Upload walk_forward_results_shrinking.json with huggingface_hub
Browse files- walk_forward_results_shrinking.json +323 -323
walk_forward_results_shrinking.json
CHANGED
|
@@ -6,15 +6,15 @@
|
|
| 6 |
0.9942164998310253,
|
| 7 |
1.1357112163930942,
|
| 8 |
0.8411761395424373,
|
| 9 |
-
0.
|
| 10 |
-
|
| 11 |
-
0.
|
| 12 |
],
|
| 13 |
"returns": [
|
| 14 |
-0.005783500168974654,
|
| 15 |
0.14231781164979362,
|
| 16 |
-0.25933976225582334,
|
| 17 |
-
0.
|
| 18 |
0.0947529969739529,
|
| 19 |
-0.10307653407817279
|
| 20 |
],
|
|
@@ -29,7 +29,7 @@
|
|
| 29 |
"SLV"
|
| 30 |
],
|
| 31 |
[
|
| 32 |
-
"
|
| 33 |
],
|
| 34 |
[
|
| 35 |
"SLV"
|
|
@@ -39,11 +39,11 @@
|
|
| 39 |
]
|
| 40 |
],
|
| 41 |
"summary": {
|
| 42 |
-
"annualised_return": -0.
|
| 43 |
-
"annualised_vol": 0.
|
| 44 |
-
"sharpe_ratio": -0.
|
| 45 |
"max_drawdown": -0.2593,
|
| 46 |
-
"total_return": -0.
|
| 47 |
},
|
| 48 |
"fold": 1,
|
| 49 |
"train_range": "2008\u20132010",
|
|
@@ -52,47 +52,47 @@
|
|
| 52 |
{
|
| 53 |
"equity": [
|
| 54 |
1.0,
|
| 55 |
-
0.
|
| 56 |
-
|
| 57 |
-
1.
|
| 58 |
-
|
| 59 |
-
|
| 60 |
-
|
| 61 |
],
|
| 62 |
"returns": [
|
| 63 |
-
-0.
|
| 64 |
-
0.
|
| 65 |
-
0.
|
| 66 |
-
0.
|
| 67 |
-
0.
|
| 68 |
-
0.
|
| 69 |
],
|
| 70 |
"picks": [
|
| 71 |
[
|
| 72 |
-
"
|
| 73 |
],
|
| 74 |
[
|
| 75 |
-
"
|
| 76 |
],
|
| 77 |
[
|
| 78 |
-
"
|
| 79 |
],
|
| 80 |
[
|
| 81 |
-
"
|
| 82 |
],
|
| 83 |
[
|
| 84 |
-
"
|
| 85 |
],
|
| 86 |
[
|
| 87 |
-
"
|
| 88 |
]
|
| 89 |
],
|
| 90 |
"summary": {
|
| 91 |
-
"annualised_return": 0.
|
| 92 |
-
"annualised_vol": 0.
|
| 93 |
-
"sharpe_ratio":
|
| 94 |
-
"max_drawdown": -0.
|
| 95 |
-
"total_return": 0.
|
| 96 |
},
|
| 97 |
"fold": 2,
|
| 98 |
"train_range": "2008\u20132011",
|
|
@@ -101,24 +101,24 @@
|
|
| 101 |
{
|
| 102 |
"equity": [
|
| 103 |
1.0,
|
| 104 |
-
1.
|
| 105 |
-
0.
|
| 106 |
-
0.
|
| 107 |
-
0.
|
| 108 |
-
0.
|
| 109 |
-
0.
|
| 110 |
],
|
| 111 |
"returns": [
|
| 112 |
-
0.
|
| 113 |
-0.08707748937382397,
|
| 114 |
0.0004343250381326877,
|
| 115 |
-
0.
|
| 116 |
-
0.
|
| 117 |
0.006949072683833487
|
| 118 |
],
|
| 119 |
"picks": [
|
| 120 |
[
|
| 121 |
-
"
|
| 122 |
],
|
| 123 |
[
|
| 124 |
"TLT"
|
|
@@ -127,21 +127,21 @@
|
|
| 127 |
"HYG"
|
| 128 |
],
|
| 129 |
[
|
| 130 |
-
"
|
| 131 |
],
|
| 132 |
[
|
| 133 |
-
"
|
| 134 |
],
|
| 135 |
[
|
| 136 |
"HYG"
|
| 137 |
]
|
| 138 |
],
|
| 139 |
"summary": {
|
| 140 |
-
"annualised_return": -0.
|
| 141 |
-
"annualised_vol": 0.
|
| 142 |
-
"sharpe_ratio": -0.
|
| 143 |
-
"max_drawdown": -0.
|
| 144 |
-
"total_return": -0.
|
| 145 |
},
|
| 146 |
"fold": 3,
|
| 147 |
"train_range": "2009\u20132013",
|
|
@@ -153,17 +153,17 @@
|
|
| 153 |
1.0378346722222649,
|
| 154 |
1.0602664888203783,
|
| 155 |
1.1131152194442089,
|
| 156 |
-
1.
|
| 157 |
-
1.
|
| 158 |
-
1.
|
| 159 |
],
|
| 160 |
"returns": [
|
| 161 |
0.0378346722222648,
|
| 162 |
0.02161405587855477,
|
| 163 |
0.04984476184155226,
|
| 164 |
-
0.
|
| 165 |
0.02736429706265655,
|
| 166 |
-
-0.
|
| 167 |
],
|
| 168 |
"picks": [
|
| 169 |
[
|
|
@@ -176,21 +176,21 @@
|
|
| 176 |
"TLT"
|
| 177 |
],
|
| 178 |
[
|
| 179 |
-
"
|
| 180 |
],
|
| 181 |
[
|
| 182 |
"LQD"
|
| 183 |
],
|
| 184 |
[
|
| 185 |
-
"
|
| 186 |
]
|
| 187 |
],
|
| 188 |
"summary": {
|
| 189 |
-
"annualised_return": 0.
|
| 190 |
-
"annualised_vol": 0.
|
| 191 |
-
"sharpe_ratio": 1.
|
| 192 |
-
"max_drawdown": -0.
|
| 193 |
-
"total_return": 0.
|
| 194 |
},
|
| 195 |
"fold": 4,
|
| 196 |
"train_range": "2010\u20132014",
|
|
@@ -199,47 +199,47 @@
|
|
| 199 |
{
|
| 200 |
"equity": [
|
| 201 |
1.0,
|
| 202 |
-
0.
|
| 203 |
-
0.
|
| 204 |
-
0.
|
| 205 |
-
0.
|
| 206 |
-
0.
|
| 207 |
-
|
| 208 |
],
|
| 209 |
"returns": [
|
| 210 |
-
-0.
|
| 211 |
-
-0.
|
| 212 |
-
0.
|
| 213 |
-
-0.
|
| 214 |
-
|
| 215 |
-
0.
|
| 216 |
],
|
| 217 |
"picks": [
|
| 218 |
[
|
| 219 |
-
"
|
| 220 |
],
|
| 221 |
[
|
| 222 |
-
"
|
| 223 |
],
|
| 224 |
[
|
| 225 |
-
"
|
| 226 |
],
|
| 227 |
[
|
| 228 |
-
"
|
| 229 |
],
|
| 230 |
[
|
| 231 |
-
"
|
| 232 |
],
|
| 233 |
[
|
| 234 |
-
"
|
| 235 |
]
|
| 236 |
],
|
| 237 |
"summary": {
|
| 238 |
-
"annualised_return":
|
| 239 |
-
"annualised_vol": 0.
|
| 240 |
-
"sharpe_ratio":
|
| 241 |
-
"max_drawdown": -0.
|
| 242 |
-
"total_return":
|
| 243 |
},
|
| 244 |
"fold": 5,
|
| 245 |
"train_range": "2011\u20132015",
|
|
@@ -248,24 +248,24 @@
|
|
| 248 |
{
|
| 249 |
"equity": [
|
| 250 |
1.0,
|
| 251 |
-
1.
|
| 252 |
-
1.
|
| 253 |
-
1.
|
| 254 |
-
1.
|
| 255 |
-
1.
|
| 256 |
-
1.
|
| 257 |
],
|
| 258 |
"returns": [
|
| 259 |
-
0.
|
| 260 |
0.13501881429054788,
|
| 261 |
-0.1057446108764589,
|
| 262 |
-0.006860957286330737,
|
| 263 |
-
0.
|
| 264 |
-0.03915983161560126
|
| 265 |
],
|
| 266 |
"picks": [
|
| 267 |
[
|
| 268 |
-
"
|
| 269 |
],
|
| 270 |
[
|
| 271 |
"VNQ"
|
|
@@ -277,18 +277,18 @@
|
|
| 277 |
"VNQ"
|
| 278 |
],
|
| 279 |
[
|
| 280 |
-
"
|
| 281 |
],
|
| 282 |
[
|
| 283 |
"VNQ"
|
| 284 |
]
|
| 285 |
],
|
| 286 |
"summary": {
|
| 287 |
-
"annualised_return": 0.
|
| 288 |
-
"annualised_vol": 0.
|
| 289 |
-
"sharpe_ratio": 0.
|
| 290 |
"max_drawdown": -0.1119,
|
| 291 |
-
"total_return": 0.
|
| 292 |
},
|
| 293 |
"fold": 6,
|
| 294 |
"train_range": "2013\u20132016",
|
|
@@ -297,27 +297,27 @@
|
|
| 297 |
{
|
| 298 |
"equity": [
|
| 299 |
1.0,
|
| 300 |
-
1.
|
| 301 |
-
1.
|
| 302 |
-
1.
|
| 303 |
-
1.
|
| 304 |
-
0.
|
| 305 |
-
0.
|
| 306 |
],
|
| 307 |
"returns": [
|
| 308 |
-
0.
|
| 309 |
-
0.
|
| 310 |
-0.0032305948704793156,
|
| 311 |
0.01300569988753568,
|
| 312 |
-0.09940632075589875,
|
| 313 |
-
|
| 314 |
],
|
| 315 |
"picks": [
|
| 316 |
[
|
| 317 |
-
"
|
| 318 |
],
|
| 319 |
[
|
| 320 |
-
"
|
| 321 |
],
|
| 322 |
[
|
| 323 |
"VNQ"
|
|
@@ -329,15 +329,15 @@
|
|
| 329 |
"VNQ"
|
| 330 |
],
|
| 331 |
[
|
| 332 |
-
"
|
| 333 |
]
|
| 334 |
],
|
| 335 |
"summary": {
|
| 336 |
-
"annualised_return": -0.
|
| 337 |
-
"annualised_vol": 0.
|
| 338 |
-
"sharpe_ratio": -0.
|
| 339 |
-
"max_drawdown": -0.
|
| 340 |
-
"total_return": -0.
|
| 341 |
},
|
| 342 |
"fold": 7,
|
| 343 |
"train_range": "2014\u20132017",
|
|
@@ -347,17 +347,17 @@
|
|
| 347 |
"equity": [
|
| 348 |
1.0,
|
| 349 |
1.0183456646573443,
|
| 350 |
-
|
| 351 |
-
0.
|
| 352 |
-
|
| 353 |
-
1.
|
| 354 |
-
1.
|
| 355 |
],
|
| 356 |
"returns": [
|
| 357 |
0.018345664657344225,
|
| 358 |
-
|
| 359 |
-
-0.
|
| 360 |
-
|
| 361 |
0.0908896246602619,
|
| 362 |
0.02967668581469087
|
| 363 |
],
|
|
@@ -366,13 +366,13 @@
|
|
| 366 |
"VNQ"
|
| 367 |
],
|
| 368 |
[
|
| 369 |
-
"
|
| 370 |
],
|
| 371 |
[
|
| 372 |
-
"
|
| 373 |
],
|
| 374 |
[
|
| 375 |
-
"
|
| 376 |
],
|
| 377 |
[
|
| 378 |
"VNQ"
|
|
@@ -382,11 +382,11 @@
|
|
| 382 |
]
|
| 383 |
],
|
| 384 |
"summary": {
|
| 385 |
-
"annualised_return": 0.
|
| 386 |
-
"annualised_vol": 0.
|
| 387 |
-
"sharpe_ratio":
|
| 388 |
-
"max_drawdown": -0.
|
| 389 |
-
"total_return": 0.
|
| 390 |
},
|
| 391 |
"fold": 8,
|
| 392 |
"train_range": "2015\u20132018",
|
|
@@ -397,15 +397,15 @@
|
|
| 397 |
1.0,
|
| 398 |
1.0289896857281915,
|
| 399 |
1.0498447365462795,
|
| 400 |
-
1.
|
| 401 |
-
1.
|
| 402 |
-
1.
|
| 403 |
-
|
| 404 |
],
|
| 405 |
"returns": [
|
| 406 |
0.028989685728191515,
|
| 407 |
0.020267502296030783,
|
| 408 |
-
0.
|
| 409 |
0.02657308242082223,
|
| 410 |
-0.02122515611298951,
|
| 411 |
-0.06941063832673838
|
|
@@ -418,7 +418,7 @@
|
|
| 418 |
"VNQ"
|
| 419 |
],
|
| 420 |
[
|
| 421 |
-
"
|
| 422 |
],
|
| 423 |
[
|
| 424 |
"HYG"
|
|
@@ -431,11 +431,11 @@
|
|
| 431 |
]
|
| 432 |
],
|
| 433 |
"summary": {
|
| 434 |
-
"annualised_return":
|
| 435 |
-
"annualised_vol": 0.
|
| 436 |
-
"sharpe_ratio":
|
| 437 |
"max_drawdown": -0.0892,
|
| 438 |
-
"total_return":
|
| 439 |
},
|
| 440 |
"fold": 9,
|
| 441 |
"train_range": "2016\u20132019",
|
|
@@ -444,24 +444,24 @@
|
|
| 444 |
{
|
| 445 |
"equity": [
|
| 446 |
1.0,
|
| 447 |
-
1.
|
| 448 |
-
1.
|
| 449 |
-
1.
|
| 450 |
-
1.
|
| 451 |
-
1.
|
| 452 |
-
1.
|
| 453 |
],
|
| 454 |
"returns": [
|
| 455 |
-
0.
|
| 456 |
0.11524759198946712,
|
| 457 |
0.030018219635235856,
|
| 458 |
-
|
| 459 |
-0.09060445768831663,
|
| 460 |
-0.020406812808477323
|
| 461 |
],
|
| 462 |
"picks": [
|
| 463 |
[
|
| 464 |
-
"
|
| 465 |
],
|
| 466 |
[
|
| 467 |
"VNQ"
|
|
@@ -470,7 +470,7 @@
|
|
| 470 |
"VNQ"
|
| 471 |
],
|
| 472 |
[
|
| 473 |
-
"
|
| 474 |
],
|
| 475 |
[
|
| 476 |
"TLT"
|
|
@@ -480,11 +480,11 @@
|
|
| 480 |
]
|
| 481 |
],
|
| 482 |
"summary": {
|
| 483 |
-
"annualised_return": 0.
|
| 484 |
-
"annualised_vol": 0.
|
| 485 |
-
"sharpe_ratio": 0.
|
| 486 |
-
"max_drawdown": -0.
|
| 487 |
-
"total_return": 0.
|
| 488 |
},
|
| 489 |
"fold": 10,
|
| 490 |
"train_range": "2017\u20132020",
|
|
@@ -496,16 +496,16 @@
|
|
| 496 |
1.0842334430161555,
|
| 497 |
1.0406261379737383,
|
| 498 |
1.0055363739158545,
|
| 499 |
-
|
| 500 |
-
1.
|
| 501 |
-
0.
|
| 502 |
],
|
| 503 |
"returns": [
|
| 504 |
0.08423344301615543,
|
| 505 |
-0.0402194797839006,
|
| 506 |
-0.03371985651466444,
|
| 507 |
-
0.
|
| 508 |
-
0.
|
| 509 |
-0.07432138211933854
|
| 510 |
],
|
| 511 |
"picks": [
|
|
@@ -519,21 +519,21 @@
|
|
| 519 |
"GLD"
|
| 520 |
],
|
| 521 |
[
|
| 522 |
-
"
|
| 523 |
],
|
| 524 |
[
|
| 525 |
-
"
|
| 526 |
],
|
| 527 |
[
|
| 528 |
"SLV"
|
| 529 |
]
|
| 530 |
],
|
| 531 |
"summary": {
|
| 532 |
-
"annualised_return": -0.
|
| 533 |
-
"annualised_vol": 0.
|
| 534 |
-
"sharpe_ratio": -0.
|
| 535 |
-
"max_drawdown": -0.
|
| 536 |
-
"total_return": -0.
|
| 537 |
},
|
| 538 |
"fold": 11,
|
| 539 |
"train_range": "2018\u20132021",
|
|
@@ -542,15 +542,15 @@
|
|
| 542 |
{
|
| 543 |
"equity": [
|
| 544 |
1.0,
|
| 545 |
-
0.
|
| 546 |
-
0.
|
| 547 |
-
0.
|
| 548 |
-
0.
|
| 549 |
-
0.
|
| 550 |
-
1.
|
| 551 |
],
|
| 552 |
"returns": [
|
| 553 |
-
-0.
|
| 554 |
-0.08607962696436741,
|
| 555 |
-0.019381841253475134,
|
| 556 |
0.17931568043001275,
|
|
@@ -559,7 +559,7 @@
|
|
| 559 |
],
|
| 560 |
"picks": [
|
| 561 |
[
|
| 562 |
-
"
|
| 563 |
],
|
| 564 |
[
|
| 565 |
"SLV"
|
|
@@ -578,11 +578,11 @@
|
|
| 578 |
]
|
| 579 |
],
|
| 580 |
"summary": {
|
| 581 |
-
"annualised_return": 0.
|
| 582 |
-
"annualised_vol": 0.
|
| 583 |
-
"sharpe_ratio": 0.
|
| 584 |
-
"max_drawdown": -0.
|
| 585 |
-
"total_return": 0.
|
| 586 |
},
|
| 587 |
"fold": 12,
|
| 588 |
"train_range": "2019\u20132022",
|
|
@@ -640,47 +640,47 @@
|
|
| 640 |
{
|
| 641 |
"equity": [
|
| 642 |
1.0,
|
| 643 |
-
|
| 644 |
-
1.
|
| 645 |
-
1.
|
| 646 |
-
1.
|
| 647 |
-
1.
|
| 648 |
-
1.
|
| 649 |
],
|
| 650 |
"returns": [
|
| 651 |
-
|
| 652 |
0.028381611773916925,
|
| 653 |
-
0.
|
| 654 |
-
-0.
|
| 655 |
-
0.
|
| 656 |
0.10626583344656725
|
| 657 |
],
|
| 658 |
"picks": [
|
| 659 |
[
|
| 660 |
-
"
|
| 661 |
],
|
| 662 |
[
|
| 663 |
"GLD"
|
| 664 |
],
|
| 665 |
[
|
| 666 |
-
"
|
| 667 |
],
|
| 668 |
[
|
| 669 |
-
"
|
| 670 |
],
|
| 671 |
[
|
| 672 |
-
"
|
| 673 |
],
|
| 674 |
[
|
| 675 |
"GLD"
|
| 676 |
]
|
| 677 |
],
|
| 678 |
"summary": {
|
| 679 |
-
"annualised_return": 0.
|
| 680 |
-
"annualised_vol": 0.
|
| 681 |
-
"sharpe_ratio":
|
| 682 |
-
"max_drawdown": -0.
|
| 683 |
-
"total_return": 0.
|
| 684 |
},
|
| 685 |
"fold": 14,
|
| 686 |
"train_range": "2021\u20132024",
|
|
@@ -693,156 +693,156 @@
|
|
| 693 |
0.9942164998310253,
|
| 694 |
1.1357112163930942,
|
| 695 |
0.8411761395424373,
|
| 696 |
-
0.
|
| 697 |
-
|
| 698 |
-
0.
|
| 699 |
-
0.
|
| 700 |
-
0.
|
| 701 |
-
0.
|
| 702 |
-
0.
|
| 703 |
-
|
| 704 |
-
|
| 705 |
-
|
| 706 |
-
0.
|
| 707 |
-
0.
|
| 708 |
-
0.
|
| 709 |
-
|
| 710 |
-
|
| 711 |
-
|
| 712 |
-
|
| 713 |
-
|
| 714 |
-
|
| 715 |
-
|
| 716 |
-
|
| 717 |
-
|
| 718 |
-
|
| 719 |
-
|
| 720 |
-
0.
|
| 721 |
-
0.
|
| 722 |
-
|
| 723 |
-
|
| 724 |
-
|
| 725 |
-
|
| 726 |
-
|
| 727 |
-
|
| 728 |
-
|
| 729 |
-
|
| 730 |
-
|
| 731 |
-
|
| 732 |
-
|
| 733 |
-
|
| 734 |
-
|
| 735 |
-
|
| 736 |
-
|
| 737 |
-
|
| 738 |
-
|
| 739 |
-
|
| 740 |
-
|
| 741 |
-
|
| 742 |
-
|
| 743 |
-
|
| 744 |
-
|
| 745 |
-
|
| 746 |
-
|
| 747 |
-
|
| 748 |
-
1.
|
| 749 |
-
1.
|
| 750 |
-
1.
|
| 751 |
-
1.
|
| 752 |
-
1.
|
| 753 |
-
1.
|
| 754 |
-
1.
|
| 755 |
-
1.
|
| 756 |
-
1.
|
| 757 |
-
1.
|
| 758 |
-
1.
|
| 759 |
-
|
| 760 |
-
|
| 761 |
-
|
| 762 |
-
|
| 763 |
-
|
| 764 |
-
1.
|
| 765 |
-
1.
|
| 766 |
-
1.
|
| 767 |
-
1.
|
| 768 |
-
1.
|
| 769 |
-
1.
|
| 770 |
-
|
| 771 |
-
|
| 772 |
-
|
| 773 |
-
|
| 774 |
-
|
| 775 |
-
|
| 776 |
-
|
| 777 |
],
|
| 778 |
"returns": [
|
| 779 |
-0.005783500168974654,
|
| 780 |
0.14231781164979362,
|
| 781 |
-0.25933976225582334,
|
| 782 |
-
0.
|
| 783 |
0.0947529969739529,
|
| 784 |
-0.10307653407817279,
|
| 785 |
-
-0.
|
| 786 |
-
0.
|
| 787 |
-
0.
|
| 788 |
-
0.
|
| 789 |
-
0.
|
| 790 |
-
0.
|
| 791 |
-
0.
|
| 792 |
-0.08707748937382397,
|
| 793 |
0.0004343250381326877,
|
| 794 |
-
0.
|
| 795 |
-
0.
|
| 796 |
0.006949072683833487,
|
| 797 |
0.0378346722222648,
|
| 798 |
0.02161405587855477,
|
| 799 |
0.04984476184155226,
|
| 800 |
-
0.
|
| 801 |
0.02736429706265655,
|
| 802 |
-
-0.
|
| 803 |
-
-0.
|
| 804 |
-
-0.
|
| 805 |
-
0.
|
| 806 |
-
-0.
|
| 807 |
-
|
| 808 |
-
0.
|
| 809 |
-
0.
|
| 810 |
0.13501881429054788,
|
| 811 |
-0.1057446108764589,
|
| 812 |
-0.006860957286330737,
|
| 813 |
-
0.
|
| 814 |
-0.03915983161560126,
|
| 815 |
-
0.
|
| 816 |
-
0.
|
| 817 |
-0.0032305948704793156,
|
| 818 |
0.01300569988753568,
|
| 819 |
-0.09940632075589875,
|
| 820 |
-
|
| 821 |
0.018345664657344225,
|
| 822 |
-
|
| 823 |
-
-0.
|
| 824 |
-
|
| 825 |
0.0908896246602619,
|
| 826 |
0.02967668581469087,
|
| 827 |
0.028989685728191515,
|
| 828 |
0.020267502296030783,
|
| 829 |
-
0.
|
| 830 |
0.02657308242082223,
|
| 831 |
-0.02122515611298951,
|
| 832 |
-0.06941063832673838,
|
| 833 |
-
0.
|
| 834 |
0.11524759198946712,
|
| 835 |
0.030018219635235856,
|
| 836 |
-
|
| 837 |
-0.09060445768831663,
|
| 838 |
-0.020406812808477323,
|
| 839 |
0.08423344301615543,
|
| 840 |
-0.0402194797839006,
|
| 841 |
-0.03371985651466444,
|
| 842 |
-
0.
|
| 843 |
-
0.
|
| 844 |
-0.07432138211933854,
|
| 845 |
-
-0.
|
| 846 |
-0.08607962696436741,
|
| 847 |
-0.019381841253475134,
|
| 848 |
0.17931568043001275,
|
|
@@ -854,21 +854,21 @@
|
|
| 854 |
0.08967494318596403,
|
| 855 |
-0.0610104904171535,
|
| 856 |
0.2015697691215615,
|
| 857 |
-
|
| 858 |
0.028381611773916925,
|
| 859 |
-
0.
|
| 860 |
-
-0.
|
| 861 |
-
0.
|
| 862 |
0.10626583344656725
|
| 863 |
],
|
| 864 |
"summary": {
|
| 865 |
-
"annualised_return": 0.
|
| 866 |
-
"annualised_vol": 0.
|
| 867 |
-
"sharpe_ratio": 0.
|
| 868 |
-
"max_drawdown": -0.
|
| 869 |
-
"total_return":
|
| 870 |
"num_folds": 14
|
| 871 |
}
|
| 872 |
},
|
| 873 |
-
"elapsed_s":
|
| 874 |
}
|
|
|
|
| 6 |
0.9942164998310253,
|
| 7 |
1.1357112163930942,
|
| 8 |
0.8411761395424373,
|
| 9 |
+
0.9223089367119943,
|
| 10 |
+
1.0097004726013157,
|
| 11 |
+
0.905624047428479
|
| 12 |
],
|
| 13 |
"returns": [
|
| 14 |
-0.005783500168974654,
|
| 15 |
0.14231781164979362,
|
| 16 |
-0.25933976225582334,
|
| 17 |
+
0.09645161501334283,
|
| 18 |
0.0947529969739529,
|
| 19 |
-0.10307653407817279
|
| 20 |
],
|
|
|
|
| 29 |
"SLV"
|
| 30 |
],
|
| 31 |
[
|
| 32 |
+
"VNQ"
|
| 33 |
],
|
| 34 |
[
|
| 35 |
"SLV"
|
|
|
|
| 39 |
]
|
| 40 |
],
|
| 41 |
"summary": {
|
| 42 |
+
"annualised_return": -0.0831,
|
| 43 |
+
"annualised_vol": 0.3189,
|
| 44 |
+
"sharpe_ratio": -0.2605,
|
| 45 |
"max_drawdown": -0.2593,
|
| 46 |
+
"total_return": -0.0944
|
| 47 |
},
|
| 48 |
"fold": 1,
|
| 49 |
"train_range": "2008\u20132010",
|
|
|
|
| 52 |
{
|
| 53 |
"equity": [
|
| 54 |
1.0,
|
| 55 |
+
0.8179879220396251,
|
| 56 |
+
0.8004365950945375,
|
| 57 |
+
1.0026158949677897,
|
| 58 |
+
0.9413693262583778,
|
| 59 |
+
0.8361837416942945,
|
| 60 |
+
0.6921188801595571
|
| 61 |
],
|
| 62 |
"returns": [
|
| 63 |
+
-0.1820120779603749,
|
| 64 |
+
-0.021456706721688493,
|
| 65 |
+
0.2525862774294738,
|
| 66 |
+
-0.06108677212959954,
|
| 67 |
+
-0.11173678770919812,
|
| 68 |
+
-0.17228852266707545
|
| 69 |
],
|
| 70 |
"picks": [
|
| 71 |
[
|
| 72 |
+
"SLV"
|
| 73 |
],
|
| 74 |
[
|
| 75 |
+
"SLV"
|
| 76 |
],
|
| 77 |
[
|
| 78 |
+
"SLV"
|
| 79 |
],
|
| 80 |
[
|
| 81 |
+
"SLV"
|
| 82 |
],
|
| 83 |
[
|
| 84 |
+
"SLV"
|
| 85 |
],
|
| 86 |
[
|
| 87 |
+
"SLV"
|
| 88 |
]
|
| 89 |
],
|
| 90 |
"summary": {
|
| 91 |
+
"annualised_return": -0.2753,
|
| 92 |
+
"annualised_vol": 0.3356,
|
| 93 |
+
"sharpe_ratio": -0.8204,
|
| 94 |
+
"max_drawdown": -0.3097,
|
| 95 |
+
"total_return": -0.3079
|
| 96 |
},
|
| 97 |
"fold": 2,
|
| 98 |
"train_range": "2008\u20132011",
|
|
|
|
| 101 |
{
|
| 102 |
"equity": [
|
| 103 |
1.0,
|
| 104 |
+
1.022027021613372,
|
| 105 |
+
0.9330314744990726,
|
| 106 |
+
0.9334367134298135,
|
| 107 |
+
0.9109471648743462,
|
| 108 |
+
0.9511913165458372,
|
| 109 |
+
0.9578012141407455
|
| 110 |
],
|
| 111 |
"returns": [
|
| 112 |
+
0.022027021613372097,
|
| 113 |
-0.08707748937382397,
|
| 114 |
0.0004343250381326877,
|
| 115 |
+
-0.02409327620383791,
|
| 116 |
+
0.04417835986902947,
|
| 117 |
0.006949072683833487
|
| 118 |
],
|
| 119 |
"picks": [
|
| 120 |
[
|
| 121 |
+
"TLT"
|
| 122 |
],
|
| 123 |
[
|
| 124 |
"TLT"
|
|
|
|
| 127 |
"HYG"
|
| 128 |
],
|
| 129 |
[
|
| 130 |
+
"TLT"
|
| 131 |
],
|
| 132 |
[
|
| 133 |
+
"TLT"
|
| 134 |
],
|
| 135 |
[
|
| 136 |
"HYG"
|
| 137 |
]
|
| 138 |
],
|
| 139 |
"summary": {
|
| 140 |
+
"annualised_return": -0.037,
|
| 141 |
+
"annualised_vol": 0.0955,
|
| 142 |
+
"sharpe_ratio": -0.3879,
|
| 143 |
+
"max_drawdown": -0.1087,
|
| 144 |
+
"total_return": -0.0422
|
| 145 |
},
|
| 146 |
"fold": 3,
|
| 147 |
"train_range": "2009\u20132013",
|
|
|
|
| 153 |
1.0378346722222649,
|
| 154 |
1.0602664888203783,
|
| 155 |
1.1131152194442089,
|
| 156 |
+
1.1787202766473126,
|
| 157 |
+
1.2109751284512664,
|
| 158 |
+
1.1384417324097829
|
| 159 |
],
|
| 160 |
"returns": [
|
| 161 |
0.0378346722222648,
|
| 162 |
0.02161405587855477,
|
| 163 |
0.04984476184155226,
|
| 164 |
+
0.05893824471815334,
|
| 165 |
0.02736429706265655,
|
| 166 |
+
-0.059896685189767276
|
| 167 |
],
|
| 168 |
"picks": [
|
| 169 |
[
|
|
|
|
| 176 |
"TLT"
|
| 177 |
],
|
| 178 |
[
|
| 179 |
+
"TLT"
|
| 180 |
],
|
| 181 |
[
|
| 182 |
"LQD"
|
| 183 |
],
|
| 184 |
[
|
| 185 |
+
"VNQ"
|
| 186 |
]
|
| 187 |
],
|
| 188 |
"summary": {
|
| 189 |
+
"annualised_return": 0.1201,
|
| 190 |
+
"annualised_vol": 0.0894,
|
| 191 |
+
"sharpe_ratio": 1.3446,
|
| 192 |
+
"max_drawdown": -0.0599,
|
| 193 |
+
"total_return": 0.1384
|
| 194 |
},
|
| 195 |
"fold": 4,
|
| 196 |
"train_range": "2010\u20132014",
|
|
|
|
| 199 |
{
|
| 200 |
"equity": [
|
| 201 |
1.0,
|
| 202 |
+
0.9862116687660074,
|
| 203 |
+
0.9716492936780688,
|
| 204 |
+
0.9850780040121683,
|
| 205 |
+
0.9699468339087491,
|
| 206 |
+
0.9788262575763518,
|
| 207 |
+
1.0271288189080998
|
| 208 |
],
|
| 209 |
"returns": [
|
| 210 |
+
-0.013788331233992585,
|
| 211 |
+
-0.014765973217655867,
|
| 212 |
+
0.013820532183239217,
|
| 213 |
+
-0.015360377596282409,
|
| 214 |
+
0.009154546782548765,
|
| 215 |
+
0.049347431127714954
|
| 216 |
],
|
| 217 |
"picks": [
|
| 218 |
[
|
| 219 |
+
"LQD"
|
| 220 |
],
|
| 221 |
[
|
| 222 |
+
"LQD"
|
| 223 |
],
|
| 224 |
[
|
| 225 |
+
"LQD"
|
| 226 |
],
|
| 227 |
[
|
| 228 |
+
"LQD"
|
| 229 |
],
|
| 230 |
[
|
| 231 |
+
"LQD"
|
| 232 |
],
|
| 233 |
[
|
| 234 |
+
"LQD"
|
| 235 |
]
|
| 236 |
],
|
| 237 |
"summary": {
|
| 238 |
+
"annualised_return": 0.0237,
|
| 239 |
+
"annualised_vol": 0.0531,
|
| 240 |
+
"sharpe_ratio": 0.4465,
|
| 241 |
+
"max_drawdown": -0.0301,
|
| 242 |
+
"total_return": 0.0271
|
| 243 |
},
|
| 244 |
"fold": 5,
|
| 245 |
"train_range": "2011\u20132015",
|
|
|
|
| 248 |
{
|
| 249 |
"equity": [
|
| 250 |
1.0,
|
| 251 |
+
1.019653948335631,
|
| 252 |
+
1.1573264154265837,
|
| 253 |
+
1.0349453839702525,
|
| 254 |
+
1.0278446678971473,
|
| 255 |
+
1.092346134721758,
|
| 256 |
+
1.0495700440201012
|
| 257 |
],
|
| 258 |
"returns": [
|
| 259 |
+
0.019653948335631152,
|
| 260 |
0.13501881429054788,
|
| 261 |
-0.1057446108764589,
|
| 262 |
-0.006860957286330737,
|
| 263 |
+
0.0627540997576738,
|
| 264 |
-0.03915983161560126
|
| 265 |
],
|
| 266 |
"picks": [
|
| 267 |
[
|
| 268 |
+
"VNQ"
|
| 269 |
],
|
| 270 |
[
|
| 271 |
"VNQ"
|
|
|
|
| 277 |
"VNQ"
|
| 278 |
],
|
| 279 |
[
|
| 280 |
+
"VNQ"
|
| 281 |
],
|
| 282 |
[
|
| 283 |
"VNQ"
|
| 284 |
]
|
| 285 |
],
|
| 286 |
"summary": {
|
| 287 |
+
"annualised_return": 0.0432,
|
| 288 |
+
"annualised_vol": 0.174,
|
| 289 |
+
"sharpe_ratio": 0.2485,
|
| 290 |
"max_drawdown": -0.1119,
|
| 291 |
+
"total_return": 0.0496
|
| 292 |
},
|
| 293 |
"fold": 6,
|
| 294 |
"train_range": "2013\u20132016",
|
|
|
|
| 297 |
{
|
| 298 |
"equity": [
|
| 299 |
1.0,
|
| 300 |
+
1.029307032086356,
|
| 301 |
+
1.0591193706302797,
|
| 302 |
+
1.0556977850242963,
|
| 303 |
+
1.0694278735882585,
|
| 304 |
+
0.9631199833610454,
|
| 305 |
+
0.9982521860013736
|
| 306 |
],
|
| 307 |
"returns": [
|
| 308 |
+
0.0293070320863561,
|
| 309 |
+
0.028963504197086418,
|
| 310 |
-0.0032305948704793156,
|
| 311 |
0.01300569988753568,
|
| 312 |
-0.09940632075589875,
|
| 313 |
+
0.03647749319635709
|
| 314 |
],
|
| 315 |
"picks": [
|
| 316 |
[
|
| 317 |
+
"VNQ"
|
| 318 |
],
|
| 319 |
[
|
| 320 |
+
"VNQ"
|
| 321 |
],
|
| 322 |
[
|
| 323 |
"VNQ"
|
|
|
|
| 329 |
"VNQ"
|
| 330 |
],
|
| 331 |
[
|
| 332 |
+
"VNQ"
|
| 333 |
]
|
| 334 |
],
|
| 335 |
"summary": {
|
| 336 |
+
"annualised_return": -0.0015,
|
| 337 |
+
"annualised_vol": 0.107,
|
| 338 |
+
"sharpe_ratio": -0.0143,
|
| 339 |
+
"max_drawdown": -0.0994,
|
| 340 |
+
"total_return": -0.0017
|
| 341 |
},
|
| 342 |
"fold": 7,
|
| 343 |
"train_range": "2014\u20132017",
|
|
|
|
| 347 |
"equity": [
|
| 348 |
1.0,
|
| 349 |
1.0183456646573443,
|
| 350 |
+
1.0437901157575362,
|
| 351 |
+
0.9869291170655314,
|
| 352 |
+
1.0316971635611585,
|
| 353 |
+
1.125467731520289,
|
| 354 |
+
1.1588678837831894
|
| 355 |
],
|
| 356 |
"returns": [
|
| 357 |
0.018345664657344225,
|
| 358 |
+
0.0249860651282426,
|
| 359 |
+
-0.054475509811412304,
|
| 360 |
+
0.045360954218006386,
|
| 361 |
0.0908896246602619,
|
| 362 |
0.02967668581469087
|
| 363 |
],
|
|
|
|
| 366 |
"VNQ"
|
| 367 |
],
|
| 368 |
[
|
| 369 |
+
"TLT"
|
| 370 |
],
|
| 371 |
[
|
| 372 |
+
"TLT"
|
| 373 |
],
|
| 374 |
[
|
| 375 |
+
"GLD"
|
| 376 |
],
|
| 377 |
[
|
| 378 |
"VNQ"
|
|
|
|
| 382 |
]
|
| 383 |
],
|
| 384 |
"summary": {
|
| 385 |
+
"annualised_return": 0.1377,
|
| 386 |
+
"annualised_vol": 0.0987,
|
| 387 |
+
"sharpe_ratio": 1.3951,
|
| 388 |
+
"max_drawdown": -0.0545,
|
| 389 |
+
"total_return": 0.1589
|
| 390 |
},
|
| 391 |
"fold": 8,
|
| 392 |
"train_range": "2015\u20132018",
|
|
|
|
| 397 |
1.0,
|
| 398 |
1.0289896857281915,
|
| 399 |
1.0498447365462795,
|
| 400 |
+
1.1041348993047442,
|
| 401 |
+
1.1334751669876753,
|
| 402 |
+
1.109416979618165,
|
| 403 |
+
1.032411638892346
|
| 404 |
],
|
| 405 |
"returns": [
|
| 406 |
0.028989685728191515,
|
| 407 |
0.020267502296030783,
|
| 408 |
+
0.05171256364733071,
|
| 409 |
0.02657308242082223,
|
| 410 |
-0.02122515611298951,
|
| 411 |
-0.06941063832673838
|
|
|
|
| 418 |
"VNQ"
|
| 419 |
],
|
| 420 |
[
|
| 421 |
+
"VNQ"
|
| 422 |
],
|
| 423 |
[
|
| 424 |
"HYG"
|
|
|
|
| 431 |
]
|
| 432 |
],
|
| 433 |
"summary": {
|
| 434 |
+
"annualised_return": 0.0283,
|
| 435 |
+
"annualised_vol": 0.092,
|
| 436 |
+
"sharpe_ratio": 0.3077,
|
| 437 |
"max_drawdown": -0.0892,
|
| 438 |
+
"total_return": 0.0324
|
| 439 |
},
|
| 440 |
"fold": 9,
|
| 441 |
"train_range": "2016\u20132019",
|
|
|
|
| 444 |
{
|
| 445 |
"equity": [
|
| 446 |
1.0,
|
| 447 |
+
1.123095637800434,
|
| 448 |
+
1.2525297056308087,
|
| 449 |
+
1.2901284174340917,
|
| 450 |
+
1.3260896517738074,
|
| 451 |
+
1.205940018028753,
|
| 452 |
+
1.1813306258225884
|
| 453 |
],
|
| 454 |
"returns": [
|
| 455 |
+
0.12309563780043409,
|
| 456 |
0.11524759198946712,
|
| 457 |
0.030018219635235856,
|
| 458 |
+
0.027874151017647016,
|
| 459 |
-0.09060445768831663,
|
| 460 |
-0.020406812808477323
|
| 461 |
],
|
| 462 |
"picks": [
|
| 463 |
[
|
| 464 |
+
"VNQ"
|
| 465 |
],
|
| 466 |
[
|
| 467 |
"VNQ"
|
|
|
|
| 470 |
"VNQ"
|
| 471 |
],
|
| 472 |
[
|
| 473 |
+
"VNQ"
|
| 474 |
],
|
| 475 |
[
|
| 476 |
"TLT"
|
|
|
|
| 480 |
]
|
| 481 |
],
|
| 482 |
"summary": {
|
| 483 |
+
"annualised_return": 0.157,
|
| 484 |
+
"annualised_vol": 0.17,
|
| 485 |
+
"sharpe_ratio": 0.9235,
|
| 486 |
+
"max_drawdown": -0.1092,
|
| 487 |
+
"total_return": 0.1813
|
| 488 |
},
|
| 489 |
"fold": 10,
|
| 490 |
"train_range": "2017\u20132020",
|
|
|
|
| 496 |
1.0842334430161555,
|
| 497 |
1.0406261379737383,
|
| 498 |
1.0055363739158545,
|
| 499 |
+
0.9958457946985783,
|
| 500 |
+
1.0709734088932503,
|
| 501 |
+
0.9913771849312444
|
| 502 |
],
|
| 503 |
"returns": [
|
| 504 |
0.08423344301615543,
|
| 505 |
-0.0402194797839006,
|
| 506 |
-0.03371985651466444,
|
| 507 |
+
-0.00963722394202243,
|
| 508 |
+
0.07544101164519317,
|
| 509 |
-0.07432138211933854
|
| 510 |
],
|
| 511 |
"picks": [
|
|
|
|
| 519 |
"GLD"
|
| 520 |
],
|
| 521 |
[
|
| 522 |
+
"SLV"
|
| 523 |
],
|
| 524 |
[
|
| 525 |
+
"SLV"
|
| 526 |
],
|
| 527 |
[
|
| 528 |
"SLV"
|
| 529 |
]
|
| 530 |
],
|
| 531 |
"summary": {
|
| 532 |
+
"annualised_return": -0.0075,
|
| 533 |
+
"annualised_vol": 0.1361,
|
| 534 |
+
"sharpe_ratio": -0.0555,
|
| 535 |
+
"max_drawdown": -0.0856,
|
| 536 |
+
"total_return": -0.0086
|
| 537 |
},
|
| 538 |
"fold": 11,
|
| 539 |
"train_range": "2018\u20132021",
|
|
|
|
| 542 |
{
|
| 543 |
"equity": [
|
| 544 |
1.0,
|
| 545 |
+
0.8719130600639011,
|
| 546 |
+
0.7968591091082404,
|
| 547 |
+
0.781414512354119,
|
| 548 |
+
0.9215343873347843,
|
| 549 |
+
0.8269772211754212,
|
| 550 |
+
1.0090482011312534
|
| 551 |
],
|
| 552 |
"returns": [
|
| 553 |
+
-0.12808693993609885,
|
| 554 |
-0.08607962696436741,
|
| 555 |
-0.019381841253475134,
|
| 556 |
0.17931568043001275,
|
|
|
|
| 559 |
],
|
| 560 |
"picks": [
|
| 561 |
[
|
| 562 |
+
"SLV"
|
| 563 |
],
|
| 564 |
[
|
| 565 |
"SLV"
|
|
|
|
| 578 |
]
|
| 579 |
],
|
| 580 |
"summary": {
|
| 581 |
+
"annualised_return": 0.0079,
|
| 582 |
+
"annualised_vol": 0.3168,
|
| 583 |
+
"sharpe_ratio": 0.025,
|
| 584 |
+
"max_drawdown": -0.2186,
|
| 585 |
+
"total_return": 0.009
|
| 586 |
},
|
| 587 |
"fold": 12,
|
| 588 |
"train_range": "2019\u20132022",
|
|
|
|
| 640 |
{
|
| 641 |
"equity": [
|
| 642 |
1.0,
|
| 643 |
+
1.0774380817208355,
|
| 644 |
+
1.10801751106667,
|
| 645 |
+
1.2202986405318135,
|
| 646 |
+
1.1886766890086407,
|
| 647 |
+
1.3324529425129035,
|
| 648 |
+
1.4740471649773679
|
| 649 |
],
|
| 650 |
"returns": [
|
| 651 |
+
0.07743808172083563,
|
| 652 |
0.028381611773916925,
|
| 653 |
+
0.10133515792277728,
|
| 654 |
+
-0.025913289151409433,
|
| 655 |
+
0.12095488607938672,
|
| 656 |
0.10626583344656725
|
| 657 |
],
|
| 658 |
"picks": [
|
| 659 |
[
|
| 660 |
+
"GLD"
|
| 661 |
],
|
| 662 |
[
|
| 663 |
"GLD"
|
| 664 |
],
|
| 665 |
[
|
| 666 |
+
"GLD"
|
| 667 |
],
|
| 668 |
[
|
| 669 |
+
"GLD"
|
| 670 |
],
|
| 671 |
[
|
| 672 |
+
"GLD"
|
| 673 |
],
|
| 674 |
[
|
| 675 |
"GLD"
|
| 676 |
]
|
| 677 |
],
|
| 678 |
"summary": {
|
| 679 |
+
"annualised_return": 0.4043,
|
| 680 |
+
"annualised_vol": 0.1178,
|
| 681 |
+
"sharpe_ratio": 3.4319,
|
| 682 |
+
"max_drawdown": -0.0259,
|
| 683 |
+
"total_return": 0.474
|
| 684 |
},
|
| 685 |
"fold": 14,
|
| 686 |
"train_range": "2021\u20132024",
|
|
|
|
| 693 |
0.9942164998310253,
|
| 694 |
1.1357112163930942,
|
| 695 |
0.8411761395424373,
|
| 696 |
+
0.9223089367119943,
|
| 697 |
+
1.0097004726013157,
|
| 698 |
+
0.905624047428479,
|
| 699 |
+
0.7407895327051365,
|
| 700 |
+
0.7248946289593857,
|
| 701 |
+
0.9079930648168566,
|
| 702 |
+
0.8525266993711326,
|
| 703 |
+
0.7572681045470769,
|
| 704 |
+
0.6267995015517647,
|
| 705 |
+
0.6406060277196962,
|
| 706 |
+
0.5848236631481267,
|
| 707 |
+
0.5850776667079244,
|
| 708 |
+
0.5709812288832333,
|
| 709 |
+
0.5962062430912975,
|
| 710 |
+
0.6003493236090943,
|
| 711 |
+
0.6230633434867028,
|
| 712 |
+
0.6365302694087035,
|
| 713 |
+
0.6682579690923195,
|
| 714 |
+
0.7076439208095388,
|
| 715 |
+
0.727008099273154,
|
| 716 |
+
0.6834627240205788,
|
| 717 |
+
0.6740389135956962,
|
| 718 |
+
0.6640860730498843,
|
| 719 |
+
0.6732640959949112,
|
| 720 |
+
0.6629225052584097,
|
| 721 |
+
0.6689912603460022,
|
| 722 |
+
0.7020042604909698,
|
| 723 |
+
0.7158014159580521,
|
| 724 |
+
0.8124480744082037,
|
| 725 |
+
0.7265360689225798,
|
| 726 |
+
0.7215513359867234,
|
| 727 |
+
0.7668316405055171,
|
| 728 |
+
0.7368026425858059,
|
| 729 |
+
0.75839614127338,
|
| 730 |
+
0.7803619510942056,
|
| 731 |
+
0.7778409177778834,
|
| 732 |
+
0.7879572833147479,
|
| 733 |
+
0.7096293488676155,
|
| 734 |
+
0.7355148486128693,
|
| 735 |
+
0.7490083573760183,
|
| 736 |
+
0.7677231289750135,
|
| 737 |
+
0.7259010201300871,
|
| 738 |
+
0.7588285830710121,
|
| 739 |
+
0.8277982281678148,
|
| 740 |
+
0.8523645361031088,
|
| 741 |
+
0.8770743161305936,
|
| 742 |
+
0.89485042184656,
|
| 743 |
+
0.9411254312411411,
|
| 744 |
+
0.9661340348938438,
|
| 745 |
+
0.9456276891771495,
|
| 746 |
+
0.879991067651925,
|
| 747 |
+
0.9883141293832236,
|
| 748 |
+
1.1022149529238068,
|
| 749 |
+
1.1353014834659148,
|
| 750 |
+
1.1669470484666022,
|
| 751 |
+
1.0612164439893041,
|
| 752 |
+
1.0395603986675364,
|
| 753 |
+
1.1271261502705503,
|
| 754 |
+
1.081793722855838,
|
| 755 |
+
1.0453157937426745,
|
| 756 |
+
1.0352418513482435,
|
| 757 |
+
1.1133415439113976,
|
| 758 |
+
1.0305964615970242,
|
| 759 |
+
0.8985905145220902,
|
| 760 |
+
0.8212401782383096,
|
| 761 |
+
0.8053230314727191,
|
| 762 |
+
0.9497300788272103,
|
| 763 |
+
0.8522797979647287,
|
| 764 |
+
1.0399215056667122,
|
| 765 |
+
1.1025757200885495,
|
| 766 |
+
1.124860636469726,
|
| 767 |
+
1.0472042254665934,
|
| 768 |
+
1.1411122048894116,
|
| 769 |
+
1.0714923896481092,
|
| 770 |
+
1.2874728632449888,
|
| 771 |
+
1.3871722920423124,
|
| 772 |
+
1.4265424774985918,
|
| 773 |
+
1.5711013847394615,
|
| 774 |
+
1.530388980270528,
|
| 775 |
+
1.7154970050362985,
|
| 776 |
+
1.8977957240515706
|
| 777 |
],
|
| 778 |
"returns": [
|
| 779 |
-0.005783500168974654,
|
| 780 |
0.14231781164979362,
|
| 781 |
-0.25933976225582334,
|
| 782 |
+
0.09645161501334283,
|
| 783 |
0.0947529969739529,
|
| 784 |
-0.10307653407817279,
|
| 785 |
+
-0.1820120779603749,
|
| 786 |
+
-0.021456706721688493,
|
| 787 |
+
0.2525862774294738,
|
| 788 |
+
-0.06108677212959954,
|
| 789 |
+
-0.11173678770919812,
|
| 790 |
+
-0.17228852266707545,
|
| 791 |
+
0.022027021613372097,
|
| 792 |
-0.08707748937382397,
|
| 793 |
0.0004343250381326877,
|
| 794 |
+
-0.02409327620383791,
|
| 795 |
+
0.04417835986902947,
|
| 796 |
0.006949072683833487,
|
| 797 |
0.0378346722222648,
|
| 798 |
0.02161405587855477,
|
| 799 |
0.04984476184155226,
|
| 800 |
+
0.05893824471815334,
|
| 801 |
0.02736429706265655,
|
| 802 |
+
-0.059896685189767276,
|
| 803 |
+
-0.013788331233992585,
|
| 804 |
+
-0.014765973217655867,
|
| 805 |
+
0.013820532183239217,
|
| 806 |
+
-0.015360377596282409,
|
| 807 |
+
0.009154546782548765,
|
| 808 |
+
0.049347431127714954,
|
| 809 |
+
0.019653948335631152,
|
| 810 |
0.13501881429054788,
|
| 811 |
-0.1057446108764589,
|
| 812 |
-0.006860957286330737,
|
| 813 |
+
0.0627540997576738,
|
| 814 |
-0.03915983161560126,
|
| 815 |
+
0.0293070320863561,
|
| 816 |
+
0.028963504197086418,
|
| 817 |
-0.0032305948704793156,
|
| 818 |
0.01300569988753568,
|
| 819 |
-0.09940632075589875,
|
| 820 |
+
0.03647749319635709,
|
| 821 |
0.018345664657344225,
|
| 822 |
+
0.0249860651282426,
|
| 823 |
+
-0.054475509811412304,
|
| 824 |
+
0.045360954218006386,
|
| 825 |
0.0908896246602619,
|
| 826 |
0.02967668581469087,
|
| 827 |
0.028989685728191515,
|
| 828 |
0.020267502296030783,
|
| 829 |
+
0.05171256364733071,
|
| 830 |
0.02657308242082223,
|
| 831 |
-0.02122515611298951,
|
| 832 |
-0.06941063832673838,
|
| 833 |
+
0.12309563780043409,
|
| 834 |
0.11524759198946712,
|
| 835 |
0.030018219635235856,
|
| 836 |
+
0.027874151017647016,
|
| 837 |
-0.09060445768831663,
|
| 838 |
-0.020406812808477323,
|
| 839 |
0.08423344301615543,
|
| 840 |
-0.0402194797839006,
|
| 841 |
-0.03371985651466444,
|
| 842 |
+
-0.00963722394202243,
|
| 843 |
+
0.07544101164519317,
|
| 844 |
-0.07432138211933854,
|
| 845 |
+
-0.12808693993609885,
|
| 846 |
-0.08607962696436741,
|
| 847 |
-0.019381841253475134,
|
| 848 |
0.17931568043001275,
|
|
|
|
| 854 |
0.08967494318596403,
|
| 855 |
-0.0610104904171535,
|
| 856 |
0.2015697691215615,
|
| 857 |
+
0.07743808172083563,
|
| 858 |
0.028381611773916925,
|
| 859 |
+
0.10133515792277728,
|
| 860 |
+
-0.025913289151409433,
|
| 861 |
+
0.12095488607938672,
|
| 862 |
0.10626583344656725
|
| 863 |
],
|
| 864 |
"summary": {
|
| 865 |
+
"annualised_return": 0.0409,
|
| 866 |
+
"annualised_vol": 0.1982,
|
| 867 |
+
"sharpe_ratio": 0.2061,
|
| 868 |
+
"max_drawdown": -0.4972,
|
| 869 |
+
"total_return": 0.8978,
|
| 870 |
"num_folds": 14
|
| 871 |
}
|
| 872 |
},
|
| 873 |
+
"elapsed_s": 2779.0
|
| 874 |
}
|