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8.03 kB
| { | |
| "trained_at": "2026-08-31T21:47:12.668453", | |
| "mode": "retrain", | |
| "train_end": "2021-02-15 00:00:00", | |
| "val_end": "2024-08-30 00:00:00", | |
| "feature_cols": [ | |
| "log_ret_1d", | |
| "log_ret_3d", | |
| "log_ret_5d", | |
| "log_ret_10d", | |
| "log_ret_20d", | |
| "log_ret_60d", | |
| "ret_1d", | |
| "ret_3d", | |
| "ret_5d", | |
| "ret_10d", | |
| "ret_20d", | |
| "ret_60d", | |
| "ret_120d", | |
| "close_sma20_ratio", | |
| "close_sma50_ratio", | |
| "close_sma200_ratio", | |
| "close_ema20_ratio", | |
| "high_20_position", | |
| "low_20_position", | |
| "close_to_52w_high", | |
| "close_to_52w_low", | |
| "position_in_20d_range", | |
| "roc_10", | |
| "roc_20", | |
| "roc_60", | |
| "momentum_10", | |
| "momentum_20", | |
| "ppo", | |
| "dist_sma20", | |
| "dist_sma50", | |
| "dist_sma200", | |
| "vol_10", | |
| "vol_20", | |
| "vol_60", | |
| "vol_ratio", | |
| "atr_14", | |
| "atr_percent", | |
| "parkinson_volatility", | |
| "adx_14", | |
| "di_plus", | |
| "di_minus", | |
| "aroon_up", | |
| "aroon_down", | |
| "rsi_14", | |
| "rsi_7", | |
| "cci_20", | |
| "stochastic_k", | |
| "macd", | |
| "macd_signal", | |
| "macd_histogram", | |
| "bb_width", | |
| "bb_position", | |
| "bb_squeeze", | |
| "intraday_range", | |
| "gap", | |
| "close_position", | |
| "volume_ratio", | |
| "mfi", | |
| "body_percent", | |
| "upper_shadow_percent", | |
| "lower_shadow_percent", | |
| "gap_up", | |
| "gap_down", | |
| "inside_day", | |
| "outside_day", | |
| "doji", | |
| "distance_from_52w_high", | |
| "distance_from_52w_low", | |
| "rolling_drawdown", | |
| "day_of_week", | |
| "month", | |
| "is_month_end", | |
| "nifty_log_ret_1d", | |
| "nifty_log_ret_5d", | |
| "nifty_log_ret_20d", | |
| "nifty_ret_1d", | |
| "nifty_ret_3d", | |
| "nifty_ret_5d", | |
| "nifty_ret_10d", | |
| "nifty_ret_20d", | |
| "nifty_ret_60d", | |
| "nifty_close_sma20_ratio", | |
| "nifty_close_sma50_ratio", | |
| "nifty_close_sma200_ratio", | |
| "nifty_close_ema20_ratio", | |
| "nifty_high_20_position", | |
| "nifty_low_20_position", | |
| "nifty_close_to_52w_high", | |
| "nifty_close_to_52w_low", | |
| "nifty_position_in_20d_range", | |
| "nifty_roc_10", | |
| "nifty_roc_20", | |
| "nifty_roc_60", | |
| "nifty_momentum_10", | |
| "nifty_momentum_20", | |
| "nifty_ppo", | |
| "nifty_dist_sma20", | |
| "nifty_dist_sma50", | |
| "nifty_dist_sma200", | |
| "nifty_vol_10", | |
| "nifty_vol_20", | |
| "nifty_vol_60", | |
| "nifty_rolling_volatility", | |
| "nifty_vol_ratio", | |
| "nifty_atr_14", | |
| "nifty_atr_percent", | |
| "nifty_parkinson_volatility", | |
| "nifty_adx_14", | |
| "nifty_di_plus", | |
| "nifty_di_minus", | |
| "nifty_aroon_up", | |
| "nifty_aroon_down", | |
| "nifty_rsi_14", | |
| "nifty_rsi_7", | |
| "nifty_cci_20", | |
| "nifty_stochastic_k", | |
| "nifty_macd", | |
| "nifty_macd_signal", | |
| "nifty_macd_histogram", | |
| "nifty_bb_width", | |
| "nifty_bb_position", | |
| "nifty_bb_squeeze", | |
| "nifty_intraday_range", | |
| "nifty_gap", | |
| "nifty_close_position", | |
| "nifty_volume_ratio", | |
| "nifty_mfi", | |
| "nifty_body_percent", | |
| "nifty_upper_shadow_percent", | |
| "nifty_lower_shadow_percent", | |
| "nifty_gap_up", | |
| "nifty_gap_down", | |
| "nifty_inside_day", | |
| "nifty_outside_day", | |
| "nifty_doji", | |
| "nifty_distance_from_52w_high", | |
| "nifty_distance_from_52w_low", | |
| "nifty_rolling_drawdown", | |
| "nifty_bull_market", | |
| "nifty_bear_market", | |
| "nifty_strong_trend", | |
| "nifty_positive_20d", | |
| "nifty_positive_60d", | |
| "close_1", | |
| "vix_return_1d", | |
| "vix_return_5d", | |
| "vix_return_20d", | |
| "vix_ma20", | |
| "vix_volatility", | |
| "vix_zscore", | |
| "vix_percentile", | |
| "high_vol_regime", | |
| "low_vol_regime", | |
| "extreme_fear", | |
| "extreme_calm", | |
| "gold_ret_1d", | |
| "gold_ret_5d", | |
| "gold_ret_20d", | |
| "gold_sma20_ratio", | |
| "gold_sma200_ratio", | |
| "gold_momentum_10", | |
| "gold_momentum_20", | |
| "gold_volatility_20d", | |
| "gold_trend", | |
| "gold_zscore", | |
| "gold_vol_zscore", | |
| "gold_high_vol", | |
| "brent_ret_1d", | |
| "brent_ret_5d", | |
| "brent_ret_20d", | |
| "brent_sma20_ratio", | |
| "brent_sma200_ratio", | |
| "brent_momentum_10", | |
| "brent_momentum_20", | |
| "brent_volatility_20d", | |
| "brent_trend", | |
| "brent_zscore", | |
| "brent_vol_zscore", | |
| "brent_high_vol", | |
| "brent_spike", | |
| "usd_inr_ret_1d", | |
| "usd_inr_ret_5d", | |
| "usd_inr_ret_20d", | |
| "usd_inr_sma20_ratio", | |
| "usd_inr_sma200_ratio", | |
| "usd_inr_momentum_10", | |
| "usd_inr_momentum_20", | |
| "usd_inr_volatility_20d", | |
| "usd_inr_trend", | |
| "usd_inr_zscore", | |
| "usd_inr_vol_zscore", | |
| "usd_inr_high_vol", | |
| "usd_inr_appreciation", | |
| "us_ret_1d", | |
| "us_ret_5d", | |
| "us_ret_20d", | |
| "us_ret_60d", | |
| "us_breadth_1d", | |
| "us_breadth_5d", | |
| "us_breadth_20d", | |
| "us_dispersion_1d", | |
| "us_dispersion_5d", | |
| "us_avg_vol_ratio", | |
| "us_pct_above_sma20", | |
| "us_avg_rsi", | |
| "us_avg_dist_52w_high", | |
| "corr_nifty_20d", | |
| "corr_nifty_60d", | |
| "beta_nifty_60d", | |
| "is_high_beta", | |
| "is_low_beta", | |
| "corr_breakdown", | |
| "rel_strength_5d", | |
| "rel_strength_20d", | |
| "corr_gold_60d", | |
| "corr_gold_rising", | |
| "corr_brent_60d", | |
| "corr_brent_rising", | |
| "corr_usd_inr_60d", | |
| "corr_usd_inr_rising", | |
| "corr_us_60d" | |
| ], | |
| "total_features": 221, | |
| "best_iteration": 3997, | |
| "params": { | |
| "objective": "binary:logistic", | |
| "eval_metric": "aucpr", | |
| "tree_method": "hist", | |
| "device": "cuda", | |
| "learning_rate": 0.02, | |
| "max_depth": 6, | |
| "subsample": 0.75, | |
| "colsample_bytree": 0.75, | |
| "min_child_weight": 20, | |
| "gamma": 0.1, | |
| "reg_alpha": 0.1, | |
| "reg_lambda": 1.0, | |
| "seed": 42, | |
| "max_bin": 256, | |
| "n_estimators": 2000 | |
| }, | |
| "metrics": { | |
| "val": { | |
| "pr_auc": 0.9057, | |
| "roc_auc": 0.9483, | |
| "precision": 0.7986, | |
| "recall": 0.8392, | |
| "ic": 0.7157, | |
| "n_rows": 1698058, | |
| "pos_rate": 0.3062, | |
| "brier_score": 0.0826, | |
| "brier_skill_score": 0.6111000180244446, | |
| "mean_calib_error": 0.0762, | |
| "no_skill_brier": 0.21240000426769257, | |
| "calibration_curve": { | |
| "fraction_of_positives": [ | |
| 0.015779467411075682, | |
| 0.07671108983055357, | |
| 0.15078580968585908, | |
| 0.23667387883556254, | |
| 0.3295694713350379, | |
| 0.42595149526485926, | |
| 0.543595960938019, | |
| 0.6749322144296166, | |
| 0.8131654264453348, | |
| 0.9650812608049778 | |
| ], | |
| "mean_predicted_prob": [ | |
| 0.03340478360403575, | |
| 0.14400638597272322, | |
| 0.24688376185590064, | |
| 0.3481387070645406, | |
| 0.448730884801626, | |
| 0.5494422095864626, | |
| 0.6502792614663169, | |
| 0.7511226650320277, | |
| 0.8533122824128178, | |
| 0.9684477682501428 | |
| ] | |
| } | |
| }, | |
| "test_wf": { | |
| "folds": [ | |
| { | |
| "fold": 1, | |
| "start": "2024-09-01", | |
| "end": "2025-02-28", | |
| "pr_auc": 0.9341, | |
| "ic": 0.7625, | |
| "brier": 0.0846, | |
| "n_rows": 262062, | |
| "pos_rate": 0.386 | |
| }, | |
| { | |
| "fold": 2, | |
| "start": "2025-03-01", | |
| "end": "2025-08-31", | |
| "pr_auc": 0.8991, | |
| "ic": 0.7051, | |
| "brier": 0.0828, | |
| "n_rows": 266786, | |
| "pos_rate": 0.3005 | |
| }, | |
| { | |
| "fold": 3, | |
| "start": "2025-09-01", | |
| "end": "2026-02-28", | |
| "pr_auc": 0.8936, | |
| "ic": 0.7022, | |
| "brier": 0.0838, | |
| "n_rows": 282585, | |
| "pos_rate": 0.3007 | |
| }, | |
| { | |
| "fold": 4, | |
| "start": "2026-03-01", | |
| "end": "2026-06-30", | |
| "pr_auc": 0.8985, | |
| "ic": 0.7182, | |
| "brier": 0.0915, | |
| "n_rows": 180837, | |
| "pos_rate": 0.3352 | |
| } | |
| ], | |
| "mean_pr_auc": 0.9063, | |
| "mean_ic": 0.722, | |
| "mean_brier": 0.0857 | |
| } | |
| }, | |
| "class_balance": { | |
| "total": 4231195, | |
| "positive": 1701894, | |
| "negative": 2529301, | |
| "pos_rate": 0.4022, | |
| "neg_rate": 0.5978, | |
| "spw": 1.4862 | |
| }, | |
| "dataset": "/run/media/lucifer/developer/Developer/stock_model/Dataset/Processed_dataset/labeled_dataset_ml/ml_training_dataset_3.0pct_5days.parquet", | |
| "run_dir": "/run/media/lucifer/developer/Developer/stock_model/models/runs/20260831_193442" | |
| } |