BUILD 2026-08-21 17:03:54 SOURCE Yahoo Finance (daily bars)
MODEL LightGBM classifier TARGET P(close[t+1] > close[t])
FEATURES sma20 sma50 rsi14 vol20 ret1 ret5
VALIDATION walk-forward, 5 windows, 80/20 split, lookahead=1
COSTS 3 bps/order FILL next bar open
THRESHOLDS BUY > 0.55 SELL < 0.50 else HOLD
SYMBOLInstrument ticker. Click the row to open its trade log and chart.
LAST BARDate of the most recent daily bar in the dataset.
CLOSEClosing price of that bar. Decimals scale with price.
P(UP)Model probability that the next bar closes higher than this one.
CONFIDENCEThe same probability drawn as a bar, plus its percentage.
OOS AUCRanking quality of the predictions on out-of-sample bars only. 0.5000 is a coin flip; anything under 0.52 is shown in red.
YTD / 2Y / 5YStrategy return over the last calendar year to date, two years and five years. Hover a value to see buy & hold over the same window; ✓ marks the rare case where the strategy won. A dash means the instrument has no history that far back.
ALLStrategy return over the whole out-of-sample period, after 3 bps per order. Each order costs 0.03% and a round trip is two orders.
BUY&HOLDReturn of simply holding the instrument over the whole period. Green means the strategy beat it, red means it lost to it.
SHARPEPyBroker's trade-level Sharpe, not annualised — the annualised figure lives in the QuantStats tearsheet and is much higher.
MAX DDDeepest peak-to-trough fall of strategy equity.
TRADESNumber of closed round-trip trades over the period.
SIGNAL▲ BUY above 0.55, ▼ SELL below 0.50, ▬ HOLD in between.
Every figure on this page is measured on bars the model never trained on.
Walk-forward windows shift when the end date moves, so returns are not stable
between builds — another sign that AUC 0.5060 means noise, not signal.