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
1.9 KiB
JSON
78 lines
1.9 KiB
JSON
[
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{
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"symbol": "XAUUSD",
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"timeframe": "5m",
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"start_date": "2025-01-01 17:00:00",
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"end_date": "2025-01-31 00:00:00",
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"initial_capital": 1000.0,
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"final_capital": 1031.8053404395994,
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"total_return": 31.805340439599377,
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"total_return_pct": 3.180534043959938,
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"total_trades": 18,
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"winning_trades": 8,
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"losing_trades": 10,
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"win_rate": 0.4444444444444444,
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"profit_factor": 1.1860477131618385,
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"max_drawdown_pct": 10.14960920699409,
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"sharpe_ratio": 0.06330869196329136,
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"avg_winner": 25.34474265608572,
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"avg_loser": 17.095260080908655
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},
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{
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"symbol": "XAUUSD",
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"timeframe": "15m",
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"start_date": "2025-01-01 17:00:00",
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"end_date": "2025-01-31 00:00:00",
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"initial_capital": 1000.0,
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"final_capital": 980.0,
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"total_return": -20.0,
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"total_return_pct": -2.0,
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"total_trades": 1,
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"winning_trades": 0,
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"losing_trades": 1,
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"win_rate": 0.0,
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"profit_factor": 0.0,
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"max_drawdown_pct": 2.0,
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"sharpe_ratio": 0,
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"avg_winner": 0,
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"avg_loser": 20.0
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},
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{
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"symbol": "EURUSD",
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"timeframe": "5m",
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"start_date": "",
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"end_date": "",
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"initial_capital": 1000.0,
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"final_capital": 1000.0,
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"total_return": 0,
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"total_return_pct": 0,
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"total_trades": 0,
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"winning_trades": 0,
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"losing_trades": 0,
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"win_rate": 0,
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"profit_factor": 0,
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"max_drawdown_pct": 0,
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"sharpe_ratio": 0,
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"avg_winner": 0,
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"avg_loser": 0
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},
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{
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"symbol": "EURUSD",
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"timeframe": "15m",
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"start_date": "",
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"end_date": "",
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"initial_capital": 1000.0,
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"final_capital": 1000.0,
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"total_return": 0,
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"total_return_pct": 0,
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"total_trades": 0,
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"winning_trades": 0,
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"losing_trades": 0,
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"win_rate": 0,
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"profit_factor": 0,
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"max_drawdown_pct": 0,
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"sharpe_ratio": 0,
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"avg_winner": 0,
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"avg_loser": 0
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}
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] |