walk-forward strict time-series rolling validation · random K-Fold forbidden · all features T-1 look-ahead safe
Engine architecture (three-layer hybrid + event correction)
① Data layer
- 12-layer price crawler
- L1/L2/L3 three-tier collection
- Ultra-long historical backfill
- Data flywheel proprietary index
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② Factor layer
- 8 categories, 59 baseline factors
- Transmission-lag cascade T-1
- Three-method screening, Top20 into model
- VIF/correlation treatment
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③ Model layer
- LSTM (quantile interval head)
- XGBoost (SHAP)
- LightGBM
- walk-forward training
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④ Ensemble layer
- Dynamic weighted auto-adjustment
- Market-regime adaptive
- Sub-model de-correlation
- Conservative fallback for extreme markets
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⑤ Event layer
- 5-dimension sentiment quantification
- RAG historical analogy
- Tier correction coefficient
- Lifecycle decay
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⑥ Output layer
- Price/direction/confidence
- P10–P90 interval
- Daily self-calibration loop
- Version governance / auto-rollback
59-factor system (8 categories)
Price-technical factors (15)MA/EMA/MACD/RSI/KDJ/Bollinger/ATR/momentum/return/volume-price divergence/open interest/basis/month spread
Cost pass-through factors (8)Crude-PX/PX-PTA margin/PTA-polyester/PTA-POY pass-through/crude-PP/plastic-weaving margin/transmission lag/upstream cumulative moves
Supply-side factors (7)PTA/PX/polyester/PP/PE operating rates, maintenance losses, new capacity, import arrivals
Inventory factors (6)Social inventory/raw-material inventory days/finished-goods days/port inventory/yoy & mom/warehouse receipts
Demand-side factors (7)Loom/texturing-machine operating rates, transaction index, downstream orders, exports, polyester load, plastic-weaving load
Macro-financial factors (8)USD index/FX/UST yields/PMI/M2/aggregate financing/CPI/PPI
Shipping factors (3)BDI / SCFI / Tanker freight
Sentiment/event factors (5+)5-dimension sentiment + composite/event correction/historical similar moves/news heat/policy looseness
Feature importance (SHAP Top15, latest model version)
walk-forward rolling backtest report
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Forecasts are for reference only and do not constitute investment advice. Accuracy is measured out-of-sample via walk-forward; past performance does not guarantee future returns. Source: LoomOS · TexOracle.