Datasets:

P2SAMAPA
/

p2-etf-rough-path-forecaster-results

QQQ float64 -0.06 0.12 ⌀	XLK float64 -0.07 0.13 ⌀	XLF float64 -0.07 0.08 ⌀	XLE float64 -0.09 0.08 ⌀	XLV float64 -0.05 0.04 ⌀	XLI float64 -0.06 0.09 ⌀	XLY float64 -0.06 0.11 ⌀	XLP float64 -0.04 0.04 ⌀	XLU float64 -0.06 0.04 ⌀	XLRE float64 -0.05 0.06 ⌀	XLB float64 -0.06 0.09 ⌀	GDX float64 -0.13 0.08 ⌀	XME float64 -0.07 0.1 ⌀	IWM float64 -0.06 0.09 ⌀	__index_level_0__ int64 0 460
0.01225	0.015153	0.008856	0.002612	-0.001028	0.011061	0.017552	0.009487	-0.011009	-0.005191	0.007417	-0.006286	0.001546	0.008403	0
0.000309	0.001255	0.00634	0.004192	0.001304	0.005388	-0.003362	0.001287	0.000434	0.003914	-0.001116	0.01506	0.00343	0.001747	1
-0.007708	-0.011235	0.005331	0.018389	0.003289	0.00065	0.001272	-0.002186	0.008671	-0.002599	0.001005	0.025223	0.013675	-0.004234	2
-0.002679	-0.001748	-0.003856	-0.00576	0.002801	-0.00211	0.008449	0.000773	-0.005874	0.002606	0.000112	-0.016208	-0.004047	0.002251	3
-0.011385	-0.024517	0.010275	0.025215	0.005833	0.004251	-0.00427	0.010663	0.013147	0.006746	0.006445	0.007649	-0.001255	0.004342	4
0.011436	0.018344	-0.007454	0.0023	-0.003127	-0.008532	-0.004023	-0.006418	-0.009464	-0.014081	-0.012696	-0.011971	-0.015962	-0.00328	5
0.002065	-0.001148	-0.006299	-0.009837	-0.003546	-0.002705	0.014498	-0.002067	-0.004198	-0.001322	-0.000677	-0.000591	0.013287	-0.002643	6
0.002581	0.000486	-0.001219	0.002318	-0.001643	0.001068	0.006109	-0.004272	0.001745	0.009004	-0.002822	0.012123	-0.006131	0.010148	7
-0.005191	-0.00053	0.003417	0.003854	-0.000822	0.00041	-0.011114	-0.00442	-0.011174	0.008136	-0.000339	-0.008764	0.016621	0.004108	8
0.005865	0.007559	0.002189	0.000549	-0.005626	-0.010749	0.003399	-0.007051	-0.006898	-0.009633	-0.0154	-0.001179	0.015001	-0.008379	9
0.0105	0.005001	0.011651	-0.000767	-0.003657	0.005475	0.019451	0.00697	0.005172	0.004206	0.00184	0.003836	0.006975	0.00343	10
0.008337	0.013489	-0.003119	0.004389	-0.007618	0.00363	0.006378	-0.001698	0.006028	-0.001047	0.007462	0.037037	0.017645	-0.000248	11
0.010427	0.003058	-0.000241	-0.015623	0.007746	-0.003617	0.008148	0.012297	0.001754	0.003669	0.001595	0.028061	-0.007292	-0.004757	12
0.002378	0.006828	-0.002648	-0.006104	-0.001108	0.001237	0.000475	-0.001551	0.001021	0.00235	0.002958	-0.004687	0.000816	0.00702	13
0.000865	-0.00081	0.007724	-0.008822	0.004853	-0.004367	0.003326	-0.002589	0.002914	0.000261	-0.010209	0.000277	-0.009949	-0.004351	14
0.010427	0.014513	0.003832	0.00676	0.009452	0.008937	0.007525	0.004412	0.009445	0.007031	0.013408	0.026032	0.008731	0.009782	15
-0.02193	-0.025034	0.007874	0.010407	0.007039	0.012713	-0.012692	-0.003747	0.018281	0.026636	0.013683	0.02807	0.027438	0.035944	16
0.005875	0.008933	0.003314	0.002547	0.006244	0.00575	0.013067	0.004409	0.007351	0.007305	0.009594	0.0021	0.011127	0.011677	17
0.002688	0.001796	0.01463	0.015135	-0.003507	0.007167	-0.001149	-0.00581	-0.024277	0.004251	-0.002542	-0.005764	0.010847	0.019002	18
0.000383	-0.00333	0.011395	0.004462	0.014281	0.024946	0.017933	0.00961	0.007766	0.009462	0.019386	0.035046	0.014308	0.034118	19
-0.029355	-0.038897	0.007588	0.009967	0.004537	-0.012794	-0.016692	0.012863	0.000571	0.00888	-0.002065	-0.021385	-0.020546	-0.010463	20
-0.004732	0.000089	-0.012095	0.001824	-0.022718	-0.007823	-0.010185	-0.004953	-0.000856	-0.008313	-0.00991	-0.014828	-0.017846	-0.019348	21
-0.008864	-0.015643	-0.010164	-0.010922	0.005098	-0.005495	-0.008918	-0.003318	0.001142	-0.001233	-0.008909	-0.012675	-0.010679	-0.005093	22
0.014898	0.023679	0.005601	-0.006279	0.005748	0.010171	0.011022	0.00064	0.008413	0.009874	0.003329	0.001605	0	0.01591	23
-0.003525	-0.003981	0.001856	-0.015906	-0.000605	-0.001903	-0.004477	-0.003583	-0.006222	-0.001711	0.003982	0	0.006928	0.010622	24
-0.03587	-0.041385	-0.013667	0.00011	0.008343	-0.021525	-0.040893	-0.000899	0.011241	-0.013712	-0.012779	-0.005875	-0.02	-0.021471	25
-0.011028	-0.0107	0.003758	0.017268	-0.005005	0.008036	-0.003916	-0.001157	-0.008302	-0.005462	0.00279	-0.027934	0.008	0.012486	26
0.010256	0.012689	0.015676	0.003156	0.005633	0.017072	0.011186	0.010167	0.00979	0.016725	0.016359	0.008013	0.015225	0.016548	27
0.002009	-0.004439	-0.001382	-0.008569	0.0006	-0.001742	0.016702	0.000382	0.004496	0.006383	0.001752	0.004386	-0.009572	-0.011105	28
-0.013731	-0.025125	0.011534	0.015536	0.000866	0.002935	-0.005548	-0.00675	0.005175	0.007319	-0.003279	0.008461	-0.004027	0.003789	29
0.029594	0.042351	-0.002508	0.004202	-0.003662	0.011151	0.01549	-0.001795	0.012942	-0.002422	0.010418	0.026522	0.026524	0.005796	30
-0.024221	-0.037294	-0.014175	-0.026499	0.010225	-0.018536	-0.024535	0.009249	0.017997	0.015538	-0.004016	-0.0174	-0.040649	-0.03252	31
-0.023735	-0.028105	-0.024582	-0.025788	-0.001985	-0.021994	-0.036798	0.008782	0.00162	0.000717	-0.018852	-0.021197	-0.049433	-0.035368	32
-0.029816	-0.033314	-0.029006	-0.022059	-0.026713	-0.017355	-0.02827	-0.019682	-0.026408	-0.028906	-0.022323	-0.03125	-0.030062	-0.032165	33
0.009555	0.013593	0.01616	0.006131	0.004631	0.012023	0.011041	0.00695	0.008442	0.02214	0.005112	0.008206	0.010331	0.01088	34
-0.01083	-0.016202	0.001205	0.004024	-0.010169	-0.004834	-0.01745	0.001022	0.005626	-0.00722	-0.013562	-0.025821	-0.012165	-0.01184	35
0.030591	0.037347	0.016125	0.021528	0.022122	0.023053	0.021817	0.009065	0.001092	0.008485	0.015467	0.024201	0.022488	0.024309	36
0.005222	0.004494	0.004263	0.002242	0.004958	0.000161	0.003338	0.001518	0.003408	0.005048	-0.00079	0.008158	0.001745	-0.002078	37
0.002154	0.00817	-0.005189	0.004921	-0.0038	-0.005069	-0.003958	-0.005054	0.001766	-0.005979	-0.004404	0.029576	-0.000174	-0.009009	38
0.024813	0.030727	0.008298	-0.009683	0.012114	0.010513	0.02505	0.004571	0.005831	0.006978	0.009981	0.013008	0.011328	0.016471	39
0.000324	0.005475	0.012227	0.005844	0.003571	0.004082	-0.005337	0.004551	-0.000674	0.003584	0	-0.007223	-0.017577	-0.006203	40
0.025263	0.028764	0.009292	0.011955	0.00626	0.01347	0.031912	0.010318	-0.000135	-0.002857	0.015834	0.00485	0.020172	0.025934	41
0.001286	0.001674	0.007365	-0.001104	0.001048	-0.001416	0.002354	0.00274	0.004453	-0.000478	0.001216	0.03218	0.006706	0.002641	42
0.013136	0.016486	0.005483	0.006743	0.006084	0.006064	0.012286	0.003354	0.006583	0.005972	0.004748	0.018966	0.009394	0.012229	43
-0.002099	-0.00351	-0.003181	-0.026351	0.004031	-0.00274	-0.000917	0.004952	-0.002135	0.00095	-0.003626	0.007139	-0.008629	-0.011664	44
0.004664	0.005886	-0.001596	0.001691	0.001684	0.006044	0.012635	0.006775	0.007088	0.003322	0.01147	0.006835	0.016897	0.013024	45
-0.015855	-0.023007	0.005708	0.002589	0.000647	-0.001248	-0.017276	-0.001468	-0.001195	0.006148	-0.002072	-0.024893	-0.019302	-0.008818	46
0.010846	0.016199	0.008626	0.014934	0.004329	0.01	0.019315	0.002818	0.002792	0.019271	0.013221	0.01444	0.023447	0.031935	47
-0.009708	-0.012547	0.003151	0.008961	-0.000515	-0.001083	-0.007771	0.007087	0.006497	-0.000692	0.004421	-0.002796	0.002843	0.000318	48
0.002987	0.006059	0.00516	-0.00932	0.001545	0.000619	-0.002629	0.002427	-0.007904	0.002538	0.000107	-0.000255	0.004169	-0.007757	49
-0.011348	-0.013798	0.002455	-0.00642	0.001157	-0.000464	-0.009682	-0.004236	0	-0.003452	-0.004294	-0.021927	-0.018764	-0.006766	50
-0.001464	-0.009024	0.008907	0.013033	0.002118	0.007046	0.001195	-0.004984	0.005444	-0.003926	0.005499	0.013556	0.012354	0.007134	51
0.011919	0.013291	0.00949	0.003739	0.006918	0.010686	0.015081	0.00794	0.007528	0.009738	0.010937	-0.006687	0.000334	0.005804	52
-0.030361	-0.045931	-0.007433	-0.024869	-0.001908	-0.022136	-0.013735	0.007029	-0.001442	0.002296	-0.022698	-0.034956	-0.060495	-0.03058	53
-0.002599	-0.002569	0.001101	-0.013819	-0.001721	0.001011	0.002601	0.004694	0.008532	0.002291	-0.004124	-0.009659	-0.008004	-0.001687	54
0.000934	-0.001526	-0.011001	-0.007747	-0.013727	-0.011657	0.01135	-0.003833	-0.002473	-0.002743	-0.007847	0.011379	-0.006455	-0.004977	55
-0.026787	-0.025937	-0.014683	-0.012514	-0.003431	-0.010143	-0.025277	-0.002044	-0.009525	0	-0.012632	-0.027056	-0.021837	-0.019016	56
0.01286	0.016379	0.014902	0.007209	0.007015	0.015331	0.014583	0.007712	0.010144	0.011918	0.009679	0.012115	0.006089	0.00279	57
0.009242	0.014957	-0.010234	-0.0172	0.00458	0.001721	0.011456	-0.000239	0.004695	0.017667	0.000441	0.012514	-0.004401	-0.000815	58
0.021716	0.034132	-0.00472	-0.009279	-0.002954	0.001796	0.00999	-0.009329	0.003115	-0.002671	0.002423	0.004567	0.019525	0.002928	59
0.009816	0.008274	0.002258	0.00901	0.003606	0.007718	0.011267	0.006157	0.0022	0.001785	0.009229	0.048676	0.033243	0.012876	60
0.00448	0.005015	0.002929	0.00564	0.002053	0.010135	0.0068	0.00708	0.014074	0.007129	0.009035	0.022443	0.025529	0.024668	61
-0.004418	-0.00381	0.013031	0.01145	0.006916	0.005131	-0.001715	0.003932	0.007639	0.003318	0.009278	-0.004989	-0.000682	0.003597	62
0.000528	-0.001958	0.005323	0.013515	-0.010303	0.005486	0.0051	-0.009495	-0.000758	-0.007937	0.001924	-0.010028	0.000853	0.008272	63
-0.00433	-0.009125	-0.003088	0.001938	-0.001671	-0.000834	-0.001968	-0.003834	-0.007587	-0.002889	-0.004268	-0.010889	-0.003921	0.000182	64
0.025284	0.0297	0.011064	0.011944	0.003604	0.017217	0.022776	-0.005894	-0.005861	-0.002452	0.015108	0.016897	0.033887	0.020597	65
-0.001903	-0.004874	-0.000657	-0.002248	-0.004105	-0.007009	-0.002283	0.00484	0.026403	-0.001787	-0.007072	0.019889	-0.000497	-0.010716	66
0.002651	-0.000185	-0.001209	0.012348	-0.001959	0.006712	0.012151	0.005798	0.009919	0.011066	0.008734	-0.004443	0.006902	-0.003656	67
0.004824	0.006844	-0.008363	-0.002469	-0.002008	0.007184	0.008758	-0.002407	-0.007096	0	0.013655	0.026779	0.042182	0.001676	68
0.000927	0.002862	-0.005992	-0.019572	-0.009735	-0.004681	-0.003593	-0.002534	0.005266	-0.004235	-0.006683	-0.002415	-0.006482	-0.012197	69
0.007513	0.013244	0.005135	-0.019619	0.003342	0.005001	0.004257	0.002298	-0.00686	-0.00985	0.020711	0.007988	0.022279	0.005329	70
-0.005557	-0.00933	0.002888	0.020363	-0.000523	0.001411	0.001496	0.00181	0.009921	0.001356	-0.001751	-0.03074	-0.000623	0.006763	71
0.002712	0.002932	0.003765	0.006996	0.006535	0.004524	-0.00234	-0.000241	0.004476	0.00858	-0.005572	-0.01338	-0.007477	0.002542	72
-0.013932	-0.024362	-0.005296	0.022779	-0.005259	0.000517	-0.004043	-0.003373	0.008047	-0.006044	-0.00249	0.015821	0.001883	-0.013581	73
0.001413	0.0074	0.001109	0.010245	-0.002023	-0.001845	-0.008469	-0.008462	0.000491	-0.003604	-0.003848	-0.001978	-0.005326	-0.001377	74
-0.000747	0.004146	-0.005318	0.017637	-0.009026	-0.005101	-0.011573	-0.009998	-0.000368	-0.00972	-0.011068	-0.020064	-0.009291	-0.00671	75
0.011898	0.011131	0.01693	0.009315	0.000792	0.006985	0.013243	0.003325	-0.001596	-0.006619	0.004857	-0.000253	0.013034	0.013973	76
-0.010712	-0.00688	-0.012267	0.003542	-0.004418	-0.002435	-0.015542	-0.009942	-0.022998	-0.007353	-0.002942	-0.013148	0.00204	-0.007849	77
0.014935	0.018682	0.005766	-0.026094	0.005432	0.002219	0.009739	0.004959	0.000504	0.003009	-0.004637	-0.001025	-0.017852	0.00069	78
0.007868	0.011188	0.009261	0.006039	0.010211	0.008931	0.007158	0.006045	-0.008556	0.000461	0.006353	-0.00513	0.005899	0.002206	79
-0.001136	-0.00026	-0.003059	0.006767	-0.003717	-0.005121	-0.004939	-0.004414	-0.003046	-0.008304	0.002314	0.027842	0.009827	-0.005549	80
0.001563	0.001736	0.019285	0.00618	0.007331	0.017869	-0.004255	0.005542	0.008783	0.010235	0.006508	0.004515	0.015068	0.020337	81
0.008392	0.013041	0.006235	-0.000431	0.005524	0.005996	0.004375	0.004042	0.012618	0.006908	0.005736	0.002747	-0.000619	0.007367	82
-0.013367	-0.021983	0.002137	-0.03223	-0.012214	-0.007684	0.002178	0.006344	0.004486	0.012577	-0.001037	0.012948	-0.006808	0.000808	83
0.000122	0.003105	0.012367	0.004789	0.002813	0.007743	0.005256	-0.000727	0.019849	0.009937	0.007785	0.007866	0.02072	0.016452	84
0.000693	0.003052	0.002738	0.004767	-0.005806	-0.002872	-0.000905	-0.004489	-0.00888	-0.006485	0.001545	0.011951	0.002747	-0.002735	85
0.006555	0.003564	0.00021	-0.00331	0.004856	0.003025	0.003925	0.002194	0.005768	0.006977	0.004011	0.04001	0.01446	-0.002079	86
0.001921	0.004677	-0.00798	-0.002989	-0.011755	-0.003518	-0.007769	-0.00839	-0.003905	-0.020563	-0.007682	0.001622	-0.005702	-0.015732	87
0.00109	-0.001035	-0.001905	0.002331	-0.001454	-0.012105	-0.004041	0.005641	-0.003553	0.001597	-0.009187	0.02013	-0.006036	-0.003782	88
-0.015324	-0.014326	-0.000848	-0.005206	-0.004699	-0.002918	-0.015723	-0.001951	0.00959	0.009797	-0.002709	-0.018825	-0.017914	-0.00913	89
0.008109	0.002933	0.000849	-0.000111	-0.006582	-0.006876	0.031537	-0.001344	-0.006454	0.002256	-0.012222	-0.026121	-0.003865	0.002189	90
0.006094	0.005194	-0.011029	-0.000334	-0.005488	-0.002652	0.003147	-0.008319	-0.01483	-0.007879	-0.006345	-0.01353	-0.006673	-0.003777	91
0.000161	-0.000304	0.012438	-0.00635	0.001481	0.002954	0.002341	0.001851	0.007838	0.003177	0.008301	-0.004812	0.025465	0.01631	92
0.009608	0.013465	-0.006143	-0.015247	-0.002755	-0.001325	-0.005217	-0.009851	-0.021355	-0.009048	-0.006439	0.015958	0.000457	-0.003237	93
-0.007557	-0.015901	0.004476	0.002277	-0.001887	-0.001696	-0.001398	-0.001617	-0.002397	0.003652	0.005418	-0.012137	-0.017207	-0.001353	94
-0.025243	-0.032098	-0.013792	0.006247	-0.008439	-0.011522	-0.015304	-0.001993	0.010368	-0.017512	-0.013208	-0.028186	-0.014719	-0.016619	95
0.007399	0.007514	0.003442	-0.006321	0.005924	0.001345	0.016253	0.000375	-0.022275	-0.010648	-0.002784	-0.012147	0.004246	0.005603	96
-0.002913	-0.000759	-0.007719	0.017494	-0.006565	-0.001119	-0.003448	0.002745	-0.011903	0.011231	0.004402	0.001255	-0.005011	0.005069	97
0.012757	0.014079	0.009291	0.006699	0.007358	0.016734	0.017703	0.006346	0.015026	0.013651	0.001497	0.005263	0.017784	0.018811	98
0.027163	0.028472	0.060801	0.037596	0.001285	0.039162	0.031982	-0.01632	-0.010337	-0.026706	0.01377	-0.036649	0.080718	0.057932	99

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YAML Metadata Warning:The task_categories "quantitative-finance" is not in the official list: text-classification, token-classification, table-question-answering, question-answering, zero-shot-classification, translation, summarization, feature-extraction, text-generation, fill-mask, sentence-similarity, text-to-speech, text-to-audio, automatic-speech-recognition, audio-to-audio, audio-classification, audio-text-to-text, voice-activity-detection, depth-estimation, image-classification, object-detection, image-segmentation, text-to-image, image-to-text, image-to-image, image-to-video, unconditional-image-generation, video-classification, reinforcement-learning, robotics, tabular-classification, tabular-regression, tabular-to-text, table-to-text, multiple-choice, text-ranking, text-retrieval, time-series-forecasting, text-to-video, image-text-to-text, image-text-to-image, image-text-to-video, visual-question-answering, document-question-answering, zero-shot-image-classification, graph-ml, mask-generation, zero-shot-object-detection, text-to-3d, image-to-3d, image-feature-extraction, video-text-to-text, keypoint-detection, visual-document-retrieval, any-to-any, video-to-video, other

P2 ETF Rough Path Forecaster Results

This dataset contains the output from the ROUGH-PATH-FORECASTER engine.

Engine Description

Uses signature kernel methods and Log-ODE for ETF return forecasting.

Signature Kernel: Neumann series expansion with dynamic truncation
Log-ODE: Neural controlled differential equations on log-signature space
Ensemble: Weighted combination of depths 2, 3, and 4

Universes

Fixed Income / Commodities

Benchmark: AGG
Tickers (7): TLT, LQD, HYG, VNQ, GLD, SLV, VCIT

Equity

Benchmark: SPY
Tickers (14): QQQ, XLK, XLF, XLE, XLV, XLI, XLY, XLP, XLU, XLRE, XLB, GDX, XME, IWM

Training Modes

Fixed Dataset

Period: 2008 → 2026 YTD
Split: 80% train, 10% validation, 10% test
Single model trained on all available data

Shrinking Windows (17 windows)

Start years: 2008 through 2024
End year: 2026 YTD (all windows)
Each window: independent model
Consensus scoring across windows

Consensus Weights

60% Annualized Return
20% Sharpe Ratio
20% (-)Max Drawdown

Output Structure

fi/ ├── fixed/ │ ├── model.pkl # Trained model │ ├── predictions.parquet # Test set predictions │ ├── actuals.parquet # Test set actual returns │ └── metrics.json # Performance metrics └── shrinking/ ├── model_window_*.pkl # Per-window models ├── window_results.parquet # Window metadata ├── consensus.parquet # Consensus pick ├── window_picks.parquet # Per-window picks └── window_metrics.parquet # Per-window performance

equity/ └── (same structure as fi/)

metadata.json

Performance Metrics

Metric	Description
annualized_return_pct	Annualized return percentage
annualized_vol_pct	Annualized volatility percentage
sharpe_ratio	Risk-adjusted return
max_drawdown_pct	Maximum peak-to-trough decline
hit_rate_pct	Percentage of positive days
alpha_vs_benchmark_pct	Excess return over benchmark

Last Updated

2026-04-21T08:30:29.637336

License

MIT

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