⚠️ CRITICAL DISCLAIMER: These models are for backtesting and research purposes only. They are NOT financial advice and should NOT be used for live trading without extensive validation. Financial markets are non-stationary, and past performance does not guarantee future results.

Model Description

OpenMedallion-FinTS provides production-ready time-series forecasting models trained on the OpenMedallion dataset. The repository includes:

LightGBM Baseline: Fast gradient-boosted decision trees for multi-step forecasting
PatchTST Transformer: State-of-the-art patch-based transformer architecture for long-horizon forecasting

Models are trained separately per asset class (crypto, forex, commodities, equities) with strict temporal splitting to prevent data leakage.

Intended Use

Primary Use Cases

Research: Academic studies on financial time-series forecasting
Backtesting: Historical strategy validation with proper temporal splits
Baseline Models: Starting point for custom trading system development
Educational: Learning time-series forecasting techniques

Out-of-Scope Use

❌ Live trading without extensive validation
❌ Financial advice or recommendations
❌ Production deployment without risk management
❌ Assuming stationarity across market regimes

Model Architecture

LightGBM Baseline

python

from openmedallion_fints.models import LGBMForecaster

model = LGBMForecaster(
    task='regression',           # or 'classification'
    n_estimators=500,
    learning_rate=0.05,
    max_depth=7,
    num_leaves=31,
    early_stopping_rounds=50
)

Features:

Supports both regression (price prediction) and classification (direction prediction)
Early stopping with validation set
Feature importance extraction
Fast CPU training (~30 min per asset class)

PatchTST Transformer

python

from openmedallion_fints.models import PatchTSTForecaster

model = PatchTSTForecaster(
    lookback=64,      # Input sequence length
    horizon=1,        # Forecast horizon
    patch_len=16,     # Patch size
    stride=8,         # Patch stride
    d_model=128,      # Model dimension
    n_heads=4,        # Attention heads
    n_layers=3,       # Transformer layers
    d_ff=256,         # Feedforward dimension
    dropout=0.1
)

Features:

Patch-based self-attention mechanism
Efficient long-sequence modeling
GPU-accelerated training (12GB VRAM)
~30 min per epoch on RTX 3060

Training Data

Dataset

Source: oyi77/OpenMedallion
Files: 1,913 parquet files across 30 categories
OHLCV Categories: crypto (59 files), equities (579), forex (30), commodities (32), indices (66), ETFs (208), bonds (42)
Temporal Range: Varies by asset class (see dataset documentation)

Temporal Splits

All models use strict temporal splits with NO random shuffling:

Walk-Forward Split: Sliding window for robust validation
Expanding Window: Growing training set (realistic production scenario)
Single Train/Test: 80/20 chronological split

Example:

python

from openmedallion_fints.preprocessing import walk_forward_split

splits = walk_forward_split(
    df=data,
    n_splits=5,
    train_size=0.7,
    val_size=0.15,
    test_size=0.15
)

Evaluation Metrics

Forecast Accuracy

MAE (Mean Absolute Error): Average prediction error
RMSE (Root Mean Squared Error): Penalizes large errors
MAPE (Mean Absolute Percentage Error): Scale-independent error
Direction Accuracy: Percentage of correct up/down predictions

Trading-Specific Metrics

python

from openmedallion_fints.eval import calculate_trading_metrics

metrics = calculate_trading_metrics(
    y_true=actual_returns,
    y_pred=predicted_returns,
    benchmark_returns=buy_hold_returns
)
# Returns: sharpe_ratio, sortino_ratio, max_drawdown, 
#          calmar_ratio, profit_factor, hit_rate

Sharpe Ratio: Risk-adjusted returns (annualized)
Sortino Ratio: Downside risk-adjusted returns
Max Drawdown: Largest peak-to-trough decline
Calmar Ratio: Return / Max Drawdown
Profit Factor: Gross profit / Gross loss
Hit Rate: Percentage of profitable trades

Performance Benchmarks

LightGBM Baseline Results

Trained on OpenMedallion dataset with 80/20 temporal split, no random shuffling:

Asset Class	Samples	MAE	RMSE	Direction Accuracy	Hit Rate
Equities	27,901	0.249	0.458	87.79%	87.79%
Crypto	3,650	0.991	1.299	88.57%	88.57%
Forex	17,614	0.096	0.118	86.22%	86.22%
Commodities	49,584	1.696	2.065	74.56%	74.56%

Key Observations:

Crypto achieves highest direction accuracy (88.57%) despite higher MAE due to larger price movements
Equities shows strong performance (87.79% accuracy) with balanced error metrics
Forex has lowest MAE (0.096) due to smaller pip movements but maintains 86.22% direction accuracy
Commodities shows lower performance (74.56% accuracy) due to diverse assets with different dynamics

Trading Metrics (simulated backtest):

Sharpe Ratios: 11.31-29.19 across asset classes
Sortino Ratios: 26.09-3269.21 (crypto showing exceptional downside protection)
Profit Factors: 6.16-1426.02 (gross profit / gross loss)

⚠️ WARNING: Trading metrics show unrealistically high values (infinite returns, NaN drawdowns) indicating the backtest strategy is overly simplified. These are statistical benchmarks only and do NOT represent realistic trading performance. Real-world trading requires proper risk management, transaction costs, slippage, and position sizing.

Model Files

Pre-trained LightGBM models available for download:

lgbm_equities_regression.pkl (288KB)
lgbm_crypto_regression.pkl (252KB)
lgbm_forex_regression.pkl (292KB)
lgbm_commodities_regression.pkl (290KB)

Each model includes corresponding *_metrics.json file with full evaluation results.

Usage Example

Training LightGBM Baseline

bash

python openmedallion-fints/scripts/train_lgbm.py \
    --asset-class equities \
    --split-method expanding \
    --n-splits 5 \
    --train-size 0.7 \
    --val-size 0.15 \
    --test-size 0.15 \
    --task regression \
    --n-estimators 500 \
    --learning-rate 0.05 \
    --max-depth 7 \
    --early-stopping-rounds 50 \
    --output-dir ./outputs/lgbm_equities

Training PatchTST

bash

python openmedallion-fints/scripts/train_patchtst.py \
    --asset-class crypto \
    --split-method walk_forward \
    --lookback 64 \
    --horizon 1 \
    --patch-len 16 \
    --stride 8 \
    --d-model 128 \
    --n-heads 4 \
    --n-layers 3 \
    --batch-size 32 \
    --epochs 50 \
    --learning-rate 0.001 \
    --device cuda \
    --output-dir ./outputs/patchtst_crypto

Inference

python

from openmedallion_fints.models import LGBMForecaster
from openmedallion_fints.preprocessing import compute_features
import pandas as pd

# Load trained model
model = LGBMForecaster.load("./outputs/lgbm_equities/model.pkl")

# Prepare features
df = pd.read_parquet("your_ohlcv_data.parquet")
X, y = compute_features(df, lookback=20, horizon=1)

# Forecast
predictions = model.predict(X)

Limitations and Risks

Model Limitations

Non-Stationarity: Financial markets are non-stationary; models trained on historical data may not generalize to future regimes
Black Swan Events: Models cannot predict unprecedented events (COVID-19, financial crises, regulatory changes)
Liquidity: Predictions assume sufficient liquidity for order execution
Slippage: Does not account for transaction costs, slippage, or market impact
Regime Changes: Performance degrades when market regime shifts (bull→bear, low→high volatility)

Data Quality Risks

Survivorship Bias: Dataset may exclude delisted/bankrupt assets
Look-Ahead Bias: Ensure no future data leaks into training
Outliers: Extreme events may distort model calibration

Deployment Risks

Overfitting: Models may overfit to historical patterns that don't repeat
Concept Drift: Market dynamics change over time (new regulations, market structure, HFT)
Correlated Failures: Models trained on same data may fail simultaneously during market stress

Ethical Considerations

Market Manipulation: Using these models for coordinated trading could constitute market manipulation
Systemic Risk: Widespread use of similar models can amplify market volatility
Fairness: Algorithmic trading advantages institutional players over retail traders
Transparency: Black-box models lack interpretability for regulatory compliance

License

Apache License 2.0

This model is released under the Apache License 2.0. You are free to use, modify, and distribute this model for commercial or non-commercial purposes, with proper attribution.

See LICENSE for full terms.

Citation

bibtex

@misc{openmedallion-fints-2026,
  author = {oyi77},
  title = {OpenMedallion-FinTS: Time-Series Forecasting for Financial Markets},
  year = {2026},
  publisher = {HuggingFace},
  journal = {HuggingFace Model Hub},
  howpublished = {\url{https://huggingface.co/oyi77/openmedallion-fints}}
}

Contact

Repository: https://huggingface.co/oyi77/openmedallion-fints
Dataset: https://huggingface.co/datasets/oyi77/OpenMedallion
Issues: Report bugs and feature requests via HuggingFace discussions

Acknowledgments

PatchTST: Based on PatchTST: A Time Series is Worth 64 Words
LightGBM: Powered by Microsoft LightGBM
Dataset: Built on the OpenMedallion dataset

Last Updated: 2026-07-08