61 lines
1.5 KiB
JSON
61 lines
1.5 KiB
JSON
{
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"version": "v6.7r3",
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"feature_version": "v3.4",
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"architecture": "stacking_calibrated",
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"data_source": "mysql://100.121.118.116:3306/grid_seeker_model_base",
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"training_date": "2026-06-24T11:00:00.000000",
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"n_stocks_total": 5378,
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"n_stocks_after_filter": 1533,
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"n_training_samples": 254234,
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"window_days": 120,
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"future_days": 60,
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"step_days": 20,
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"y_rounds_mean": 0.1998384357465777,
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"y_rounds_median": 0.0,
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"y_rounds_zero_rate": 0.7108340511263267,
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"elite_rate": 26.66,
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"rank": {
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"cv_mae": 0.2053,
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"cv_r2": 0.2258,
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"spearman": 0.5896,
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"best_params": {
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"num_leaves": 63,
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"min_child_samples": 30,
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"max_depth": 7
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},
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"n_features": 56
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},
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"top": {
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"cv_pr_auc": 0.6953,
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"best_params": {
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"num_leaves": 63,
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"min_child_samples": 30,
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"max_depth": -1
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},
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"n_features": 53
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},
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"stacking": {
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"cv_pr_auc": 0.6640,
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"best_params": {
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"num_leaves": 31,
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"min_child_samples": 20,
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"max_depth": -1
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},
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"n_features": 55,
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"optimal_threshold": 0.33
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},
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"backtest": {
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"start": "2023-05-04",
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"end": "2026-04-30",
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"total_return_pct": 151.92,
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"annual_return_pct": 36.46,
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"annual_sharpe": 1.7404,
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"max_drawdown_pct": -12.10,
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"weekly_win_rate_pct": 59.48,
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"final_value": 151154,
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"rebalancing_frequency": "weekly",
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"elimination_window": "2_weeks"
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},
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"previous_version": "v6.6",
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"previous_version_backup": "models_backup_20260624_110913"
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} |