Valid
Score 0.8869
Calmar 0.9566
R² 0.9271
CAGR 0.5264
MDD -55.03%
Experiment
smoke_tp15_sl10_h10_r2 #2
100K
close t 기준으로 신호를 만들고, threshold를 넘은 종목만 다음 거래일 시가에 진입합니다.
한 번 산 포지션은 새 매수 시그널이 없어도 유지되며, TP·SL·최대 보유기간 중 하나에 도달할 때만 청산합니다.
현재 기본 포트폴리오 가정은 동시 최대 5종목, 살아 있는 포지션 기준 일일 equal-weight active book입니다.
모델 재학습은 monthly walk-forward이며, step은 1개월이고 학습 구간은 고정 길이 fixed window가 아니라 과거 전체를 누적하는 expanding window입니다.
Test
Score -0.1409
Calmar -0.4764
R² 0.2958
CAGR -0.2062
MDD -43.28%
Equity
2025-01-02 ~ 2026-03-12
Min 68,835 2026-03-11
Avg 98,723
Max 121,354 2025-05-12
Drawdown
2025-01-02 ~ 2026-03-12
Min -43.28% 2026-03-11
Avg -16.58%
Max 0.00% 2025-01-02
Active Positions
2025-01-02 ~ 2026-03-12
Min 0 2025-01-02
Avg 0
Max 3 2025-04-07
TEST Summary
| Label | Score | Calmar | R² | CAGR | MDD | 6M+ | 12M+ | Min 6M | Min 12M | Sharpe | K | UPI | Trades |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Strategy | -0.1409 | -0.4764 | 0.2958 | -0.2062 | -0.4328 | 0.4444 | 0.0000 |
-0.3852
2025-08-06 ~ 2026-02-04
|
-0.2737
2025-01-02 ~ 2026-01-05
|
-0.4586 | -11.1512 | -0.9515 | 27 |
| SOXL | 0.5143 | 0.8715 | 0.5902 | 0.6663 | -0.7646 | 0.7778 | 1.0000 |
-0.0919
2025-01-02 ~ 2025-07-07
|
0.7905
2025-01-02 ~ 2026-01-05
|
0.5717 | 20.6468 | 0.0209 | - |
| TQQQ | 0.1527 | 0.2948 | 0.5180 | 0.1675 | -0.5684 | 1.0000 | 1.0000 |
0.0415
2025-09-05 ~ 2026-03-06
|
0.2431
2025-02-04 ~ 2026-02-04
|
0.2507 | 17.8348 | 0.0089 | - |
Grid Candidates
| Context | H | TP | SL | Valid Score | Valid Trades | Test Trades |
|---|---|---|---|---|---|---|
| own_plus_global | 10 | 15.00% | 10.00% | 0.8864 | 200 | 27 |
| own_plus_global_macro | 10 | 15.00% | 10.00% | 0.4942 | 433 | 47 |
| own_only | 10 | 15.00% | 10.00% | 0.3731 | 294 | 19 |
| own_plus_all_context | 10 | 15.00% | 10.00% | 0.3731 | 294 | 19 |
| own_plus_global_macro_ffcore | 10 | 15.00% | 10.00% | 0.1715 | 251 | 10 |
| own_plus_global_macro_ffcore_sentiment_calendar | 10 | 15.00% | 10.00% | -0.0777 | 254 | 10 |
TEST Aggregated Score Calibration
이 표는 리더보드 실험에서 실제로 사용된 종목별 score를 합친 집계 calibration 입니다. ticker-level 모델 calibration 은 Research 상세에서 확인합니다.
| Bin | Pred | Actual | Rows |
|---|---|---|---|
| (-0.001, 0.1] | 0.0529 | 0.1524 | 6,648 |
| (0.1, 0.2] | 0.1282 | 0.3029 | 1,654 |
| (0.2, 0.3] | 0.2199 | 0.3958 | 48 |
| (0.3, 0.4] | 0.3088 | 0.5000 | 2 |
| (0.4, 0.5] | - | - | 0 |
| (0.5, 0.6] | - | - | 0 |
| (0.6, 0.7] | - | - | 0 |
| (0.7, 0.8] | - | - | 0 |
| (0.8, 0.9] | - | - | 0 |
| (0.9, 1.0] | - | - | 0 |
TEST Ticker Contribution
| Ticker | Net Sum | Mean Net | Trades |
|---|---|---|---|
| UPRO | 29.64% | 14.82% | 2 |
| LABU | 22.66% | 3.24% | 7 |
| YINN | 19.46% | 6.49% | 3 |
| SPXL | 14.82% | 14.82% | 1 |
| TQQQ | 14.82% | 14.82% | 1 |
| SOXS | 9.25% | 3.08% | 3 |
| SRTY | -10.18% | -10.18% | 1 |
| TECL | -10.18% | -10.18% | 1 |
| LABD | -50.78% | -6.35% | 8 |
Ticker Applied Settings
| Ticker | Model | Context | WF | Step | Window | Train Window | Train Rows | Apply Months | Variants |
|---|---|---|---|---|---|---|---|---|---|
| UDOW | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| TMF | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| UPRO | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| SPXL | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| SDOW | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| TMV | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| EDC | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| SPXU | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| SPXS | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| DFEN | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 1426.0900 | 75 | 3 |
| FAZ | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| FAS | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| KORU | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| TECS | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| SQQQ | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| TQQQ | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| TNA | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| SRTY | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| TZA | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| TECL | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| YINN | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| HIBS | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 917.8250 | 63 | 3 |
| YANG | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
| LABU | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 1913.0900 | 75 | 3 |
| SOXS | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 1660.0900 | 75 | 3 |
| DPST | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 1854.0900 | 75 | 3 |
| LABD | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 1913.0900 | 75 | 3 |
| NAIL | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 1855.0900 | 75 | 3 |
| SOXL | logistic_regression_gd_mean_ensemble | own_plus_global | monthly_walk_forward | 1 month | expanding | all history before each apply month | 2101.0900 | 75 | 3 |
TEST Recent Trades
| Ticker | Signal | Entry | Exit | Score | Entry $ | Net | Net PnL $ | Reason |
|---|---|---|---|---|---|---|---|---|
| SOXS | 2026-03-09 | 2026-03-10 | 2026-03-12 | 0.2529 | $36,703 | 4.61% | $1,694 | max_holding_horizon |
| SOXS | 2026-03-06 | 2026-03-09 | 2026-03-09 | 0.2062 | $40,195 | -10.18% | -$4,092 | stop_loss |
| SOXS | 2026-03-04 | 2026-03-05 | 2026-03-06 | 0.2031 | $36,413 | 14.82% | $5,396 | take_profit |
| LABD | 2026-03-03 | 2026-03-04 | 2026-03-10 | 0.2158 | $76,008 | -10.18% | -$7,738 | stop_loss |
| LABU | 2026-02-05 | 2026-02-06 | 2026-02-20 | 0.3093 | $73,714 | 3.12% | $2,298 | max_holding_horizon |
| LABU | 2026-02-02 | 2026-02-03 | 2026-02-05 | 0.2300 | $35,941 | -10.18% | -$3,659 | stop_loss |
| LABD | 2026-01-23 | 2026-01-26 | 2026-02-05 | 0.2149 | $72,626 | 14.82% | $10,763 | take_profit |
| LABU | 2025-12-31 | 2026-01-02 | 2026-01-05 | 0.2078 | $80,849 | -10.18% | -$8,230 | stop_loss |
| LABD | 2025-11-05 | 2025-11-06 | 2025-11-11 | 0.2083 | $90,001 | -10.18% | -$9,162 | stop_loss |
| LABD | 2025-10-15 | 2025-10-16 | 2025-10-29 | 0.2056 | $94,246 | -4.52% | -$4,258 | max_holding_horizon |
| LABD | 2025-10-13 | 2025-10-14 | 2025-10-15 | 0.2012 | $104,916 | -10.18% | -$10,680 | stop_loss |
| LABD | 2025-10-01 | 2025-10-02 | 2025-10-08 | 0.2336 | $116,792 | -10.18% | -$11,889 | stop_loss |
| LABD | 2025-05-14 | 2025-05-15 | 2025-05-16 | 0.2030 | $53,604 | -10.18% | -$5,457 | stop_loss |
| LABU | 2025-05-06 | 2025-05-07 | 2025-05-20 | 0.2105 | $113,881 | 13.53% | $15,405 | max_holding_horizon |
| SRTY | 2025-04-16 | 2025-04-17 | 2025-04-23 | 0.2169 | $36,890 | -10.18% | -$3,755 | stop_loss |
| YINN | 2025-04-11 | 2025-04-14 | 2025-04-21 | 0.2023 | $58,994 | -10.18% | -$6,006 | stop_loss |
| LABU | 2025-04-11 | 2025-04-14 | 2025-04-23 | 0.2070 | $58,994 | 14.82% | $8,743 | take_profit |
| UPRO | 2025-04-08 | 2025-04-09 | 2025-04-09 | 0.2000 | $33,122 | 14.82% | $4,909 | take_profit |
| LABU | 2025-04-08 | 2025-04-09 | 2025-04-09 | 0.2348 | $33,122 | 14.82% | $4,909 | take_profit |
| YINN | 2025-04-08 | 2025-04-09 | 2025-04-11 | 0.2568 | $33,122 | 14.82% | $4,909 | take_profit |
| UPRO | 2025-04-04 | 2025-04-07 | 2025-04-07 | 0.2057 | $28,847 | 14.82% | $4,275 | take_profit |
| TQQQ | 2025-04-04 | 2025-04-07 | 2025-04-07 | 0.2154 | $28,847 | 14.82% | $4,275 | take_profit |
| SPXL | 2025-04-04 | 2025-04-07 | 2025-04-07 | 0.2179 | $28,847 | 14.82% | $4,275 | take_profit |
| TECL | 2025-04-03 | 2025-04-04 | 2025-04-04 | 0.2066 | $96,350 | -10.18% | -$9,808 | stop_loss |
| YINN | 2025-02-28 | 2025-03-03 | 2025-03-06 | 0.2149 | $48,336 | 14.82% | $7,163 | take_profit |
| LABU | 2025-02-27 | 2025-02-28 | 2025-03-13 | 0.2052 | $89,842 | -3.27% | -$2,935 | max_holding_horizon |
| LABD | 2025-01-13 | 2025-01-14 | 2025-01-23 | 0.2448 | $100,000 | -10.18% | -$10,180 | stop_loss |