P2SAMAPA commited on
Commit
7dc0f2b
·
verified ·
1 Parent(s): 90d2cec

Upload walk_forward_results_equity_expanding.json with huggingface_hub

Browse files
walk_forward_results_equity_expanding.json CHANGED
@@ -3,47 +3,47 @@
3
  {
4
  "equity": [
5
  1.0,
6
- 1.033302833343792,
7
- 1.0344451332948914,
8
- 0.9290351448139714,
9
- 1.0253403545114304,
10
- 1.1279838725177667,
11
- 1.0282301886501173
12
  ],
13
  "returns": [
14
- 0.03330283334379183,
15
- 0.0011054841951832406,
16
- -0.1019000284192652,
17
- 0.10366153555659403,
18
- 0.10010677679339493,
19
- -0.08843538130114383
20
  ],
21
  "picks": [
22
  [
23
- "QQQ"
24
  ],
25
  [
26
- "QQQ"
27
  ],
28
  [
29
- "QQQ"
30
  ],
31
  [
32
- "SPY"
33
  ],
34
  [
35
- "SPY"
36
  ],
37
  [
38
- "XME"
39
  ]
40
  ],
41
  "summary": {
42
- "annualised_return": 0.0247,
43
- "annualised_vol": 0.1864,
44
- "sharpe_ratio": 0.1323,
45
- "max_drawdown": -0.1019,
46
- "total_return": 0.0282
47
  },
48
  "fold": 1,
49
  "train_range": "2008\u20132010",
@@ -52,47 +52,47 @@
52
  {
53
  "equity": [
54
  1.0,
55
- 1.000843221042805,
56
- 1.0465417703681978,
57
- 1.1317480093549745,
58
- 1.1238566393689668,
59
- 1.1884869791628037,
60
- 1.302429964647164
61
  ],
62
  "returns": [
63
- 0.0008432210428051382,
64
- 0.04566004781226186,
65
- 0.0814169499959845,
66
  -0.006972727074205616,
67
- 0.05750763712187158,
68
  0.0958723044358671
69
  ],
70
  "picks": [
71
  [
72
- "XLV"
73
  ],
74
  [
75
- "XLV"
76
  ],
77
  [
78
- "XLV"
79
  ],
80
  [
81
  "XLP"
82
  ],
83
  [
84
- "XLP"
85
  ],
86
  [
87
  "XLP"
88
  ]
89
  ],
90
  "summary": {
91
- "annualised_return": 0.2601,
92
- "annualised_vol": 0.0873,
93
- "sharpe_ratio": 2.978,
94
- "max_drawdown": -0.007,
95
- "total_return": 0.3024
96
  },
97
  "fold": 2,
98
  "train_range": "2008\u20132011",
@@ -101,47 +101,47 @@
101
  {
102
  "equity": [
103
  1.0,
104
- 1.0642008882161609,
105
- 1.0556345281260695,
106
- 0.9941120204825946,
107
- 1.0066443614381522,
108
- 1.2653410624243266,
109
- 1.3516744663765772
110
  ],
111
  "returns": [
112
- 0.06420088821616089,
113
- -0.008049570513374023,
114
  -0.05828012063293134,
115
- 0.012606568170731802,
116
  0.25698917204143973,
117
- 0.06822935453216077
118
  ],
119
  "picks": [
120
  [
121
- "XLK"
122
  ],
123
  [
124
- "XLU"
125
  ],
126
  [
127
  "XLU"
128
  ],
129
  [
130
- "XLU"
131
  ],
132
  [
133
  "GDX"
134
  ],
135
  [
136
- "XLU"
137
  ]
138
  ],
139
  "summary": {
140
- "annualised_return": 0.3017,
141
- "annualised_vol": 0.2285,
142
- "sharpe_ratio": 1.3205,
143
- "max_drawdown": -0.0659,
144
- "total_return": 0.3517
145
  },
146
  "fold": 3,
147
  "train_range": "2008\u20132013",
@@ -150,47 +150,47 @@
150
  {
151
  "equity": [
152
  1.0,
153
- 0.9755769759878444,
154
- 1.0209328039957033,
155
- 0.9989593089062807,
156
- 1.0575687049366052,
157
- 1.075400729932217,
158
- 1.0419822129831964
159
  ],
160
  "returns": [
161
- -0.02442302401215555,
162
- 0.046491285797240905,
163
- -0.021522959203018284,
164
- 0.05867045384910971,
165
- 0.01686133951616965,
166
  -0.031075408467620302
167
  ],
168
  "picks": [
169
  [
170
- "XLY"
171
  ],
172
  [
173
- "XLY"
174
  ],
175
  [
176
- "XLY"
177
  ],
178
  [
179
- "XLY"
180
  ],
181
  [
182
- "XME"
183
  ],
184
  [
185
  "XME"
186
  ]
187
  ],
188
  "summary": {
189
- "annualised_return": 0.0366,
190
- "annualised_vol": 0.0814,
191
- "sharpe_ratio": 0.45,
192
- "max_drawdown": -0.0311,
193
- "total_return": 0.042
194
  },
195
  "fold": 4,
196
  "train_range": "2008\u20132014",
@@ -199,33 +199,33 @@
199
  {
200
  "equity": [
201
  1.0,
202
- 1.0746140630857388,
203
- 1.0231979874881691,
204
- 0.9598723489284796,
205
- 1.0095535156483548,
206
- 1.0972145433010203,
207
- 1.5877258376979717
208
  ],
209
  "returns": [
210
- 0.07461406308573877,
211
- -0.04784608480734849,
212
- -0.06188991703858456,
213
- 0.05175809760051433,
214
  0.0868314817331579,
215
  0.4470513970050248
216
  ],
217
  "picks": [
218
  [
219
- "XME"
220
  ],
221
  [
222
- "XLI"
223
  ],
224
  [
225
- "XME"
226
  ],
227
  [
228
- "XLK"
229
  ],
230
  [
231
  "XME"
@@ -235,11 +235,11 @@
235
  ]
236
  ],
237
  "summary": {
238
- "annualised_return": 0.4986,
239
- "annualised_vol": 0.3871,
240
- "sharpe_ratio": 1.288,
241
- "max_drawdown": -0.1068,
242
- "total_return": 0.5877
243
  },
244
  "fold": 5,
245
  "train_range": "2008\u20132015",
@@ -248,47 +248,47 @@
248
  {
249
  "equity": [
250
  1.0,
251
- 0.9981553182102143,
252
- 1.0502376767976058,
253
- 1.032508621555575,
254
- 1.0780088832307344,
255
- 1.1541772686199092,
256
- 1.1535320881277533
257
  ],
258
  "returns": [
259
- -0.0018446817897857393,
260
- 0.05217861152188222,
261
  -0.016880993353895368,
262
- 0.04406768207572823,
263
  0.07065654706007828,
264
- -0.0005589960136084112
265
  ],
266
  "picks": [
267
  [
268
- "XLP"
269
  ],
270
  [
271
- "XLY"
272
  ],
273
  [
274
  "XLY"
275
  ],
276
  [
277
- "XLY"
278
  ],
279
  [
280
  "XLP"
281
  ],
282
  [
283
- "XLP"
284
  ]
285
  ],
286
  "summary": {
287
- "annualised_return": 0.1331,
288
- "annualised_vol": 0.0743,
289
- "sharpe_ratio": 1.791,
290
- "max_drawdown": -0.0169,
291
- "total_return": 0.1535
292
  },
293
  "fold": 6,
294
  "train_range": "2008\u20132016",
@@ -297,47 +297,47 @@
297
  {
298
  "equity": [
299
  1.0,
300
- 1.0166197272685045,
301
- 1.0161674860941305,
302
- 0.9926024315939836,
303
- 1.0245596932122658,
304
- 1.1196858502760658,
305
- 1.125389971592554
306
  ],
307
  "returns": [
308
- 0.01661972726850454,
309
- -0.0004448479232141698,
310
- -0.023190128421373246,
311
  0.032195429510446794,
312
- 0.09284589047764917,
313
- 0.005094394392035601
314
  ],
315
  "picks": [
316
  [
317
- "XLP"
318
  ],
319
  [
320
- "XLP"
321
  ],
322
  [
323
- "XLP"
324
  ],
325
  [
326
  "XLI"
327
  ],
328
  [
329
- "XLY"
330
  ],
331
  [
332
- "IWM"
333
  ]
334
  ],
335
  "summary": {
336
- "annualised_return": 0.1089,
337
- "annualised_vol": 0.0835,
338
- "sharpe_ratio": 1.3039,
339
- "max_drawdown": -0.0236,
340
- "total_return": 0.1254
341
  },
342
  "fold": 7,
343
  "train_range": "2008\u20132017",
@@ -346,24 +346,24 @@
346
  {
347
  "equity": [
348
  1.0,
349
- 0.9243390681439019,
350
- 0.9563403911044226,
351
- 0.97214940332515,
352
- 0.9533386299780872,
353
- 0.9753348794429917,
354
- 1.0271449199660312
355
  ],
356
  "returns": [
357
- -0.07566093185609812,
358
  0.03462076208114863,
359
  0.01653073776636215,
360
  -0.019349673293757412,
361
  0.0230728607582074,
362
- 0.053120258092920834
363
  ],
364
  "picks": [
365
  [
366
- "XLP"
367
  ],
368
  [
369
  "SPY"
@@ -378,15 +378,15 @@
378
  "XLP"
379
  ],
380
  [
381
- "XLP"
382
  ]
383
  ],
384
  "summary": {
385
- "annualised_return": 0.0237,
386
- "annualised_vol": 0.097,
387
- "sharpe_ratio": 0.2445,
388
- "max_drawdown": -0.0757,
389
- "total_return": 0.0271
390
  },
391
  "fold": 8,
392
  "train_range": "2008\u20132018",
@@ -395,47 +395,47 @@
395
  {
396
  "equity": [
397
  1.0,
398
- 1.0533931019276634,
399
- 1.0867099394603814,
400
- 1.1197616052533337,
401
- 1.2263185613736844,
402
- 1.1603980428312721,
403
- 1.1128779486762739
404
  ],
405
  "returns": [
406
- 0.05339310192766354,
407
- 0.03162811439694218,
408
- 0.0304144322167188,
409
- 0.09516039451651265,
410
- -0.05375480777895932,
411
  -0.040951546280665205
412
  ],
413
  "picks": [
414
  [
415
- "XLP"
416
  ],
417
  [
418
- "XLP"
419
  ],
420
  [
421
- "XLP"
422
  ],
423
  [
424
- "SPY"
425
  ],
426
  [
427
- "XLP"
428
  ],
429
  [
430
  "SPY"
431
  ]
432
  ],
433
  "summary": {
434
- "annualised_return": 0.0981,
435
- "annualised_vol": 0.1189,
436
- "sharpe_ratio": 0.825,
437
- "max_drawdown": -0.0925,
438
- "total_return": 0.1129
439
  },
440
  "fold": 9,
441
  "train_range": "2008\u20132019",
@@ -444,47 +444,47 @@
444
  {
445
  "equity": [
446
  1.0,
447
- 1.1139126463196265,
448
- 1.2687070724741925,
449
- 1.3986936773138547,
450
- 1.796863940687039,
451
- 1.9374793213752257,
452
- 2.4429695797758972
453
  ],
454
  "returns": [
455
- 0.1139126463196264,
456
  0.13896460073957118,
457
- 0.10245596297194637,
458
- 0.2846729557953369,
459
- 0.0782559978550306,
460
- 0.26090098243829196
461
  ],
462
  "picks": [
463
  [
464
- "XLU"
465
  ],
466
  [
467
  "XME"
468
  ],
469
  [
470
- "XME"
471
  ],
472
  [
473
- "XLE"
474
  ],
475
  [
476
- "XME"
477
  ],
478
  [
479
- "XME"
480
  ]
481
  ],
482
  "summary": {
483
- "annualised_return": 1.1849,
484
- "annualised_vol": 0.1829,
485
- "sharpe_ratio": 6.479,
486
- "max_drawdown": 0.0,
487
- "total_return": 1.443
488
  },
489
  "fold": 10,
490
  "train_range": "2008\u20132020",
@@ -493,47 +493,47 @@
493
  {
494
  "equity": [
495
  1.0,
496
- 1.1379373511351505,
497
- 1.1050961892499507,
498
- 1.1071101711630345,
499
- 1.1054174999172546,
500
- 1.3478730968360908,
501
- 1.364312050829439
502
  ],
503
  "returns": [
504
- 0.1379373511351505,
505
- -0.028860254786820222,
506
  0.0018224494235662314,
507
- -0.0015289094887472648,
508
- 0.2193339592841484,
509
- 0.01219621790206812
510
  ],
511
  "picks": [
512
  [
513
- "XME"
514
  ],
515
  [
516
- "XME"
517
  ],
518
  [
519
  "SPY"
520
  ],
521
  [
522
- "XME"
523
  ],
524
  [
525
- "XME"
526
  ],
527
  [
528
- "XLP"
529
  ]
530
  ],
531
  "summary": {
532
- "annualised_return": 0.3123,
533
- "annualised_vol": 0.2065,
534
- "sharpe_ratio": 1.5123,
535
- "max_drawdown": -0.0289,
536
- "total_return": 0.3643
537
  },
538
  "fold": 11,
539
  "train_range": "2008\u20132021",
@@ -594,16 +594,16 @@
594
  1.0397787211026936,
595
  1.1373979752918633,
596
  1.0145007210169168,
597
- 1.1065120826546575,
598
- 1.1817578096049308,
599
- 1.221193946542428
600
  ],
601
  "returns": [
602
  0.03977872110269361,
603
  0.09388464315334676,
604
  -0.10805123355649573,
605
- 0.09069620132503241,
606
- 0.06800262566473696,
607
  0.033370743664203895
608
  ],
609
  "picks": [
@@ -617,21 +617,21 @@
617
  "XLP"
618
  ],
619
  [
620
- "SPY"
621
  ],
622
  [
623
- "SPY"
624
  ],
625
  [
626
  "XLP"
627
  ]
628
  ],
629
  "summary": {
630
- "annualised_return": 0.1911,
631
- "annualised_vol": 0.1569,
632
- "sharpe_ratio": 1.2177,
633
  "max_drawdown": -0.1081,
634
- "total_return": 0.2212
635
  },
636
  "fold": 13,
637
  "train_range": "2008\u20132023",
@@ -640,47 +640,47 @@
640
  {
641
  "equity": [
642
  1.0,
643
- 1.0214121067787594,
644
- 0.9993228595969017,
645
- 1.0952549511033078,
646
- 1.1392626106446622,
647
- 1.0673411787052591,
648
- 1.075115997347484
649
  ],
650
  "returns": [
651
- 0.021412106778759418,
652
- -0.021626184999432585,
653
  0.09599709501802284,
654
- 0.0401802881575866,
655
- -0.0631298098150572,
656
- 0.007284286222008416
657
  ],
658
  "picks": [
659
  [
660
- "IWM"
661
  ],
662
  [
663
- "SPY"
664
  ],
665
  [
666
  "IWM"
667
  ],
668
  [
669
- "QQQ"
670
  ],
671
  [
672
- "IWM"
673
  ],
674
  [
675
- "IWM"
676
  ]
677
  ],
678
  "summary": {
679
- "annualised_return": 0.0654,
680
- "annualised_vol": 0.1135,
681
- "sharpe_ratio": 0.5764,
682
- "max_drawdown": -0.0631,
683
- "total_return": 0.0751
684
  },
685
  "fold": 14,
686
  "train_range": "2008\u20132024",
@@ -690,158 +690,158 @@
690
  "aggregate": {
691
  "equity": [
692
  1.0,
693
- 1.033302833343792,
694
- 1.0344451332948914,
695
- 0.9290351448139714,
696
- 1.0253403545114304,
697
- 1.1279838725177667,
698
- 1.0282301886501173,
699
- 1.0290972139820345,
700
- 1.0760858419759198,
701
- 1.16369746916346,
702
- 1.1555833243140394,
703
- 1.2220381907927773,
704
- 1.3391978082527187,
705
- 1.4251754970396793,
706
- 1.4137034463823255,
707
- 1.3313126389879728,
708
- 1.3480959225279314,
709
- 1.6945419774908252,
710
- 1.8101594828426757,
711
- 1.765949914327378,
712
- 1.848051196497985,
713
- 1.8082756659906698,
714
- 1.9143680199986435,
715
- 1.9466468291427381,
716
- 1.8861539837849295,
717
- 2.026887596120476,
718
- 1.929908960301533,
719
- 1.81046705485645,
720
- 1.904173385384226,
721
- 2.069515581913982,
722
- 2.9946954139322943,
723
- 2.9891711538362586,
724
- 3.1451419542446977,
725
- 3.0920488338180356,
726
- 3.228308258789355,
727
- 3.456409373200944,
728
- 3.4544772541399262,
729
- 3.511889723958984,
730
- 3.5103274671087235,
731
- 3.428922522345398,
732
- 3.5393181557103524,
733
- 3.867929301560991,
734
- 3.8876340589036538,
735
- 3.5934920432914983,
736
- 3.7179014763627944,
737
- 3.7793611307097184,
738
- 3.70623172757136,
739
- 3.7917450961592642,
740
- 3.9931635742898113,
741
- 4.2063709640257,
742
- 4.33941054607188,
743
- 4.471391253985898,
744
- 4.89689060975288,
745
- 4.633659196311023,
746
- 4.443903687284462,
747
- 4.950120516292581,
748
- 5.638012037451939,
749
- 6.215659989996503,
750
- 7.985090291567622,
751
- 8.609971500296764,
752
- 10.856321523489884,
753
- 12.353813757511599,
754
- 11.99727954488089,
755
- 12.019143980071819,
756
- 12.000767796794067,
757
- 14.632943712114615,
758
- 14.811410282176261,
759
- 12.915309507086095,
760
- 10.338453841530098,
761
- 9.574751483503574,
762
- 11.381262710431837,
763
- 11.110025857582274,
764
- 14.258060932757422,
765
- 14.825228362066792,
766
- 16.217089636506305,
767
- 14.464813096585535,
768
- 15.77671669732242,
769
- 16.849574857109044,
770
- 17.411857700516446,
771
- 17.784682256816467,
772
- 17.400067428174427,
773
- 19.070423354396894,
774
- 19.83667846006373,
775
- 18.584392721517464,
776
- 18.719766757363207
777
  ],
778
  "returns": [
779
- 0.03330283334379183,
780
- 0.0011054841951832406,
781
- -0.1019000284192652,
782
- 0.10366153555659403,
783
- 0.10010677679339493,
784
- -0.08843538130114383,
785
- 0.0008432210428051382,
786
- 0.04566004781226186,
787
- 0.0814169499959845,
788
  -0.006972727074205616,
789
- 0.05750763712187158,
790
  0.0958723044358671,
791
- 0.06420088821616089,
792
- -0.008049570513374023,
793
  -0.05828012063293134,
794
- 0.012606568170731802,
795
  0.25698917204143973,
796
- 0.06822935453216077,
797
- -0.02442302401215555,
798
- 0.046491285797240905,
799
- -0.021522959203018284,
800
- 0.05867045384910971,
801
- 0.01686133951616965,
802
  -0.031075408467620302,
803
- 0.07461406308573877,
804
- -0.04784608480734849,
805
- -0.06188991703858456,
806
- 0.05175809760051433,
807
  0.0868314817331579,
808
  0.4470513970050248,
809
- -0.0018446817897857393,
810
- 0.05217861152188222,
811
  -0.016880993353895368,
812
- 0.04406768207572823,
813
  0.07065654706007828,
814
- -0.0005589960136084112,
815
- 0.01661972726850454,
816
- -0.0004448479232141698,
817
- -0.023190128421373246,
818
  0.032195429510446794,
819
- 0.09284589047764917,
820
- 0.005094394392035601,
821
- -0.07566093185609812,
822
  0.03462076208114863,
823
  0.01653073776636215,
824
  -0.019349673293757412,
825
  0.0230728607582074,
826
- 0.053120258092920834,
827
- 0.05339310192766354,
828
- 0.03162811439694218,
829
- 0.0304144322167188,
830
- 0.09516039451651265,
831
- -0.05375480777895932,
832
  -0.040951546280665205,
833
- 0.1139126463196264,
834
  0.13896460073957118,
835
- 0.10245596297194637,
836
- 0.2846729557953369,
837
- 0.0782559978550306,
838
- 0.26090098243829196,
839
- 0.1379373511351505,
840
- -0.028860254786820222,
841
  0.0018224494235662314,
842
- -0.0015289094887472648,
843
- 0.2193339592841484,
844
- 0.01219621790206812,
845
  -0.12801622120831352,
846
  -0.19951946673381565,
847
  -0.07387007474548016,
@@ -851,24 +851,24 @@
851
  0.03977872110269361,
852
  0.09388464315334676,
853
  -0.10805123355649573,
854
- 0.09069620132503241,
855
- 0.06800262566473696,
856
  0.033370743664203895,
857
- 0.021412106778759418,
858
- -0.021626184999432585,
859
  0.09599709501802284,
860
- 0.0401802881575866,
861
- -0.0631298098150572,
862
- 0.007284286222008416
863
  ],
864
  "summary": {
865
- "annualised_return": 0.2009,
866
- "annualised_vol": 0.2212,
867
- "sharpe_ratio": 0.9085,
868
- "max_drawdown": -0.3536,
869
- "total_return": 10.0,
870
  "num_folds": 14
871
  }
872
  },
873
- "elapsed_s": 16307.2
874
  }
 
3
  {
4
  "equity": [
5
  1.0,
6
+ 1.120612776366909,
7
+ 1.059240077535071,
8
+ 0.9610814963450813,
9
+ 1.0325170587813937,
10
+ 1.115778161896854,
11
+ 1.1712271410782724
12
  ],
13
  "returns": [
14
+ 0.12061277636690901,
15
+ -0.054767088262916055,
16
+ -0.09266887013793124,
17
+ 0.07432830900186545,
18
+ 0.08063896127171755,
19
+ 0.04969534363995201
20
  ],
21
  "picks": [
22
  [
23
+ "XLV"
24
  ],
25
  [
26
+ "XLV"
27
  ],
28
  [
29
+ "XLV"
30
  ],
31
  [
32
+ "XLV"
33
  ],
34
  [
35
+ "XLV"
36
  ],
37
  [
38
+ "XLV"
39
  ]
40
  ],
41
  "summary": {
42
+ "annualised_return": 0.1483,
43
+ "annualised_vol": 0.1759,
44
+ "sharpe_ratio": 0.8432,
45
+ "max_drawdown": -0.1424,
46
+ "total_return": 0.1712
47
  },
48
  "fold": 1,
49
  "train_range": "2008\u20132010",
 
52
  {
53
  "equity": [
54
  1.0,
55
+ 0.9285748320056814,
56
+ 0.9539955431358873,
57
+ 1.0352309718314356,
58
+ 1.0280125888060905,
59
+ 1.0848860608821336,
60
+ 1.188896587589254
61
  ],
62
  "returns": [
63
+ -0.07142516799431868,
64
+ 0.02737605010820536,
65
+ 0.08515283879473746,
66
  -0.006972727074205616,
67
+ 0.05532371168926508,
68
  0.0958723044358671
69
  ],
70
  "picks": [
71
  [
72
+ "XLI"
73
  ],
74
  [
75
+ "XLY"
76
  ],
77
  [
78
+ "XLY"
79
  ],
80
  [
81
  "XLP"
82
  ],
83
  [
84
+ "XLY"
85
  ],
86
  [
87
  "XLP"
88
  ]
89
  ],
90
  "summary": {
91
+ "annualised_return": 0.1635,
92
+ "annualised_vol": 0.1312,
93
+ "sharpe_ratio": 1.2457,
94
+ "max_drawdown": -0.0714,
95
+ "total_return": 0.1889
96
  },
97
  "fold": 2,
98
  "train_range": "2008\u20132011",
 
101
  {
102
  "equity": [
103
  1.0,
104
+ 0.7389816475673057,
105
+ 0.7304709563619659,
106
+ 0.6878990209063378,
107
+ 0.58917115904218,
108
+ 0.7405817673951252,
109
+ 0.6850968808445422
110
  ],
111
  "returns": [
112
+ -0.26101835243269433,
113
+ -0.011516782904361108,
114
  -0.05828012063293134,
115
+ -0.14352086405658704,
116
  0.25698917204143973,
117
+ -0.07492067587046049
118
  ],
119
  "picks": [
120
  [
121
+ "GDX"
122
  ],
123
  [
124
+ "GDX"
125
  ],
126
  [
127
  "XLU"
128
  ],
129
  [
130
+ "GDX"
131
  ],
132
  [
133
  "GDX"
134
  ],
135
  [
136
+ "GDX"
137
  ]
138
  ],
139
  "summary": {
140
+ "annualised_return": -0.2817,
141
+ "annualised_vol": 0.3619,
142
+ "sharpe_ratio": -0.7785,
143
+ "max_drawdown": -0.4108,
144
+ "total_return": -0.3149
145
  },
146
  "fold": 3,
147
  "train_range": "2008\u20132013",
 
150
  {
151
  "equity": [
152
  1.0,
153
+ 1.0333976068270792,
154
+ 1.164416360138816,
155
+ 1.1885621584853328,
156
+ 1.006911550858454,
157
+ 1.2131697438075864,
158
+ 1.1754699984782073
159
  ],
160
  "returns": [
161
+ 0.033397606827079256,
162
+ 0.12678445590174522,
163
+ 0.020736395651155586,
164
+ -0.15283223206295635,
165
+ 0.20484241418552046,
166
  -0.031075408467620302
167
  ],
168
  "picks": [
169
  [
170
+ "XLK"
171
  ],
172
  [
173
+ "GDX"
174
  ],
175
  [
176
+ "XLU"
177
  ],
178
  [
179
+ "GDX"
180
  ],
181
  [
182
+ "GDX"
183
  ],
184
  [
185
  "XME"
186
  ]
187
  ],
188
  "summary": {
189
+ "annualised_return": 0.152,
190
+ "annualised_vol": 0.2598,
191
+ "sharpe_ratio": 0.585,
192
+ "max_drawdown": -0.1528,
193
+ "total_return": 0.1755
194
  },
195
  "fold": 4,
196
  "train_range": "2008\u20132014",
 
199
  {
200
  "equity": [
201
  1.0,
202
+ 1.1014865223046164,
203
+ 1.1229165877066996,
204
+ 1.300036924241162,
205
+ 0.9920633130139309,
206
+ 1.0782056404560363,
207
+ 1.5602189782806046
208
  ],
209
  "returns": [
210
+ 0.10148652230461647,
211
+ 0.01945558567275566,
212
+ 0.15773240726293875,
213
+ -0.2368960492464449,
214
  0.0868314817331579,
215
  0.4470513970050248
216
  ],
217
  "picks": [
218
  [
219
+ "GDX"
220
  ],
221
  [
222
+ "XLP"
223
  ],
224
  [
225
+ "GDX"
226
  ],
227
  [
228
+ "XME"
229
  ],
230
  [
231
  "XME"
 
235
  ]
236
  ],
237
  "summary": {
238
+ "annualised_return": 0.4758,
239
+ "annualised_vol": 0.4619,
240
+ "sharpe_ratio": 1.0301,
241
+ "max_drawdown": -0.2369,
242
+ "total_return": 0.5602
243
  },
244
  "fold": 5,
245
  "train_range": "2008\u20132015",
 
248
  {
249
  "equity": [
250
  1.0,
251
+ 1.020598764134045,
252
+ 1.0746959668839857,
253
+ 1.056554031409559,
254
+ 1.0716847604976099,
255
+ 1.1474063052112777,
256
+ 1.0750849754228256
257
  ],
258
  "returns": [
259
+ 0.020598764134045093,
260
+ 0.05300535788502637,
261
  -0.016880993353895368,
262
+ 0.014320828503076881,
263
  0.07065654706007828,
264
+ -0.06303027049789067
265
  ],
266
  "picks": [
267
  [
268
+ "XLI"
269
  ],
270
  [
271
+ "XLP"
272
  ],
273
  [
274
  "XLY"
275
  ],
276
  [
277
+ "XLU"
278
  ],
279
  [
280
  "XLP"
281
  ],
282
  [
283
+ "XLE"
284
  ]
285
  ],
286
  "summary": {
287
+ "annualised_return": 0.0654,
288
+ "annualised_vol": 0.101,
289
+ "sharpe_ratio": 0.6475,
290
+ "max_drawdown": -0.063,
291
+ "total_return": 0.0751
292
  },
293
  "fold": 6,
294
  "train_range": "2008\u20132016",
 
297
  {
298
  "equity": [
299
  1.0,
300
+ 1.0255100353018618,
301
+ 1.0913070807693188,
302
+ 1.1523721101978117,
303
+ 1.1894732252414901,
304
+ 1.2389692015126395,
305
+ 1.1389669040202406
306
  ],
307
  "returns": [
308
+ 0.02551003530186173,
309
+ 0.06416031360247923,
310
+ 0.05595586293222333,
311
  0.032195429510446794,
312
+ 0.04161167752313249,
313
+ -0.08071411086757235
314
  ],
315
  "picks": [
316
  [
317
+ "XLI"
318
  ],
319
  [
320
+ "XLV"
321
  ],
322
  [
323
+ "XLI"
324
  ],
325
  [
326
  "XLI"
327
  ],
328
  [
329
+ "XLV"
330
  ],
331
  [
332
+ "XLI"
333
  ]
334
  ],
335
  "summary": {
336
+ "annualised_return": 0.1206,
337
+ "annualised_vol": 0.1106,
338
+ "sharpe_ratio": 1.0906,
339
+ "max_drawdown": -0.0807,
340
+ "total_return": 0.139
341
  },
342
  "fold": 7,
343
  "train_range": "2008\u20132017",
 
346
  {
347
  "equity": [
348
  1.0,
349
+ 0.9921950262855744,
350
+ 1.0265455742287064,
351
+ 1.0435151299215009,
352
+ 1.0233234530804272,
353
+ 1.04693445262396,
354
+ 1.0823315111315048
355
  ],
356
  "returns": [
357
+ -0.007804973714425621,
358
  0.03462076208114863,
359
  0.01653073776636215,
360
  -0.019349673293757412,
361
  0.0230728607582074,
362
+ 0.03381019548915247
363
  ],
364
  "picks": [
365
  [
366
+ "SPY"
367
  ],
368
  [
369
  "SPY"
 
378
  "XLP"
379
  ],
380
  [
381
+ "SPY"
382
  ]
383
  ],
384
  "summary": {
385
+ "annualised_return": 0.0717,
386
+ "annualised_vol": 0.0467,
387
+ "sharpe_ratio": 1.5349,
388
+ "max_drawdown": -0.0193,
389
+ "total_return": 0.0823
390
  },
391
  "fold": 8,
392
  "train_range": "2008\u20132018",
 
395
  {
396
  "equity": [
397
  1.0,
398
+ 0.8614211518378629,
399
+ 0.9269815529370186,
400
+ 0.8538571427579378,
401
+ 0.9240481833177067,
402
+ 0.717855296314514,
403
+ 0.6884580119246695
404
  ],
405
  "returns": [
406
+ -0.138578848162137,
407
+ 0.07610725712885145,
408
+ -0.0788844286570706,
409
+ 0.08220466521255944,
410
+ -0.22314083910957638,
411
  -0.040951546280665205
412
  ],
413
  "picks": [
414
  [
415
+ "XME"
416
  ],
417
  [
418
+ "XME"
419
  ],
420
  [
421
+ "XME"
422
  ],
423
  [
424
+ "XLE"
425
  ],
426
  [
427
+ "XME"
428
  ],
429
  [
430
  "SPY"
431
  ]
432
  ],
433
  "summary": {
434
+ "annualised_return": -0.2787,
435
+ "annualised_vol": 0.2511,
436
+ "sharpe_ratio": -1.1099,
437
+ "max_drawdown": -0.3115,
438
+ "total_return": -0.3115
439
  },
440
  "fold": 9,
441
  "train_range": "2008\u20132019",
 
444
  {
445
  "equity": [
446
  1.0,
447
+ 1.2370130699748951,
448
+ 1.4089140973535874,
449
+ 1.2408738182849774,
450
+ 1.3336467915250136,
451
+ 1.3735332526338508,
452
+ 1.515530034536457
453
  ],
454
  "returns": [
455
+ 0.23701306997489507,
456
  0.13896460073957118,
457
+ -0.11926935743225642,
458
+ 0.07476422813744141,
459
+ 0.029907814694494363,
460
+ 0.10338066561571535
461
  ],
462
  "picks": [
463
  [
464
+ "SPY"
465
  ],
466
  [
467
  "XME"
468
  ],
469
  [
470
+ "XLE"
471
  ],
472
  [
473
+ "SPY"
474
  ],
475
  [
476
+ "SPY"
477
  ],
478
  [
479
+ "SPY"
480
  ]
481
  ],
482
  "summary": {
483
+ "annualised_return": 0.4388,
484
+ "annualised_vol": 0.249,
485
+ "sharpe_ratio": 1.7619,
486
+ "max_drawdown": -0.1193,
487
+ "total_return": 0.5155
488
  },
489
  "fold": 10,
490
  "train_range": "2008\u20132020",
 
493
  {
494
  "equity": [
495
  1.0,
496
+ 1.060218456439968,
497
+ 1.1083092830430012,
498
+ 1.110329120657016,
499
+ 1.1806074159437852,
500
+ 1.1094977739689633,
501
+ 1.049860048064047
502
  ],
503
  "returns": [
504
+ 0.0602184564399679,
505
+ 0.04535935618826535,
506
  0.0018224494235662314,
507
+ 0.0632950122439223,
508
+ -0.060231403779533586,
509
+ -0.05375200140472273
510
  ],
511
  "picks": [
512
  [
513
+ "SPY"
514
  ],
515
  [
516
+ "SPY"
517
  ],
518
  [
519
  "SPY"
520
  ],
521
  [
522
+ "SPY"
523
  ],
524
  [
525
+ "SPY"
526
  ],
527
  [
528
+ "SPY"
529
  ]
530
  ],
531
  "summary": {
532
+ "annualised_return": 0.0435,
533
+ "annualised_vol": 0.1171,
534
+ "sharpe_ratio": 0.3714,
535
+ "max_drawdown": -0.1107,
536
+ "total_return": 0.0499
537
  },
538
  "fold": 11,
539
  "train_range": "2008\u20132021",
 
594
  1.0397787211026936,
595
  1.1373979752918633,
596
  1.0145007210169168,
597
+ 1.0913192036946633,
598
+ 1.1328930724769866,
599
+ 1.1706985567975685
600
  ],
601
  "returns": [
602
  0.03977872110269361,
603
  0.09388464315334676,
604
  -0.10805123355649573,
605
+ 0.07572048110596226,
606
+ 0.03809505838582782,
607
  0.033370743664203895
608
  ],
609
  "picks": [
 
617
  "XLP"
618
  ],
619
  [
620
+ "XLU"
621
  ],
622
  [
623
+ "XLP"
624
  ],
625
  [
626
  "XLP"
627
  ]
628
  ],
629
  "summary": {
630
+ "annualised_return": 0.1479,
631
+ "annualised_vol": 0.1491,
632
+ "sharpe_ratio": 0.9919,
633
  "max_drawdown": -0.1081,
634
+ "total_return": 0.1707
635
  },
636
  "fold": 13,
637
  "train_range": "2008\u20132023",
 
640
  {
641
  "equity": [
642
  1.0,
643
+ 1.0447907527551166,
644
+ 0.9943806916953011,
645
+ 1.0898383494400623,
646
+ 1.0839781003709101,
647
+ 1.0442398061182643,
648
+ 1.0696663409094602
649
  ],
650
  "returns": [
651
+ 0.044790752755116535,
652
+ -0.04824895408662833,
653
  0.09599709501802284,
654
+ -0.00537717274508011,
655
+ -0.036659683658782805,
656
+ 0.02434932535823698
657
  ],
658
  "picks": [
659
  [
660
+ "QQQ"
661
  ],
662
  [
663
+ "XLE"
664
  ],
665
  [
666
  "IWM"
667
  ],
668
  [
669
+ "IWM"
670
  ],
671
  [
672
+ "QQQ"
673
  ],
674
  [
675
+ "QQQ"
676
  ]
677
  ],
678
  "summary": {
679
+ "annualised_return": 0.0607,
680
+ "annualised_vol": 0.113,
681
+ "sharpe_ratio": 0.5374,
682
+ "max_drawdown": -0.0482,
683
+ "total_return": 0.0697
684
  },
685
  "fold": 14,
686
  "train_range": "2008\u20132024",
 
690
  "aggregate": {
691
  "equity": [
692
  1.0,
693
+ 1.120612776366909,
694
+ 1.059240077535071,
695
+ 0.9610814963450813,
696
+ 1.0325170587813937,
697
+ 1.115778161896854,
698
+ 1.1712271410782724,
699
+ 1.0875720457672513,
700
+ 1.117345472588459,
701
+ 1.2124906114938139,
702
+ 1.2040362453798308,
703
+ 1.2706479994826498,
704
+ 1.3924679513198759,
705
+ 1.0290082608510327,
706
+ 1.0171573961040172,
707
+ 0.9578773403563968,
708
+ 0.8204019568082213,
709
+ 1.031236376429543,
710
+ 0.953975450125237,
711
+ 0.9858359471312055,
712
+ 1.110824621296617,
713
+ 1.1338591201428687,
714
+ 0.9605688999664943,
715
+ 1.1573341524271608,
716
+ 1.1213695209069596,
717
+ 1.2351734138022008,
718
+ 1.2592044359751395,
719
+ 1.4578217828976692,
720
+ 1.1124695620238028,
721
+ 1.2090669424773668,
722
+ 1.7495820081844675,
723
+ 1.7856212353042282,
724
+ 1.8802687279286319,
725
+ 1.8485279240289314,
726
+ 1.8750003754120985,
727
+ 2.0074814276750677,
728
+ 1.8809493302692164,
729
+ 1.9289324140853974,
730
+ 2.052693322691104,
731
+ 2.167553548897498,
732
+ 2.237338866391146,
733
+ 2.3304382898093854,
734
+ 2.1423390353156746,
735
+ 2.125618135457648,
736
+ 2.199208655200702,
737
+ 2.235563196773339,
738
+ 2.192305779288227,
739
+ 2.2428885452731575,
740
+ 2.318721045449224,
741
+ 1.9973953537615643,
742
+ 2.149411635538269,
743
+ 1.9798565267199728,
744
+ 2.142609969667889,
745
+ 1.664506183151652,
746
+ 1.596342081157864,
747
+ 1.9746960185432025,
748
+ 2.249108862342079,
749
+ 1.980859093535346,
750
+ 2.1289564947125483,
751
+ 2.1926289310490517,
752
+ 2.4193043693891774,
753
+ 2.5649911441722635,
754
+ 2.681337491100519,
755
+ 2.686224093065561,
756
+ 2.8562486799260647,
757
+ 2.684212812390678,
758
+ 2.5399310015284797,
759
+ 2.2147786325829566,
760
+ 1.7728871808765558,
761
+ 1.641923872309901,
762
+ 1.951712999912824,
763
+ 1.9052000157887758,
764
+ 2.445040026227104,
765
+ 2.542300591515315,
766
+ 2.7809835753382726,
767
+ 2.4804948695226186,
768
+ 2.6683191344237422,
769
+ 2.769968907641636,
770
+ 2.86240483001636,
771
+ 2.9906140970426742,
772
+ 2.8463200947836387,
773
+ 3.1195585553742915,
774
+ 3.1027841501336515,
775
+ 2.9890370647282665,
776
+ 3.061818100725165
777
  ],
778
  "returns": [
779
+ 0.12061277636690901,
780
+ -0.054767088262916055,
781
+ -0.09266887013793124,
782
+ 0.07432830900186545,
783
+ 0.08063896127171755,
784
+ 0.04969534363995201,
785
+ -0.07142516799431868,
786
+ 0.02737605010820536,
787
+ 0.08515283879473746,
788
  -0.006972727074205616,
789
+ 0.05532371168926508,
790
  0.0958723044358671,
791
+ -0.26101835243269433,
792
+ -0.011516782904361108,
793
  -0.05828012063293134,
794
+ -0.14352086405658704,
795
  0.25698917204143973,
796
+ -0.07492067587046049,
797
+ 0.033397606827079256,
798
+ 0.12678445590174522,
799
+ 0.020736395651155586,
800
+ -0.15283223206295635,
801
+ 0.20484241418552046,
802
  -0.031075408467620302,
803
+ 0.10148652230461647,
804
+ 0.01945558567275566,
805
+ 0.15773240726293875,
806
+ -0.2368960492464449,
807
  0.0868314817331579,
808
  0.4470513970050248,
809
+ 0.020598764134045093,
810
+ 0.05300535788502637,
811
  -0.016880993353895368,
812
+ 0.014320828503076881,
813
  0.07065654706007828,
814
+ -0.06303027049789067,
815
+ 0.02551003530186173,
816
+ 0.06416031360247923,
817
+ 0.05595586293222333,
818
  0.032195429510446794,
819
+ 0.04161167752313249,
820
+ -0.08071411086757235,
821
+ -0.007804973714425621,
822
  0.03462076208114863,
823
  0.01653073776636215,
824
  -0.019349673293757412,
825
  0.0230728607582074,
826
+ 0.03381019548915247,
827
+ -0.138578848162137,
828
+ 0.07610725712885145,
829
+ -0.0788844286570706,
830
+ 0.08220466521255944,
831
+ -0.22314083910957638,
832
  -0.040951546280665205,
833
+ 0.23701306997489507,
834
  0.13896460073957118,
835
+ -0.11926935743225642,
836
+ 0.07476422813744141,
837
+ 0.029907814694494363,
838
+ 0.10338066561571535,
839
+ 0.0602184564399679,
840
+ 0.04535935618826535,
841
  0.0018224494235662314,
842
+ 0.0632950122439223,
843
+ -0.060231403779533586,
844
+ -0.05375200140472273,
845
  -0.12801622120831352,
846
  -0.19951946673381565,
847
  -0.07387007474548016,
 
851
  0.03977872110269361,
852
  0.09388464315334676,
853
  -0.10805123355649573,
854
+ 0.07572048110596226,
855
+ 0.03809505838582782,
856
  0.033370743664203895,
857
+ 0.044790752755116535,
858
+ -0.04824895408662833,
859
  0.09599709501802284,
860
+ -0.00537717274508011,
861
+ -0.036659683658782805,
862
+ 0.02434932535823698
863
  ],
864
  "summary": {
865
+ "annualised_return": 0.0724,
866
+ "annualised_vol": 0.2563,
867
+ "sharpe_ratio": 0.2827,
868
+ "max_drawdown": -0.4251,
869
+ "total_return": 2.0618,
870
  "num_folds": 14
871
  }
872
  },
873
+ "elapsed_s": 20744.8
874
  }