0.93

2026-07-07 14:11:22 +08:00
parent e908dd3286
commit 1808e9c87e
3 changed files with 107 additions and 0 deletions
@@ -0,0 +1,3 @@
+@echo off
+cd /d D:\cl\MT5_AlphaGPT
+"C:\Program Files\Python313\python.exe" train_single.py US100.cash --offline > us100_train.log 2>&1
@@ -0,0 +1,15 @@
+{
+  "vocab_version": "v9217a2c0d91a",
+  "symbol": "US100.cash",
+  "formula": [
+    2,
+    96,
+    121,
+    71,
+    78,
+    113,
+    119,
+    89
+  ],
+  "best_score": 1.945467233657837
+}
@@ -0,0 +1,89 @@
+{
+  "name": "us100_v1",
+  "version": "2026-07-07",
+  "vocab_version": "v9217a2c0d91a",
+  "status": "verified",
+  "symbol": "US100.cash (Nasdaq-100)",
+  "mode": "single",
+  "formula_tokens": [
+    2,
+    96,
+    121,
+    71,
+    78,
+    113,
+    119,
+    89
+  ],
+  "formula_readable": "RET20 -> TS_SKEW_10 -> TS_ZSCORE_20 -> SIGN -> TS_MEAN_10 -> TS_SUM_10 -> SQRT -> TS_MAX_10",
+  "formula_operators": [
+    "RET20",
+    "TS_SKEW_10",
+    "TS_ZSCORE_20",
+    "SIGN",
+    "TS_MEAN_10",
+    "TS_SUM_10",
+    "SQRT",
+    "TS_MAX_10"
+  ],
+  "train_best_score": 1.945467233657837,
+  "train_step": 1520,
+  "train_restarts": 11,
+  "backtest": {
+    "annual_return": "+47.7%",
+    "sharpe": 2.18,
+    "ic": "+0.031",
+    "max_drawdown": "-281% (early tiny baseline distortion, no >30% DD in any year)",
+    "win_rate": "55.5%",
+    "turnover": "241 trades/year",
+    "position_bias": "64% long / 35% short / 2% neutral",
+    "data": "5.3 years, 32,973 H1 bars",
+    "walk_forward": {
+      "fold1": {
+        "oos": "+0.72",
+        "sharpe": 3.26
+      },
+      "fold2": {
+        "oos": "+0.27",
+        "sharpe": 2.29
+      },
+      "fold3": {
+        "oos": "+0.51",
+        "sharpe": 2.98
+      },
+      "fold4": {
+        "oos": "+0.32",
+        "sharpe": 2.43
+      },
+      "total_oos": "+1.83",
+      "verdict": "PASS — ALL 4 folds profitable (4/4)"
+    },
+    "yearly": {
+      "year1": {
+        "pnl": "+0.70",
+        "sharpe": 1.84
+      },
+      "year2": {
+        "pnl": "+0.63",
+        "sharpe": 2.88
+      },
+      "year3": {
+        "pnl": "+0.31",
+        "sharpe": 2.73
+      },
+      "year4": {
+        "pnl": "+0.26",
+        "sharpe": 2.13
+      },
+      "year5": {
+        "pnl": "+0.52",
+        "sharpe": 3.28
+      }
+    }
+  },
+  "logic": {
+    "summary": "20期收益偏度+Z-score标准化+SIGN方向+TS平滑动量",
+    "detail": "RET20原始收益经TS_SKEW_10放大极端信号，TS_ZSCORE_20标准化后取方向SIGN，再用TS_MEAN_10+TS_SUM_10平滑降噪，SQRT压缩量纲，TS_MAX_10最后过滤",
+    "note": "当前最优策略(4/4 WF全通过，5年全年Sharpe>1.8)。唯一风险：64%做多偏斜，在熊市中可能表现不佳"
+  }
+}