4647c596b3
Train GradientBoostedClassifier on 2,601 days of historical data (2018-2025) to find optimal metric weights for identifying the best long-term buying opportunities. Uses time-series cross-validation to prevent look-ahead bias. Key results: - pct_above_200w_sma: 50.7% weight (was 11.1% equal) - drawdown: 14.6%, lth_rp: 10.9%, rhodl: 8.9% - fear_greed demoted from 11.1% to 5.1% - nupl/mvrv nearly eliminated (0.7-1.8%) ML Strong Accumulation bracket: avg +210% 1yr (vs +176% classic) New files: ml/optimizer.py, config/ml_weights.json Modified: scoring/engine.py (score_all_ml), backtesting/engine.py (ml_mode), dashboard/server.py (Classic/ML toggle) Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
159 lines
3.8 KiB
JSON
159 lines
3.8 KiB
JSON
{
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"weights": {
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"pct_above_200w_sma": 0.5075,
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"drawdown": 0.1459,
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"pct_above_lth_rp": 0.1095,
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"rhodl_ratio": 0.089,
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"fear_greed": 0.0515,
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"reserve_risk": 0.046,
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"puell_multiple": 0.0255,
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"mvrv_zscore": 0.0182,
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"nupl": 0.0068
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},
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"feature_importances": {
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"raw_pct_above_200w_sma": 0.436377,
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"days_since_ath": 0.119405,
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"raw_pct_above_lth_rp": 0.109451,
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"raw_rhodl_ratio": 0.088999,
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"score_pct_above_200w_sma": 0.071148,
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"raw_fear_greed": 0.051475,
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"puell_x_reserve": 0.032886,
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"raw_drawdown": 0.026474,
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"raw_reserve_risk": 0.021707,
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"raw_mvrv_zscore": 0.012429,
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"raw_puell_multiple": 0.008599,
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"delta_30d_reserve_risk": 0.007865,
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"delta_30d_mvrv_zscore": 0.004263,
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"raw_nupl": 0.003271,
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"mvrv_x_nupl": 0.002979,
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"delta_30d_nupl": 0.002056,
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"delta_30d_puell_multiple": 0.000473,
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"score_fear_greed": 6.8e-05,
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"score_mvrv_zscore": 5.4e-05,
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"score_puell_multiple": 1e-05,
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"score_pct_above_lth_rp": 6e-06,
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"score_rhodl_ratio": 2e-06,
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"score_reserve_risk": 0.0,
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"score_nupl": 0.0,
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"score_drawdown": 0.0
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},
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"cv_results": {
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"mean_auc": 0.6164,
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"std_auc": 0.3317,
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"mean_f1": 0.6736,
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"mean_precision": 0.8015,
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"mean_recall": 0.7047
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},
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"training_info": {
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"n_samples": 2601,
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"n_positive": 1553,
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"positive_rate": 0.5971,
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"n_features": 25,
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"target_threshold": 30.0,
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"date_range": "2018-02-01 to 2025-03-21",
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"model": "GradientBoostingClassifier"
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},
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"comparison": {
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"equal_weight": [
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{
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"range": "0-20",
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"label": "Extreme Caution",
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"days": 295,
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"avg_365d": -5.94,
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"median_365d": -11.99,
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"win_rate_365d": 35.6
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},
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{
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"range": "21-40",
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"label": "Caution",
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"days": 587,
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"avg_365d": 23.84,
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"median_365d": -7.2,
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"win_rate_365d": 45.3
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},
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{
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"range": "41-55",
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"label": "Neutral",
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"days": 697,
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"avg_365d": 108.96,
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"median_365d": 75.92,
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"win_rate_365d": 70.4
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},
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{
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"range": "56-70",
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"label": "Moderate Opportunity",
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"days": 450,
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"avg_365d": 128.81,
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"median_365d": 109.03,
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"win_rate_365d": 96.4
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},
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{
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"range": "71-85",
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"label": "Strong Accumulation",
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"days": 275,
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"avg_365d": 175.76,
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"median_365d": 117.95,
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"win_rate_365d": 86.9
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},
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{
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"range": "86-100",
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"label": "Extreme Accumulation",
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"days": 247,
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"avg_365d": 115.5,
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"median_365d": 90.08,
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"win_rate_365d": 100.0
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}
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],
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"ml_weighted": [
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{
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"range": "0-20",
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"label": "Extreme Caution",
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"days": 577,
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"avg_365d": -6.17,
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"median_365d": -26.21,
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"win_rate_365d": 27.0
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},
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{
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"range": "21-40",
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"label": "Caution",
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"days": 855,
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"avg_365d": 77.5,
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"median_365d": 39.28,
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"win_rate_365d": 72.7
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},
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{
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"range": "41-55",
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"label": "Neutral",
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"days": 241,
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"avg_365d": 165.77,
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"median_365d": 124.05,
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"win_rate_365d": 92.5
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},
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{
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"range": "56-70",
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"label": "Moderate Opportunity",
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"days": 328,
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"avg_365d": 144.47,
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"median_365d": 124.27,
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"win_rate_365d": 89.6
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},
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{
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"range": "71-85",
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"label": "Strong Accumulation",
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"days": 201,
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"avg_365d": 210.2,
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"median_365d": 122.22,
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"win_rate_365d": 99.0
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},
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{
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"range": "86-100",
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"label": "Extreme Accumulation",
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"days": 287,
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"avg_365d": 113.92,
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"median_365d": 99.53,
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"win_rate_365d": 100.0
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}
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]
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},
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"trained_at": "2026-03-21T23:15:38.277703+00:00"
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} |