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:
co-authored by
Devin AI <158243242+devin-ai-integration[bot]@users.noreply.github.com>
parent
0187cb6bd7
commit
7d329a0591
@@ -0,0 +1,5 @@
|
||||
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
|
||||
|
@@ -0,0 +1,5 @@
|
||||
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
|
||||
|
@@ -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
|
||||
|
@@ -0,0 +1,51 @@
|
||||
{
|
||||
"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
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,21 @@
|
||||
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
|
||||
|
@@ -0,0 +1,21 @@
|
||||
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
|
||||
|
@@ -0,0 +1,21 @@
|
||||
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
|
||||
|
Reference in New Issue
Block a user