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"subsets": {
"A": 40,
"B": 62,
"C": 85
},
"results": {
"2330": {
"A": {
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"dir_accuracy": 38.0,
"up_precision": 56.8,
"dn_precision": 14.3,
"win_rate": 59.5,
"pnl_pct": 64.8,
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"n_trades": 79
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"B": {
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"dir_accuracy": 32.7,
"up_precision": 52.8,
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"win_rate": 51.0,
"pnl_pct": 31.1,
"sharpe": 0.511,
"max_dd": -0.355,
"ic": 0.1097,
"n_predictions": 231,
"n_trades": 98
},
"C": {
"accuracy": 42.0,
"dir_accuracy": 34.3,
"up_precision": 52.6,
"dn_precision": 10.3,
"win_rate": 56.7,
"pnl_pct": 16.7,
"sharpe": 0.394,
"max_dd": -0.218,
"ic": 0.0725,
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"n_trades": 67
}
},
"0050": {
"A": {
"accuracy": 48.1,
"dir_accuracy": 41.8,
"up_precision": 55.3,
"dn_precision": 11.8,
"win_rate": 58.2,
"pnl_pct": 51.2,
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"max_dd": -0.207,
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"n_trades": 55
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"B": {
"accuracy": 48.9,
"dir_accuracy": 45.6,
"up_precision": 50.0,
"dn_precision": 0.0,
"win_rate": 63.2,
"pnl_pct": 86.1,
"sharpe": 3.365,
"max_dd": -0.136,
"ic": 0.0837,
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"n_trades": 57
},
"C": {
"accuracy": 45.9,
"dir_accuracy": 34.9,
"up_precision": 42.9,
"dn_precision": 0.0,
"win_rate": 48.8,
"pnl_pct": 17.7,
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"ic": 0.0425,
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},
"2317": {
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"dir_accuracy": 28.3,
"up_precision": 37.1,
"dn_precision": 22.7,
"win_rate": 42.1,
"pnl_pct": -102.4,
"sharpe": -0.91,
"max_dd": -0.792,
"ic": -0.1467,
"n_predictions": 231,
"n_trades": 159
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"B": {
"accuracy": 23.8,
"dir_accuracy": 22.9,
"up_precision": 22.4,
"dn_precision": 23.4,
"win_rate": 41.7,
"pnl_pct": -69.9,
"sharpe": -0.736,
"max_dd": -0.649,
"ic": -0.3001,
"n_predictions": 231,
"n_trades": 144
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"C": {
"accuracy": 24.2,
"dir_accuracy": 23.3,
"up_precision": 24.2,
"dn_precision": 22.7,
"win_rate": 39.6,
"pnl_pct": -124.7,
"sharpe": -1.164,
"max_dd": -0.769,
"ic": -0.2838,
"n_predictions": 231,
"n_trades": 159
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},
"2454": {
"A": {
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"dir_accuracy": 27.6,
"up_precision": 31.4,
"dn_precision": 22.0,
"win_rate": 42.8,
"pnl_pct": -125.4,
"sharpe": -0.826,
"max_dd": -0.878,
"ic": -0.1258,
"n_predictions": 231,
"n_trades": 145
},
"B": {
"accuracy": 35.1,
"dir_accuracy": 31.4,
"up_precision": 33.3,
"dn_precision": 29.0,
"win_rate": 45.0,
"pnl_pct": -103.0,
"sharpe": -0.693,
"max_dd": -0.847,
"ic": -0.0886,
"n_predictions": 231,
"n_trades": 140
},
"C": {
"accuracy": 30.7,
"dir_accuracy": 27.8,
"up_precision": 32.5,
"dn_precision": 23.1,
"win_rate": 41.1,
"pnl_pct": -232.9,
"sharpe": -1.331,
"max_dd": -0.964,
"ic": -0.1141,
"n_predictions": 231,
"n_trades": 158
}
},
"2881": {
"A": {
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"dir_accuracy": 22.0,
"up_precision": 35.3,
"dn_precision": 12.5,
"win_rate": 56.1,
"pnl_pct": 37.1,
"sharpe": 1.356,
"max_dd": -0.131,
"ic": -0.0393,
"n_predictions": 231,
"n_trades": 82
},
"B": {
"accuracy": 47.6,
"dir_accuracy": 22.9,
"up_precision": 39.4,
"dn_precision": 12.0,
"win_rate": 54.2,
"pnl_pct": 29.8,
"sharpe": 0.989,
"max_dd": -0.161,
"ic": -0.0247,
"n_predictions": 231,
"n_trades": 83
},
"C": {
"accuracy": 46.3,
"dir_accuracy": 20.7,
"up_precision": 35.0,
"dn_precision": 16.1,
"win_rate": 58.5,
"pnl_pct": 23.7,
"sharpe": 0.867,
"max_dd": -0.207,
"ic": -0.0057,
"n_predictions": 231,
"n_trades": 82
}
}
},
"aggregate": {
"A": {
"accuracy": 39.92,
"dir_accuracy": 31.54,
"up_precision": 43.18,
"dn_precision": 16.66,
"win_rate": 51.74,
"pnl_pct": -14.94,
"sharpe": 0.571,
"max_dd": -0.454,
"ic": 0.006
},
"B": {
"accuracy": 38.96,
"dir_accuracy": 31.1,
"up_precision": 39.58,
"dn_precision": 14.66,
"win_rate": 51.02,
"pnl_pct": -5.18,
"sharpe": 0.687,
"max_dd": -0.43,
"ic": -0.044
},
"C": {
"accuracy": 37.82,
"dir_accuracy": 28.2,
"up_precision": 37.44,
"dn_precision": 14.44,
"win_rate": 48.94,
"pnl_pct": -59.9,
"sharpe": -0.085,
"max_dd": -0.459,
"ic": -0.058
}
},
"winner": "A",
"winner_reason": "Subset A has highest mean dir_accuracy (A=31.5%, B=31.1%, C=28.2%)"
} |