Hugging Face's logo

Datasets:
P2SAMAPA
/
p2-etf-samba-models

Dataset card Files
xet
 Community
P2SAMAPA commited on
Commit
9cb3b47
·
verified ·
1 Parent(s): c068b39

[auto] Update SAMBA models and signals

Browse files
Files changed (1) hide show
  1. models/meta_optionB_window.json +89 -89
models/meta_optionB_window.json CHANGED
@@ -1,16 +1,16 @@
1
  {
2
  "option": "B",
3
- "trained_at": "2026-05-08T06:26:57.312667",
4
- "elapsed_sec": 16146.3,
5
- "winning_window": 2,
6
- "winning_train_start": "2010-01-01",
7
  "winning_train_end": "2024-12-31",
8
  "winning_loss": "evar",
9
- "oos_ann_return": 0.7495,
10
- "oos_ann_vol": 0.4365,
11
- "oos_sharpe": 1.7171,
12
- "oos_hit_rate": 0.5786,
13
- "oos_max_dd": -0.317,
14
  "n_assets": 16,
15
  "tickers": [
16
  "SPY",
@@ -38,176 +38,176 @@
38
  "train_start": "2008-01-01",
39
  "train_end": "2024-12-31",
40
  "loss_fn": "sharpe",
41
- "oos_ann_return": 0.4102,
42
- "oos_ann_vol": 0.2126,
43
- "oos_sharpe": 1.9297,
44
- "oos_hit_rate": 0.5786,
45
- "oos_max_dd": -0.176
46
  },
47
  {
48
  "window_id": 1,
49
  "train_start": "2008-01-01",
50
  "train_end": "2024-12-31",
51
  "loss_fn": "evar",
52
- "oos_ann_return": 0.6921,
53
- "oos_ann_vol": 0.293,
54
- "oos_sharpe": 2.3622,
55
- "oos_hit_rate": 0.6291,
56
- "oos_max_dd": -0.2641
57
  },
58
  {
59
  "window_id": 2,
60
  "train_start": "2010-01-01",
61
  "train_end": "2024-12-31",
62
  "loss_fn": "sharpe",
63
- "oos_ann_return": 0.6631,
64
- "oos_ann_vol": 0.2684,
65
- "oos_sharpe": 2.4708,
66
- "oos_hit_rate": 0.5816,
67
- "oos_max_dd": -0.1889
68
  },
69
  {
70
  "window_id": 2,
71
  "train_start": "2010-01-01",
72
  "train_end": "2024-12-31",
73
  "loss_fn": "evar",
74
- "oos_ann_return": 0.7495,
75
- "oos_ann_vol": 0.4365,
76
- "oos_sharpe": 1.7171,
77
- "oos_hit_rate": 0.5786,
78
- "oos_max_dd": -0.317
79
  },
80
  {
81
  "window_id": 3,
82
  "train_start": "2012-01-01",
83
  "train_end": "2024-12-31",
84
  "loss_fn": "sharpe",
85
- "oos_ann_return": 0.4735,
86
- "oos_ann_vol": 0.3429,
87
- "oos_sharpe": 1.381,
88
- "oos_hit_rate": 0.5697,
89
- "oos_max_dd": -0.3493
90
  },
91
  {
92
  "window_id": 3,
93
  "train_start": "2012-01-01",
94
  "train_end": "2024-12-31",
95
  "loss_fn": "evar",
96
- "oos_ann_return": 0.5155,
97
- "oos_ann_vol": 0.3965,
98
- "oos_sharpe": 1.3002,
99
- "oos_hit_rate": 0.5608,
100
- "oos_max_dd": -0.4077
101
  },
102
  {
103
  "window_id": 4,
104
  "train_start": "2014-01-01",
105
  "train_end": "2024-12-31",
106
  "loss_fn": "sharpe",
107
- "oos_ann_return": 0.237,
108
- "oos_ann_vol": 0.1879,
109
- "oos_sharpe": 1.2616,
110
- "oos_hit_rate": 0.5579,
111
- "oos_max_dd": -0.2021
112
  },
113
  {
114
  "window_id": 4,
115
  "train_start": "2014-01-01",
116
  "train_end": "2024-12-31",
117
  "loss_fn": "evar",
118
- "oos_ann_return": 0.4427,
119
- "oos_ann_vol": 0.3588,
120
- "oos_sharpe": 1.2338,
121
- "oos_hit_rate": 0.5727,
122
- "oos_max_dd": -0.3566
123
  },
124
  {
125
  "window_id": 5,
126
  "train_start": "2016-01-01",
127
  "train_end": "2024-12-31",
128
  "loss_fn": "sharpe",
129
- "oos_ann_return": 0.4494,
130
- "oos_ann_vol": 0.2403,
131
- "oos_sharpe": 1.8698,
132
- "oos_hit_rate": 0.5727,
133
- "oos_max_dd": -0.1574
134
  },
135
  {
136
  "window_id": 5,
137
  "train_start": "2016-01-01",
138
  "train_end": "2024-12-31",
139
  "loss_fn": "evar",
140
- "oos_ann_return": 0.6495,
141
- "oos_ann_vol": 0.299,
142
- "oos_sharpe": 2.1724,
143
- "oos_hit_rate": 0.5905,
144
- "oos_max_dd": -0.1431
145
  },
146
  {
147
  "window_id": 6,
148
  "train_start": "2018-01-01",
149
  "train_end": "2024-12-31",
150
  "loss_fn": "sharpe",
151
- "oos_ann_return": 0.6006,
152
- "oos_ann_vol": 0.2644,
153
- "oos_sharpe": 2.2713,
154
- "oos_hit_rate": 0.5519,
155
- "oos_max_dd": -0.2233
156
  },
157
  {
158
  "window_id": 6,
159
  "train_start": "2018-01-01",
160
  "train_end": "2024-12-31",
161
  "loss_fn": "evar",
162
- "oos_ann_return": 0.4302,
163
- "oos_ann_vol": 0.3319,
164
- "oos_sharpe": 1.296,
165
- "oos_hit_rate": 0.5401,
166
- "oos_max_dd": -0.188
167
  },
168
  {
169
  "window_id": 7,
170
  "train_start": "2020-01-01",
171
  "train_end": "2024-12-31",
172
  "loss_fn": "sharpe",
173
- "oos_ann_return": 0.6016,
174
- "oos_ann_vol": 0.2585,
175
- "oos_sharpe": 2.3273,
176
- "oos_hit_rate": 0.543,
177
- "oos_max_dd": -0.1652
178
  },
179
  {
180
  "window_id": 7,
181
  "train_start": "2020-01-01",
182
  "train_end": "2024-12-31",
183
  "loss_fn": "evar",
184
- "oos_ann_return": 0.6611,
185
- "oos_ann_vol": 0.3632,
186
- "oos_sharpe": 1.82,
187
- "oos_hit_rate": 0.5638,
188
- "oos_max_dd": -0.1938
189
  },
190
  {
191
  "window_id": 8,
192
  "train_start": "2022-01-01",
193
  "train_end": "2024-12-31",
194
  "loss_fn": "sharpe",
195
- "oos_ann_return": 0.261,
196
- "oos_ann_vol": 0.2167,
197
- "oos_sharpe": 1.2046,
198
- "oos_hit_rate": 0.5727,
199
- "oos_max_dd": -0.222
200
  },
201
  {
202
  "window_id": 8,
203
  "train_start": "2022-01-01",
204
  "train_end": "2024-12-31",
205
  "loss_fn": "evar",
206
- "oos_ann_return": 0.3214,
207
- "oos_ann_vol": 0.2222,
208
- "oos_sharpe": 1.4466,
209
- "oos_hit_rate": 0.5697,
210
- "oos_max_dd": -0.2032
211
  }
212
  ],
213
  "config": {
 
1
  {
2
  "option": "B",
3
+ "trained_at": "2026-05-09T06:25:44.473232",
4
+ "elapsed_sec": 18519.1,
5
+ "winning_window": 7,
6
+ "winning_train_start": "2020-01-01",
7
  "winning_train_end": "2024-12-31",
8
  "winning_loss": "evar",
9
+ "oos_ann_return": 0.9082,
10
+ "oos_ann_vol": 0.32,
11
+ "oos_sharpe": 2.8383,
12
+ "oos_hit_rate": 0.5858,
13
+ "oos_max_dd": -0.1987,
14
  "n_assets": 16,
15
  "tickers": [
16
  "SPY",
 
38
  "train_start": "2008-01-01",
39
  "train_end": "2024-12-31",
40
  "loss_fn": "sharpe",
41
+ "oos_ann_return": 0.5222,
42
+ "oos_ann_vol": 0.2363,
43
+ "oos_sharpe": 2.2104,
44
+ "oos_hit_rate": 0.5769,
45
+ "oos_max_dd": -0.1643
46
  },
47
  {
48
  "window_id": 1,
49
  "train_start": "2008-01-01",
50
  "train_end": "2024-12-31",
51
  "loss_fn": "evar",
52
+ "oos_ann_return": 0.2742,
53
+ "oos_ann_vol": 0.2177,
54
+ "oos_sharpe": 1.2593,
55
+ "oos_hit_rate": 0.5858,
56
+ "oos_max_dd": -0.2254
57
  },
58
  {
59
  "window_id": 2,
60
  "train_start": "2010-01-01",
61
  "train_end": "2024-12-31",
62
  "loss_fn": "sharpe",
63
+ "oos_ann_return": 0.4276,
64
+ "oos_ann_vol": 0.2101,
65
+ "oos_sharpe": 2.0353,
66
+ "oos_hit_rate": 0.5799,
67
+ "oos_max_dd": -0.1848
68
  },
69
  {
70
  "window_id": 2,
71
  "train_start": "2010-01-01",
72
  "train_end": "2024-12-31",
73
  "loss_fn": "evar",
74
+ "oos_ann_return": 0.7282,
75
+ "oos_ann_vol": 0.3389,
76
+ "oos_sharpe": 2.1484,
77
+ "oos_hit_rate": 0.5828,
78
+ "oos_max_dd": -0.2743
79
  },
80
  {
81
  "window_id": 3,
82
  "train_start": "2012-01-01",
83
  "train_end": "2024-12-31",
84
  "loss_fn": "sharpe",
85
+ "oos_ann_return": 0.5898,
86
+ "oos_ann_vol": 0.2852,
87
+ "oos_sharpe": 2.0678,
88
+ "oos_hit_rate": 0.5592,
89
+ "oos_max_dd": -0.1521
90
  },
91
  {
92
  "window_id": 3,
93
  "train_start": "2012-01-01",
94
  "train_end": "2024-12-31",
95
  "loss_fn": "evar",
96
+ "oos_ann_return": 0.8783,
97
+ "oos_ann_vol": 0.3727,
98
+ "oos_sharpe": 2.3567,
99
+ "oos_hit_rate": 0.5976,
100
+ "oos_max_dd": -0.2603
101
  },
102
  {
103
  "window_id": 4,
104
  "train_start": "2014-01-01",
105
  "train_end": "2024-12-31",
106
  "loss_fn": "sharpe",
107
+ "oos_ann_return": 0.5379,
108
+ "oos_ann_vol": 0.2683,
109
+ "oos_sharpe": 2.005,
110
+ "oos_hit_rate": 0.5799,
111
+ "oos_max_dd": -0.1461
112
  },
113
  {
114
  "window_id": 4,
115
  "train_start": "2014-01-01",
116
  "train_end": "2024-12-31",
117
  "loss_fn": "evar",
118
+ "oos_ann_return": 0.6197,
119
+ "oos_ann_vol": 0.3798,
120
+ "oos_sharpe": 1.6317,
121
+ "oos_hit_rate": 0.5799,
122
+ "oos_max_dd": -0.3753
123
  },
124
  {
125
  "window_id": 5,
126
  "train_start": "2016-01-01",
127
  "train_end": "2024-12-31",
128
  "loss_fn": "sharpe",
129
+ "oos_ann_return": 0.8026,
130
+ "oos_ann_vol": 0.2843,
131
+ "oos_sharpe": 2.8231,
132
+ "oos_hit_rate": 0.5621,
133
+ "oos_max_dd": -0.1168
134
  },
135
  {
136
  "window_id": 5,
137
  "train_start": "2016-01-01",
138
  "train_end": "2024-12-31",
139
  "loss_fn": "evar",
140
+ "oos_ann_return": 0.2685,
141
+ "oos_ann_vol": 0.1895,
142
+ "oos_sharpe": 1.4169,
143
+ "oos_hit_rate": 0.5769,
144
+ "oos_max_dd": -0.1972
145
  },
146
  {
147
  "window_id": 6,
148
  "train_start": "2018-01-01",
149
  "train_end": "2024-12-31",
150
  "loss_fn": "sharpe",
151
+ "oos_ann_return": 0.6269,
152
+ "oos_ann_vol": 0.2588,
153
+ "oos_sharpe": 2.4224,
154
+ "oos_hit_rate": 0.571,
155
+ "oos_max_dd": -0.1208
156
  },
157
  {
158
  "window_id": 6,
159
  "train_start": "2018-01-01",
160
  "train_end": "2024-12-31",
161
  "loss_fn": "evar",
162
+ "oos_ann_return": 0.7965,
163
+ "oos_ann_vol": 0.3974,
164
+ "oos_sharpe": 2.004,
165
+ "oos_hit_rate": 0.5769,
166
+ "oos_max_dd": -0.2795
167
  },
168
  {
169
  "window_id": 7,
170
  "train_start": "2020-01-01",
171
  "train_end": "2024-12-31",
172
  "loss_fn": "sharpe",
173
+ "oos_ann_return": 0.3373,
174
+ "oos_ann_vol": 0.2472,
175
+ "oos_sharpe": 1.3647,
176
+ "oos_hit_rate": 0.5769,
177
+ "oos_max_dd": -0.2151
178
  },
179
  {
180
  "window_id": 7,
181
  "train_start": "2020-01-01",
182
  "train_end": "2024-12-31",
183
  "loss_fn": "evar",
184
+ "oos_ann_return": 0.9082,
185
+ "oos_ann_vol": 0.32,
186
+ "oos_sharpe": 2.8383,
187
+ "oos_hit_rate": 0.5858,
188
+ "oos_max_dd": -0.1987
189
  },
190
  {
191
  "window_id": 8,
192
  "train_start": "2022-01-01",
193
  "train_end": "2024-12-31",
194
  "loss_fn": "sharpe",
195
+ "oos_ann_return": 0.3565,
196
+ "oos_ann_vol": 0.2276,
197
+ "oos_sharpe": 1.5667,
198
+ "oos_hit_rate": 0.5947,
199
+ "oos_max_dd": -0.2121
200
  },
201
  {
202
  "window_id": 8,
203
  "train_start": "2022-01-01",
204
  "train_end": "2024-12-31",
205
  "loss_fn": "evar",
206
+ "oos_ann_return": 0.393,
207
+ "oos_ann_vol": 0.2837,
208
+ "oos_sharpe": 1.385,
209
+ "oos_hit_rate": 0.568,
210
+ "oos_max_dd": -0.3331
211
  }
212
  ],
213
  "config": {