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7.92 kB
| { | |
| "asset": "silver", | |
| "selected_model": "directional_logistic", | |
| "best_params": { | |
| "C": 0.3, | |
| "class_weight": "balanced", | |
| "prediction_threshold": 0.0 | |
| }, | |
| "validation_score": 1.4511472118897861, | |
| "locked_test": { | |
| "family": "directional_logistic", | |
| "selected": true, | |
| "n_observations": 970.0, | |
| "cumulative_return": 5.4560912120811285, | |
| "annualized_return": 0.6233983749556155, | |
| "annualized_volatility": 0.4358762259397727, | |
| "sharpe": 1.3150272664379812, | |
| "sortino": 2.929947854151653, | |
| "max_drawdown": -0.444022859938024, | |
| "calmar": 1.4039781083402516, | |
| "turnover": 0.9309278350515464, | |
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| "ic": 0.1148642670330679, | |
| "sharpe_ci_low": 0.4321361040543547, | |
| "sharpe_ci_high": 2.103822625517206, | |
| "prob_sharpe_positive": 0.998 | |
| }, | |
| "foundation_comparison": [ | |
| { | |
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| "prob_sharpe_positive": 0.318 | |
| }, | |
| { | |
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| }, | |
| { | |
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| "prob_sharpe_positive": 0.46 | |
| }, | |
| { | |
| "family": "timesfm_covariates", | |
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| "cumulative_return": 0.3627326676324673, | |
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| "sharpe": 0.4087243439341521, | |
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| "prob_sharpe_positive": 0.796 | |
| } | |
| ], | |
| "foundation_statistical_tests": [ | |
| { | |
| "local_winner": "directional_logistic", | |
| "foundation_family": "chronos", | |
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| "mean_loss_difference_a_minus_b": 0.0086756303394551, | |
| "dm_statistic": 17.707704109798225, | |
| "p_value_two_sided": 3.6568744719006455e-70, | |
| "hac_lags": 5.0, | |
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| "difference_ci_low": 0.2285099047585713, | |
| "difference_ci_high": 2.763244114799429, | |
| "prob_a_beats_b": 0.987, | |
| "local_lower_squared_error": false, | |
| "p_value_holm": 1.3510588373789172e-69, | |
| "significant_5pct_holm": true | |
| }, | |
| { | |
| "local_winner": "directional_logistic", | |
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| "p_value_holm": 1.3510588373789172e-69, | |
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| }, | |
| { | |
| "local_winner": "directional_logistic", | |
| "foundation_family": "timesfm", | |
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| "mean_loss_difference_a_minus_b": 0.0086509867335349, | |
| "dm_statistic": 17.71217496684289, | |
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| "hac_lags": 5.0, | |
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| "difference_ci_low": -0.0065910066120408, | |
| "difference_ci_high": 2.445154697294353, | |
| "prob_a_beats_b": 0.973, | |
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| "p_value_holm": 1.3510588373789172e-69, | |
| "significant_5pct_holm": true | |
| }, | |
| { | |
| "local_winner": "directional_logistic", | |
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| "n_observations": 970.0, | |
| "mean_loss_difference_a_minus_b": 0.0086622348448189, | |
| "dm_statistic": 17.68395443397193, | |
| "p_value_two_sided": 5.574556093765022e-70, | |
| "hac_lags": 5.0, | |
| "sharpe_difference": 0.906302922503829, | |
| "difference_ci_low": -0.3345775878445409, | |
| "difference_ci_high": 1.933967862638832, | |
| "prob_a_beats_b": 0.927, | |
| "local_lower_squared_error": false, | |
| "p_value_holm": 1.3510588373789172e-69, | |
| "significant_5pct_holm": true | |
| } | |
| ], | |
| "reality_check": { | |
| "winner": "directional_logistic", | |
| "observed_winner_sharpe": 1.3150272664379803, | |
| "observed_max_sharpe": 1.3150272664379803, | |
| "bootstrap_max_sharpe_95": 1.2797939130199374, | |
| "p_value_max_sharpe": 0.0419580419580419, | |
| "n_observations": 970.0, | |
| "n_candidates": 18.0, | |
| "n_bootstrap": 1000.0, | |
| "block_size": 5.0 | |
| }, | |
| "source_manifest": { | |
| "path": "data/raw/market_data.parquet", | |
| "rows": 26290, | |
| "columns": [ | |
| "btc_adj_close", | |
| "oil_adj_close", | |
| "dxy_adj_close", | |
| "gold_adj_close", | |
| "copper_adj_close", | |
| "silver_adj_close", | |
| "sp500_adj_close", | |
| "tnx_adj_close", | |
| "vix_adj_close", | |
| "btc_close", | |
| "oil_close", | |
| "dxy_close", | |
| "gold_close", | |
| "copper_close", | |
| "silver_close", | |
| "sp500_close", | |
| "tnx_close", | |
| "vix_close", | |
| "btc_high", | |
| "oil_high", | |
| "dxy_high", | |
| "gold_high", | |
| "copper_high", | |
| "silver_high", | |
| "sp500_high", | |
| "tnx_high", | |
| "vix_high", | |
| "btc_low", | |
| "oil_low", | |
| "dxy_low", | |
| "gold_low", | |
| "copper_low", | |
| "silver_low", | |
| "sp500_low", | |
| "tnx_low", | |
| "vix_low", | |
| "btc_open", | |
| "oil_open", | |
| "dxy_open", | |
| "gold_open", | |
| "copper_open", | |
| "silver_open", | |
| "sp500_open", | |
| "tnx_open", | |
| "vix_open", | |
| "btc_volume", | |
| "oil_volume", | |
| "dxy_volume", | |
| "gold_volume", | |
| "copper_volume", | |
| "silver_volume", | |
| "sp500_volume", | |
| "tnx_volume", | |
| "vix_volume" | |
| ], | |
| "start": "1927-12-30T00:00:00", | |
| "end": "2026-08-12T00:00:00", | |
| "sha256": "a60bc9d0a4f48805259cbbeff3855ef437a08bdc041f7becba55fae2700971e1", | |
| "tickers": { | |
| "gold": "GC=F", | |
| "silver": "SI=F", | |
| "dxy": "DX-Y.NYB", | |
| "vix": "^VIX", | |
| "sp500": "^GSPC", | |
| "oil": "CL=F", | |
| "copper": "HG=F", | |
| "tnx": "^TNX", | |
| "btc": "BTC-USD" | |
| } | |
| }, | |
| "source_code_revision": "2983c13" | |
| } |