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| { | |
| "scope": "Local historical research, one long next-open/close hypothesis; not executable trading or forward alpha.", | |
| "source": { | |
| "repo": "twelvedata/financial-world-model", | |
| "revision": "a13200d8cc7537a9096e0d8c54eccd17dde8721e", | |
| "sha256": { | |
| "train": "46fe4f338aa5a4d42d426851e8a830654358f9efa3f3bf588168a285e406c851", | |
| "val": "51aeca7ef0989d98b068bbfec689bde6436e15220b3ed452b517e379b699bbc1" | |
| }, | |
| "transform": "daily-next-session-v2" | |
| }, | |
| "rights": "Publisher MIT tag does not establish underlying vendor redistribution rights; raw files and checkpoints remain local.", | |
| "market_family": "equity", | |
| "forex": "Not evaluated: no accepted new executable Forex dataset.", | |
| "training_samples": 100000, | |
| "eligible_training_samples": 478650, | |
| "validation_samples": 12852, | |
| "asset_count": 51, | |
| "training_first_decision": "2016-03-09T23:00:00", | |
| "training_last_outcome": "2023-12-27T23:00:00", | |
| "validation_first_decision": "2023-12-29T23:00:00", | |
| "validation_last_outcome": "2024-12-31T23:00:00", | |
| "purge_and_embargo_days": 1, | |
| "round_trip_cost_bps": 10, | |
| "sample_weight": 0.15, | |
| "final_test_opened_by_experiment": false, | |
| "decision_authority": false, | |
| "runtime_ingestion_enabled": false, | |
| "baseline": { | |
| "samples": 12852, | |
| "brier_score": 0.24954474359579826, | |
| "mean_absolute_net_r_error": 0.46478058170009673 | |
| }, | |
| "candidates": { | |
| "persistent_online": { | |
| "samples": 12852, | |
| "brier_score": 0.24957224732523312, | |
| "mean_absolute_net_r_error": 0.46463015000924984, | |
| "brier_improvement_fraction": -0.00011021562321267424 | |
| }, | |
| "fixed_hist_gradient_boosting": { | |
| "samples": 12852, | |
| "brier_score": 0.2496717693770511, | |
| "mean_absolute_net_r_error": 0.4651600949998606, | |
| "brier_improvement_fraction": -0.0005090300818301101 | |
| } | |
| }, | |
| "throughput": { | |
| "batch_size": 500, | |
| "batches": 200, | |
| "new_samples": 100000, | |
| "online_training_seconds": 7.831159834011487, | |
| "median_batch_seconds": 0.038926792001802824, | |
| "repeated_batch_seconds": 0.007282124999619555, | |
| "repeated_batch_optimizer_updates": 0, | |
| "nonlinear_training_seconds": 1.440895667001314 | |
| }, | |
| "historical_prequential_subset": { | |
| "sample_size": 100000, | |
| "policy": "shadow_only", | |
| "prequential_samples": 94976, | |
| "overlap_samples_excluded": 5024, | |
| "brier_score": 0.2493247037288308, | |
| "mean_absolute_net_r_error": 0.4610006031807991, | |
| "evaluation_scope": "Causal historical test-before-update subset; not prospective trading evidence." | |
| }, | |
| "limitations": [ | |
| "Current large-cap universe/survivorship bias", | |
| "Restated prices and conservative availability assumption", | |
| "Observed past action windows excluded; future returns do not filter decisions; not a corporate-action audit", | |
| "Missing historical spreads/borrow/fills", | |
| "Page boundaries may conservatively reduce prequential coverage; frozen validation is separate" | |
| ], | |
| "duration_seconds": 34.738171207998676, | |
| "experiment_id": "2026-10-16-daily-research-v2-frozen-validation", | |
| "supersedes": "Exploratory v1 runs discarded after causal availability/eligibility fixes; not used for hyperparameter selection.", | |
| "runtime": { | |
| "python": "3.13.0", | |
| "system": "Darwin", | |
| "machine": "arm64", | |
| "packages": { | |
| "scikit-learn": "1.6.0", | |
| "numpy": "1.26.4", | |
| "pandas": "2.3.3", | |
| "polars": "1.43.0", | |
| "pyarrow": "24.0.0" | |
| } | |
| } | |
| } | |