "2026-03-24", "last_data_date": "2026-03-23", - "generated_at": "2026-03-25T00:37:56.856950", - "pick": "XLK", - "conviction": 0.9837, + "generated_at": "2026-03-26T01:33:23.059745", + "pick": "XLV", + "conviction": 0.8368, "weights": { - "SPY": 0.0, - "QQQ": 0.0008, - "XLK": 0.9837, - "XLF": 0.0003, - "XLE": 0.0012, - "XLV": 0.0, - "XLI": 0.0, - "XLY": 0.0001, - "XLP": 0.0, - "XLU": 0.0048, - "GDX": 0.0089, - "XME": 0.0001 + "SPY": 0.0026, + "QQQ": 0.0012, + "XLK": 0.0013, + "XLF": 0.0421, + "XLE": 0.0002, + "XLV": 0.8368, + "XLI": 0.0017, + "XLY": 0.0129, + "XLP": 0.094, + "XLU": 0.0016, + "GDX": 0.0041, + "XME": 0.0015 }, "regime_context": { "VIX": 26.78, @@ -132,12 +132,12 @@ "USD_INDEX": 120.28 }, "macro_stress": 1.841, - "trained_at": "2026-03-25T00:37:52.665370", - "winning_window": 5, - "winning_train_start": "2016-01-01", + "trained_at": "2026-03-26T01:33:19.040466", + "winning_window": 2, + "winning_train_start": "2010-01-01", "winning_train_end": "2024-12-31", "winning_loss": "sharpe", - "oos_ann_return": 0.3991, - "oos_sharpe": 1.6489 + "oos_ann_return": 0.5844, + "oos_sharpe": 2.2636 } } \ No newline at end of file diff --git a/models/meta_optionA.json b/models/meta_optionA.json index 12a1d883c837b289c16180fa812b70b1bad5c0a7..6dffc47f581a3f7303ba5751a9841c7f374af6a6 100644 --- a/models/meta_optionA.json +++ b/models/meta_optionA.json @@ -1,7 +1,7 @@ { "option": "A", - "trained_at": "2026-03-24T23:04:16.352643", - "elapsed_sec": 276.7, + "trained_at": "2026-03-25T23:59:47.964062", + "elapsed_sec": 221.3, "n_params": 129616, "n_assets": 8, "tickers": [ @@ -19,12 +19,12 @@ "n_macro_feats": 19, "lookback": 60, "loss_fn": "sharpe", - "best_val_loss": -0.696643, - "best_val_sharpe": 0.6574, - "best_val_ann_return": 0.0874, - "test_loss": -1.807404, - "test_sharpe": 1.9181, - "test_ann_return": 0.2435, + "best_val_loss": -0.22138, + "best_val_sharpe": 0.1763, + "best_val_ann_return": 0.0191, + "test_loss": -1.072322, + "test_sharpe": 1.2655, + "test_ann_return": 0.1071, "splits": { "n_train": 3166, "n_val": 678, @@ -36,168 +36,136 @@ }, "history": { "train_loss": [ - -0.92967, - -1.359859, - -1.604293, - -1.588804, - -2.003478, - -2.08399, - -1.952083, - -2.22843, - -2.335054, - -2.317986, - -2.889151, - -2.750518, - -2.808475, - -3.099208, - -2.562073, - -2.401378, - -2.828031, - -2.825243, - -2.960867, - -3.027297, - -3.097102, - -3.353728, - -3.398563, - -3.356492, - -3.645069, - -3.611929, - -3.749069, - -3.854693, - -3.781989, - 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35ce60ba6fed86174a731c5bcdc6221a2d1637d1..7b69355ddaedffbcaa30863449ba5507b1952ea2 100644 --- a/models/meta_optionA_window.json +++ b/models/meta_optionA_window.json @@ -1,14 +1,14 @@ { "option": "A", - "trained_at": "2026-03-24T23:43:15.705727", - "elapsed_sec": 1851.0, + "trained_at": "2026-03-26T00:36:30.420509", + "elapsed_sec": 1869.6, "n_windows": 8, - "winning_window": 2, - "winning_train_start": "2010-01-01", + "winning_window": 8, + "winning_train_start": "2022-01-01", "winning_train_end": "2024-12-31", "winning_loss": "sharpe", - "oos_ann_return": 0.491, - "oos_sharpe": 2.0518, + "oos_ann_return": 0.3874, + "oos_sharpe": 1.6528, "all_windows": [ { "window_id": 1, @@ -18,8 +18,8 @@ "loss_fn": "evar", "n_train": 4218, "n_oos": 305, - "oos_ann_return": 0.0731, - "oos_sharpe": 1.6733, + "oos_ann_return": 0.0688, + "oos_sharpe": 1.5721, "model_path": "models/deepm_optionA_w1_evar.pt" }, { @@ -30,8 +30,8 @@ "loss_fn": "sharpe", "n_train": 4218, "n_oos": 305, - "oos_ann_return": 0.2333, - "oos_sharpe": 1.7411, + "oos_ann_return": 0.2227, + "oos_sharpe": 2.3666, "model_path": "models/deepm_optionA_w1_sharpe.pt" }, { @@ -42,8 +42,8 @@ "loss_fn": "evar", "n_train": 3774, "n_oos": 305, - "oos_ann_return": 0.0691, - "oos_sharpe": 1.4735, + "oos_ann_return": 0.0697, + "oos_sharpe": 1.4874, "model_path": "models/deepm_optionA_w2_evar.pt" }, { @@ -54,8 +54,8 @@ "loss_fn": "sharpe", "n_train": 3774, "n_oos": 305, - "oos_ann_return": 0.491, - "oos_sharpe": 2.0518, + "oos_ann_return": 0.38, + "oos_sharpe": 1.7463, "model_path": "models/deepm_optionA_w2_sharpe.pt" }, { @@ -66,8 +66,8 @@ "loss_fn": "evar", "n_train": 3270, "n_oos": 305, - "oos_ann_return": 0.0683, - "oos_sharpe": 1.6686, + "oos_ann_return": 0.0689, + "oos_sharpe": 1.5527, "model_path": "models/deepm_optionA_w3_evar.pt" }, { @@ -78,8 +78,8 @@ "loss_fn": "sharpe", "n_train": 3270, "n_oos": 305, - "oos_ann_return": 0.1823, - "oos_sharpe": 1.4841, + "oos_ann_return": 0.2204, + "oos_sharpe": 2.1358, "model_path": "models/deepm_optionA_w3_sharpe.pt" }, { @@ -90,8 +90,8 @@ "loss_fn": "evar", "n_train": 2768, "n_oos": 305, - "oos_ann_return": 0.0675, - "oos_sharpe": 1.3578, + "oos_ann_return": 0.0687, + "oos_sharpe": 1.4036, "model_path": "models/deepm_optionA_w4_evar.pt" }, { @@ -102,8 +102,8 @@ "loss_fn": "sharpe", "n_train": 2768, "n_oos": 305, - "oos_ann_return": 0.173, - "oos_sharpe": 1.5932, + "oos_ann_return": 0.2176, + "oos_sharpe": 1.833, "model_path": "models/deepm_optionA_w4_sharpe.pt" }, { @@ -114,8 +114,8 @@ "loss_fn": "evar", "n_train": 2264, "n_oos": 305, - "oos_ann_return": 0.0701, - "oos_sharpe": 1.5151, + "oos_ann_return": 0.0732, + "oos_sharpe": 1.6833, "model_path": "models/deepm_optionA_w5_evar.pt" }, { @@ -126,8 +126,8 @@ "loss_fn": "sharpe", "n_train": 2264, "n_oos": 305, - "oos_ann_return": 0.1904, - "oos_sharpe": 1.8984, + "oos_ann_return": 0.1701, + "oos_sharpe": 1.9054, "model_path": "models/deepm_optionA_w5_sharpe.pt" }, { @@ -138,8 +138,8 @@ "loss_fn": "evar", "n_train": 1761, "n_oos": 305, - "oos_ann_return": 0.0813, - "oos_sharpe": 1.7825, + "oos_ann_return": 0.073, + "oos_sharpe": 1.5594, "model_path": "models/deepm_optionA_w6_evar.pt" }, { @@ -150,8 +150,8 @@ "loss_fn": "sharpe", "n_train": 1761, "n_oos": 305, - "oos_ann_return": 0.1905, - "oos_sharpe": 1.8927, + "oos_ann_return": 0.1991, + "oos_sharpe": 1.9235, "model_path": "models/deepm_optionA_w6_sharpe.pt" }, { @@ -162,8 +162,8 @@ "loss_fn": "evar", "n_train": 1258, "n_oos": 305, - "oos_ann_return": 0.1164, - "oos_sharpe": 1.7177, + "oos_ann_return": 0.1254, + "oos_sharpe": 1.9062, "model_path": "models/deepm_optionA_w7_evar.pt" }, { @@ -174,8 +174,8 @@ "loss_fn": "sharpe", "n_train": 1258, "n_oos": 305, - "oos_ann_return": 0.4115, - "oos_sharpe": 3.2104, + "oos_ann_return": 0.2282, + "oos_sharpe": 2.4305, "model_path": "models/deepm_optionA_w7_sharpe.pt" }, { @@ -186,8 +186,8 @@ "loss_fn": "evar", "n_train": 753, "n_oos": 305, - "oos_ann_return": 0.1517, - "oos_sharpe": 1.8542, + "oos_ann_return": 0.1594, + "oos_sharpe": 1.9165, "model_path": "models/deepm_optionA_w8_evar.pt" }, { @@ -198,8 +198,8 @@ "loss_fn": "sharpe", "n_train": 753, "n_oos": 305, - "oos_ann_return": 0.373, - "oos_sharpe": 1.8165, + "oos_ann_return": 0.3874, + "oos_sharpe": 1.6528, "model_path": "models/deepm_optionA_w8_sharpe.pt" } ], diff --git a/models/meta_optionB.json b/models/meta_optionB.json index a16abe6ed14cb984424366b9cb95fbea5f04a6c5..7bf2eb0bfd4de56241886af7a1fdc1dbe241e6cc 100644 --- a/models/meta_optionB.json +++ b/models/meta_optionB.json @@ -1,7 +1,7 @@ { "option": "B", - "trained_at": "2026-03-24T23:12:22.132303", - "elapsed_sec": 312.3, + "trained_at": "2026-03-26T00:05:18.046578", + "elapsed_sec": 165.4, "n_params": 130136, "n_assets": 12, "tickers": [ @@ -23,12 +23,12 @@ "n_macro_feats": 19, "lookback": 60, "loss_fn": "sharpe", - "best_val_loss": -1.088513, - "best_val_sharpe": 0.7312, - "best_val_ann_return": 0.1754, - "test_loss": -1.502842, - "test_sharpe": 1.678, - "test_ann_return": 0.3247, + "best_val_loss": -1.062312, + "best_val_sharpe": 0.7897, + "best_val_ann_return": 0.136, + "test_loss": -1.613981, + "test_sharpe": 1.3155, + "test_ann_return": 0.1812, "splits": { "n_train": 3166, "n_val": 678, @@ -40,136 +40,76 @@ }, "history": { "train_loss": [ - -1.051404, - -1.304754, - -1.41558, - -1.396837, - -1.374497, - -1.678061, - -1.645621, - -1.65983, - -1.797703, - -1.997719, - -2.036616, - -2.082598, - -2.346268, - -2.481972, - -2.564923, - -2.39282, - -2.55097, - -2.516253, - -2.716902, - -2.740501, - -2.909051, - -2.894952, - -3.095359, - -3.183136, - -3.185232, - -3.219064, - -3.393171, - -3.37753, - -3.19088, - -3.377105, - -3.24734 + -1.003017, + -1.249242, + -1.273661, + -1.38878, + -1.414086, + -1.572607, + -1.577518, + -1.514538, + -1.791158, + -2.022496, + -1.945514, + -1.983863, + -1.946491, + -2.224383, + -2.583589, + -2.413957 ], "val_loss": [ - -1.050489, - -0.965767, - -1.063301, - -0.987741, - -0.669709, - -0.548423, - -0.45961, - -0.58618, - -0.510467, - -0.614827, - -0.676511, - -0.783128, - -0.641319, - -1.000525, - -0.7655, - -1.088513, - -0.611048, - -1.016519, - -0.554232, - -0.634965, - -0.59689, - -0.812751, - -0.562543, - -0.674448, - -0.612772, - -0.660522, - -0.815036, - -0.634273, - -0.63904, - -0.649508, - -0.592584 + -1.062312, + -1.072867, + -0.846534, + -0.955117, + -0.912913, + -0.703186, + -0.773209, + -0.696479, + -0.489651, + -0.576867, + -0.453616, + -0.44263, + -0.623019, + -0.553445, + -0.535686, + -0.533308 ], "val_sharpe": [ - 0.6994, - 0.5395, - 0.7542, - 0.5883, - 0.4021, - 0.3409, - 0.2063, - 0.295, - 0.2435, - 0.2946, - 0.2528, - 0.3712, - 0.1299, - 0.4706, - 0.4742, - 0.7312, - 0.2539, - 0.6449, - 0.3264, - 0.2978, - 0.4099, - 0.4856, - 0.3142, - 0.3786, - 0.3318, - 0.3609, - 0.3505, - 0.3119, - 0.2891, - 0.2915, - 0.2935 + 0.7897, + 0.7171, + 0.4815, + 0.6451, + 0.482, + 0.4053, + 0.4905, + 0.4783, + 0.3081, + 0.3796, + 0.2517, + 0.263, + 0.3766, + 0.3412, + 0.3205, + 0.4007 ], "val_ann_return": [ - 0.125, - 0.1009, - 0.1387, - 0.1116, - 0.0793, - 0.0773, - 0.0437, - 0.0654, - 0.0587, - 0.0724, - 0.0562, - 0.0887, - 0.029, - 0.1102, - 0.1093, - 0.1754, - 0.0557, - 0.1534, - 0.0699, - 0.0643, - 0.0885, - 0.1118, - 0.0652, - 0.0828, - 0.0721, - 0.0791, - 0.0767, - 0.0674, - 0.065, - 0.0642, - 0.0645 + 0.136, + 0.1269, + 0.0835, + 0.1088, + 0.0934, + 0.0708, + 0.09, + 0.0821, + 0.0548, + 0.0681, + 0.0472, + 0.0455, + 0.0753, + 0.063, + 0.0595, + 0.0718 ] }, "config": { diff --git a/models/meta_optionB_window.json b/models/meta_optionB_window.json index 41b7b5eecf61c22e5e682740daf49c051dfc8cfc..f74a62c859123e6f34806e78bd9dd8e0e6d9f5a4 100644 --- a/models/meta_optionB_window.json +++ b/models/meta_optionB_window.json @@ -1,14 +1,14 @@ { "option": "B", - "trained_at": "2026-03-25T00:37:52.665370", - "elapsed_sec": 3277.0, + "trained_at": "2026-03-26T01:33:19.040466", + "elapsed_sec": 3408.6, "n_windows": 8, - "winning_window": 5, - "winning_train_start": "2016-01-01", + "winning_window": 2, + "winning_train_start": "2010-01-01", "winning_train_end": "2024-12-31", "winning_loss": "sharpe", - "oos_ann_return": 0.3991, - "oos_sharpe": 1.6489, + "oos_ann_return": 0.5844, + "oos_sharpe": 2.2636, "all_windows": [ { "window_id": 1, @@ -18,8 +18,8 @@ "loss_fn": "evar", "n_train": 4218, "n_oos": 305, - "oos_ann_return": 0.1203, - "oos_sharpe": 0.9169, + "oos_ann_return": 0.0911, + "oos_sharpe": 0.7133, "model_path": "models/deepm_optionB_w1_evar.pt" }, { @@ -30,8 +30,8 @@ "loss_fn": "sharpe", "n_train": 4218, "n_oos": 305, - "oos_ann_return": 0.2887, - "oos_sharpe": 1.2699, + "oos_ann_return": 0.3912, + "oos_sharpe": 1.9365, "model_path": "models/deepm_optionB_w1_sharpe.pt" }, { @@ -42,8 +42,8 @@ "loss_fn": "evar", "n_train": 3774, "n_oos": 305, - "oos_ann_return": 0.1445, - "oos_sharpe": 1.1467, + "oos_ann_return": 0.1416, + "oos_sharpe": 1.0488, "model_path": "models/deepm_optionB_w2_evar.pt" }, { @@ -54,8 +54,8 @@ "loss_fn": "sharpe", "n_train": 3774, "n_oos": 305, - "oos_ann_return": 0.2743, - "oos_sharpe": 1.4325, + "oos_ann_return": 0.5844, + "oos_sharpe": 2.2636, "model_path": "models/deepm_optionB_w2_sharpe.pt" }, { @@ -66,8 +66,8 @@ "loss_fn": "evar", "n_train": 3270, "n_oos": 305, - "oos_ann_return": 0.1888, - "oos_sharpe": 1.3263, + "oos_ann_return": 0.14, + "oos_sharpe": 1.0482, "model_path": "models/deepm_optionB_w3_evar.pt" }, { @@ -78,8 +78,8 @@ "loss_fn": "sharpe", "n_train": 3270, "n_oos": 305, - "oos_ann_return": 0.2726, - "oos_sharpe": 1.2029, + "oos_ann_return": 0.3706, + "oos_sharpe": 1.6834, "model_path": "models/deepm_optionB_w3_sharpe.pt" }, { @@ -90,8 +90,8 @@ "loss_fn": "evar", "n_train": 2768, "n_oos": 305, - "oos_ann_return": 0.1347, - "oos_sharpe": 1.0163, + "oos_ann_return": 0.1626, + "oos_sharpe": 1.2868, "model_path": "models/deepm_optionB_w4_evar.pt" }, { @@ -102,8 +102,8 @@ "loss_fn": "sharpe", "n_train": 2768, "n_oos": 305, - "oos_ann_return": 0.2787, - "oos_sharpe": 1.4282, + "oos_ann_return": 0.3616, + "oos_sharpe": 1.5902, "model_path": "models/deepm_optionB_w4_sharpe.pt" }, { @@ -114,8 +114,8 @@ "loss_fn": "evar", "n_train": 2264, "n_oos": 305, - "oos_ann_return": 0.1902, - "oos_sharpe": 1.455, + "oos_ann_return": 0.1138, + "oos_sharpe": 0.8227, "model_path": "models/deepm_optionB_w5_evar.pt" }, { @@ -126,8 +126,8 @@ "loss_fn": "sharpe", "n_train": 2264, "n_oos": 305, - "oos_ann_return": 0.3991, - "oos_sharpe": 1.6489, + "oos_ann_return": 0.2558, + "oos_sharpe": 1.1979, "model_path": "models/deepm_optionB_w5_sharpe.pt" }, { @@ -138,8 +138,8 @@ "loss_fn": "evar", "n_train": 1761, "n_oos": 305, - "oos_ann_return": 0.1918, - "oos_sharpe": 1.3661, + "oos_ann_return": 0.1321, + "oos_sharpe": 0.9921, "model_path": "models/deepm_optionB_w6_evar.pt" }, { @@ -150,8 +150,8 @@ "loss_fn": "sharpe", "n_train": 1761, "n_oos": 305, - "oos_ann_return": 0.3345, - "oos_sharpe": 1.3677, + "oos_ann_return": 0.5691, + "oos_sharpe": 2.5617, "model_path": "models/deepm_optionB_w6_sharpe.pt" }, { @@ -162,8 +162,8 @@ "loss_fn": "evar", "n_train": 1258, "n_oos": 305, - "oos_ann_return": 0.1908, - "oos_sharpe": 1.3268, + "oos_ann_return": 0.1771, + "oos_sharpe": 1.3104, "model_path": "models/deepm_optionB_w7_evar.pt" }, { @@ -174,8 +174,8 @@ "loss_fn": "sharpe", "n_train": 1258, "n_oos": 305, - "oos_ann_return": 0.2316, - "oos_sharpe": 1.1621, + "oos_ann_return": 0.222, + "oos_sharpe": 1.3492, "model_path": "models/deepm_optionB_w7_sharpe.pt" }, { @@ -186,8 +186,8 @@ "loss_fn": "evar", "n_train": 753, "n_oos": 305, - "oos_ann_return": 0.2109, - "oos_sharpe": 1.3484, + "oos_ann_return": 0.1917, + "oos_sharpe": 1.2757, "model_path": "models/deepm_optionB_w8_evar.pt" }, { @@ -198,8 +198,8 @@ "loss_fn": "sharpe", "n_train": 753, "n_oos": 305, - "oos_ann_return": 0.2375, - "oos_sharpe": 1.4048, + "oos_ann_return": 0.2354, + "oos_sharpe": 1.4381, "model_path": "models/deepm_optionB_w8_sharpe.pt" } ], diff --git a/models/scaler_optionA_window.pkl b/models/scaler_optionA_window.pkl index 77d7dfd187808f5be02081ffefca263f816da3df..b8fb5af395fccf393b049af9b294708af77070f5 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 sha256:401915aa14be0ddc8441141a1f0a802a8a837a6634f6302c6334f367b5f6c026 +oid sha256:42aaf4e87c9177b3efb77b12055e89dde92f932d3619d6ef2b4635910df15411 size 941 diff --git a/models/scaler_optionB_window.pkl b/models/scaler_optionB_window.pkl index 96c757835f7fd581c2cec5d99b5381abba860776..d2cc5773553c7a603187117439cbfa9480f4c56b 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 sha256:1c7e6929eae6fded38a1d5eef2d5cd19ec555d98a7c0f6f59cd911b282ae52dd +oid sha256:cc6c3229b2e8896a16fc71b16fc82de5cf45f59c1759b86421b932fec487a7d5 size 941 diff --git a/models/signal_A.json b/models/signal_A.json index 8e8ee397733f064a8681513295b04a7f31331f06..992b1585d9340ce999ca3720827564f869f12eba 100644 --- a/models/signal_A.json +++ b/models/signal_A.json @@ -4,18 +4,18 @@ "option_name": "Fixed Income / Alts", "signal_date": "2026-03-24", "last_data_date": "2026-03-23", - "generated_at": "2026-03-25T00:37:56.205109", + "generated_at": "2026-03-26T01:33:22.428102", "pick": "GLD", - "conviction": 0.524, + "conviction": 0.9814, "weights": { - "TLT": 0.2956, - "LQD": 0.0042, - "HYG": 0.0097, - "VNQ": 0.0766, - "GLD": 0.524, - "SLV": 0.0076, - "PFF": 0.0045, - "MBB": 0.0777 + "TLT": 0.0071, + "LQD": 0.0002, + "HYG": 0.0002, + "VNQ": 0.0043, + "GLD": 0.9814, + "SLV": 0.0051, + "PFF": 0.0, + "MBB": 0.0018 }, "regime_context": { "VIX": 26.78, @@ -24,9 +24,9 @@ "USD_INDEX": 120.28 }, "macro_stress": 1.841, - "trained_at": "2026-03-24T23:04:16.352643", + "trained_at": "2026-03-25T23:59:47.964062", "winning_loss": "sharpe", - "test_sharpe": 1.9181, - "test_ann_return": 0.2435, + "test_sharpe": 1.2655, + "test_ann_return": 0.1071, "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 b5a9c534060a069123c73d7a30628a25b9509eeb..edbb6e7da70f7e6d42c5563e8dff8fc7fb9b26ff 100644 --- a/models/signal_A_window.json +++ b/models/signal_A_window.json @@ -4,18 +4,18 @@ "option_name": "Fixed Income / Alts", "signal_date": "2026-03-24", "last_data_date": "2026-03-23", - "generated_at": "2026-03-25T00:37:56.415955", + "generated_at": "2026-03-26T01:33:22.628369", "pick": "GLD", - "conviction": 0.5711, + "conviction": 0.5766, "weights": { - "TLT": 0.0821, - "LQD": 0.0572, - "HYG": 0.0706, - "VNQ": 0.0687, - "GLD": 0.5711, - "SLV": 0.0482, - "PFF": 0.0794, - "MBB": 0.0227 + "TLT": 0.0017, + "LQD": 0.004, + "HYG": 0.2024, + "VNQ": 0.0375, + "GLD": 0.5766, + "SLV": 0.0036, + "PFF": 0.1687, + "MBB": 0.0055 }, "regime_context": { "VIX": 26.78, @@ -24,11 +24,11 @@ "USD_INDEX": 120.28 }, "macro_stress": 1.841, - "trained_at": "2026-03-24T23:43:15.705727", - "winning_window": 2, - "winning_train_start": "2010-01-01", + "trained_at": "2026-03-26T00:36:30.420509", + "winning_window": 8, + "winning_train_start": "2022-01-01", "winning_train_end": "2024-12-31", "winning_loss": "sharpe", - "oos_ann_return": 0.491, - "oos_sharpe": 2.0518 + "oos_ann_return": 0.3874, + "oos_sharpe": 1.6528 } \ No newline at end of file diff --git a/models/signal_B.json b/models/signal_B.json index 3bed69ccc0514f06cd692935170bdfd86e25adc8..aad4ceaae80b769a19ffc678ec2de32127168e81 100644 --- a/models/signal_B.json +++ b/models/signal_B.json @@ -4,22 +4,22 @@ "option_name": "Equity Sectors", "signal_date": "2026-03-24", "last_data_date": "2026-03-23", - "generated_at": "2026-03-25T00:37:56.637622", - "pick": "GDX", - "conviction": 0.8936, + "generated_at": "2026-03-26T01:33:22.842060", + "pick": "XLK", + "conviction": 0.1277, "weights": { - "SPY": 0.0037, - "QQQ": 0.0094, - "XLK": 0.0038, - "XLF": 0.0015, - "XLE": 0.0044, - "XLV": 0.0072, - "XLI": 0.0007, - "XLY": 0.0122, - "XLP": 0.0206, - "XLU": 0.0405, - "GDX": 0.8936, - "XME": 0.0025 + "SPY": 0.1108, + "QQQ": 0.0946, + "XLK": 0.1277, + "XLF": 0.0659, + "XLE": 0.0647, + "XLV": 0.102, + "XLI": 0.0687, + "XLY": 0.0808, + "XLP": 0.0717, + "XLU": 0.1218, + "GDX": 0.0506, + "XME": 0.0408 }, "regime_context": { "VIX": 26.78, @@ -28,9 +28,9 @@ "USD_INDEX": 120.28 }, "macro_stress": 1.841, - "trained_at": "2026-03-24T23:12:22.132303", + "trained_at": "2026-03-26T00:05:18.046578", "winning_loss": "sharpe", - "test_sharpe": 1.678, - "test_ann_return": 0.3247, + "test_sharpe": 1.3155, + "test_ann_return": 0.1812, "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 5bf477d7fd5899af0af1b65e57c4c476224be28f..3dd44c4a18b0fa0c2a4d8ac1230e94a6885d3c0f 100644 --- a/models/signal_B_window.json +++ b/models/signal_B_window.json @@ -4,22 +4,22 @@ "option_name": "Equity Sectors", "signal_date": "2026-03-24", "last_data_date": "2026-03-23", - "generated_at": "2026-03-25T00:37:56.856950", - "pick": "XLK", - "conviction": 0.9837, + "generated_at": "2026-03-26T01:33:23.059745", + "pick": "XLV", + "conviction": 0.8368, "weights": { - "SPY": 0.0, - "QQQ": 0.0008, - "XLK": 0.9837, - "XLF": 0.0003, - "XLE": 0.0012, - "XLV": 0.0, - "XLI": 0.0, - "XLY": 0.0001, - "XLP": 0.0, - "XLU": 0.0048, - "GDX": 0.0089, - "XME": 0.0001 + "SPY": 0.0026, + "QQQ": 0.0012, + "XLK": 0.0013, + "XLF": 0.0421, + "XLE": 0.0002, + "XLV": 0.8368, + "XLI": 0.0017, + "XLY": 0.0129, + "XLP": 0.094, + "XLU": 0.0016, + "GDX": 0.0041, + "XME": 0.0015 }, "regime_context": { "VIX": 26.78, @@ -28,11 +28,11 @@ "USD_INDEX": 120.28 }, "macro_stress": 1.841, - "trained_at": "2026-03-25T00:37:52.665370", - "winning_window": 5, - "winning_train_start": "2016-01-01", + "trained_at": "2026-03-26T01:33:19.040466", + "winning_window": 2, + "winning_train_start": "2010-01-01", "winning_train_end": "2024-12-31", "winning_loss": "sharpe", - "oos_ann_return": 0.3991, - "oos_sharpe": 1.6489 + "oos_ann_return": 0.5844, + "oos_sharpe": 2.2636 } \ No newline at end of file