openclaw/quant-factor-research
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

initial import: etf strategy project

Browse Source
This commit is contained in:
openclaw
2026-03-13 17:10:49 +08:00
commit 79ea983ca3
123 changed files with 6398 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files

678
data/opt_state.json Normal file
View File

@@ -0,0 +1,678 @@
{
"best": {
"ann_return": 0.29919773587636556,
"ann_vol": 0.2580085666560993,
"max_drawdown": -0.19941147939677484,
"sharpe": 1.1596426419250159,
"trades_per_year": 71.16666666666667,
"max_positions": 3,
"desired_positions_min": 1,
"desired_positions_max": 3,
"rebalance_every": 1,
"replace_score_gap": 0.5,
"max_replaces_per_day": 1,
"sma_fast": 3,
"sma_slow": 30,
"atr_window": 14,
"atr_mult": 2.8,
"profit_tighten_atr": 4.0,
"atr_mult_profit": 1.5,
"stop_loss_atr": 3.6,
"macro_min_breadth": 0.15,
"macro_down_frac": 0.85,
"macro_scale_risk_off": 0.0,
"bias_window": 20,
"bias_exit": 0.25,
"vol_short": 5,
"vol_long": 20,
"vol_ratio_exit": 3.0,
"min_score": 0.0,
"score_vol_denom_floor": 0.02,
"trend_strength_weight": 0.6,
"w_r5": 0.25,
"w_r20": 0.45,
"w_r60": 0.2,
"w_r120": 0.1,
"min_history_days": 120,
"cooldown_days": 5,
"min_hold_days": 3,
"lazy_days": 8,
"rebalance_band": 0.06,
"vol_window": 20,
"max_weight_per_asset": 0.9,
"concentration_power": 2.2,
"port_vol_window": 60,
"target_ann_vol": 0.25,
"new_asset_days": 30,
"new_asset_max_w": 0.2,
"trial": 12,
"seed": 1772857400
},
"last_reported_ann_return": 0.26174076561443793,
"history": [
{
"start": "20200101",
"end": "20251231",
"trials": 60,
"best_ann_return": 0.11864826513365356
},
{
"start": "20220101",
"end": "20251231",
"trials": 10,
"best_ann_return": 0.11864826513365356
},
{
"start": "20220101",
"end": "20251231",
"trials": 20,
"best_ann_return": 0.14307179229636358
},
{
"start": "20220101",
"end": "20251231",
"trials": 120,
"best_ann_return": 0.14307179229636358
},
{
"start": "20220101",
"end": "20251231",
"trials": 120,
"best_ann_return": 0.14307179229636358
},
{
"start": "20220101",
"end": "20251231",
"trials": 40,
"best_ann_return": 0.14307179229636358
},
{
"start": "20200101",
"end": "20251231",
"trials": 40,
"best_ann_return": 0.14307179229636358
},
{
"timestamp": "2026-03-05T13:27:54.064975+00:00",
"config": "configs/etf_universe_industry_only.json",
"start": "20200101",
"end": "20251231",
"trials": 240,
"jobs": 8,
"best_ann_return": 0.26174076561443793
},
{
"timestamp": "2026-03-06T01:04:17.263332+00:00",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 480,
"jobs": 8,
"best_ann_return": 0.2903126188408862
},
{
"timestamp": "2026-03-06T02:18:52.288087+00:00",
"run_id": "20260306T020054Z_seed7",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 240,
"jobs": 8,
"best_ann_return": 0.2903126188408862,
"db": "data/experiments.sqlite"
},
{
"timestamp": "2026-03-06T09:09:11.754945+00:00",
"run_id": "20260306T085114Z_seed20260306",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 100000,
"jobs": 8,
"best_ann_return": 0.2903126188408862,
"db": "data/experiments.sqlite"
},
{
"timestamp": "2026-03-07T02:20:53.525889+00:00",
"run_id": "20260307T021714Z_seed1772849832",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.2903126188408862,
"db": "data/experiments.sqlite"
},
{
"timestamp": "2026-03-07T03:15:34.452214+00:00",
"run_id": "20260307T025817Z_bestlocal_seed1772852295_stops",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.2941324263568994,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"stops"
]
},
{
"timestamp": "2026-03-07T03:59:43.476374+00:00",
"run_id": "20260307T034217Z_bestlocal_seed1772854935_stops",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.2941324263568994,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"stops"
]
},
{
"timestamp": "2026-03-07T04:19:16.669791+00:00",
"run_id": "20260307T040158Z_bestlocal_seed1772856116_churn",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.2941324263568994,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"churn"
]
},
{
"timestamp": "2026-03-07T04:40:34.441399+00:00",
"run_id": "20260307T042322Z_bestlocal_seed1772857400_macro",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"macro"
]
},
{
"timestamp": "2026-03-07T05:20:53.615457+00:00",
"run_id": "20260307T050352Z_bestlocal_seed1772859830_macro",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"macro"
]
},
{
"timestamp": "2026-03-07T07:49:16.151072+00:00",
"run_id": "20260307T073200Z_bestlocal_seed1772868718_macro",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"macro"
]
},
{
"timestamp": "2026-03-07T08:53:25.642488+00:00",
"run_id": "20260307T083612Z_bestlocal_seed1772872570_stops",
"code_version": "nogit",
"config": "/home/openclaw/projects/quant-factor-research/configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "/home/openclaw/projects/quant-factor-research/data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"stops"
]
},
{
"timestamp": "2026-03-07T09:13:42.148802+00:00",
"run_id": "20260307T085632Z_bestlocal_seed1772873790_stops",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"stops"
]
},
{
"timestamp": "2026-03-07T09:35:15.356660+00:00",
"run_id": "20260307T091729Z_bestlocal_seed1772875047_score",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"score"
]
},
{
"timestamp": "2026-03-07T09:59:47.627321+00:00",
"run_id": "20260307T094156Z_bestlocal_seed1772876514_score",
"code_version": "nogit",
"config": "/home/openclaw/projects/quant-factor-research/configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "/home/openclaw/projects/quant-factor-research/data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"score"
]
},
{
"timestamp": "2026-03-07T10:25:19.359544+00:00",
"run_id": "20260307T100722Z_bestlocal_seed1772878040_switches",
"code_version": "nogit",
"config": "/home/openclaw/projects/quant-factor-research/configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "/home/openclaw/projects/quant-factor-research/data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"switches"
]
},
{
"timestamp": "2026-03-07T10:58:27.176353+00:00",
"run_id": "20260307T104037Z_bestlocal_seed1772880035_positions",
"code_version": "nogit",
"config": "/home/openclaw/projects/quant-factor-research/configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "/home/openclaw/projects/quant-factor-research/data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"positions"
]
},
{
"timestamp": "2026-03-07T13:25:50.785672+00:00",
"run_id": "20260307T130802Z_bestlocal_seed1772888881_stops",
"code_version": "nogit",
"config": "/home/openclaw/projects/quant-factor-research/configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "/home/openclaw/projects/quant-factor-research/data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"stops"
]
},
{
"timestamp": "2026-03-08T00:23:31.144317+00:00",
"run_id": "20260308T000519Z_bestlocal_seed1772928317_exits",
"code_version": "nogit",
"config": "/home/openclaw/projects/quant-factor-research/configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "/home/openclaw/projects/quant-factor-research/data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"exits"
]
},
{
"timestamp": "2026-03-08T00:38:33.229561+00:00",
"run_id": "20260308T003740Z_bestlocal_seed1772930258_macro",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 1,
"jobs": 1,
"best_ann_return": 0.29919773587636556,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"macro"
]
},
{
"timestamp": "2026-03-08T01:01:47.797863+00:00",
"run_id": "20260308T004337Z_bestlocal_seed1772930615_exits",
"code_version": "nogit",
"config": "/home/openclaw/projects/quant-factor-research/configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "/home/openclaw/projects/quant-factor-research/data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"exits"
]
},
{
"timestamp": "2026-03-08T01:19:15.300848+00:00",
"run_id": "20260308T011822Z_bestlocal_seed1772932700_macro",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 1,
"jobs": 1,
"best_ann_return": 0.29919773587636556,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"macro"
]
},
{
"timestamp": "2026-03-08T01:37:54.016182+00:00",
"run_id": "20260308T011935Z_bestlocal_seed1772932773_exits",
"code_version": "nogit",
"config": "/home/openclaw/projects/quant-factor-research/configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "/home/openclaw/projects/quant-factor-research/data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"exits"
]
},
{
"timestamp": "2026-03-08T02:58:41.399930+00:00",
"run_id": "20260308T024027Z_bestlocal_seed1772937625_exits",
"code_version": "nogit",
"config": "/home/openclaw/projects/quant-factor-research/configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "/home/openclaw/projects/quant-factor-research/data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"exits"
]
},
{
"timestamp": "2026-03-08T10:23:23.738860+00:00",
"run_id": "20260308T100515Z_bestlocal_seed1772964314_switches",
"code_version": "nogit",
"config": "/home/openclaw/projects/quant-factor-research/configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "/home/openclaw/projects/quant-factor-research/data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"switches"
]
},
{
"timestamp": "2026-03-08T11:18:06.874222+00:00",
"run_id": "20260308T110022Z_bestlocal_seed1772967620_switches2",
"code_version": "nogit",
"config": "/home/openclaw/projects/quant-factor-research/configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "/home/openclaw/projects/quant-factor-research/data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"switches2"
]
},
{
"timestamp": "2026-03-08T12:22:32.264081+00:00",
"run_id": "20260308T120437Z_bestlocal_seed1772971475_signal1",
"code_version": "nogit",
"config": "/home/openclaw/projects/quant-factor-research/configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "/home/openclaw/projects/quant-factor-research/data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"signal1"
]
},
{
"timestamp": "2026-03-08T13:10:31.892686+00:00",
"run_id": "20260308T125232Z_bestlocal_seed1772974350_orth_ma",
"code_version": "nogit",
"config": "/home/openclaw/projects/quant-factor-research/configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "/home/openclaw/projects/quant-factor-research/data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"orth_ma"
]
},
{
"timestamp": "2026-03-08T13:30:15.331445+00:00",
"run_id": "20260308T131211Z_bestlocal_seed1772975529_orth_weights",
"code_version": "nogit",
"config": "/home/openclaw/projects/quant-factor-research/configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "/home/openclaw/projects/quant-factor-research/data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"orth_weights"
]
},
{
"timestamp": "2026-03-08T13:51:18.164438+00:00",
"run_id": "20260308T133320Z_bestlocal_seed1772976798_orth_mech",
"code_version": "nogit",
"config": "/home/openclaw/projects/quant-factor-research/configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "/home/openclaw/projects/quant-factor-research/data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"orth_mech"
]
},
{
"timestamp": "2026-03-08T14:19:04.111061+00:00",
"run_id": "20260308T140111Z_bestlocal_seed1772978469_asym_fast",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"asym_fast"
]
},
{
"timestamp": "2026-03-09T01:44:48.718246+00:00",
"run_id": "20260309T012652Z_bestlocal_seed1773019610_asym_fast",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"asym_fast"
]
},
{
"timestamp": "2026-03-09T02:04:28.023489+00:00",
"run_id": "20260309T014623Z_bestlocal_seed1773020781_asym_fast",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"asym_fast"
]
},
{
"timestamp": "2026-03-09T05:59:47.135954+00:00",
"run_id": "20260309T054128Z_bestlocal_seed1773034886_macro",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"macro"
]
},
{
"timestamp": "2026-03-09T06:51:14.103824+00:00",
"run_id": "20260309T063300Z_bestlocal_seed3511452665_macro",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"macro"
]
},
{
"timestamp": "2026-03-09T07:41:55.288441+00:00",
"run_id": "20260309T072400Z_bestlocal_seed3514512955_macro",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"macro"
]
},
{
"timestamp": "2026-03-09T08:11:58.360040+00:00",
"run_id": "20260309T075340Z_bestlocal_seed3516292556_exits",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"exits"
]
},
{
"timestamp": "2026-03-09T08:33:46.207270+00:00",
"run_id": "20260309T081519Z_bestlocal_seed3517591585_exits",
"code_version": "nogit",
"config": "configs/etf_universe_industry_profiled.json",
"start": "20200101",
"end": "20251231",
"trials": 20,
"jobs": 6,
"best_ann_return": 0.29919773587636556,
"db": "data/experiments.sqlite",
"base_from": "opt_state.best",
"tweaks": [
"exits"
]
}
]
}