gosongpa-3x

Phase2 STAGE2

SPXL

ticker별 후보를 Stage 2 기준으로 나열합니다. winner가 있으면 가장 위에 표시됩니다.

Current Winner

Model logistic_regression_gd

Context own_plus_global_macro_ffcore

Own trend_volatility_core

Underlying underlying_trend_core

Label upmove_h10_abs10

WF fixed504_monthly

Prep winsorize_p02_p98

Quality

Valid Top10 p 0.5748

Valid Top10 n 126

Valid Top10 y1 77

Valid Top10 y1/n 61.11%

Valid AUROC 0.7436

Valid Precision 57.09%

Valid Recall 44.22%

Valid F1 49.84%

Valid Brier 0.1747

Valid BSS 0.1239

Test @ Valid Top10 n 28

Test @ Valid Top10 y1 16

Test @ Valid Top10 y1/n 57.14%

Test AUROC 0.8238

Test Precision 44.19%

Test Recall 48.72%

Test F1 46.34%

Test Brier 0.1262

Test BSS -0.0776

BSS Decay -0.2014

Winner Model Context Own Underlying Label WF Prep Valid Top10 p Valid Top10 n Valid Top10 y1 Valid Top10 y1/n Valid AUC Valid P Valid R Valid F1 Valid Brier Valid BSS Test @VTop10 n Test @VTop10 y1 Test @VTop10 y1/n Test AUC Test P Test R Test F1 Test Brier Test BSS BSS Decay LL Decay Top10 Decay
- logistic_regression_gd own_plus_global_macro_ffcore trend_volatility_core underlying_trend_core upmove_h10_abs10 fixed504_monthly winsorize_p02_p98 0.5748 126 77 61.11% 0.7436 57.09% 44.22% 49.84% 0.1747 0.1239 28 16 57.14% 0.8238 44.19% 48.72% 46.34% 0.1262 -0.0776 -0.2014 -0.1206 -0.0397
- logistic_regression_gd own_plus_global_macro_ffcore trend_volatility_core underlying_trend_core upmove_h5_abs5 fixed504_monthly winsorize_p02_p98 0.6420 126 90 71.43% 0.6886 60.14% 50.40% 54.84% 0.2161 0.0975 30 18 60.00% 0.7507 54.05% 48.19% 50.96% 0.1952 0.0386 -0.0589 -0.0455 -0.1143
- logistic_regression_gd own_plus_global_macro_ffcore trend_volatility_core underlying_trend_core upmove_h5_abs5 fixed252_monthly winsorize_p02_p98 0.6520 126 85 67.46% 0.6716 59.25% 47.40% 52.67% 0.2210 0.0772 23 15 65.22% 0.7385 52.17% 43.37% 47.37% 0.1968 0.0306 -0.0465 -0.0566 -0.0224
- logistic_regression_gd own_plus_global_macro_ffcore trend_volatility_core underlying_trend_core upmove_h5_abs5 expanding_monthly winsorize_p02_p98 0.6182 126 90 71.43% 0.6675 58.66% 50.80% 54.45% 0.2259 0.0568 27 21 77.78% 0.8040 62.16% 55.42% 58.60% 0.1855 0.0866 0.0297 -0.0867 0.0635
- logistic_regression_gd own_plus_global_macro_ffcore trend_volatility_core underlying_trend_core upmove_h10_abs10 fixed252_monthly winsorize_p02_p98 0.6022 126 68 53.97% 0.7089 48.33% 41.91% 44.89% 0.1885 0.0547 29 7 24.14% 0.7255 28.00% 35.90% 31.46% 0.1588 -0.3560 -0.4107 -0.0770 -0.2983
- logistic_regression_gd own_plus_global_macro_ffcore trend_volatility_core underlying_trend_core upmove_h10_abs10 expanding_monthly winsorize_p02_p98 0.5413 126 78 61.90% 0.6798 55.38% 31.21% 39.93% 0.1959 0.0174 31 19 61.29% 0.8268 48.84% 53.85% 51.22% 0.1284 -0.0964 -0.1137 -0.1601 -0.0061
- logistic_regression_gd own_plus_global_macro_ffcore trend_volatility_core underlying_trend_core barrier_h10_tp15_sl10 fixed252_monthly winsorize_p02_p98 0.4668 126 49 38.89% 0.8088 42.27% 31.06% 35.81% 0.0952 -0.0133 66 14 21.21% 0.8471 17.95% 38.89% 24.56% 0.1024 -0.7476 -0.7343 0.0236 -0.1768
- logistic_regression_gd own_plus_global_macro_ffcore trend_volatility_core underlying_trend_core barrier_h10_tp15_sl10 fixed504_monthly winsorize_p02_p98 0.4500 126 32 25.40% 0.7658 27.27% 18.18% 21.82% 0.1013 -0.0784 26 8 30.77% 0.9078 36.36% 44.44% 40.00% 0.0840 -0.4331 -0.3546 -0.0329 0.0537
- logistic_regression_gd own_plus_global_macro_ffcore trend_volatility_core underlying_trend_core barrier_h10_tp15_sl10 expanding_monthly winsorize_p02_p98 0.4291 126 41 32.54% 0.6807 35.23% 23.48% 28.18% 0.1136 -0.2097 10 5 50.00% 0.8891 60.00% 16.67% 26.09% 0.0513 0.1244 0.3340 -0.1880 0.1746