Mamba-2 Black Swan Model (Experimental)
Warning: This model is experimental.
=== Test Set Performance (Log-Return Scale) ===
RBIDBIS (ID)
| MAE: 0.4451
| RMSE: 0.5777
| Direction Acc: 54.7%
RBUSBIS (US)
| MAE: 0.6933
| RMSE: 0.8409
| Direction Acc: 50.9%
RBCNBIS (CN)
| MAE: 0.4918
| RMSE: 0.6335
| Direction Acc: 66.0%
RBJPBIS (JP)
| MAE: 0.6185
| RMSE: 0.8537
| Direction Acc: 50.9%
Volatility (std): ID: 0.0498 US: 0.0122 CN: 0.0139 JP: 0.0234
CN autocorrelation lag-1: 0.2972 US autocorrelation lag-1: 0.3733
CN Skew: -0.024, Kurt: 0.376 US Skew: 0.164, Kurt: 1.040
CN residual autocorr (lag 1-3): [ 0.17549862 -0.10166117 -0.16888058] US residual autocorr (lag 1-3): [ 0.3709494 0.04684676 -0.08558212]
=== Black Swan Warning Summary ===
Total Sequences: 53 High Risk Warnings: 7 Warning Rate: 13.2% Mean Error: 0.5622 Max Error: 1.4252 Std Error: 0.2898
