DockerSpace / docs /c19_result.json
DennisChan0909's picture
Add C19 adaptive triple-barrier labeling (PASSED 5-stock and 12-stock)
960fb5b
Raw
History Blame Contribute Delete
5.47 kB
{
"experiment": "C19",
"description": "Adaptive triple-barrier labeling (regime-conditional pt_sl)",
"variants": [
{
"low_ratio": 0.7,
"high_ratio": 1.0
},
{
"low_ratio": 0.7,
"high_ratio": 1.3
},
{
"low_ratio": 0.6,
"high_ratio": 1.0
}
],
"best_variant": {
"low_ratio": 0.6,
"high_ratio": 1.0
},
"stocks": [
"2330",
"0050",
"2317",
"2454",
"2881"
],
"aggregate": {
"baseline": {
"dir_accuracy": 43.8,
"up_precision": 51.1
},
"best_c19": {
"dir_accuracy": 49.0,
"up_precision": 56.5
}
},
"all_variants": {
"0.7,1.0": {
"dir_accuracy": 48.4,
"up_precision": 55.2
},
"0.7,1.3": {
"dir_accuracy": 48.2,
"up_precision": 54.8
},
"0.6,1.0": {
"dir_accuracy": 49.0,
"up_precision": 56.5
}
},
"passed": true,
"pass_gate": {
"dir_accuracy": 43.5,
"up_precision": 54.0
},
"per_stock": {
"2330": {
"baseline": {
"accuracy": 44.2,
"dir_accuracy": 49.7,
"up_precision": 62.4,
"dn_precision": 31.6,
"n_signals": 185,
"n_predictions": 231
},
"variants": {
"0.7,1.0": {
"accuracy": 43.7,
"dir_accuracy": 49.5,
"up_precision": 60.6,
"dn_precision": 38.0,
"n_signals": 186,
"n_predictions": 231
},
"0.7,1.3": {
"accuracy": 42.4,
"dir_accuracy": 46.7,
"up_precision": 59.4,
"dn_precision": 30.1,
"n_signals": 169,
"n_predictions": 231
},
"0.6,1.0": {
"accuracy": 44.6,
"dir_accuracy": 50.5,
"up_precision": 61.2,
"dn_precision": 38.2,
"n_signals": 192,
"n_predictions": 231
}
}
},
"0050": {
"baseline": {
"accuracy": 42.9,
"dir_accuracy": 52.6,
"up_precision": 59.5,
"dn_precision": 37.0,
"n_signals": 175,
"n_predictions": 231
},
"variants": {
"0.7,1.0": {
"accuracy": 48.1,
"dir_accuracy": 55.9,
"up_precision": 61.7,
"dn_precision": 38.3,
"n_signals": 188,
"n_predictions": 231
},
"0.7,1.3": {
"accuracy": 44.2,
"dir_accuracy": 50.8,
"up_precision": 56.0,
"dn_precision": 35.6,
"n_signals": 179,
"n_predictions": 231
},
"0.6,1.0": {
"accuracy": 44.6,
"dir_accuracy": 50.8,
"up_precision": 58.3,
"dn_precision": 32.1,
"n_signals": 195,
"n_predictions": 231
}
}
},
"2317": {
"baseline": {
"accuracy": 35.1,
"dir_accuracy": 40.1,
"up_precision": 46.1,
"dn_precision": 33.7,
"n_signals": 197,
"n_predictions": 231
},
"variants": {
"0.7,1.0": {
"accuracy": 39.4,
"dir_accuracy": 45.1,
"up_precision": 49.5,
"dn_precision": 39.5,
"n_signals": 195,
"n_predictions": 231
},
"0.7,1.3": {
"accuracy": 35.9,
"dir_accuracy": 43.1,
"up_precision": 49.6,
"dn_precision": 32.4,
"n_signals": 181,
"n_predictions": 231
},
"0.6,1.0": {
"accuracy": 41.1,
"dir_accuracy": 47.4,
"up_precision": 50.9,
"dn_precision": 42.3,
"n_signals": 194,
"n_predictions": 231
}
}
},
"2454": {
"baseline": {
"accuracy": 31.6,
"dir_accuracy": 36.4,
"up_precision": 33.7,
"dn_precision": 39.3,
"n_signals": 176,
"n_predictions": 231
},
"variants": {
"0.7,1.0": {
"accuracy": 38.5,
"dir_accuracy": 44.8,
"up_precision": 48.2,
"dn_precision": 41.6,
"n_signals": 172,
"n_predictions": 231
},
"0.7,1.3": {
"accuracy": 41.1,
"dir_accuracy": 49.3,
"up_precision": 49.3,
"dn_precision": 49.3,
"n_signals": 144,
"n_predictions": 231
},
"0.6,1.0": {
"accuracy": 37.7,
"dir_accuracy": 45.9,
"up_precision": 49.3,
"dn_precision": 43.0,
"n_signals": 159,
"n_predictions": 231
}
}
},
"2881": {
"baseline": {
"accuracy": 38.1,
"dir_accuracy": 40.4,
"up_precision": 53.8,
"dn_precision": 30.7,
"n_signals": 218,
"n_predictions": 231
},
"variants": {
"0.7,1.0": {
"accuracy": 45.0,
"dir_accuracy": 46.6,
"up_precision": 55.9,
"dn_precision": 39.8,
"n_signals": 221,
"n_predictions": 231
},
"0.7,1.3": {
"accuracy": 45.5,
"dir_accuracy": 51.3,
"up_precision": 59.8,
"dn_precision": 45.0,
"n_signals": 193,
"n_predictions": 231
},
"0.6,1.0": {
"accuracy": 48.1,
"dir_accuracy": 50.2,
"up_precision": 62.8,
"dn_precision": 42.1,
"n_signals": 219,
"n_predictions": 231
}
}
}
}
}