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forex-6pair-1d-quant
Tjgguy12/forex-6pair-1d-quant
forex-6pair-1d-quant is a machine learning model from Tjgguy12. Use it for the machine learning task on the model card, and read the license before you ship it in a product. It is set up for sklearn. The card lists the license as apache-2.0.
Edges: EURUSD mean reversion, GBPUSD vol clustering, USDJPY vol+carry, AUDUSD mean reversion, USDCAD oil beta. Tail risk USDTRY/ZAR excluded. Do NOT trade USDHKD/EURDKK.
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Public
Updated Sep 10, 2026
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At a glance
- Library
- sklearn
- License
- apache-2.0
- Access
- Public
- Created
- Sep 10, 2026
- Updated
- Sep 10, 2026
- SHA
- 6937bc5b
Model card
From the Hugging Face model README
Forex 6-Pair 1D Quant — EURUSD 35% GBPUSD 25% USDJPY 20% AUDUSD 10% USDCAD 10%
Edges: EURUSD mean reversion, GBPUSD vol clustering, USDJPY vol+carry, AUDUSD mean reversion, USDCAD oil beta. Tail risk USDTRY/ZAR excluded. Do NOT trade USDHKD/EURDKK.
Training: 5y yfinance (6150 rows, 1300 per pair), Voting XGB+LGBM, 3 folds, 1d embargo. Result: Mean IC -0.012, Ann -6.94% to -1.89% — negative (worse than random). Status: Experimental, NOT production. Needs longer history (2004 Kaggle daily) + proper session features + FinBERT.
Live test 2026-09-09:
- EURUSD 1.16387 DOWN P_up 0.297 exp -0.034%
- GBPUSD 1.35553 DOWN 0.213 -0.026%
- USDJPY 153.54 DOWN 0.398 +0.115%
- AUDUSD 0.72218 DOWN 0.348 +0.018%
- USDCAD 1.3806 DOWN 0.429 +0.047%
Kaggle: https://www.kaggle.com/code/maxvwede/forex-6pair-1d-quant-eur-gbp-jpy Portfolio: 35/25/20/10/10 weighted daily rets, 1bp spread.
Next: Retrain with 2004-2026 Kaggle daily (20y) + London/Tokyo session + oil beta for USDCAD.
- Library
- sklearn
- License
- apache-2.0
- Created
- Sep 10, 2026
- Updated
- Sep 10, 2026