Datasets:

P2SAMAPA
/

p2-etf-rough-path-forecaster-results

QQQ float64	XLK float64	XLF float64	XLE float64	XLV float64	XLI float64	XLY float64	XLP float64	XLU float64	XLRE float64	XLB float64	GDX float64	XME float64	IWM float64	__index_level_0__ int64
0.009816	0.008274	0.002258	0.00901	0.003607	0.007718	0.011267	0.006157	0.0022	0.001785	0.009229	0.048676	0.033243	0.012876	0
0.00448	0.005015	0.002929	0.00564	0.002053	0.010135	0.0068	0.007079	0.014074	0.007129	0.009036	0.022443	0.025529	0.024668	1
-0.004418	-0.003811	0.013031	0.01145	0.006916	0.005131	-0.001715	0.003932	0.007639	0.003318	0.009278	-0.004989	-0.000682	0.003597	2
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	3
-0.00433	-0.009125	-0.003089	0.001938	-0.001671	-0.000834	-0.001967	-0.003834	-0.007587	-0.002889	-0.004268	-0.010889	-0.003921	0.000182	4
0.025284	0.0297	0.011064	0.011944	0.003604	0.017216	0.022775	-0.005894	-0.005861	-0.002451	0.015108	0.016897	0.033887	0.020597	5
-0.001903	-0.004874	-0.000656	-0.002248	-0.004105	-0.007009	-0.002283	0.00484	0.026404	-0.001787	-0.007072	0.019889	-0.000497	-0.010716	6
0.002651	-0.000185	-0.001209	0.012348	-0.001959	0.006712	0.012151	0.005798	0.009919	0.011066	0.008734	-0.004443	0.006902	-0.003656	7
0.004823	0.006844	-0.008363	-0.002469	-0.002008	0.007183	0.008758	-0.002407	-0.007096	0	0.013655	0.026779	0.042182	0.001676	8
0.000927	0.002862	-0.005992	-0.019573	-0.009735	-0.00468	-0.003593	-0.002534	0.005266	-0.004236	-0.006683	-0.002415	-0.006482	-0.012197	9
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	10
-0.005557	-0.00933	0.002888	0.020363	-0.000522	0.001411	0.001496	0.00181	0.009921	0.001356	-0.001751	-0.03074	-0.000623	0.006763	11
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	12
-0.013932	-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	13
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	14
-0.000747	0.004146	-0.005318	0.017637	-0.009026	-0.005101	-0.011573	-0.009998	-0.000368	-0.00972	-0.011068	-0.020064	-0.009291	-0.00671	15
0.011898	0.011131	0.01693	0.009315	0.000792	0.006985	0.013243	0.003325	-0.001596	-0.006619	0.004857	-0.000253	0.013035	0.013973	16
-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	-0.007848	17
0.014935	0.018682	0.005766	-0.026094	0.005432	0.002219	0.009739	0.004959	0.000504	0.003009	-0.004637	-0.001025	-0.017852	0.00069	18
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	19
-0.001136	-0.00026	-0.003059	0.006767	-0.003717	-0.005121	-0.004939	-0.004414	-0.003046	-0.008305	0.002315	0.027842	0.009827	-0.005549	20
0.001563	0.001736	0.019286	0.00618	0.007331	0.017869	-0.004255	0.005543	0.008783	0.010235	0.006508	0.004515	0.015068	0.020337	21
0.008392	0.013041	0.006235	-0.000431	0.005524	0.005996	0.004375	0.004042	0.012618	0.006908	0.005736	0.002746	-0.000618	0.007367	22
-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	23
0.000122	0.003105	0.012367	0.00479	0.002813	0.007744	0.005256	-0.000727	0.019849	0.009937	0.007785	0.007866	0.02072	0.016452	24
0.000693	0.003052	0.002738	0.004767	-0.005806	-0.002873	-0.000905	-0.004489	-0.00888	-0.006485	0.001545	0.011951	0.002747	-0.002734	25
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	-0.002079	26
0.001921	0.004677	-0.00798	-0.002989	-0.011755	-0.003519	-0.007769	-0.00839	-0.003905	-0.020563	-0.007682	0.001622	-0.005702	-0.015732	27
0.00109	-0.001035	-0.001905	0.002332	-0.001454	-0.012105	-0.004041	0.005641	-0.003553	0.001597	-0.009187	0.02013	-0.006036	-0.003782	28
-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	29
0.008109	0.002933	0.000849	-0.000111	-0.006582	-0.006876	0.031536	-0.001344	-0.006454	0.002256	-0.012222	-0.026121	-0.003865	0.002189	30
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	31
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	0.016309	32
0.009608	0.013465	-0.006143	-0.015247	-0.002755	-0.001326	-0.005217	-0.009851	-0.021355	-0.009048	-0.006439	0.015957	0.000457	-0.003236	33
-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	34
-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	-0.016618	35
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	0.005602	36
-0.002913	-0.000759	-0.007719	0.017494	-0.006565	-0.001119	-0.003448	0.002745	-0.011903	0.011231	0.004402	0.001255	-0.005011	0.005069	37
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	0.018811	38
0.027163	0.028472	0.060801	0.037596	0.001285	0.039162	0.031981	-0.01632	-0.010337	-0.026706	0.01377	-0.036649	0.080718	0.057932	39
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	40
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	41
-0.000583	-0.005524	0.014231	0.005653	-0.00586	0.007742	0.020175	-0.003464	0.002778	-0.008654	-0.00434	-0.058688	-0.009528	0.015034	42
-0.00181	0.001272	-0.003007	-0.005303	-0.013932	-0.00859	-0.013351	0.001117	-0.011461	-0.012635	-0.01701	-0.01688	-0.025215	-0.017542	43
-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	44
-0.00695	-0.0034	-0.002612	0.003809	-0.015733	-0.01687	-0.014196	-0.002473	-0.003446	-0.009003	-0.0082	0.0045	-0.011089	-0.013483	45
-0.023826	-0.024816	0.004633	-0.001476	-0.018544	-0.005363	-0.008547	-0.008801	0.014985	0.001165	-0.006963	-0.005879	-0.000768	-0.014918	46
0.006948	0.003236	0.003008	0.013301	0.000705	-0.001366	0.00923	0.007004	0.008707	0.008841	0.007778	0.042523	0.020753	0.00197	47
0.00688	0.008193	-0.006597	-0.006355	-0.005143	-0.000864	0.000743	0.001366	0.00638	0.004151	-0.003261	0.023231	0.008885	0.007426	48
-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	49
0.003597	0.010168	0.012717	0.008096	0.008049	0.012522	0.001771	0.010845	0.017393	0.006671	0.012224	0.011135	0.020414	0.015199	50
0.001604	0.000514	0.011162	0.001545	0.000903	0.013931	0.014419	0.009249	-0.005373	0.007541	0.005557	0.003671	0.002483	0.018469	51
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	52
0.005369	0.005009	0.001958	-0.001363	0.005365	0.001185	0.003631	0.004132	0.015931	0.004924	-0.007469	0.004039	-0.008855	-0.007343	53
-0.007873	-0.013546	0.001954	-0.00105	0.005336	-0.003688	-0.004929	0.002057	0	0.006904	-0.00053	0.004291	0.002197	0.001371	54
0.008787	0.009284	0.001561	0.00431	0.00313	0.005657	0.010271	0.005072	0.000362	-0.004645	0.00509	0.005608	0.004676	0.003818	55
0.010888	0.009498	-0.009934	-0.010572	-0.001764	-0.007362	0.008727	-0.001202	-0.021464	-0.015111	-0.000633	-0.022039	-0.007127	-0.000496	56
0.003066	0.003602	-0.007476	-0.000106	-0.002243	-0.006297	-0.000758	-0.005173	-0.008626	-0.005866	-0.003167	0.023622	0.00293	-0.007115	57
0.012363	0.018285	-0.003766	-0.024124	-0.000545	0.004365	0.009283	-0.002781	-0.000124	-0.002724	-0.009744	-0.002653	-0.014461	0.003583	58
-0.002771	-0.00506	0.002985	0.003903	-0.011176	-0.012128	0.00818	0.004002	0.003108	-0.002504	-0.013155	-0.001862	-0.005187	-0.011665	59
0.00895	0.003877	-0.000198	-0.016956	-0.005651	-0.002555	0.021053	-0.004952	-0.012393	-0.001369	-0.003902	-0.018918	-0.02503	0.00357	60
-0.007787	-0.006519	-0.013691	-0.001648	0.002911	-0.00868	-0.003179	-0.001578	-0.012549	0.002056	-0.000218	0.029603	0.007946	-0.005022	61
-0.003408	-0.013875	-0.000201	-0.006823	-0.004146	-0.00244	0.001638	0.004742	-0.007244	-0.016188	-0.01023	0.001846	-0.013645	-0.004333	62
0.017903	0.014494	0.002012	0.001662	-0.013602	-0.002302	0.017553	-0.007623	-0.006273	-0.002549	-0.003518	0.029226	0.000307	0.00452	63
-0.006454	-0.005598	-0.004418	-0.008075	-0.00795	-0.006418	-0.008287	0.002926	-0.000515	-0.000697	-0.006951	-0.036582	-0.023202	-0.012996	64
0.007654	0.004285	-0.000807	-0.005018	-0.000142	-0.002613	0.003965	-0.002553	0.000645	-0.004185	-0.008556	-0.026819	-0.024225	-0.00686	65
0.014401	0.009998	-0.001817	-0.021968	-0.011916	0.000873	0.013546	-0.005241	-0.007986	-0.005137	-0.008853	-0.006276	-0.014187	0.005878	66
-0.004404	-0.006047	-0.007078	-0.007449	-0.000718	-0.009161	0.003142	-0.001715	-0.004155	-0.004459	-0.00554	-0.006315	-0.018316	-0.011448	67
-0.036077	-0.032253	-0.029939	-0.029558	-0.013577	-0.028248	-0.045065	-0.01522	-0.023598	-0.039133	-0.028425	-0.045869	-0.037981	-0.044272	68
-0.004453	0.001076	0.003569	-0.008685	-0.007574	-0.001284	-0.001356	-0.007105	0.00454	-0.017174	-0.010766	-0.004054	-0.011602	-0.004438	69
0.008733	0.014925	0.014854	0.009842	0.012621	0.011718	0.00254	0.003515	0.015951	0.018223	0.012422	0.009887	-0.004555	0.00937	70
0.009743	0.010595	0.002401	0.005873	0.009987	-0.000225	0.003033	-0.005269	0.003404	0.00456	-0.000775	0.002418	0.006079	-0.002298	71
0.01356	0.010333	0.011772	0.008459	0.004108	0.007813	0.023127	0.006589	0.005522	0.00666	0.005407	0	0.002977	0.008943	72
-0.000679	0.000665	0.002449	-0.000827	0.00201	0.000745	-0.003711	0.003147	-0.002354	0.00147	-0.00152	0.001744	0.002095	0.010251	73
-0.013293	-0.013295	-0.00733	-0.000118	-0.004656	-0.007449	-0.016524	-0.004894	-0.002883	-0.008074	-0.005386	-0.006092	-0.012197	-0.014578	74
-0.0133	-0.012716	-0.009641	-0.000118	-0.012307	-0.010055	-0.016062	-0.011728	-0.004206	-0.004687	-0.013421	-0.014302	-0.007409	-0.007689	75
-0.008495	-0.008317	0.001036	0.013128	0.002405	-0.001213	-0.007521	0.003062	-0.000924	0.007931	0.004057	0.004146	0.00853	0.001269	76
-0.001956	-0.002365	-0.002483	0.011674	0.000291	-0.003491	-0.013149	-0.003053	0.007663	-0.009343	-0.011053	0.04217	0.015507	0.000815	77
0.016365	0.016295	0.007882	0.009347	0.00981	0.010815	0.020235	-0.00051	0.01062	0.013651	-0.00024	-0.009621	-0.004338	0.014877	78
0.011493	0.012725	-0.003087	-0.004573	0.000432	-0.002185	0.00394	-0.010469	-0.011157	-0.013712	0.006732	-0.012	0.014814	0.000401	79
-0.017844	-0.020063	-0.002271	0.009992	0.004963	-0.000982	-0.019359	-0.003483	-0.002493	-0.007448	-0.000597	0.013592	-0.002748	-0.008017	80
0.000175	-0.000342	0.003311	0.001023	0.005153	0.003931	0.002833	0.001813	-0.000263	0.004252	0.005496	0.024251	-0.00551	-0.004535	81
-0.015681	-0.021806	-0.024129	0.004089	-0.005625	-0.011218	-0.00982	-0.01344	-0.005657	-0.024159	-0.010219	0.00195	-0.010736	-0.022011	82
-0.003214	-0.007081	0.007185	0.021043	0.013034	0.011726	0.005661	0.001703	-0.011643	0.012762	0.022329	-0.016403	0.023105	0.001937	83
-0.000949	0.002641	0.012379	0.010748	-0.010321	0.011816	-0.001936	0.000261	0.013119	0.008569	0.012447	0.026569	0.006843	0.011369	84
0.023006	0.019889	0.025492	0.014799	0.004071	0.006322	0.025447	-0.003399	0.014667	0.004248	0.009511	0.011013	0.015973	0.019661	85
-0.007006	-0.007706	0.006669	0.007238	0.003984	0.012122	-0.005412	0.007477	0.025264	0.022394	0.008272	-0.002723	0.000167	0.002009	86
0.016878	0.015662	0.008432	0.007722	-0.006731	0.005988	0.014023	0.005729	0.001397	-0.000243	0.006495	0.00355	0.008863	0.004321	87
0.005865	0.008329	0.008361	-0.005108	0.01655	0.020544	0.007329	0.004661	0.015348	0.018257	0.012793	0.023401	0.014586	0.019205	88
0.012786	0.022579	-0.004738	-0.018186	-0.002246	-0.002347	-0.003768	-0.004897	-0.021612	-0.017451	-0.008048	-0.002127	-0.012906	-0.006528	89
0.002126	0.001781	0.005753	0.004576	0.013364	0.010125	0.006043	0.003626	0.004724	0.008029	0.005522	-0.000799	0.006455	0.004556	90
-0.005651	-0.010421	0.002958	-0.009653	0.001596	-0.004235	-0.006093	0.005161	0.010166	0.002897	-0.002578	0.012	-0.001973	-0.002791	91
-0.029114	-0.049018	0.011013	-0.010404	0.022452	-0.013398	0.005695	0.027086	-0.023148	0.009868	0.000562	-0.01581	-0.033119	-0.009576	92
0.01478	0.026673	-0.001751	-0.009518	-0.006981	-0.00661	0.00121	-0.015623	-0.01378	-0.012154	-0.003257	0.009371	0.003579	0.001104	93
-0.001878	-0.008132	-0.00078	0.002235	-0.00587	-0.003399	-0.00285	0.002412	0.002089	-0.01158	-0.001803	0.005305	0.014264	-0.002293	94
0.004262	0.001855	0.009555	0.005128	0.011534	0.011176	0.009786	0.00988	0.020849	0.01318	0.009481	0.040105	0.00586	0.010167	95
-0.001453	-0.005858	-0.005795	-0.02795	-0.00319	-0.007034	-0.004417	-0.009407	-0.005872	-0.002168	-0.007268	-0.011669	-0.012983	-0.00897	96
-0.008003	-0.013474	-0.00408	0.006276	0.003881	-0.009903	-0.013223	0.003925	0.005393	-0.00169	0.001014	0.0154	-0.007926	-0.011701	97
0.012275	0.014405	-0.002341	0.020978	-0.002713	0.000292	0.011785	-0.00845	-0.008812	0	0.002925	0.011881	0.027197	0.01385	98
0.004538	0.013897	0.010559	0.00211	0.009589	0.00073	-0.011346	0.006232	0.01005	0.01572	-0.000785	0.025231	0.009101	0.010884	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

2026-06-23T03:29:25.425342

License

MIT

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