Datasets:

P2SAMAPA
/

p2-etf-rough-path-forecaster-results

QQQ float64 -0.06 0.12 ⌀	XLK float64 -0.07 0.13 ⌀	XLF float64 -0.07 0.08 ⌀	XLE float64 -0.09 0.08 ⌀	XLV float64 -0.05 0.04 ⌀	XLI float64 -0.06 0.09 ⌀	XLY float64 -0.06 0.11 ⌀	XLP float64 -0.04 0.04 ⌀	XLU float64 -0.06 0.04 ⌀	XLRE float64 -0.05 0.06 ⌀	XLB float64 -0.06 0.09 ⌀	GDX float64 -0.13 0.08 ⌀	XME float64 -0.07 0.1 ⌀	IWM float64 -0.06 0.09 ⌀	__index_level_0__ int64 0 461
0.002378	0.006828	-0.002648	-0.006104	-0.001108	0.001237	0.000475	-0.001551	0.001021	0.00235	0.002958	-0.004687	0.000816	0.007019	0
0.000865	-0.00081	0.007724	-0.008822	0.004853	-0.004367	0.003326	-0.002589	0.002915	0.00026	-0.010209	0.000277	-0.009949	-0.00435	1
0.010427	0.014513	0.003832	0.00676	0.009452	0.008937	0.007526	0.004412	0.009445	0.007031	0.013408	0.026032	0.008731	0.009782	2
-0.02193	-0.025034	0.007874	0.010407	0.007039	0.012713	-0.012693	-0.003747	0.018281	0.026636	0.013683	0.02807	0.027437	0.035944	3
0.005875	0.008933	0.003314	0.002547	0.006244	0.005751	0.013068	0.004409	0.007351	0.007305	0.009594	0.0021	0.011127	0.011676	4
0.002688	0.001796	0.01463	0.015135	-0.003507	0.007167	-0.001149	-0.00581	-0.024277	0.004251	-0.002541	-0.005764	0.010847	0.019002	5
0.000383	-0.00333	0.011395	0.004462	0.014281	0.024946	0.017933	0.00961	0.007766	0.009462	0.019386	0.035046	0.014308	0.034118	6
-0.029355	-0.038897	0.007588	0.009967	0.004538	-0.012794	-0.016692	0.012864	0.000571	0.00888	-0.002065	-0.021385	-0.020546	-0.010463	7
-0.004732	0.000089	-0.012095	0.001824	-0.022718	-0.007823	-0.010185	-0.004953	-0.000856	-0.008313	-0.00991	-0.014828	-0.017846	-0.019348	8
-0.008864	-0.015643	-0.010164	-0.010922	0.005098	-0.005495	-0.008918	-0.003319	0.001142	-0.001233	-0.008909	-0.012675	-0.010679	-0.005093	9
0.014898	0.023679	0.005601	-0.006279	0.005748	0.010171	0.011022	0.00064	0.008413	0.009874	0.003329	0.001605	0	0.01591	10
-0.003525	-0.003981	0.001857	-0.015906	-0.000605	-0.001903	-0.004476	-0.003583	-0.006222	-0.001711	0.003982	0	0.006928	0.010622	11
-0.03587	-0.041385	-0.013667	0.000111	0.008343	-0.021525	-0.040893	-0.000899	0.011241	-0.013712	-0.01278	-0.005874	-0.02	-0.021471	12
-0.011028	-0.0107	0.003758	0.017268	-0.005004	0.008036	-0.003916	-0.001157	-0.008302	-0.005462	0.00279	-0.027935	0.008	0.012486	13
0.010256	0.012689	0.015676	0.003156	0.005633	0.017072	0.011185	0.010167	0.00979	0.016725	0.016359	0.008013	0.015225	0.016548	14
0.002009	-0.004439	-0.001382	-0.008569	0.0006	-0.001742	0.016702	0.000382	0.004496	0.006384	0.001752	0.004386	-0.009572	-0.011105	15
-0.013731	-0.025125	0.011534	0.015536	0.000866	0.002935	-0.005548	-0.00675	0.005176	0.007319	-0.003279	0.008461	-0.004027	0.003788	16
0.029594	0.042351	-0.002508	0.004202	-0.003662	0.011151	0.01549	-0.001795	0.012942	-0.002422	0.010418	0.026522	0.026524	0.005796	17
-0.024222	-0.037294	-0.014175	-0.026499	0.010225	-0.018536	-0.024535	0.009249	0.017997	0.015538	-0.004016	-0.0174	-0.040649	-0.03252	18
-0.023735	-0.028105	-0.024583	-0.025788	-0.001985	-0.021994	-0.036798	0.008782	0.001619	0.000717	-0.018851	-0.021197	-0.049433	-0.035368	19
-0.029816	-0.033314	-0.029006	-0.022059	-0.026713	-0.017355	-0.02827	-0.019682	-0.026408	-0.028906	-0.022323	-0.03125	-0.030062	-0.032166	20
0.009555	0.013593	0.016161	0.006131	0.004631	0.012023	0.011041	0.00695	0.008442	0.02214	0.005112	0.008206	0.010331	0.01088	21
-0.01083	-0.016202	0.001205	0.004024	-0.010169	-0.004834	-0.01745	0.001022	0.005627	-0.00722	-0.013562	-0.025821	-0.012165	-0.011839	22
0.030591	0.037347	0.016125	0.021527	0.022122	0.023053	0.021817	0.009065	0.001091	0.008485	0.015467	0.024201	0.022488	0.024309	23
0.005222	0.004494	0.004263	0.002242	0.004958	0.000161	0.003338	0.001518	0.003408	0.005048	-0.00079	0.008158	0.001745	-0.002078	24
0.002154	0.00817	-0.005189	0.004921	-0.003801	-0.005069	-0.003958	-0.005054	0.001766	-0.005979	-0.004404	0.029576	-0.000174	-0.009009	25
0.024813	0.030727	0.008298	-0.009683	0.012114	0.010513	0.02505	0.004571	0.005831	0.006978	0.009981	0.013008	0.011328	0.016471	26
0.000324	0.005475	0.012227	0.005844	0.003571	0.004082	-0.005337	0.004551	-0.000674	0.003584	0	-0.007223	-0.017577	-0.006203	27
0.025263	0.028764	0.009292	0.011955	0.00626	0.01347	0.031912	0.010318	-0.000135	-0.002857	0.015834	0.00485	0.020172	0.025934	28
0.001286	0.001674	0.007365	-0.001104	0.001048	-0.001416	0.002354	0.00274	0.004453	-0.000478	0.001216	0.03218	0.006706	0.002641	29
0.013136	0.016486	0.005483	0.006743	0.006084	0.006064	0.012286	0.003354	0.006582	0.005972	0.004748	0.018966	0.009394	0.01223	30
-0.002099	-0.00351	-0.003181	-0.026351	0.004031	-0.00274	-0.000917	0.004952	-0.002135	0.00095	-0.003626	0.007139	-0.008629	-0.011663	31
0.004664	0.005886	-0.001596	0.001691	0.001684	0.006044	0.012634	0.006775	0.007088	0.003321	0.01147	0.006835	0.016897	0.013024	32
-0.015855	-0.023007	0.005708	0.002589	0.000647	-0.001248	-0.017275	-0.001468	-0.001195	0.006148	-0.002072	-0.024893	-0.019302	-0.008818	33
0.010845	0.016199	0.008626	0.014934	0.004329	0.01	0.019315	0.002818	0.002792	0.019271	0.013221	0.01444	0.023447	0.031935	34
-0.009708	-0.012547	0.003151	0.008961	-0.000514	-0.001083	-0.007771	0.007087	0.006497	-0.000692	0.004421	-0.002796	0.002843	0.000318	35
0.002987	0.006059	0.00516	-0.00932	0.001545	0.000619	-0.002629	0.002427	-0.007904	0.002538	0.000107	-0.000255	0.004169	-0.007757	36
-0.011347	-0.013798	0.002455	-0.006419	0.001157	-0.000464	-0.009682	-0.004236	0	-0.003452	-0.004294	-0.021928	-0.018765	-0.006766	37
-0.001464	-0.009024	0.008907	0.013033	0.002118	0.007046	0.001195	-0.004984	0.005444	-0.003926	0.005499	0.013556	0.012354	0.007134	38
0.011919	0.013291	0.00949	0.003739	0.006918	0.010687	0.015081	0.00794	0.007528	0.009738	0.010937	-0.006687	0.000334	0.005804	39
-0.030361	-0.045931	-0.007433	-0.024869	-0.001908	-0.022136	-0.013734	0.007029	-0.001442	0.002296	-0.022698	-0.034956	-0.060495	-0.03058	40
-0.002598	-0.002569	0.001101	-0.013819	-0.001721	0.001011	0.002601	0.004694	0.008533	0.002291	-0.004124	-0.009659	-0.008004	-0.001687	41
0.000934	-0.001526	-0.011001	-0.007747	-0.013727	-0.011657	0.01135	-0.003833	-0.002473	-0.002743	-0.007847	0.011379	-0.006455	-0.004977	42
-0.026787	-0.025937	-0.014683	-0.012514	-0.003431	-0.010143	-0.025277	-0.002044	-0.009525	0	-0.012632	-0.027056	-0.021837	-0.019016	43
0.01286	0.016379	0.014902	0.007208	0.007015	0.015331	0.014583	0.007712	0.010143	0.011918	0.009678	0.012114	0.006089	0.00279	44
0.009242	0.014957	-0.010233	-0.0172	0.00458	0.001721	0.011456	-0.000239	0.004695	0.017667	0.000441	0.012514	-0.004401	-0.000815	45
0.021715	0.034132	-0.00472	-0.009279	-0.002954	0.001796	0.00999	-0.009329	0.003115	-0.002671	0.002423	0.004567	0.019525	0.002928	46
0.009816	0.008274	0.002258	0.00901	0.003606	0.007718	0.011267	0.006157	0.0022	0.001785	0.009229	0.048676	0.033243	0.012876	47
0.00448	0.005015	0.002929	0.00564	0.002053	0.010135	0.0068	0.00708	0.014074	0.007128	0.009035	0.022443	0.025529	0.024668	48
-0.004418	-0.003811	0.013031	0.01145	0.006916	0.005132	-0.001714	0.003932	0.007639	0.003318	0.009278	-0.004989	-0.000682	0.003597	49
0.000528	-0.001958	0.005323	0.013515	-0.010303	0.005486	0.0051	-0.009494	-0.000758	-0.007936	0.001924	-0.010028	0.000853	0.008272	50
-0.00433	-0.009125	-0.003089	0.001938	-0.00167	-0.000833	-0.001968	-0.003834	-0.007587	-0.002889	-0.004268	-0.010889	-0.003921	0.000182	51
0.025284	0.0297	0.011064	0.011944	0.003604	0.017216	0.022776	-0.005894	-0.005861	-0.002452	0.015108	0.016897	0.033887	0.020597	52
-0.001903	-0.004874	-0.000657	-0.002248	-0.004105	-0.007009	-0.002283	0.00484	0.026404	-0.001787	-0.007072	0.019889	-0.000497	-0.010716	53
0.002651	-0.000185	-0.001209	0.012348	-0.001959	0.006712	0.012151	0.005798	0.009919	0.011066	0.008735	-0.004443	0.006902	-0.003656	54
0.004824	0.006844	-0.008363	-0.002469	-0.002008	0.007184	0.008758	-0.002407	-0.007096	0	0.013655	0.026779	0.042182	0.001676	55
0.000927	0.002862	-0.005992	-0.019572	-0.009735	-0.004681	-0.003593	-0.002534	0.005266	-0.004235	-0.006683	-0.002415	-0.006482	-0.012197	56
0.007513	0.013244	0.005135	-0.019619	0.003342	0.005001	0.004257	0.002298	-0.00686	-0.00985	0.02071	0.007988	0.022279	0.005329	57
-0.005557	-0.00933	0.002888	0.020363	-0.000523	0.001411	0.001496	0.00181	0.009921	0.001356	-0.001751	-0.03074	-0.000623	0.006763	58
0.002712	0.002932	0.003765	0.006996	0.006535	0.004524	-0.00234	-0.000241	0.004476	0.00858	-0.005572	-0.01338	-0.007477	0.002542	59
-0.013933	-0.024362	-0.005296	0.022779	-0.005259	0.000517	-0.004043	-0.003373	0.008047	-0.006044	-0.00249	0.015821	0.001883	-0.013581	60
0.001413	0.0074	0.001109	0.010245	-0.002023	-0.001845	-0.008469	-0.008462	0.000491	-0.003604	-0.003849	-0.001978	-0.005326	-0.001377	61
-0.000747	0.004146	-0.005318	0.017637	-0.009025	-0.005101	-0.011573	-0.009998	-0.000368	-0.00972	-0.011068	-0.020064	-0.009291	-0.00671	62
0.011898	0.011131	0.01693	0.009316	0.000792	0.006985	0.013243	0.003325	-0.001596	-0.006619	0.004857	-0.000253	0.013035	0.013973	63
-0.010712	-0.00688	-0.012267	0.003542	-0.004418	-0.002435	-0.015542	-0.009942	-0.022998	-0.007353	-0.002942	-0.013148	0.00204	-0.007849	64
0.014935	0.018682	0.005766	-0.026094	0.005432	0.002219	0.009739	0.004959	0.000503	0.003009	-0.004637	-0.001025	-0.017852	0.00069	65
0.007868	0.011188	0.009261	0.006039	0.010211	0.008931	0.007158	0.006045	-0.008556	0.000462	0.006353	-0.00513	0.005899	0.002206	66
-0.001136	-0.00026	-0.003059	0.006767	-0.003717	-0.005121	-0.00494	-0.004415	-0.003046	-0.008305	0.002314	0.027842	0.009827	-0.005549	67
0.001563	0.001736	0.019286	0.00618	0.007331	0.017869	-0.004255	0.005542	0.008783	0.010235	0.006508	0.004515	0.015068	0.020337	68
0.008391	0.013041	0.006235	-0.000431	0.005524	0.005996	0.004375	0.004042	0.012618	0.006908	0.005736	0.002746	-0.000619	0.007367	69
-0.013367	-0.021983	0.002137	-0.03223	-0.012214	-0.007684	0.002178	0.006344	0.004486	0.012577	-0.001037	0.012948	-0.006808	0.000808	70
0.000122	0.003105	0.012367	0.004789	0.002813	0.007744	0.005256	-0.000727	0.019848	0.009937	0.007785	0.007866	0.02072	0.016452	71
0.000693	0.003052	0.002738	0.004767	-0.005806	-0.002872	-0.000905	-0.004489	-0.00888	-0.006485	0.001545	0.011951	0.002747	-0.002735	72
0.006555	0.003564	0.00021	-0.00331	0.004856	0.003025	0.003925	0.002194	0.005768	0.006977	0.004011	0.04001	0.01446	-0.002078	73
0.001921	0.004677	-0.00798	-0.002989	-0.011755	-0.003518	-0.007769	-0.00839	-0.003905	-0.020563	-0.007682	0.001622	-0.005701	-0.015732	74
0.00109	-0.001035	-0.001905	0.002331	-0.001454	-0.012105	-0.004041	0.005641	-0.003553	0.001598	-0.009187	0.02013	-0.006036	-0.003782	75
-0.015324	-0.014326	-0.000848	-0.005206	-0.004699	-0.002918	-0.015723	-0.001951	0.009589	0.009797	-0.002709	-0.018825	-0.017914	-0.009129	76
0.008109	0.002933	0.000849	-0.000111	-0.006583	-0.006876	0.031537	-0.001344	-0.006454	0.002256	-0.012222	-0.026121	-0.003865	0.002189	77
0.006094	0.005194	-0.011029	-0.000334	-0.005488	-0.002652	0.003147	-0.008319	-0.01483	-0.007879	-0.006345	-0.01353	-0.006673	-0.003777	78
0.000161	-0.000304	0.012438	-0.006349	0.001481	0.002954	0.00234	0.001851	0.007838	0.003177	0.008301	-0.004812	0.025465	0.01631	79
0.009608	0.013465	-0.006143	-0.015247	-0.002755	-0.001326	-0.005217	-0.009851	-0.021356	-0.009048	-0.006439	0.015957	0.000457	-0.003237	80
-0.007558	-0.015901	0.004476	0.002277	-0.001887	-0.001696	-0.001398	-0.001617	-0.002397	0.003652	0.005418	-0.012137	-0.017207	-0.001353	81
-0.025243	-0.032098	-0.013792	0.006247	-0.008439	-0.011522	-0.015304	-0.001993	0.010368	-0.017512	-0.013208	-0.028186	-0.01472	-0.016619	82
0.007399	0.007514	0.003442	-0.006321	0.005924	0.001345	0.016253	0.000374	-0.022275	-0.010648	-0.002784	-0.012147	0.004246	0.005603	83
-0.002913	-0.000759	-0.007719	0.017494	-0.006566	-0.001119	-0.003448	0.002745	-0.011903	0.011231	0.004403	0.001255	-0.005011	0.005069	84
0.012757	0.014079	0.009291	0.006699	0.007359	0.016734	0.017703	0.006346	0.015026	0.013651	0.001497	0.005263	0.017784	0.01881	85
0.027163	0.028472	0.060801	0.037596	0.001285	0.039162	0.031982	-0.01632	-0.010337	-0.026706	0.01377	-0.036649	0.080717	0.057932	86
0.015744	0.017442	-0.016145	-0.004596	0.007228	-0.00601	0.012845	0.003645	0.001805	0.01243	0.003896	0.024068	-0.003148	-0.003541	87
0.001169	-0.001095	0.009026	0.006657	0.007176	0.010741	0.014191	0.012148	0.019179	0.017142	-0.009125	-0.013899	-0.005741	0.007361	88
-0.000584	-0.005524	0.014231	0.005653	-0.00586	0.007742	0.020175	-0.003464	0.002779	-0.008654	-0.00434	-0.058688	-0.009528	0.015034	89
-0.00181	0.001272	-0.003006	-0.005303	-0.013932	-0.00859	-0.013351	0.001117	-0.011461	-0.012635	-0.01701	-0.01688	-0.025215	-0.017542	90
-0.001287	-0.003472	0.000603	0.007784	-0.002649	0.002113	0.008544	0.002977	-0.001784	0.007911	0.002379	-0.015231	-0.0157	-0.009896	91
-0.00695	-0.0034	-0.002612	0.003809	-0.015732	-0.01687	-0.014196	-0.002473	-0.003446	-0.009003	-0.0082	0.0045	-0.011089	-0.013483	92
-0.023826	-0.024816	0.004633	-0.001476	-0.018544	-0.005362	-0.008547	-0.008801	0.014985	0.001165	-0.006962	-0.005879	-0.000768	-0.014918	93
0.006948	0.003235	0.003008	0.013301	0.000705	-0.001366	0.00923	0.007004	0.008707	0.008841	0.007778	0.042523	0.020753	0.00197	94
0.00688	0.008193	-0.006597	-0.006355	-0.005143	-0.000864	0.000743	0.001366	0.00638	0.004151	-0.003261	0.023231	0.008886	0.007426	95
-0.000576	-0.000865	-0.003019	0.010065	0.011826	0.001081	-0.004407	-0.005085	0.000497	-0.001608	0.00818	-0.004224	0.001791	0.001301	96
0.003597	0.010167	0.012717	0.008096	0.008049	0.012523	0.001771	0.010845	0.017393	0.006671	0.012224	0.011135	0.020414	0.015199	97
0.001604	0.000514	0.011162	0.001544	0.000903	0.013931	0.014419	0.009249	-0.005373	0.007541	0.005557	0.003671	0.002483	0.01847	98
0.001582	-0.000043	0.006505	-0.019739	0.008532	0.006239	0.010225	0.005499	0.001842	0.013382	0.010309	-0.029781	0.003496	0.015203	99

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YAML Metadata Warning:The task_categories "quantitative-finance" is not in the official list: text-classification, token-classification, table-question-answering, question-answering, zero-shot-classification, translation, summarization, feature-extraction, text-generation, fill-mask, sentence-similarity, text-to-speech, text-to-audio, automatic-speech-recognition, audio-to-audio, audio-classification, audio-text-to-text, voice-activity-detection, depth-estimation, image-classification, object-detection, image-segmentation, text-to-image, image-to-text, image-to-image, image-to-video, unconditional-image-generation, video-classification, reinforcement-learning, robotics, tabular-classification, tabular-regression, tabular-to-text, table-to-text, multiple-choice, text-ranking, text-retrieval, time-series-forecasting, text-to-video, image-text-to-text, image-text-to-image, image-text-to-video, visual-question-answering, document-question-answering, zero-shot-image-classification, graph-ml, mask-generation, zero-shot-object-detection, text-to-3d, image-to-3d, image-feature-extraction, video-text-to-text, keypoint-detection, visual-document-retrieval, any-to-any, video-to-video, other

P2 ETF Rough Path Forecaster Results

This dataset contains the output from the ROUGH-PATH-FORECASTER engine.

Engine Description

Uses signature kernel methods and Log-ODE for ETF return forecasting.

Signature Kernel: Neumann series expansion with dynamic truncation
Log-ODE: Neural controlled differential equations on log-signature space
Ensemble: Weighted combination of depths 2, 3, and 4

Universes

Fixed Income / Commodities

Benchmark: AGG
Tickers (7): TLT, LQD, HYG, VNQ, GLD, SLV, VCIT

Equity

Benchmark: SPY
Tickers (14): QQQ, XLK, XLF, XLE, XLV, XLI, XLY, XLP, XLU, XLRE, XLB, GDX, XME, IWM

Training Modes

Fixed Dataset

Period: 2008 → 2026 YTD
Split: 80% train, 10% validation, 10% test
Single model trained on all available data

Shrinking Windows (17 windows)

Start years: 2008 through 2024
End year: 2026 YTD (all windows)
Each window: independent model
Consensus scoring across windows

Consensus Weights

60% Annualized Return
20% Sharpe Ratio
20% (-)Max Drawdown

Output Structure

fi/ ├── fixed/ │ ├── model.pkl # Trained model │ ├── predictions.parquet # Test set predictions │ ├── actuals.parquet # Test set actual returns │ └── metrics.json # Performance metrics └── shrinking/ ├── model_window_*.pkl # Per-window models ├── window_results.parquet # Window metadata ├── consensus.parquet # Consensus pick ├── window_picks.parquet # Per-window picks └── window_metrics.parquet # Per-window performance

equity/ └── (same structure as fi/)

metadata.json

Performance Metrics

Metric	Description
annualized_return_pct	Annualized return percentage
annualized_vol_pct	Annualized volatility percentage
sharpe_ratio	Risk-adjusted return
max_drawdown_pct	Maximum peak-to-trough decline
hit_rate_pct	Percentage of positive days
alpha_vs_benchmark_pct	Excess return over benchmark

Last Updated

2026-05-10T04:36:31.637409

License

MIT

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