rckrdmrd
75c4d07690
Hierarchical ML Pipeline for trading predictions:
- Level 0: Attention Models (volatility/flow classification)
- Level 1: Base Models (XGBoost per symbol/timeframe)
- Level 2: Metamodels (XGBoost Stacking + Neural Gating)
Key components:
- src/pipelines/hierarchical_pipeline.py - Main prediction pipeline
- src/models/ - All ML model classes
- src/training/ - Training utilities
- src/api/ - FastAPI endpoints
- scripts/ - Training and evaluation scripts
- config/ - YAML configurations
Note: Trained models (*.joblib, *.pt) are gitignored.
Regenerate with training scripts.
Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
78 lines
2.0 KiB
JSON
78 lines
2.0 KiB
JSON
[
|
|
{
|
|
"symbol": "XAUUSD",
|
|
"timeframe": "5m",
|
|
"start_date": "2025-01-01 17:00:00",
|
|
"end_date": "2025-01-31 00:00:00",
|
|
"initial_capital": 1000.0,
|
|
"final_capital": 839.8976785023967,
|
|
"total_return": -160.10232149760327,
|
|
"total_return_pct": -16.010232149760327,
|
|
"total_trades": 33,
|
|
"winning_trades": 11,
|
|
"losing_trades": 22,
|
|
"win_rate": 0.3333333333333333,
|
|
"profit_factor": 0.5251008885108442,
|
|
"max_drawdown_pct": 17.40745316553044,
|
|
"sharpe_ratio": -0.3950991121744727,
|
|
"avg_winner": 16.0933456921599,
|
|
"avg_loser": 15.324051095971004
|
|
},
|
|
{
|
|
"symbol": "XAUUSD",
|
|
"timeframe": "15m",
|
|
"start_date": "2025-01-01 17:00:00",
|
|
"end_date": "2025-01-31 00:00:00",
|
|
"initial_capital": 1000.0,
|
|
"final_capital": 891.8116619993408,
|
|
"total_return": -108.1883380006592,
|
|
"total_return_pct": -10.81883380006592,
|
|
"total_trades": 39,
|
|
"winning_trades": 13,
|
|
"losing_trades": 26,
|
|
"win_rate": 0.3333333333333333,
|
|
"profit_factor": 0.7492043313394813,
|
|
"max_drawdown_pct": 15.167754710859857,
|
|
"sharpe_ratio": -0.21561419987187722,
|
|
"avg_winner": 24.860928501131237,
|
|
"avg_loser": 16.591554173667873
|
|
},
|
|
{
|
|
"symbol": "EURUSD",
|
|
"timeframe": "5m",
|
|
"start_date": "",
|
|
"end_date": "",
|
|
"initial_capital": 1000.0,
|
|
"final_capital": 1000.0,
|
|
"total_return": 0,
|
|
"total_return_pct": 0,
|
|
"total_trades": 0,
|
|
"winning_trades": 0,
|
|
"losing_trades": 0,
|
|
"win_rate": 0,
|
|
"profit_factor": 0,
|
|
"max_drawdown_pct": 0,
|
|
"sharpe_ratio": 0,
|
|
"avg_winner": 0,
|
|
"avg_loser": 0
|
|
},
|
|
{
|
|
"symbol": "EURUSD",
|
|
"timeframe": "15m",
|
|
"start_date": "",
|
|
"end_date": "",
|
|
"initial_capital": 1000.0,
|
|
"final_capital": 1000.0,
|
|
"total_return": 0,
|
|
"total_return_pct": 0,
|
|
"total_trades": 0,
|
|
"winning_trades": 0,
|
|
"losing_trades": 0,
|
|
"win_rate": 0,
|
|
"profit_factor": 0,
|
|
"max_drawdown_pct": 0,
|
|
"sharpe_ratio": 0,
|
|
"avg_winner": 0,
|
|
"avg_loser": 0
|
|
}
|
|
] |