PaPP v2 Modello: modello mean-reversion (rev/speed/disc) pooled 4 FX + LOSO + doc

Co-Authored-By: Devin AI <158243242+devin-ai-integration[bot]@users.noreply.github.com>
This commit is contained in:
Pietro Giacobazzi
2026-06-17 09:28:15 +00:00
co-authored by Devin AI <158243242+devin-ai-integration[bot]@users.noreply.github.com>
parent 0187cb6bd7
commit 7d329a0591
14 changed files with 623 additions and 2 deletions
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n,mae,mae_baseline,skill_%,r2,test_symbol
15898,0.7016688523942158,0.7156681469367216,1.956115359112609,0.056705406202969044,EURUSD
6635,0.766700972158277,0.8138184204973624,5.789675823544238,0.09699286957940556,USDJPY
7349,0.7110993410001212,0.703173893046673,-1.1270964453912402,0.13820883251935367,USDCHF
6807,0.7712259995571173,0.7706658777728809,-0.07268023671362922,0.10481685322904755,GBPUSD
1 n mae mae_baseline skill_% r2 test_symbol
2 15898 0.7016688523942158 0.7156681469367216 1.956115359112609 0.056705406202969044 EURUSD
3 6635 0.766700972158277 0.8138184204973624 5.789675823544238 0.09699286957940556 USDJPY
4 7349 0.7110993410001212 0.703173893046673 -1.1270964453912402 0.13820883251935367 USDCHF
5 6807 0.7712259995571173 0.7706658777728809 -0.07268023671362922 0.10481685322904755 GBPUSD
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n,base_rate,acc_baseline,auc,acc,test_symbol
15887,0.7324227355699628,0.7324227355699628,0.6765454819075187,0.7357587965002832,EURUSD
6619,0.7028252001812962,0.7028252001812962,0.6869979773747487,0.719292944553558,USDJPY
7331,0.7603328331741918,0.7603328331741918,0.6816590320250597,0.7442368026190151,USDCHF
6798,0.7374227714033539,0.7374227714033539,0.687844098341511,0.7375698734922036,GBPUSD
1 n base_rate acc_baseline auc acc test_symbol
2 15887 0.7324227355699628 0.7324227355699628 0.6765454819075187 0.7357587965002832 EURUSD
3 6619 0.7028252001812962 0.7028252001812962 0.6869979773747487 0.719292944553558 USDJPY
4 7331 0.7603328331741918 0.7603328331741918 0.6816590320250597 0.7442368026190151 USDCHF
5 6798 0.7374227714033539 0.7374227714033539 0.687844098341511 0.7375698734922036 GBPUSD
@@ -0,0 +1,5 @@
n,mae,mae_baseline,skill_%,r2,test_symbol
13909,3.610173858972498,3.65878208354303,1.3285356564187945,0.09908303164055288,EURUSD
5729,3.615529034826519,3.7987432361668705,4.823021456044085,0.1281263482188003,USDJPY
6570,3.627862458240022,3.5245053272450533,-2.9325287210094197,0.07345132592032444,USDCHF
6090,3.638542831980693,3.744006568144499,2.8168683533072225,0.11825074333860008,GBPUSD
1 n mae mae_baseline skill_% r2 test_symbol
2 13909 3.610173858972498 3.65878208354303 1.3285356564187945 0.09908303164055288 EURUSD
3 5729 3.615529034826519 3.7987432361668705 4.823021456044085 0.1281263482188003 USDJPY
4 6570 3.627862458240022 3.5245053272450533 -2.9325287210094197 0.07345132592032444 USDCHF
5 6090 3.638542831980693 3.744006568144499 2.8168683533072225 0.11825074333860008 GBPUSD
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{
"wf": {
"rev": {
"n": 1594.0,
"base_rate": 0.7183856164543461,
"acc_baseline": 0.7183856164543461,
"auc": 0.6478491068895667,
"acc": 0.7130101340748866,
"test_year": 2016.5
},
"speed": {
"n": 1406.55,
"mae": 3.6537111122909542,
"mae_baseline": 3.7337467740160712,
"skill_%": 1.7998203587207346,
"r2": 0.07833366023387726,
"test_year": 2016.5
},
"disc": {
"n": 1596.7,
"mae": 0.7847562209218487,
"mae_baseline": 0.7657217825432683,
"skill_%": -3.381481774117468,
"r2": -0.36203395606382444,
"test_year": 2016.5
}
},
"loso": {
"rev": {
"n": 9158.75,
"base_rate": 0.7332508850822013,
"acc_baseline": 0.7332508850822013,
"auc": 0.6832616474122095,
"acc": 0.734214604291265
},
"speed": {
"n": 8074.5,
"mae": 3.623027046004933,
"mae_baseline": 3.681509303774863,
"skill_%": 1.5089741861901707,
"r2": 0.10472786227956943
},
"disc": {
"n": 9172.25,
"mae": 0.7376737912774329,
"mae_baseline": 0.7508315845634095,
"skill_%": 1.6365036251379943,
"r2": 0.09918099038269396
}
}
}
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n,mae,mae_baseline,skill_%,r2,test_year
468,0.5210450337997958,0.4877705555555555,-6.82174802584008,-0.440278374819538,2007
511,1.4979005200832076,1.46627927592955,-2.1565635327970734,-0.4428980601648529,2008
590,0.5372706093503566,0.624245779661017,13.932840740691965,0.09814855360679986,2009
548,0.8435515547481117,0.9210056204379563,8.40972779873087,-0.20129888622520697,2010
649,0.6264895295465607,0.7349227426810478,14.754368974746313,-0.23270335993701874,2011
563,0.8444189035765441,0.7120972291296623,-18.581967326092208,-0.6572098948790617,2012
574,0.6570009471217217,0.5640415679442509,-16.480944749564785,-1.9530900867332583,2013
1089,0.8585576108637076,0.8849660055096419,2.984114020371431,-0.0058690268732339845,2014
2465,0.86287949087831,0.8346033630831645,-3.387971945223023,0.1741985535476418,2015
2440,0.9893521953097881,0.9588108852459016,-3.1853320121677298,0.06164644338816894,2016
2405,0.6483027913003414,0.606651659043659,-6.865741094707012,-0.3827607195275795,2017
2208,0.716304832228868,0.6826646195652174,-4.927780303756735,-0.30219708772441267,2018
2520,0.7276522650483845,0.693340365079365,-4.948781536048585,-0.9380918084727767,2019
2351,1.0262956818683626,0.9582834198213527,-7.097301345325269,-0.054525480586665065,2020
2378,0.5921425747388034,0.566631362489487,-4.502259129680586,-0.6404632411590949,2021
2074,0.9417510265311481,1.0620946142719383,11.330778456426438,-0.41893129794772066,2022
2185,0.6089553673717031,0.5467215652173913,-11.383088964044408,-0.23632995343602725,2023
2317,0.7212702214350022,0.6373334527406128,-13.169992620574188,-0.24062608198432445,2024
2335,0.7021795509288201,0.7111189250535332,1.2570856729822166,0.1140083899835217,2025
1264,0.7718037117074369,0.6608526424050633,-16.78907856047691,-0.5414077013318492,2026
1 n mae mae_baseline skill_% r2 test_year
2 468 0.5210450337997958 0.4877705555555555 -6.82174802584008 -0.440278374819538 2007
3 511 1.4979005200832076 1.46627927592955 -2.1565635327970734 -0.4428980601648529 2008
4 590 0.5372706093503566 0.624245779661017 13.932840740691965 0.09814855360679986 2009
5 548 0.8435515547481117 0.9210056204379563 8.40972779873087 -0.20129888622520697 2010
6 649 0.6264895295465607 0.7349227426810478 14.754368974746313 -0.23270335993701874 2011
7 563 0.8444189035765441 0.7120972291296623 -18.581967326092208 -0.6572098948790617 2012
8 574 0.6570009471217217 0.5640415679442509 -16.480944749564785 -1.9530900867332583 2013
9 1089 0.8585576108637076 0.8849660055096419 2.984114020371431 -0.0058690268732339845 2014
10 2465 0.86287949087831 0.8346033630831645 -3.387971945223023 0.1741985535476418 2015
11 2440 0.9893521953097881 0.9588108852459016 -3.1853320121677298 0.06164644338816894 2016
12 2405 0.6483027913003414 0.606651659043659 -6.865741094707012 -0.3827607195275795 2017
13 2208 0.716304832228868 0.6826646195652174 -4.927780303756735 -0.30219708772441267 2018
14 2520 0.7276522650483845 0.693340365079365 -4.948781536048585 -0.9380918084727767 2019
15 2351 1.0262956818683626 0.9582834198213527 -7.097301345325269 -0.054525480586665065 2020
16 2378 0.5921425747388034 0.566631362489487 -4.502259129680586 -0.6404632411590949 2021
17 2074 0.9417510265311481 1.0620946142719383 11.330778456426438 -0.41893129794772066 2022
18 2185 0.6089553673717031 0.5467215652173913 -11.383088964044408 -0.23632995343602725 2023
19 2317 0.7212702214350022 0.6373334527406128 -13.169992620574188 -0.24062608198432445 2024
20 2335 0.7021795509288201 0.7111189250535332 1.2570856729822166 0.1140083899835217 2025
21 1264 0.7718037117074369 0.6608526424050633 -16.78907856047691 -0.5414077013318492 2026
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n,base_rate,acc_baseline,auc,acc,test_year
468,0.6175213675213675,0.6175213675213675,0.641878177495119,0.6260683760683761,2007
511,0.6516634050880626,0.6516634050880626,0.5756149407834801,0.6594911937377691,2008
590,0.7440677966101695,0.7440677966101695,0.5982138816394877,0.7372881355932204,2009
548,0.7408759124087592,0.7408759124087592,0.6361617983764658,0.7299270072992701,2010
649,0.5855161787365177,0.5855161787365177,0.6710135002934846,0.6718027734976888,2011
563,0.8206039076376554,0.8206039076376554,0.6997342591401998,0.7708703374777975,2012
574,0.6933797909407665,0.6933797909407665,0.6654865235267245,0.6428571428571429,2013
1089,0.6464646464646465,0.6464646464646465,0.6203659976387249,0.6721763085399449,2014
2465,0.7829614604462475,0.7829614604462475,0.6354597840298292,0.7517241379310344,2015
2440,0.7487704918032787,0.7487704918032787,0.6421575586789066,0.6905737704918032,2016
2405,0.7600831600831601,0.7600831600831601,0.6408060252797805,0.755925155925156,2017
2208,0.7336956521739131,0.7336956521739131,0.6192271352985639,0.7133152173913043,2018
2520,0.8067460317460318,0.8067460317460318,0.6465879719737271,0.7746031746031746,2019
2351,0.7243726074011059,0.7243726074011059,0.6688414780017834,0.7209698000850702,2020
2378,0.7863751051303617,0.7863751051303617,0.6841361741547013,0.7901597981497056,2021
2074,0.6769527483124397,0.6769527483124397,0.5842326827401454,0.6557377049180327,2022
2185,0.6668192219679634,0.6668192219679634,0.6764596076538425,0.6906178489702517,2023
2317,0.6551575312904618,0.6551575312904618,0.6896672553471812,0.6870953819594303,2024
2335,0.7430406852248393,0.7430406852248393,0.7314169068203651,0.7644539614561028,2025
1210,0.7826446280991736,0.7826446280991736,0.6295204789188191,0.7545454545454545,2026
1 n base_rate acc_baseline auc acc test_year
2 468 0.6175213675213675 0.6175213675213675 0.641878177495119 0.6260683760683761 2007
3 511 0.6516634050880626 0.6516634050880626 0.5756149407834801 0.6594911937377691 2008
4 590 0.7440677966101695 0.7440677966101695 0.5982138816394877 0.7372881355932204 2009
5 548 0.7408759124087592 0.7408759124087592 0.6361617983764658 0.7299270072992701 2010
6 649 0.5855161787365177 0.5855161787365177 0.6710135002934846 0.6718027734976888 2011
7 563 0.8206039076376554 0.8206039076376554 0.6997342591401998 0.7708703374777975 2012
8 574 0.6933797909407665 0.6933797909407665 0.6654865235267245 0.6428571428571429 2013
9 1089 0.6464646464646465 0.6464646464646465 0.6203659976387249 0.6721763085399449 2014
10 2465 0.7829614604462475 0.7829614604462475 0.6354597840298292 0.7517241379310344 2015
11 2440 0.7487704918032787 0.7487704918032787 0.6421575586789066 0.6905737704918032 2016
12 2405 0.7600831600831601 0.7600831600831601 0.6408060252797805 0.755925155925156 2017
13 2208 0.7336956521739131 0.7336956521739131 0.6192271352985639 0.7133152173913043 2018
14 2520 0.8067460317460318 0.8067460317460318 0.6465879719737271 0.7746031746031746 2019
15 2351 0.7243726074011059 0.7243726074011059 0.6688414780017834 0.7209698000850702 2020
16 2378 0.7863751051303617 0.7863751051303617 0.6841361741547013 0.7901597981497056 2021
17 2074 0.6769527483124397 0.6769527483124397 0.5842326827401454 0.6557377049180327 2022
18 2185 0.6668192219679634 0.6668192219679634 0.6764596076538425 0.6906178489702517 2023
19 2317 0.6551575312904618 0.6551575312904618 0.6896672553471812 0.6870953819594303 2024
20 2335 0.7430406852248393 0.7430406852248393 0.7314169068203651 0.7644539614561028 2025
21 1210 0.7826446280991736 0.7826446280991736 0.6295204789188191 0.7545454545454545 2026
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n,mae,mae_baseline,skill_%,r2,test_year
338,3.465379140810698,3.4142011834319526,-1.498973101734502,0.12927353007997744,2007
400,4.090858376700547,3.9425,-3.7630533088280904,0.04579965148367826,2008
540,4.0205317754813965,3.8740740740740742,-3.780456919691866,-0.12200728544542727,2009
470,3.1693714434220257,3.421276595744681,7.362899352714425,0.2246464741787182,2010
495,4.314538334266083,4.3232323232323235,0.20109927749014656,-0.055325713812715005,2011
515,3.2237999945625653,2.9029126213592233,-11.053979745800735,-0.06562655938335582,2012
485,3.733393114617742,4.072164948453608,8.319207058754174,0.19434702822584105,2013
879,3.924266870235131,4.180887372013652,6.137943430294424,0.022748161878883844,2014
2243,3.398709049328624,3.3410610789121713,-1.7254389864438613,0.07268045675088919,2015
2243,3.6650255510608725,3.7588051716451183,2.494931668490852,0.06864404910302002,2016
2206,3.65145803728882,3.8028105167724386,3.9800163278205125,0.10526816265720629,2017
1923,3.577364530993464,3.4607384295371815,-3.3699773568810043,0.07894792932730887,2018
2354,3.356457496216363,3.373406966864911,0.502443696092203,0.015425103761181336,2019
2116,3.8333614130177756,3.972117202268431,3.4932450928540915,0.049572458729656765,2020
2190,3.3981138450501156,3.4990867579908675,2.8856933229837733,0.12873115565641913,2021
1715,3.799187552337051,3.816909620991254,0.4643041207142984,0.0433313417575899,2022
1810,4.043300720188006,3.8784530386740332,-4.250346204277644,0.06762624567274822,2023
1997,3.6962952238115996,4.476214321482224,17.423631704309617,0.2427214165484335,2024
2094,3.369937232661497,3.7597898758357213,10.369000823152874,0.2265055214709174,2025
1118,3.3428725437687103,3.4042933810375673,1.804216922401003,0.09336407603657426,2026
1 n mae mae_baseline skill_% r2 test_year
2 338 3.465379140810698 3.4142011834319526 -1.498973101734502 0.12927353007997744 2007
3 400 4.090858376700547 3.9425 -3.7630533088280904 0.04579965148367826 2008
4 540 4.0205317754813965 3.8740740740740742 -3.780456919691866 -0.12200728544542727 2009
5 470 3.1693714434220257 3.421276595744681 7.362899352714425 0.2246464741787182 2010
6 495 4.314538334266083 4.3232323232323235 0.20109927749014656 -0.055325713812715005 2011
7 515 3.2237999945625653 2.9029126213592233 -11.053979745800735 -0.06562655938335582 2012
8 485 3.733393114617742 4.072164948453608 8.319207058754174 0.19434702822584105 2013
9 879 3.924266870235131 4.180887372013652 6.137943430294424 0.022748161878883844 2014
10 2243 3.398709049328624 3.3410610789121713 -1.7254389864438613 0.07268045675088919 2015
11 2243 3.6650255510608725 3.7588051716451183 2.494931668490852 0.06864404910302002 2016
12 2206 3.65145803728882 3.8028105167724386 3.9800163278205125 0.10526816265720629 2017
13 1923 3.577364530993464 3.4607384295371815 -3.3699773568810043 0.07894792932730887 2018
14 2354 3.356457496216363 3.373406966864911 0.502443696092203 0.015425103761181336 2019
15 2116 3.8333614130177756 3.972117202268431 3.4932450928540915 0.049572458729656765 2020
16 2190 3.3981138450501156 3.4990867579908675 2.8856933229837733 0.12873115565641913 2021
17 1715 3.799187552337051 3.816909620991254 0.4643041207142984 0.0433313417575899 2022
18 1810 4.043300720188006 3.8784530386740332 -4.250346204277644 0.06762624567274822 2023
19 1997 3.6962952238115996 4.476214321482224 17.423631704309617 0.2427214165484335 2024
20 2094 3.369937232661497 3.7597898758357213 10.369000823152874 0.2265055214709174 2025
21 1118 3.3428725437687103 3.4042933810375673 1.804216922401003 0.09336407603657426 2026