docs/validation_runs/weight_optimization_latest.json

{
  "experiment": "factor_weight_optimization",
  "generated_at": "2026-05-18T02:58:13.313346+00:00",
  "stocks": [
    "2330"
  ],
  "factors": {
    "bull_column": "oldwang_bull_score",
    "bear_column": "oldwang_bear_score",
    "exclude_factor_columns_from_model": false
  },
  "validation_design": {
    "mode": "walk_forward_probabilities_then_time_split_grid_search",
    "objective": "precision-first",
    "max_buy_count_ratio": 1.3,
    "label_horizon": 5,
    "train_end": "cutoff - LABEL_HORIZON",
    "step": 21,
    "min_train": 240,
    "leakage_guard": "model predictions are generated with train_end before each test slice; weights are selected on earlier prediction events and validated on later events."
  },
  "result": {
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      "validation_events": 84,
      "tune_date_range": [
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        "2025-12-17"
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      "validation_date_range": [
        "2025-12-18",
        "2026-04-30"
      ]
    },
    "grid_size": 576,
    "min_signal_ratio": 0.7,
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    "max_buy_count_ratio": 1.3,
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    "top_candidates": [
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          "sell_bull_gate": null,
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        "tune_deltas": {
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      },
      {
        "config": {
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          "sell_bear_weight": 0.08,
          "sell_bull_weight": -0.02,
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        "tune_metrics": {
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        "tune_deltas": {
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      {
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        "tune_deltas": {
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        "tune_deltas": {
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        "tune_metrics": {
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        "tune_deltas": {
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      },
      {
        "config": {
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        "tune_deltas": {
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        "sell_precision": 19.6721,
        "signal_count": 117,
        "buy_count": 56,
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      "candidate": {
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        "signal_count": 114,
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        "n_predictions": 126
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      "deltas": {
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    },
    "validation": {
      "baseline": {
        "accuracy": 46.4286,
        "direction_accuracy": 57.6271,
        "buy_precision": 79.3103,
        "sell_precision": 36.6667,
        "signal_count": 59,
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        "coverage": 0.7024,
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      "candidate": {
        "accuracy": 46.4286,
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        "signal_count": 58,
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        "n_predictions": 84
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      "deltas": {
        "accuracy_delta_pp": 0.0,
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        "buy_precision_delta_pp": -8.1992,
        "sell_precision_delta_pp": -21.2821,
        "signal_count_delta": -1,
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    },
    "all_events": {
      "baseline": {
        "accuracy": 37.1429,
        "direction_accuracy": 40.9091,
        "buy_precision": 57.6471,
        "sell_precision": 25.2747,
        "signal_count": 176,
        "buy_count": 85,
        "sell_count": 91,
        "coverage": 0.8381,
        "n_predictions": 210
      },
      "candidate": {
        "accuracy": 39.5238,
        "direction_accuracy": 44.7674,
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        "signal_count": 172,
        "buy_count": 116,
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        "coverage": 0.819,
        "n_predictions": 210
      },
      "deltas": {
        "accuracy_delta_pp": 2.3809,
        "direction_accuracy_delta_pp": 3.8583,
        "buy_precision_delta_pp": -0.7505,
        "sell_precision_delta_pp": -5.6318,
        "signal_count_delta": -4,
        "coverage_delta": -0.0191
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    },
    "per_stock_validation": {
      "2330": {
        "baseline": {
          "accuracy": 46.4286,
          "direction_accuracy": 57.6271,
          "buy_precision": 79.3103,
          "sell_precision": 36.6667,
          "signal_count": 59,
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          "coverage": 0.7024,
          "n_predictions": 84
        },
        "candidate": {
          "accuracy": 46.4286,
          "direction_accuracy": 58.6207,
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          "signal_count": 58,
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          "coverage": 0.6905,
          "n_predictions": 84
        },
        "deltas": {
          "accuracy_delta_pp": 0.0,
          "direction_accuracy_delta_pp": 0.9936,
          "buy_precision_delta_pp": -8.1992,
          "sell_precision_delta_pp": -21.2821,
          "signal_count_delta": -1,
          "coverage_delta": -0.0119
        }
      }
    }
  },
  "promotion_decision": {
    "passed": false,
    "checks": {
      "validation_accuracy_delta": false,
      "buy_precision_not_down": false,
      "signal_ratio": true,
      "buy_count_ratio": false
    },
    "signal_ratio": 0.9831,
    "buy_count_ratio": 1.5517,
    "thresholds": {
      "min_accuracy_delta_pp": 2.0,
      "min_signal_ratio": 0.7,
      "min_buy_precision_delta_pp": 0.0,
      "max_buy_count_ratio": 1.3
    }
  },
  "popular_stocks": {
    "source": "manual --stocks override",
    "url": "",
    "count": 1,
    "fallback_used": false
  },
  "data_mining_roadmap": [
    {
      "phase": "C22",
      "method": "Candlestick sequence + shadow/gap/MA20/volume spike",
      "reason": "低成本、可解釋，直接對應技術線型與老王策略語意。",
      "runtime": "Fast; suitable for Mac precompute and HF fallback."
    },
    {
      "phase": "C23",
      "method": "SAX bag-of-patterns",
      "reason": "把近期報酬線型轉成 symbol token，再用歷史 win-rate 做 factor score。",
      "runtime": "Medium; calibrate only inside training folds."
    },
    {
      "phase": "C24",
      "method": "catch22 / tsfresh compact features",
      "reason": "自動抽取時間序列特徵，但需嚴格限制欄位數與 fold-local selection。",
      "runtime": "Medium; Mac-first experiment."
    },
    {
      "phase": "C25",
      "method": "Matrix Profile / STUMPY motif similarity",
      "reason": "找最近形狀是否像歷史多方/空方 motif，適合做 explainable factor。",
      "runtime": "Slow; Mac-only validation before any production use."
    },
    {
      "phase": "C26",
      "method": "Shapelets",
      "reason": "可解釋的 discriminative subsequence，但較容易過擬合且成本較高。",
      "runtime": "Slow; research-only until extended validation passes."
    }
  ],
  "report_generated_at": "2026-05-18T02:58:13.313896+00:00"
}