Upload walk_forward_results_expanding.json with huggingface_hub
Browse files- walk_forward_results_expanding.json +368 -368
walk_forward_results_expanding.json
CHANGED
|
@@ -3,24 +3,24 @@
|
|
| 3 |
{
|
| 4 |
"equity": [
|
| 5 |
1.0,
|
| 6 |
-
|
| 7 |
-
1.
|
| 8 |
-
0.
|
| 9 |
-
0.
|
| 10 |
-
1.
|
| 11 |
-
|
| 12 |
],
|
| 13 |
"returns": [
|
| 14 |
-
|
| 15 |
0.14231781164979362,
|
| 16 |
-0.25933976225582334,
|
| 17 |
0.09645145198807335,
|
| 18 |
0.10993554585798727,
|
| 19 |
-
|
| 20 |
],
|
| 21 |
"picks": [
|
| 22 |
[
|
| 23 |
-
"
|
| 24 |
],
|
| 25 |
[
|
| 26 |
"SLV"
|
|
@@ -35,15 +35,15 @@
|
|
| 35 |
"VNQ"
|
| 36 |
],
|
| 37 |
[
|
| 38 |
-
"
|
| 39 |
]
|
| 40 |
],
|
| 41 |
"summary": {
|
| 42 |
-
"annualised_return":
|
| 43 |
-
"annualised_vol": 0.
|
| 44 |
-
"sharpe_ratio":
|
| 45 |
"max_drawdown": -0.2593,
|
| 46 |
-
"total_return":
|
| 47 |
},
|
| 48 |
"fold": 1,
|
| 49 |
"train_range": "2008\u20132010",
|
|
@@ -52,47 +52,47 @@
|
|
| 52 |
{
|
| 53 |
"equity": [
|
| 54 |
1.0,
|
| 55 |
-
0.
|
| 56 |
-
0.
|
| 57 |
-
|
| 58 |
-
0.
|
| 59 |
-
|
| 60 |
-
|
| 61 |
],
|
| 62 |
"returns": [
|
| 63 |
-
-0.
|
| 64 |
-0.021456706721688493,
|
| 65 |
-
0.
|
| 66 |
-
0.
|
| 67 |
-
0.
|
| 68 |
-
0.
|
| 69 |
],
|
| 70 |
"picks": [
|
| 71 |
[
|
| 72 |
-
"
|
| 73 |
],
|
| 74 |
[
|
| 75 |
"SLV"
|
| 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": 0.
|
| 94 |
-
"max_drawdown": -0.
|
| 95 |
-
"total_return": 0.
|
| 96 |
},
|
| 97 |
"fold": 2,
|
| 98 |
"train_range": "2008\u20132011",
|
|
@@ -103,15 +103,15 @@
|
|
| 103 |
1.0,
|
| 104 |
1.0265009103031353,
|
| 105 |
1.0024173358810085,
|
| 106 |
-
1.
|
| 107 |
-
1.
|
| 108 |
-
1.
|
| 109 |
-
1.
|
| 110 |
],
|
| 111 |
"returns": [
|
| 112 |
0.026500910303135304,
|
| 113 |
-0.023461814968108126,
|
| 114 |
-
0.
|
| 115 |
0.02259344325087404,
|
| 116 |
0.02533038703076069,
|
| 117 |
0.006949009897267143
|
|
@@ -124,7 +124,7 @@
|
|
| 124 |
"HYG"
|
| 125 |
],
|
| 126 |
[
|
| 127 |
-
"
|
| 128 |
],
|
| 129 |
[
|
| 130 |
"HYG"
|
|
@@ -137,11 +137,11 @@
|
|
| 137 |
]
|
| 138 |
],
|
| 139 |
"summary": {
|
| 140 |
-
"annualised_return": 0.
|
| 141 |
-
"annualised_vol": 0.
|
| 142 |
-
"sharpe_ratio": 1.
|
| 143 |
"max_drawdown": -0.0235,
|
| 144 |
-
"total_return": 0.
|
| 145 |
},
|
| 146 |
"fold": 3,
|
| 147 |
"train_range": "2008\u20132013",
|
|
@@ -153,17 +153,17 @@
|
|
| 153 |
1.0155413378195899,
|
| 154 |
1.007424254773997,
|
| 155 |
1.0044333791808773,
|
| 156 |
-
0.
|
| 157 |
-
0.
|
| 158 |
-
0.
|
| 159 |
],
|
| 160 |
"returns": [
|
| 161 |
0.015541337819589855,
|
| 162 |
-0.007992863257561222,
|
| 163 |
-0.002968834211551501,
|
| 164 |
-
-0.
|
| 165 |
-
0.
|
| 166 |
-
-0.
|
| 167 |
],
|
| 168 |
"picks": [
|
| 169 |
[
|
|
@@ -176,21 +176,21 @@
|
|
| 176 |
"HYG"
|
| 177 |
],
|
| 178 |
[
|
| 179 |
-
"
|
| 180 |
],
|
| 181 |
[
|
| 182 |
-
"
|
| 183 |
],
|
| 184 |
[
|
| 185 |
-
"
|
| 186 |
]
|
| 187 |
],
|
| 188 |
"summary": {
|
| 189 |
-
"annualised_return": -0.
|
| 190 |
-
"annualised_vol": 0.
|
| 191 |
-
"sharpe_ratio": -0.
|
| 192 |
-
"max_drawdown": -0.
|
| 193 |
-
"total_return": -0.
|
| 194 |
},
|
| 195 |
"fold": 4,
|
| 196 |
"train_range": "2008\u20132014",
|
|
@@ -199,15 +199,15 @@
|
|
| 199 |
{
|
| 200 |
"equity": [
|
| 201 |
1.0,
|
| 202 |
-
1.
|
| 203 |
-
|
| 204 |
-
1.
|
| 205 |
-
0.
|
| 206 |
-
1.
|
| 207 |
-
1.
|
| 208 |
],
|
| 209 |
"returns": [
|
| 210 |
-
0.
|
| 211 |
-0.02220145557135525,
|
| 212 |
0.08316677049465712,
|
| 213 |
-0.14457686792770813,
|
|
@@ -216,7 +216,7 @@
|
|
| 216 |
],
|
| 217 |
"picks": [
|
| 218 |
[
|
| 219 |
-
"
|
| 220 |
],
|
| 221 |
[
|
| 222 |
"HYG"
|
|
@@ -235,11 +235,11 @@
|
|
| 235 |
]
|
| 236 |
],
|
| 237 |
"summary": {
|
| 238 |
-
"annualised_return": 0.
|
| 239 |
-
"annualised_vol": 0.
|
| 240 |
-
"sharpe_ratio": 0.
|
| 241 |
"max_drawdown": -0.1446,
|
| 242 |
-
"total_return": 0.
|
| 243 |
},
|
| 244 |
"fold": 5,
|
| 245 |
"train_range": "2008\u20132015",
|
|
@@ -251,17 +251,17 @@
|
|
| 251 |
1.0741316640936647,
|
| 252 |
1.1239562099296359,
|
| 253 |
1.1106980645821596,
|
| 254 |
-
1.
|
| 255 |
-
1.
|
| 256 |
-
1.
|
| 257 |
],
|
| 258 |
"returns": [
|
| 259 |
0.07413166409366469,
|
| 260 |
0.04638588312915293,
|
| 261 |
-0.011795962538706253,
|
| 262 |
-
-0.
|
| 263 |
-
0.
|
| 264 |
-
|
| 265 |
],
|
| 266 |
"picks": [
|
| 267 |
[
|
|
@@ -274,21 +274,21 @@
|
|
| 274 |
"LQD"
|
| 275 |
],
|
| 276 |
[
|
| 277 |
-
"
|
| 278 |
],
|
| 279 |
[
|
| 280 |
-
"
|
| 281 |
],
|
| 282 |
[
|
| 283 |
-
"
|
| 284 |
]
|
| 285 |
],
|
| 286 |
"summary": {
|
| 287 |
-
"annualised_return": 0.
|
| 288 |
-
"annualised_vol": 0.
|
| 289 |
-
"sharpe_ratio":
|
| 290 |
-
"max_drawdown": -0.
|
| 291 |
-
"total_return": 0.
|
| 292 |
},
|
| 293 |
"fold": 6,
|
| 294 |
"train_range": "2008\u20132016",
|
|
@@ -297,47 +297,47 @@
|
|
| 297 |
{
|
| 298 |
"equity": [
|
| 299 |
1.0,
|
| 300 |
-
1.
|
| 301 |
-
|
| 302 |
-
|
| 303 |
-
|
| 304 |
-
0.
|
| 305 |
-
0.
|
| 306 |
],
|
| 307 |
"returns": [
|
| 308 |
-
0.
|
| 309 |
-0.022332713063070365,
|
| 310 |
-
-0.
|
| 311 |
-
|
| 312 |
-
0.
|
| 313 |
-0.010928593150380327
|
| 314 |
],
|
| 315 |
"picks": [
|
| 316 |
[
|
| 317 |
-
"
|
| 318 |
],
|
| 319 |
[
|
| 320 |
"SLV"
|
| 321 |
],
|
| 322 |
[
|
| 323 |
-
"
|
| 324 |
],
|
| 325 |
[
|
| 326 |
-
"
|
| 327 |
],
|
| 328 |
[
|
| 329 |
-
"
|
| 330 |
],
|
| 331 |
[
|
| 332 |
"SLV"
|
| 333 |
]
|
| 334 |
],
|
| 335 |
"summary": {
|
| 336 |
-
"annualised_return": -0.
|
| 337 |
-
"annualised_vol": 0.
|
| 338 |
-
"sharpe_ratio": -
|
| 339 |
-
"max_drawdown": -0.
|
| 340 |
-
"total_return": -0.
|
| 341 |
},
|
| 342 |
"fold": 7,
|
| 343 |
"train_range": "2008\u20132017",
|
|
@@ -347,17 +347,17 @@
|
|
| 347 |
"equity": [
|
| 348 |
1.0,
|
| 349 |
0.9960781720928252,
|
| 350 |
-
1.
|
| 351 |
-
|
| 352 |
-
|
| 353 |
-
1.
|
| 354 |
-
1.
|
| 355 |
],
|
| 356 |
"returns": [
|
| 357 |
-0.0039218279071748016,
|
| 358 |
-
0.
|
| 359 |
-
-0.
|
| 360 |
-
|
| 361 |
0.06916917281464534,
|
| 362 |
-0.05420342086533369
|
| 363 |
],
|
|
@@ -366,13 +366,13 @@
|
|
| 366 |
"SLV"
|
| 367 |
],
|
| 368 |
[
|
| 369 |
-
"
|
| 370 |
],
|
| 371 |
[
|
| 372 |
-
"
|
| 373 |
],
|
| 374 |
[
|
| 375 |
-
"
|
| 376 |
],
|
| 377 |
[
|
| 378 |
"SLV"
|
|
@@ -382,11 +382,11 @@
|
|
| 382 |
]
|
| 383 |
],
|
| 384 |
"summary": {
|
| 385 |
-
"annualised_return": 0.
|
| 386 |
-
"annualised_vol": 0.
|
| 387 |
-
"sharpe_ratio": 0.
|
| 388 |
"max_drawdown": -0.0542,
|
| 389 |
-
"total_return": 0.
|
| 390 |
},
|
| 391 |
"fold": 8,
|
| 392 |
"train_range": "2008\u20132018",
|
|
@@ -395,47 +395,47 @@
|
|
| 395 |
{
|
| 396 |
"equity": [
|
| 397 |
1.0,
|
| 398 |
-
1.
|
| 399 |
-
1.
|
| 400 |
-
1.
|
| 401 |
-
1.
|
| 402 |
-
1.
|
| 403 |
-
0.
|
| 404 |
],
|
| 405 |
"returns": [
|
| 406 |
-
0.
|
| 407 |
-
0.
|
| 408 |
-
0.
|
| 409 |
-
0.
|
| 410 |
-
0.
|
| 411 |
-
-0.
|
| 412 |
],
|
| 413 |
"picks": [
|
| 414 |
[
|
| 415 |
-
"
|
| 416 |
],
|
| 417 |
[
|
| 418 |
-
"
|
| 419 |
],
|
| 420 |
[
|
| 421 |
-
"
|
| 422 |
],
|
| 423 |
[
|
| 424 |
-
"
|
| 425 |
],
|
| 426 |
[
|
| 427 |
-
"
|
| 428 |
],
|
| 429 |
[
|
| 430 |
-
"
|
| 431 |
]
|
| 432 |
],
|
| 433 |
"summary": {
|
| 434 |
-
"annualised_return": -0.
|
| 435 |
-
"annualised_vol": 0.
|
| 436 |
-
"sharpe_ratio": -0.
|
| 437 |
-
"max_drawdown": -0.
|
| 438 |
-
"total_return": -0.
|
| 439 |
},
|
| 440 |
"fold": 9,
|
| 441 |
"train_range": "2008\u20132019",
|
|
@@ -444,47 +444,47 @@
|
|
| 444 |
{
|
| 445 |
"equity": [
|
| 446 |
1.0,
|
| 447 |
-
1.
|
| 448 |
-
1.
|
| 449 |
-
1.
|
| 450 |
-
1.
|
| 451 |
-
1.
|
| 452 |
-
1.
|
| 453 |
],
|
| 454 |
"returns": [
|
| 455 |
-
0.
|
| 456 |
0.4100946587106609,
|
| 457 |
-
0.
|
| 458 |
-
0.
|
| 459 |
-
0.
|
| 460 |
0.018058850009128533
|
| 461 |
],
|
| 462 |
"picks": [
|
| 463 |
[
|
| 464 |
-
"
|
| 465 |
],
|
| 466 |
[
|
| 467 |
"SLV"
|
| 468 |
],
|
| 469 |
[
|
| 470 |
-
"
|
| 471 |
],
|
| 472 |
[
|
| 473 |
-
"
|
| 474 |
],
|
| 475 |
[
|
| 476 |
-
"
|
| 477 |
],
|
| 478 |
[
|
| 479 |
"HYG"
|
| 480 |
]
|
| 481 |
],
|
| 482 |
"summary": {
|
| 483 |
-
"annualised_return": 0.
|
| 484 |
-
"annualised_vol": 0.
|
| 485 |
-
"sharpe_ratio": 1.
|
| 486 |
-
"max_drawdown": 0.
|
| 487 |
-
"total_return": 0.
|
| 488 |
},
|
| 489 |
"fold": 10,
|
| 490 |
"train_range": "2008\u20132020",
|
|
@@ -494,46 +494,46 @@
|
|
| 494 |
"equity": [
|
| 495 |
1.0,
|
| 496 |
1.066464713378135,
|
| 497 |
-
|
| 498 |
-
|
| 499 |
-
|
| 500 |
-
|
| 501 |
-
0.
|
| 502 |
],
|
| 503 |
"returns": [
|
| 504 |
0.06646471337813518,
|
| 505 |
-
0.
|
| 506 |
-
-0.
|
| 507 |
-
0.
|
| 508 |
-
|
| 509 |
-
-0.
|
| 510 |
],
|
| 511 |
"picks": [
|
| 512 |
[
|
| 513 |
"SLV"
|
| 514 |
],
|
| 515 |
[
|
| 516 |
-
"
|
| 517 |
],
|
| 518 |
[
|
| 519 |
-
"
|
| 520 |
],
|
| 521 |
[
|
| 522 |
-
"
|
| 523 |
],
|
| 524 |
[
|
| 525 |
-
"
|
| 526 |
],
|
| 527 |
[
|
| 528 |
-
"
|
| 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": "2008\u20132021",
|
|
@@ -542,47 +542,47 @@
|
|
| 542 |
{
|
| 543 |
"equity": [
|
| 544 |
1.0,
|
| 545 |
-
0.
|
| 546 |
-
0.
|
| 547 |
-
0.
|
| 548 |
-
|
| 549 |
-
0.
|
| 550 |
-
1.
|
| 551 |
],
|
| 552 |
"returns": [
|
| 553 |
-
-0.
|
| 554 |
-
|
| 555 |
-0.019381841253475134,
|
| 556 |
-
0.
|
| 557 |
-
-0.
|
| 558 |
-
0.
|
| 559 |
],
|
| 560 |
"picks": [
|
| 561 |
[
|
| 562 |
-
"
|
| 563 |
],
|
| 564 |
[
|
| 565 |
-
"
|
| 566 |
],
|
| 567 |
[
|
| 568 |
"SLV"
|
| 569 |
],
|
| 570 |
[
|
| 571 |
-
"
|
| 572 |
],
|
| 573 |
[
|
| 574 |
-
"
|
| 575 |
],
|
| 576 |
[
|
| 577 |
-
"
|
| 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": "2008\u20132022",
|
|
@@ -596,7 +596,7 @@
|
|
| 596 |
1.0070031437567128,
|
| 597 |
1.0973060934611834,
|
| 598 |
1.0303589105613857,
|
| 599 |
-
1.
|
| 600 |
],
|
| 601 |
"returns": [
|
| 602 |
0.06024898425546905,
|
|
@@ -604,7 +604,7 @@
|
|
| 604 |
-0.06903647303976271,
|
| 605 |
0.08967494318596403,
|
| 606 |
-0.0610104904171535,
|
| 607 |
-
0.
|
| 608 |
],
|
| 609 |
"picks": [
|
| 610 |
[
|
|
@@ -623,15 +623,15 @@
|
|
| 623 |
"SLV"
|
| 624 |
],
|
| 625 |
[
|
| 626 |
-
"
|
| 627 |
]
|
| 628 |
],
|
| 629 |
"summary": {
|
| 630 |
-
"annualised_return": 0.
|
| 631 |
-
"annualised_vol": 0.
|
| 632 |
-
"sharpe_ratio": 0.
|
| 633 |
"max_drawdown": -0.069,
|
| 634 |
-
"total_return": 0.
|
| 635 |
},
|
| 636 |
"fold": 13,
|
| 637 |
"train_range": "2008\u20132023",
|
|
@@ -640,47 +640,47 @@
|
|
| 640 |
{
|
| 641 |
"equity": [
|
| 642 |
1.0,
|
| 643 |
-
|
| 644 |
-
1.
|
| 645 |
-
1.
|
| 646 |
-
|
| 647 |
-
1.
|
| 648 |
-
1.
|
| 649 |
],
|
| 650 |
"returns": [
|
| 651 |
-
0.
|
| 652 |
0.028381611773916925,
|
| 653 |
-
0.
|
| 654 |
-
-0.
|
| 655 |
-
0.
|
| 656 |
-
0.
|
| 657 |
],
|
| 658 |
"picks": [
|
| 659 |
[
|
| 660 |
-
"
|
| 661 |
],
|
| 662 |
[
|
| 663 |
"GLD"
|
| 664 |
],
|
| 665 |
[
|
| 666 |
-
"
|
| 667 |
],
|
| 668 |
[
|
| 669 |
-
"
|
| 670 |
],
|
| 671 |
[
|
| 672 |
-
"
|
| 673 |
],
|
| 674 |
[
|
| 675 |
-
"
|
| 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": "2008\u20132024",
|
|
@@ -690,117 +690,117 @@
|
|
| 690 |
"aggregate": {
|
| 691 |
"equity": [
|
| 692 |
1.0,
|
| 693 |
-
|
| 694 |
-
1.
|
| 695 |
-
0.
|
| 696 |
-
0.
|
| 697 |
-
1.
|
| 698 |
-
|
| 699 |
-
0.
|
| 700 |
-
0.
|
| 701 |
-
|
| 702 |
-
|
| 703 |
-
|
| 704 |
-
0.
|
| 705 |
-
0.
|
| 706 |
-
0.
|
| 707 |
-
|
| 708 |
-
|
| 709 |
-
|
| 710 |
-
|
| 711 |
-
|
| 712 |
-
|
| 713 |
-
|
| 714 |
-
|
| 715 |
-
|
| 716 |
-
|
| 717 |
-
|
| 718 |
-
|
| 719 |
-
1.
|
| 720 |
-
|
| 721 |
-
|
| 722 |
-
1.
|
| 723 |
-
1.
|
| 724 |
-
1.
|
| 725 |
-
1.
|
| 726 |
-
1.
|
| 727 |
-
1.
|
| 728 |
-
1.
|
| 729 |
-
1.
|
| 730 |
-
1.
|
| 731 |
-
1.
|
| 732 |
-
1.
|
| 733 |
-
1.
|
| 734 |
-
1.
|
| 735 |
-
1.
|
| 736 |
-
1.
|
| 737 |
-
1.
|
| 738 |
-
1.
|
| 739 |
-
1.
|
| 740 |
-
1.
|
| 741 |
-
1.
|
| 742 |
-
1.
|
| 743 |
-
1.
|
| 744 |
-
1.
|
| 745 |
-
1.
|
| 746 |
-
1.
|
| 747 |
-
1.
|
| 748 |
-
1.
|
| 749 |
-
1.
|
| 750 |
-
1.
|
| 751 |
-
1.
|
| 752 |
-
1.
|
| 753 |
-
|
| 754 |
-
|
| 755 |
-
|
| 756 |
-
|
| 757 |
-
|
| 758 |
-
1.
|
| 759 |
-
1.
|
| 760 |
-
1.
|
| 761 |
-
1.
|
| 762 |
-
1.
|
| 763 |
-
1.
|
| 764 |
-
1.
|
| 765 |
-
|
| 766 |
-
|
| 767 |
-
1.
|
| 768 |
-
|
| 769 |
-
|
| 770 |
-
|
| 771 |
-
|
| 772 |
-
|
| 773 |
-
|
| 774 |
-
|
| 775 |
-
|
| 776 |
-
|
| 777 |
],
|
| 778 |
"returns": [
|
| 779 |
-
|
| 780 |
0.14231781164979362,
|
| 781 |
-0.25933976225582334,
|
| 782 |
0.09645145198807335,
|
| 783 |
0.10993554585798727,
|
| 784 |
-
|
| 785 |
-
-0.
|
| 786 |
-0.021456706721688493,
|
| 787 |
-
0.
|
| 788 |
-
0.
|
| 789 |
-
0.
|
| 790 |
-
0.
|
| 791 |
0.026500910303135304,
|
| 792 |
-0.023461814968108126,
|
| 793 |
-
0.
|
| 794 |
0.02259344325087404,
|
| 795 |
0.02533038703076069,
|
| 796 |
0.006949009897267143,
|
| 797 |
0.015541337819589855,
|
| 798 |
-0.007992863257561222,
|
| 799 |
-0.002968834211551501,
|
| 800 |
-
-0.
|
| 801 |
-
0.
|
| 802 |
-
-0.
|
| 803 |
-
0.
|
| 804 |
-0.02220145557135525,
|
| 805 |
0.08316677049465712,
|
| 806 |
-0.14457686792770813,
|
|
@@ -809,66 +809,66 @@
|
|
| 809 |
0.07413166409366469,
|
| 810 |
0.04638588312915293,
|
| 811 |
-0.011795962538706253,
|
| 812 |
-
-0.
|
| 813 |
-
0.
|
| 814 |
-
|
| 815 |
-
0.
|
| 816 |
-0.022332713063070365,
|
| 817 |
-
-0.
|
| 818 |
-
|
| 819 |
-
0.
|
| 820 |
-0.010928593150380327,
|
| 821 |
-0.0039218279071748016,
|
| 822 |
-
0.
|
| 823 |
-
-0.
|
| 824 |
-
|
| 825 |
0.06916917281464534,
|
| 826 |
-0.05420342086533369,
|
| 827 |
-
0.
|
| 828 |
-
0.
|
| 829 |
-
0.
|
| 830 |
-
0.
|
| 831 |
-
0.
|
| 832 |
-
-0.
|
| 833 |
-
0.
|
| 834 |
0.4100946587106609,
|
| 835 |
-
0.
|
| 836 |
-
0.
|
| 837 |
-
0.
|
| 838 |
0.018058850009128533,
|
| 839 |
0.06646471337813518,
|
| 840 |
-
0.
|
| 841 |
-
-0.
|
| 842 |
-
0.
|
| 843 |
-
|
| 844 |
-
-0.
|
| 845 |
-
-0.
|
| 846 |
-
|
| 847 |
-0.019381841253475134,
|
| 848 |
-
0.
|
| 849 |
-
-0.
|
| 850 |
-
0.
|
| 851 |
0.06024898425546905,
|
| 852 |
0.02021168793684909,
|
| 853 |
-0.06903647303976271,
|
| 854 |
0.08967494318596403,
|
| 855 |
-0.0610104904171535,
|
| 856 |
-
0.
|
| 857 |
-
0.
|
| 858 |
0.028381611773916925,
|
| 859 |
-
0.
|
| 860 |
-
-0.
|
| 861 |
-
0.
|
| 862 |
-
0.
|
| 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 |
}
|
|
|
|
| 3 |
{
|
| 4 |
"equity": [
|
| 5 |
1.0,
|
| 6 |
+
1.0744172698747694,
|
| 7 |
+
1.2273259845220923,
|
| 8 |
+
0.9090315554857386,
|
| 9 |
+
0.9967089689153148,
|
| 10 |
+
1.1062827134745716,
|
| 11 |
+
1.2104432075276321
|
| 12 |
],
|
| 13 |
"returns": [
|
| 14 |
+
0.07441726987476928,
|
| 15 |
0.14231781164979362,
|
| 16 |
-0.25933976225582334,
|
| 17 |
0.09645145198807335,
|
| 18 |
0.10993554585798727,
|
| 19 |
+
0.094153594541776
|
| 20 |
],
|
| 21 |
"picks": [
|
| 22 |
[
|
| 23 |
+
"VNQ"
|
| 24 |
],
|
| 25 |
[
|
| 26 |
"SLV"
|
|
|
|
| 35 |
"VNQ"
|
| 36 |
],
|
| 37 |
[
|
| 38 |
+
"VNQ"
|
| 39 |
]
|
| 40 |
],
|
| 41 |
"summary": {
|
| 42 |
+
"annualised_return": 0.1819,
|
| 43 |
+
"annualised_vol": 0.3133,
|
| 44 |
+
"sharpe_ratio": 0.5805,
|
| 45 |
"max_drawdown": -0.2593,
|
| 46 |
+
"total_return": 0.2104
|
| 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 |
+
0.9538556014552546,
|
| 59 |
+
0.8472748406102193,
|
| 60 |
+
0.7012991100285029
|
| 61 |
],
|
| 62 |
"returns": [
|
| 63 |
+
-0.1820120779603749,
|
| 64 |
-0.021456706721688493,
|
| 65 |
+
0.2525862774294738,
|
| 66 |
+
-0.048633074497688396,
|
| 67 |
+
-0.11173678770919812,
|
| 68 |
+
-0.17228852266707545
|
| 69 |
],
|
| 70 |
"picks": [
|
| 71 |
[
|
| 72 |
+
"SLV"
|
| 73 |
],
|
| 74 |
[
|
| 75 |
"SLV"
|
| 76 |
],
|
| 77 |
[
|
| 78 |
+
"SLV"
|
| 79 |
],
|
| 80 |
[
|
| 81 |
+
"GLD"
|
| 82 |
],
|
| 83 |
[
|
| 84 |
+
"SLV"
|
| 85 |
],
|
| 86 |
[
|
| 87 |
+
"SLV"
|
| 88 |
]
|
| 89 |
],
|
| 90 |
"summary": {
|
| 91 |
+
"annualised_return": -0.2669,
|
| 92 |
+
"annualised_vol": 0.3353,
|
| 93 |
+
"sharpe_ratio": -0.7959,
|
| 94 |
+
"max_drawdown": -0.3005,
|
| 95 |
+
"total_return": -0.2987
|
| 96 |
},
|
| 97 |
"fold": 2,
|
| 98 |
"train_range": "2008\u20132011",
|
|
|
|
| 103 |
1.0,
|
| 104 |
1.0265009103031353,
|
| 105 |
1.0024173358810085,
|
| 106 |
+
1.0028531931354907,
|
| 107 |
+
1.0255110998435553,
|
| 108 |
+
1.0514876929069334,
|
| 109 |
+
1.0587944912917984
|
| 110 |
],
|
| 111 |
"returns": [
|
| 112 |
0.026500910303135304,
|
| 113 |
-0.023461814968108126,
|
| 114 |
+
0.0004348061818975923,
|
| 115 |
0.02259344325087404,
|
| 116 |
0.02533038703076069,
|
| 117 |
0.006949009897267143
|
|
|
|
| 124 |
"HYG"
|
| 125 |
],
|
| 126 |
[
|
| 127 |
+
"HYG"
|
| 128 |
],
|
| 129 |
[
|
| 130 |
"HYG"
|
|
|
|
| 137 |
]
|
| 138 |
],
|
| 139 |
"summary": {
|
| 140 |
+
"annualised_return": 0.0513,
|
| 141 |
+
"annualised_vol": 0.0406,
|
| 142 |
+
"sharpe_ratio": 1.2619,
|
| 143 |
"max_drawdown": -0.0235,
|
| 144 |
+
"total_return": 0.0588
|
| 145 |
},
|
| 146 |
"fold": 3,
|
| 147 |
"train_range": "2008\u20132013",
|
|
|
|
| 153 |
1.0155413378195899,
|
| 154 |
1.007424254773997,
|
| 155 |
1.0044333791808773,
|
| 156 |
+
0.9408664412364733,
|
| 157 |
+
0.997831260812483,
|
| 158 |
+
0.995673352011467
|
| 159 |
],
|
| 160 |
"returns": [
|
| 161 |
0.015541337819589855,
|
| 162 |
-0.007992863257561222,
|
| 163 |
-0.002968834211551501,
|
| 164 |
+
-0.06328636548921063,
|
| 165 |
+
0.060545064718375244,
|
| 166 |
+
-0.0021625989140277315
|
| 167 |
],
|
| 168 |
"picks": [
|
| 169 |
[
|
|
|
|
| 176 |
"HYG"
|
| 177 |
],
|
| 178 |
[
|
| 179 |
+
"SLV"
|
| 180 |
],
|
| 181 |
[
|
| 182 |
+
"VNQ"
|
| 183 |
],
|
| 184 |
[
|
| 185 |
+
"HYG"
|
| 186 |
]
|
| 187 |
],
|
| 188 |
"summary": {
|
| 189 |
+
"annualised_return": -0.0038,
|
| 190 |
+
"annualised_vol": 0.0836,
|
| 191 |
+
"sharpe_ratio": -0.0453,
|
| 192 |
+
"max_drawdown": -0.0735,
|
| 193 |
+
"total_return": -0.0043
|
| 194 |
},
|
| 195 |
"fold": 4,
|
| 196 |
"train_range": "2008\u20132014",
|
|
|
|
| 199 |
{
|
| 200 |
"equity": [
|
| 201 |
1.0,
|
| 202 |
+
1.097999987199002,
|
| 203 |
+
1.0736227892658547,
|
| 204 |
+
1.1629125293785616,
|
| 205 |
+
0.9947822782071203,
|
| 206 |
+
1.091436282321606,
|
| 207 |
+
1.2467959085770903
|
| 208 |
],
|
| 209 |
"returns": [
|
| 210 |
+
0.09799998719900213,
|
| 211 |
-0.02220145557135525,
|
| 212 |
0.08316677049465712,
|
| 213 |
-0.14457686792770813,
|
|
|
|
| 216 |
],
|
| 217 |
"picks": [
|
| 218 |
[
|
| 219 |
+
"SLV"
|
| 220 |
],
|
| 221 |
[
|
| 222 |
"HYG"
|
|
|
|
| 235 |
]
|
| 236 |
],
|
| 237 |
"summary": {
|
| 238 |
+
"annualised_return": 0.2129,
|
| 239 |
+
"annualised_vol": 0.2231,
|
| 240 |
+
"sharpe_ratio": 0.9543,
|
| 241 |
"max_drawdown": -0.1446,
|
| 242 |
+
"total_return": 0.2468
|
| 243 |
},
|
| 244 |
"fold": 5,
|
| 245 |
"train_range": "2008\u20132015",
|
|
|
|
| 251 |
1.0741316640936647,
|
| 252 |
1.1239562099296359,
|
| 253 |
1.1106980645821596,
|
| 254 |
+
1.1053218719354416,
|
| 255 |
+
1.1417206730789418,
|
| 256 |
+
1.1434934124280698
|
| 257 |
],
|
| 258 |
"returns": [
|
| 259 |
0.07413166409366469,
|
| 260 |
0.04638588312915293,
|
| 261 |
-0.011795962538706253,
|
| 262 |
+
-0.004840372751293539,
|
| 263 |
+
0.03293049931217333,
|
| 264 |
+
0.0015526909435277089
|
| 265 |
],
|
| 266 |
"picks": [
|
| 267 |
[
|
|
|
|
| 274 |
"LQD"
|
| 275 |
],
|
| 276 |
[
|
| 277 |
+
"HYG"
|
| 278 |
],
|
| 279 |
[
|
| 280 |
+
"HYG"
|
| 281 |
],
|
| 282 |
[
|
| 283 |
+
"HYG"
|
| 284 |
]
|
| 285 |
],
|
| 286 |
"summary": {
|
| 287 |
+
"annualised_return": 0.1245,
|
| 288 |
+
"annualised_vol": 0.0707,
|
| 289 |
+
"sharpe_ratio": 1.7618,
|
| 290 |
+
"max_drawdown": -0.0166,
|
| 291 |
+
"total_return": 0.1435
|
| 292 |
},
|
| 293 |
"fold": 6,
|
| 294 |
"train_range": "2008\u20132016",
|
|
|
|
| 297 |
{
|
| 298 |
"equity": [
|
| 299 |
1.0,
|
| 300 |
+
1.0130093667638234,
|
| 301 |
+
0.9903861192456843,
|
| 302 |
+
0.9871865920313176,
|
| 303 |
+
1.0000259804145044,
|
| 304 |
+
0.900616779524511,
|
| 305 |
+
0.8907743051566819
|
| 306 |
],
|
| 307 |
"returns": [
|
| 308 |
+
0.013009366763823357,
|
| 309 |
-0.022332713063070365,
|
| 310 |
+
-0.0032305856798594415,
|
| 311 |
+
0.01300604008079908,
|
| 312 |
+
-0.09940661826484644,
|
| 313 |
-0.010928593150380327
|
| 314 |
],
|
| 315 |
"picks": [
|
| 316 |
[
|
| 317 |
+
"SLV"
|
| 318 |
],
|
| 319 |
[
|
| 320 |
"SLV"
|
| 321 |
],
|
| 322 |
[
|
| 323 |
+
"VNQ"
|
| 324 |
],
|
| 325 |
[
|
| 326 |
+
"VNQ"
|
| 327 |
],
|
| 328 |
[
|
| 329 |
+
"VNQ"
|
| 330 |
],
|
| 331 |
[
|
| 332 |
"SLV"
|
| 333 |
]
|
| 334 |
],
|
| 335 |
"summary": {
|
| 336 |
+
"annualised_return": -0.0963,
|
| 337 |
+
"annualised_vol": 0.0879,
|
| 338 |
+
"sharpe_ratio": -1.0947,
|
| 339 |
+
"max_drawdown": -0.1207,
|
| 340 |
+
"total_return": -0.1092
|
| 341 |
},
|
| 342 |
"fold": 7,
|
| 343 |
"train_range": "2008\u20132017",
|
|
|
|
| 347 |
"equity": [
|
| 348 |
1.0,
|
| 349 |
0.9960781720928252,
|
| 350 |
+
1.0136333546920044,
|
| 351 |
+
0.9948476023771985,
|
| 352 |
+
0.9995767381220745,
|
| 353 |
+
1.0687166342627397,
|
| 354 |
+
1.0107885367500136
|
| 355 |
],
|
| 356 |
"returns": [
|
| 357 |
-0.0039218279071748016,
|
| 358 |
+
0.017624302078916868,
|
| 359 |
+
-0.018533084204311746,
|
| 360 |
+
0.004753628328173756,
|
| 361 |
0.06916917281464534,
|
| 362 |
-0.05420342086533369
|
| 363 |
],
|
|
|
|
| 366 |
"SLV"
|
| 367 |
],
|
| 368 |
[
|
| 369 |
+
"LQD"
|
| 370 |
],
|
| 371 |
[
|
| 372 |
+
"LQD"
|
| 373 |
],
|
| 374 |
[
|
| 375 |
+
"LQD"
|
| 376 |
],
|
| 377 |
[
|
| 378 |
"SLV"
|
|
|
|
| 382 |
]
|
| 383 |
],
|
| 384 |
"summary": {
|
| 385 |
+
"annualised_return": 0.0094,
|
| 386 |
+
"annualised_vol": 0.0856,
|
| 387 |
+
"sharpe_ratio": 0.1102,
|
| 388 |
"max_drawdown": -0.0542,
|
| 389 |
+
"total_return": 0.0108
|
| 390 |
},
|
| 391 |
"fold": 8,
|
| 392 |
"train_range": "2008\u20132018",
|
|
|
|
| 395 |
{
|
| 396 |
"equity": [
|
| 397 |
1.0,
|
| 398 |
+
1.0065314961649832,
|
| 399 |
+
1.0268361576469605,
|
| 400 |
+
1.030697136222715,
|
| 401 |
+
1.0580854871497851,
|
| 402 |
+
1.0356270832639534,
|
| 403 |
+
0.9637437795894396
|
| 404 |
],
|
| 405 |
"returns": [
|
| 406 |
+
0.0065314961649832436,
|
| 407 |
+
0.020172902248305834,
|
| 408 |
+
0.0037600726727449827,
|
| 409 |
+
0.026572646769391833,
|
| 410 |
+
-0.021225509808596915,
|
| 411 |
+
-0.06941041310735271
|
| 412 |
],
|
| 413 |
"picks": [
|
| 414 |
[
|
| 415 |
+
"HYG"
|
| 416 |
],
|
| 417 |
[
|
| 418 |
+
"HYG"
|
| 419 |
],
|
| 420 |
[
|
| 421 |
+
"HYG"
|
| 422 |
],
|
| 423 |
[
|
| 424 |
+
"HYG"
|
| 425 |
],
|
| 426 |
[
|
| 427 |
+
"HYG"
|
| 428 |
],
|
| 429 |
[
|
| 430 |
+
"HYG"
|
| 431 |
]
|
| 432 |
],
|
| 433 |
"summary": {
|
| 434 |
+
"annualised_return": -0.0318,
|
| 435 |
+
"annualised_vol": 0.074,
|
| 436 |
+
"sharpe_ratio": -0.43,
|
| 437 |
+
"max_drawdown": -0.0892,
|
| 438 |
+
"total_return": -0.0363
|
| 439 |
},
|
| 440 |
"fold": 9,
|
| 441 |
"train_range": "2008\u20132019",
|
|
|
|
| 444 |
{
|
| 445 |
"equity": [
|
| 446 |
1.0,
|
| 447 |
+
1.0808871888084979,
|
| 448 |
+
1.5241532516076444,
|
| 449 |
+
1.4896801611909312,
|
| 450 |
+
1.5230639548663405,
|
| 451 |
+
1.4696897529378121,
|
| 452 |
+
1.4962306597460693
|
| 453 |
],
|
| 454 |
"returns": [
|
| 455 |
+
0.08088718880849792,
|
| 456 |
0.4100946587106609,
|
| 457 |
+
-0.02261786364353574,
|
| 458 |
+
0.02241004112501603,
|
| 459 |
+
-0.03504396631408193,
|
| 460 |
0.018058850009128533
|
| 461 |
],
|
| 462 |
"picks": [
|
| 463 |
[
|
| 464 |
+
"LQD"
|
| 465 |
],
|
| 466 |
[
|
| 467 |
"SLV"
|
| 468 |
],
|
| 469 |
[
|
| 470 |
+
"LQD"
|
| 471 |
],
|
| 472 |
[
|
| 473 |
+
"LQD"
|
| 474 |
],
|
| 475 |
[
|
| 476 |
+
"LQD"
|
| 477 |
],
|
| 478 |
[
|
| 479 |
"HYG"
|
| 480 |
]
|
| 481 |
],
|
| 482 |
"summary": {
|
| 483 |
+
"annualised_return": 0.4227,
|
| 484 |
+
"annualised_vol": 0.3498,
|
| 485 |
+
"sharpe_ratio": 1.2083,
|
| 486 |
+
"max_drawdown": -0.0357,
|
| 487 |
+
"total_return": 0.4962
|
| 488 |
},
|
| 489 |
"fold": 10,
|
| 490 |
"train_range": "2008\u20132020",
|
|
|
|
| 494 |
"equity": [
|
| 495 |
1.0,
|
| 496 |
1.066464713378135,
|
| 497 |
+
0.9723880584594854,
|
| 498 |
+
0.863823603488838,
|
| 499 |
+
0.8554987419756114,
|
| 500 |
+
0.9200384325314416,
|
| 501 |
+
0.851659904622795
|
| 502 |
],
|
| 503 |
"returns": [
|
| 504 |
0.06646471337813518,
|
| 505 |
+
-0.08821356556716475,
|
| 506 |
+
-0.1116472523764242,
|
| 507 |
+
-0.00963722394202243,
|
| 508 |
+
0.07544101164519317,
|
| 509 |
+
-0.07432138211933854
|
| 510 |
],
|
| 511 |
"picks": [
|
| 512 |
[
|
| 513 |
"SLV"
|
| 514 |
],
|
| 515 |
[
|
| 516 |
+
"SLV"
|
| 517 |
],
|
| 518 |
[
|
| 519 |
+
"SLV"
|
| 520 |
],
|
| 521 |
[
|
| 522 |
+
"SLV"
|
| 523 |
],
|
| 524 |
[
|
| 525 |
+
"SLV"
|
| 526 |
],
|
| 527 |
[
|
| 528 |
+
"SLV"
|
| 529 |
]
|
| 530 |
],
|
| 531 |
"summary": {
|
| 532 |
+
"annualised_return": -0.1311,
|
| 533 |
+
"annualised_vol": 0.1689,
|
| 534 |
+
"sharpe_ratio": -0.7759,
|
| 535 |
+
"max_drawdown": -0.2014,
|
| 536 |
+
"total_return": -0.1483
|
| 537 |
},
|
| 538 |
"fold": 11,
|
| 539 |
"train_range": "2008\u20132021",
|
|
|
|
| 542 |
{
|
| 543 |
"equity": [
|
| 544 |
1.0,
|
| 545 |
+
0.9405359278549382,
|
| 546 |
+
0.9553896966762471,
|
| 547 |
+
0.9368724852400623,
|
| 548 |
+
1.014144636741572,
|
| 549 |
+
0.985965331825641,
|
| 550 |
+
1.0112171894089832
|
| 551 |
],
|
| 552 |
"returns": [
|
| 553 |
+
-0.05946407214506173,
|
| 554 |
+
0.015792877636461547,
|
| 555 |
-0.019381841253475134,
|
| 556 |
+
0.08247883540064654,
|
| 557 |
+
-0.02778627810572528,
|
| 558 |
+
0.025611303732744173
|
| 559 |
],
|
| 560 |
"picks": [
|
| 561 |
[
|
| 562 |
+
"LQD"
|
| 563 |
],
|
| 564 |
[
|
| 565 |
+
"LQD"
|
| 566 |
],
|
| 567 |
[
|
| 568 |
"SLV"
|
| 569 |
],
|
| 570 |
[
|
| 571 |
+
"LQD"
|
| 572 |
],
|
| 573 |
[
|
| 574 |
+
"LQD"
|
| 575 |
],
|
| 576 |
[
|
| 577 |
+
"LQD"
|
| 578 |
]
|
| 579 |
],
|
| 580 |
"summary": {
|
| 581 |
+
"annualised_return": 0.0098,
|
| 582 |
+
"annualised_vol": 0.1039,
|
| 583 |
+
"sharpe_ratio": 0.0944,
|
| 584 |
+
"max_drawdown": -0.0631,
|
| 585 |
+
"total_return": 0.0112
|
| 586 |
},
|
| 587 |
"fold": 12,
|
| 588 |
"train_range": "2008\u20132022",
|
|
|
|
| 596 |
1.0070031437567128,
|
| 597 |
1.0973060934611834,
|
| 598 |
1.0303589105613857,
|
| 599 |
+
1.160392722791446
|
| 600 |
],
|
| 601 |
"returns": [
|
| 602 |
0.06024898425546905,
|
|
|
|
| 604 |
-0.06903647303976271,
|
| 605 |
0.08967494318596403,
|
| 606 |
-0.0610104904171535,
|
| 607 |
+
0.12620244353417773
|
| 608 |
],
|
| 609 |
"picks": [
|
| 610 |
[
|
|
|
|
| 623 |
"SLV"
|
| 624 |
],
|
| 625 |
[
|
| 626 |
+
"GLD"
|
| 627 |
]
|
| 628 |
],
|
| 629 |
"summary": {
|
| 630 |
+
"annualised_return": 0.139,
|
| 631 |
+
"annualised_vol": 0.167,
|
| 632 |
+
"sharpe_ratio": 0.8322,
|
| 633 |
"max_drawdown": -0.069,
|
| 634 |
+
"total_return": 0.1604
|
| 635 |
},
|
| 636 |
"fold": 13,
|
| 637 |
"train_range": "2008\u20132023",
|
|
|
|
| 640 |
{
|
| 641 |
"equity": [
|
| 642 |
1.0,
|
| 643 |
+
0.9909150143112786,
|
| 644 |
+
1.0190387795484066,
|
| 645 |
+
1.0290187947457263,
|
| 646 |
+
0.9726638091924861,
|
| 647 |
+
1.0176294490903375,
|
| 648 |
+
1.1257686906376931
|
| 649 |
],
|
| 650 |
"returns": [
|
| 651 |
+
-0.009084985688721379,
|
| 652 |
0.028381611773916925,
|
| 653 |
+
0.009793557809195814,
|
| 654 |
+
-0.054765749509138706,
|
| 655 |
+
0.04622937491133987,
|
| 656 |
+
0.10626583344656725
|
| 657 |
],
|
| 658 |
"picks": [
|
| 659 |
[
|
| 660 |
+
"TLT"
|
| 661 |
],
|
| 662 |
[
|
| 663 |
"GLD"
|
| 664 |
],
|
| 665 |
[
|
| 666 |
+
"LQD"
|
| 667 |
],
|
| 668 |
[
|
| 669 |
+
"TLT"
|
| 670 |
],
|
| 671 |
[
|
| 672 |
+
"TLT"
|
| 673 |
],
|
| 674 |
[
|
| 675 |
+
"GLD"
|
| 676 |
]
|
| 677 |
],
|
| 678 |
"summary": {
|
| 679 |
+
"annualised_return": 0.1092,
|
| 680 |
+
"annualised_vol": 0.1135,
|
| 681 |
+
"sharpe_ratio": 0.962,
|
| 682 |
+
"max_drawdown": -0.0548,
|
| 683 |
+
"total_return": 0.1258
|
| 684 |
},
|
| 685 |
"fold": 14,
|
| 686 |
"train_range": "2008\u20132024",
|
|
|
|
| 690 |
"aggregate": {
|
| 691 |
"equity": [
|
| 692 |
1.0,
|
| 693 |
+
1.0744172698747694,
|
| 694 |
+
1.2273259845220923,
|
| 695 |
+
0.9090315554857386,
|
| 696 |
+
0.9967089689153148,
|
| 697 |
+
1.1062827134745716,
|
| 698 |
+
1.2104432075276321,
|
| 699 |
+
0.9901279240725065,
|
| 700 |
+
0.9688830395887285,
|
| 701 |
+
1.213609599822999,
|
| 702 |
+
1.1545880337436973,
|
| 703 |
+
1.0255780757256974,
|
| 704 |
+
0.848882744179175,
|
| 705 |
+
0.8713789096405467,
|
| 706 |
+
0.8509347788954483,
|
| 707 |
+
0.8513047705977037,
|
| 708 |
+
0.8705386766214013,
|
| 709 |
+
0.8925897582254675,
|
| 710 |
+
0.8987923732895755,
|
| 711 |
+
0.9127608091925398,
|
| 712 |
+
0.9054652368578029,
|
| 713 |
+
0.9027770606852489,
|
| 714 |
+
0.8456435816674469,
|
| 715 |
+
0.896843127048181,
|
| 716 |
+
0.8949036150755735,
|
| 717 |
+
0.9826041578973204,
|
| 718 |
+
0.9607889153415341,
|
| 719 |
+
1.0406946265575538,
|
| 720 |
+
0.8902342569806668,
|
| 721 |
+
0.9767302746742494,
|
| 722 |
+
1.1157621658470724,
|
| 723 |
+
1.1984754719340673,
|
| 724 |
+
1.2540678151083573,
|
| 725 |
+
1.2392748781403418,
|
| 726 |
+
1.2332763257888286,
|
| 727 |
+
1.2738887309869373,
|
| 728 |
+
1.2758666864826027,
|
| 729 |
+
1.292464904148799,
|
| 730 |
+
1.263600656300355,
|
| 731 |
+
1.2595184861150501,
|
| 732 |
+
1.2758998340279697,
|
| 733 |
+
1.1490669462825704,
|
| 734 |
+
1.1365092611240983,
|
| 735 |
+
1.1320520673870593,
|
| 736 |
+
1.1520036949917511,
|
| 737 |
+
1.1306535135087907,
|
| 738 |
+
1.1360282200799552,
|
| 739 |
+
1.2146063523569794,
|
| 740 |
+
1.1487705330544662,
|
| 741 |
+
1.1562737233855571,
|
| 742 |
+
1.1795991201796987,
|
| 743 |
+
1.1840344985962803,
|
| 744 |
+
1.2154974290902532,
|
| 745 |
+
1.1896978764867736,
|
| 746 |
+
1.1071204554068863,
|
| 747 |
+
1.1966723167171334,
|
| 748 |
+
1.687421242029742,
|
| 749 |
+
1.6492553784683077,
|
| 750 |
+
1.6862152593254365,
|
| 751 |
+
1.627123588579345,
|
| 752 |
+
1.6565075694118143,
|
| 753 |
+
1.7666068702214817,
|
| 754 |
+
1.6107681792437953,
|
| 755 |
+
1.43093033781585,
|
| 756 |
+
1.417140141704885,
|
| 757 |
+
1.5240506276381138,
|
| 758 |
+
1.4107810785722037,
|
| 759 |
+
1.3268902907350981,
|
| 760 |
+
1.3478457067336864,
|
| 761 |
+
1.321721975211596,
|
| 762 |
+
1.4307360644504907,
|
| 763 |
+
1.3909812342677785,
|
| 764 |
+
1.4266060771451579,
|
| 765 |
+
1.5125576442258328,
|
| 766 |
+
1.5431289873174208,
|
| 767 |
+
1.4365968045876054,
|
| 768 |
+
1.5654235414201363,
|
| 769 |
+
1.4699162834475366,
|
| 770 |
+
1.6554233102092928,
|
| 771 |
+
1.6403838131272654,
|
| 772 |
+
1.686940549671661,
|
| 773 |
+
1.7034616994655472,
|
| 774 |
+
1.6101703427342053,
|
| 775 |
+
1.6846075111795855,
|
| 776 |
+
1.8636237323854314
|
| 777 |
],
|
| 778 |
"returns": [
|
| 779 |
+
0.07441726987476928,
|
| 780 |
0.14231781164979362,
|
| 781 |
-0.25933976225582334,
|
| 782 |
0.09645145198807335,
|
| 783 |
0.10993554585798727,
|
| 784 |
+
0.094153594541776,
|
| 785 |
+
-0.1820120779603749,
|
| 786 |
-0.021456706721688493,
|
| 787 |
+
0.2525862774294738,
|
| 788 |
+
-0.048633074497688396,
|
| 789 |
+
-0.11173678770919812,
|
| 790 |
+
-0.17228852266707545,
|
| 791 |
0.026500910303135304,
|
| 792 |
-0.023461814968108126,
|
| 793 |
+
0.0004348061818975923,
|
| 794 |
0.02259344325087404,
|
| 795 |
0.02533038703076069,
|
| 796 |
0.006949009897267143,
|
| 797 |
0.015541337819589855,
|
| 798 |
-0.007992863257561222,
|
| 799 |
-0.002968834211551501,
|
| 800 |
+
-0.06328636548921063,
|
| 801 |
+
0.060545064718375244,
|
| 802 |
+
-0.0021625989140277315,
|
| 803 |
+
0.09799998719900213,
|
| 804 |
-0.02220145557135525,
|
| 805 |
0.08316677049465712,
|
| 806 |
-0.14457686792770813,
|
|
|
|
| 809 |
0.07413166409366469,
|
| 810 |
0.04638588312915293,
|
| 811 |
-0.011795962538706253,
|
| 812 |
+
-0.004840372751293539,
|
| 813 |
+
0.03293049931217333,
|
| 814 |
+
0.0015526909435277089,
|
| 815 |
+
0.013009366763823357,
|
| 816 |
-0.022332713063070365,
|
| 817 |
+
-0.0032305856798594415,
|
| 818 |
+
0.01300604008079908,
|
| 819 |
+
-0.09940661826484644,
|
| 820 |
-0.010928593150380327,
|
| 821 |
-0.0039218279071748016,
|
| 822 |
+
0.017624302078916868,
|
| 823 |
+
-0.018533084204311746,
|
| 824 |
+
0.004753628328173756,
|
| 825 |
0.06916917281464534,
|
| 826 |
-0.05420342086533369,
|
| 827 |
+
0.0065314961649832436,
|
| 828 |
+
0.020172902248305834,
|
| 829 |
+
0.0037600726727449827,
|
| 830 |
+
0.026572646769391833,
|
| 831 |
+
-0.021225509808596915,
|
| 832 |
+
-0.06941041310735271,
|
| 833 |
+
0.08088718880849792,
|
| 834 |
0.4100946587106609,
|
| 835 |
+
-0.02261786364353574,
|
| 836 |
+
0.02241004112501603,
|
| 837 |
+
-0.03504396631408193,
|
| 838 |
0.018058850009128533,
|
| 839 |
0.06646471337813518,
|
| 840 |
+
-0.08821356556716475,
|
| 841 |
+
-0.1116472523764242,
|
| 842 |
+
-0.00963722394202243,
|
| 843 |
+
0.07544101164519317,
|
| 844 |
+
-0.07432138211933854,
|
| 845 |
+
-0.05946407214506173,
|
| 846 |
+
0.015792877636461547,
|
| 847 |
-0.019381841253475134,
|
| 848 |
+
0.08247883540064654,
|
| 849 |
+
-0.02778627810572528,
|
| 850 |
+
0.025611303732744173,
|
| 851 |
0.06024898425546905,
|
| 852 |
0.02021168793684909,
|
| 853 |
-0.06903647303976271,
|
| 854 |
0.08967494318596403,
|
| 855 |
-0.0610104904171535,
|
| 856 |
+
0.12620244353417773,
|
| 857 |
+
-0.009084985688721379,
|
| 858 |
0.028381611773916925,
|
| 859 |
+
0.009793557809195814,
|
| 860 |
+
-0.054765749509138706,
|
| 861 |
+
0.04622937491133987,
|
| 862 |
+
0.10626583344656725
|
| 863 |
],
|
| 864 |
"summary": {
|
| 865 |
+
"annualised_return": 0.0397,
|
| 866 |
+
"annualised_vol": 0.2011,
|
| 867 |
+
"sharpe_ratio": 0.1973,
|
| 868 |
+
"max_drawdown": -0.311,
|
| 869 |
+
"total_return": 0.8636,
|
| 870 |
"num_folds": 14
|
| 871 |
}
|
| 872 |
},
|
| 873 |
+
"elapsed_s": 10977.6
|
| 874 |
}
|