Upload walk_forward_results_equity_shrinking.json with huggingface_hub
Browse files
walk_forward_results_equity_shrinking.json
ADDED
|
@@ -0,0 +1,874 @@
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 1 |
+
{
|
| 2 |
+
"folds": [
|
| 3 |
+
{
|
| 4 |
+
"equity": [
|
| 5 |
+
1.0,
|
| 6 |
+
1.0893324945343805,
|
| 7 |
+
1.0536226726618871,
|
| 8 |
+
1.0070654778698966,
|
| 9 |
+
1.1296722953915803,
|
| 10 |
+
1.1757176357153443,
|
| 11 |
+
1.0717423093686975
|
| 12 |
+
],
|
| 13 |
+
"returns": [
|
| 14 |
+
0.08933249453438061,
|
| 15 |
+
-0.032781379470146976,
|
| 16 |
+
-0.04418773057945668,
|
| 17 |
+
0.12174661947604112,
|
| 18 |
+
0.040759909322024425,
|
| 19 |
+
-0.08843562704865343
|
| 20 |
+
],
|
| 21 |
+
"picks": [
|
| 22 |
+
[
|
| 23 |
+
"XLP"
|
| 24 |
+
],
|
| 25 |
+
[
|
| 26 |
+
"XLP"
|
| 27 |
+
],
|
| 28 |
+
[
|
| 29 |
+
"XLP"
|
| 30 |
+
],
|
| 31 |
+
[
|
| 32 |
+
"XLY"
|
| 33 |
+
],
|
| 34 |
+
[
|
| 35 |
+
"XLP"
|
| 36 |
+
],
|
| 37 |
+
[
|
| 38 |
+
"XME"
|
| 39 |
+
]
|
| 40 |
+
],
|
| 41 |
+
"summary": {
|
| 42 |
+
"annualised_return": 0.0625,
|
| 43 |
+
"annualised_vol": 0.1727,
|
| 44 |
+
"sharpe_ratio": 0.362,
|
| 45 |
+
"max_drawdown": -0.0884,
|
| 46 |
+
"total_return": 0.0717
|
| 47 |
+
},
|
| 48 |
+
"fold": 1,
|
| 49 |
+
"train_range": "2008\u20132010",
|
| 50 |
+
"test_range": "2010-12-31 \u2192 2012-03-09"
|
| 51 |
+
},
|
| 52 |
+
{
|
| 53 |
+
"equity": [
|
| 54 |
+
1.0,
|
| 55 |
+
0.8110607982566365,
|
| 56 |
+
0.7464287725225657,
|
| 57 |
+
0.8490114669744255,
|
| 58 |
+
0.8679481854625094,
|
| 59 |
+
0.8025931197316138,
|
| 60 |
+
0.7428929949432513
|
| 61 |
+
],
|
| 62 |
+
"returns": [
|
| 63 |
+
-0.18893920174336357,
|
| 64 |
+
-0.079688262424958,
|
| 65 |
+
0.13743132396300894,
|
| 66 |
+
0.022304431947860123,
|
| 67 |
+
-0.07529834940097174,
|
| 68 |
+
-0.07438404755865113
|
| 69 |
+
],
|
| 70 |
+
"picks": [
|
| 71 |
+
[
|
| 72 |
+
"XME"
|
| 73 |
+
],
|
| 74 |
+
[
|
| 75 |
+
"XME"
|
| 76 |
+
],
|
| 77 |
+
[
|
| 78 |
+
"XME"
|
| 79 |
+
],
|
| 80 |
+
[
|
| 81 |
+
"XME"
|
| 82 |
+
],
|
| 83 |
+
[
|
| 84 |
+
"XME"
|
| 85 |
+
],
|
| 86 |
+
[
|
| 87 |
+
"XME"
|
| 88 |
+
]
|
| 89 |
+
],
|
| 90 |
+
"summary": {
|
| 91 |
+
"annualised_return": -0.229,
|
| 92 |
+
"annualised_vol": 0.232,
|
| 93 |
+
"sharpe_ratio": -0.9872,
|
| 94 |
+
"max_drawdown": -0.2571,
|
| 95 |
+
"total_return": -0.2571
|
| 96 |
+
},
|
| 97 |
+
"fold": 2,
|
| 98 |
+
"train_range": "2008\u20132011",
|
| 99 |
+
"test_range": "2011-12-30 \u2192 2013-03-13"
|
| 100 |
+
},
|
| 101 |
+
{
|
| 102 |
+
"equity": [
|
| 103 |
+
1.0,
|
| 104 |
+
1.0642004948016535,
|
| 105 |
+
1.0519443279373126,
|
| 106 |
+
0.9538206466552077,
|
| 107 |
+
0.8169272561473436,
|
| 108 |
+
1.0268688203323462,
|
| 109 |
+
0.9499351142827444
|
| 110 |
+
],
|
| 111 |
+
"returns": [
|
| 112 |
+
0.06420049480165341,
|
| 113 |
+
-0.011516783655156211,
|
| 114 |
+
-0.093278397607323,
|
| 115 |
+
-0.1435211021987335,
|
| 116 |
+
0.25698930058362124,
|
| 117 |
+
-0.07492067587046049
|
| 118 |
+
],
|
| 119 |
+
"picks": [
|
| 120 |
+
[
|
| 121 |
+
"XLK"
|
| 122 |
+
],
|
| 123 |
+
[
|
| 124 |
+
"GDX"
|
| 125 |
+
],
|
| 126 |
+
[
|
| 127 |
+
"GDX"
|
| 128 |
+
],
|
| 129 |
+
[
|
| 130 |
+
"GDX"
|
| 131 |
+
],
|
| 132 |
+
[
|
| 133 |
+
"GDX"
|
| 134 |
+
],
|
| 135 |
+
[
|
| 136 |
+
"GDX"
|
| 137 |
+
]
|
| 138 |
+
],
|
| 139 |
+
"summary": {
|
| 140 |
+
"annualised_return": -0.0439,
|
| 141 |
+
"annualised_vol": 0.3034,
|
| 142 |
+
"sharpe_ratio": -0.1448,
|
| 143 |
+
"max_drawdown": -0.2324,
|
| 144 |
+
"total_return": -0.0501
|
| 145 |
+
},
|
| 146 |
+
"fold": 3,
|
| 147 |
+
"train_range": "2009\u20132013",
|
| 148 |
+
"test_range": "2013-01-03 \u2192 2014-03-13"
|
| 149 |
+
},
|
| 150 |
+
{
|
| 151 |
+
"equity": [
|
| 152 |
+
1.0,
|
| 153 |
+
1.043698642374501,
|
| 154 |
+
1.03951131303148,
|
| 155 |
+
1.0750008788487826,
|
| 156 |
+
1.1299439902705037,
|
| 157 |
+
1.187224801214735,
|
| 158 |
+
1.1621024099840727
|
| 159 |
+
],
|
| 160 |
+
"returns": [
|
| 161 |
+
0.043698642374500836,
|
| 162 |
+
-0.0040120099548032594,
|
| 163 |
+
0.03414062489979642,
|
| 164 |
+
0.05110982930596268,
|
| 165 |
+
0.050693495817008216,
|
| 166 |
+
-0.021160601770581246
|
| 167 |
+
],
|
| 168 |
+
"picks": [
|
| 169 |
+
[
|
| 170 |
+
"XLP"
|
| 171 |
+
],
|
| 172 |
+
[
|
| 173 |
+
"XLP"
|
| 174 |
+
],
|
| 175 |
+
[
|
| 176 |
+
"XLP"
|
| 177 |
+
],
|
| 178 |
+
[
|
| 179 |
+
"XLP"
|
| 180 |
+
],
|
| 181 |
+
[
|
| 182 |
+
"XLP"
|
| 183 |
+
],
|
| 184 |
+
[
|
| 185 |
+
"XLP"
|
| 186 |
+
]
|
| 187 |
+
],
|
| 188 |
+
"summary": {
|
| 189 |
+
"annualised_return": 0.1405,
|
| 190 |
+
"annualised_vol": 0.0644,
|
| 191 |
+
"sharpe_ratio": 2.1804,
|
| 192 |
+
"max_drawdown": -0.0212,
|
| 193 |
+
"total_return": 0.1621
|
| 194 |
+
},
|
| 195 |
+
"fold": 4,
|
| 196 |
+
"train_range": "2010\u20132014",
|
| 197 |
+
"test_range": "2014-01-03 \u2192 2015-03-13"
|
| 198 |
+
},
|
| 199 |
+
{
|
| 200 |
+
"equity": [
|
| 201 |
+
1.0,
|
| 202 |
+
1.0475786567827172,
|
| 203 |
+
1.0629383915023316,
|
| 204 |
+
0.9495103982540039,
|
| 205 |
+
0.974371482958957,
|
| 206 |
+
0.8992542371300051,
|
| 207 |
+
0.9458694739270727
|
| 208 |
+
],
|
| 209 |
+
"returns": [
|
| 210 |
+
0.047578656782717194,
|
| 211 |
+
0.01466213025643979,
|
| 212 |
+
-0.10671172869013738,
|
| 213 |
+
0.026183056816090317,
|
| 214 |
+
-0.07709302575321372,
|
| 215 |
+
0.051837661555914835
|
| 216 |
+
],
|
| 217 |
+
"picks": [
|
| 218 |
+
[
|
| 219 |
+
"XLV"
|
| 220 |
+
],
|
| 221 |
+
[
|
| 222 |
+
"XLV"
|
| 223 |
+
],
|
| 224 |
+
[
|
| 225 |
+
"XLV"
|
| 226 |
+
],
|
| 227 |
+
[
|
| 228 |
+
"SPY"
|
| 229 |
+
],
|
| 230 |
+
[
|
| 231 |
+
"QQQ"
|
| 232 |
+
],
|
| 233 |
+
[
|
| 234 |
+
"SPY"
|
| 235 |
+
]
|
| 236 |
+
],
|
| 237 |
+
"summary": {
|
| 238 |
+
"annualised_return": -0.0475,
|
| 239 |
+
"annualised_vol": 0.1414,
|
| 240 |
+
"sharpe_ratio": -0.336,
|
| 241 |
+
"max_drawdown": -0.154,
|
| 242 |
+
"total_return": -0.0541
|
| 243 |
+
},
|
| 244 |
+
"fold": 5,
|
| 245 |
+
"train_range": "2011\u20132015",
|
| 246 |
+
"test_range": "2015-01-05 \u2192 2016-03-14"
|
| 247 |
+
},
|
| 248 |
+
{
|
| 249 |
+
"equity": [
|
| 250 |
+
1.0,
|
| 251 |
+
1.0735829709616729,
|
| 252 |
+
1.1296009162451637,
|
| 253 |
+
1.1574350679220466,
|
| 254 |
+
1.1429874156364819,
|
| 255 |
+
1.2350677726685544,
|
| 256 |
+
1.1572210011713122
|
| 257 |
+
],
|
| 258 |
+
"returns": [
|
| 259 |
+
0.07358297096167288,
|
| 260 |
+
0.05217849649134465,
|
| 261 |
+
0.02464069502475675,
|
| 262 |
+
-0.012482473260035857,
|
| 263 |
+
0.08056112934611527,
|
| 264 |
+
-0.06303036417915932
|
| 265 |
+
],
|
| 266 |
+
"picks": [
|
| 267 |
+
[
|
| 268 |
+
"XLE"
|
| 269 |
+
],
|
| 270 |
+
[
|
| 271 |
+
"XLY"
|
| 272 |
+
],
|
| 273 |
+
[
|
| 274 |
+
"XLF"
|
| 275 |
+
],
|
| 276 |
+
[
|
| 277 |
+
"XLP"
|
| 278 |
+
],
|
| 279 |
+
[
|
| 280 |
+
"XLV"
|
| 281 |
+
],
|
| 282 |
+
[
|
| 283 |
+
"XLE"
|
| 284 |
+
]
|
| 285 |
+
],
|
| 286 |
+
"summary": {
|
| 287 |
+
"annualised_return": 0.1363,
|
| 288 |
+
"annualised_vol": 0.1158,
|
| 289 |
+
"sharpe_ratio": 1.1766,
|
| 290 |
+
"max_drawdown": -0.063,
|
| 291 |
+
"total_return": 0.1572
|
| 292 |
+
},
|
| 293 |
+
"fold": 6,
|
| 294 |
+
"train_range": "2013\u20132016",
|
| 295 |
+
"test_range": "2016-01-05 \u2192 2017-03-14"
|
| 296 |
+
},
|
| 297 |
+
{
|
| 298 |
+
"equity": [
|
| 299 |
+
1.0,
|
| 300 |
+
1.0314061104735075,
|
| 301 |
+
1.0309472911869069,
|
| 302 |
+
1.0366097557665164,
|
| 303 |
+
1.1041563209593523,
|
| 304 |
+
1.2066724930991468,
|
| 305 |
+
1.2128194944652433
|
| 306 |
+
],
|
| 307 |
+
"returns": [
|
| 308 |
+
0.03140611047350759,
|
| 309 |
+
-0.00044484833078028843,
|
| 310 |
+
0.005492486985528167,
|
| 311 |
+
0.06516103559423751,
|
| 312 |
+
0.09284570508161621,
|
| 313 |
+
0.005094175429746466
|
| 314 |
+
],
|
| 315 |
+
"picks": [
|
| 316 |
+
[
|
| 317 |
+
"XLY"
|
| 318 |
+
],
|
| 319 |
+
[
|
| 320 |
+
"XLP"
|
| 321 |
+
],
|
| 322 |
+
[
|
| 323 |
+
"XLY"
|
| 324 |
+
],
|
| 325 |
+
[
|
| 326 |
+
"XLY"
|
| 327 |
+
],
|
| 328 |
+
[
|
| 329 |
+
"XLY"
|
| 330 |
+
],
|
| 331 |
+
[
|
| 332 |
+
"IWM"
|
| 333 |
+
]
|
| 334 |
+
],
|
| 335 |
+
"summary": {
|
| 336 |
+
"annualised_return": 0.1839,
|
| 337 |
+
"annualised_vol": 0.0798,
|
| 338 |
+
"sharpe_ratio": 2.3057,
|
| 339 |
+
"max_drawdown": -0.0004,
|
| 340 |
+
"total_return": 0.2128
|
| 341 |
+
},
|
| 342 |
+
"fold": 7,
|
| 343 |
+
"train_range": "2014\u20132017",
|
| 344 |
+
"test_range": "2017-01-04 \u2192 2018-03-14"
|
| 345 |
+
},
|
| 346 |
+
{
|
| 347 |
+
"equity": [
|
| 348 |
+
1.0,
|
| 349 |
+
1.1590063183915391,
|
| 350 |
+
1.1212172224047463,
|
| 351 |
+
1.0945013248495423,
|
| 352 |
+
0.9276739847272307,
|
| 353 |
+
1.0789573309622398,
|
| 354 |
+
0.997627596361456
|
| 355 |
+
],
|
| 356 |
+
"returns": [
|
| 357 |
+
0.1590063183915392,
|
| 358 |
+
-0.03260473682251908,
|
| 359 |
+
-0.02382758400544785,
|
| 360 |
+
-0.15242315046557378,
|
| 361 |
+
0.16307813814515,
|
| 362 |
+
-0.07537808240132343
|
| 363 |
+
],
|
| 364 |
+
"picks": [
|
| 365 |
+
[
|
| 366 |
+
"XLE"
|
| 367 |
+
],
|
| 368 |
+
[
|
| 369 |
+
"XME"
|
| 370 |
+
],
|
| 371 |
+
[
|
| 372 |
+
"IWM"
|
| 373 |
+
],
|
| 374 |
+
[
|
| 375 |
+
"IWM"
|
| 376 |
+
],
|
| 377 |
+
[
|
| 378 |
+
"XME"
|
| 379 |
+
],
|
| 380 |
+
[
|
| 381 |
+
"GDX"
|
| 382 |
+
]
|
| 383 |
+
],
|
| 384 |
+
"summary": {
|
| 385 |
+
"annualised_return": -0.0021,
|
| 386 |
+
"annualised_vol": 0.2682,
|
| 387 |
+
"sharpe_ratio": -0.0077,
|
| 388 |
+
"max_drawdown": -0.1996,
|
| 389 |
+
"total_return": -0.0024
|
| 390 |
+
},
|
| 391 |
+
"fold": 8,
|
| 392 |
+
"train_range": "2015\u20132018",
|
| 393 |
+
"test_range": "2018-01-04 \u2192 2019-03-15"
|
| 394 |
+
},
|
| 395 |
+
{
|
| 396 |
+
"equity": [
|
| 397 |
+
1.0,
|
| 398 |
+
1.0277303937992808,
|
| 399 |
+
1.0631264402946685,
|
| 400 |
+
1.0439732025337622,
|
| 401 |
+
1.0441608247987824,
|
| 402 |
+
1.04957327973004,
|
| 403 |
+
0.8746382622568779
|
| 404 |
+
],
|
| 405 |
+
"returns": [
|
| 406 |
+
0.02773039379928075,
|
| 407 |
+
0.03444098443419261,
|
| 408 |
+
-0.018015954673836862,
|
| 409 |
+
0.00017971942628859866,
|
| 410 |
+
0.005183545295621226,
|
| 411 |
+
-0.16667251429853192
|
| 412 |
+
],
|
| 413 |
+
"picks": [
|
| 414 |
+
[
|
| 415 |
+
"XLU"
|
| 416 |
+
],
|
| 417 |
+
[
|
| 418 |
+
"IWM"
|
| 419 |
+
],
|
| 420 |
+
[
|
| 421 |
+
"XLF"
|
| 422 |
+
],
|
| 423 |
+
[
|
| 424 |
+
"XLU"
|
| 425 |
+
],
|
| 426 |
+
[
|
| 427 |
+
"XLU"
|
| 428 |
+
],
|
| 429 |
+
[
|
| 430 |
+
"XME"
|
| 431 |
+
]
|
| 432 |
+
],
|
| 433 |
+
"summary": {
|
| 434 |
+
"annualised_return": -0.1106,
|
| 435 |
+
"annualised_vol": 0.156,
|
| 436 |
+
"sharpe_ratio": -0.7091,
|
| 437 |
+
"max_drawdown": -0.1773,
|
| 438 |
+
"total_return": -0.1254
|
| 439 |
+
},
|
| 440 |
+
"fold": 9,
|
| 441 |
+
"train_range": "2016\u20132019",
|
| 442 |
+
"test_range": "2019-01-07 \u2192 2020-03-16"
|
| 443 |
+
},
|
| 444 |
+
{
|
| 445 |
+
"equity": [
|
| 446 |
+
1.0,
|
| 447 |
+
1.4126373918000499,
|
| 448 |
+
1.703466236532842,
|
| 449 |
+
1.542565986962134,
|
| 450 |
+
1.4231054779579695,
|
| 451 |
+
1.2331398963327398,
|
| 452 |
+
1.4536922930738942
|
| 453 |
+
],
|
| 454 |
+
"returns": [
|
| 455 |
+
0.41263739180004994,
|
| 456 |
+
0.2058765019395416,
|
| 457 |
+
-0.09445461619374222,
|
| 458 |
+
-0.07744272207079124,
|
| 459 |
+
-0.13348664913988906,
|
| 460 |
+
0.1788543192845028
|
| 461 |
+
],
|
| 462 |
+
"picks": [
|
| 463 |
+
[
|
| 464 |
+
"XLE"
|
| 465 |
+
],
|
| 466 |
+
[
|
| 467 |
+
"GDX"
|
| 468 |
+
],
|
| 469 |
+
[
|
| 470 |
+
"GDX"
|
| 471 |
+
],
|
| 472 |
+
[
|
| 473 |
+
"GDX"
|
| 474 |
+
],
|
| 475 |
+
[
|
| 476 |
+
"GDX"
|
| 477 |
+
],
|
| 478 |
+
[
|
| 479 |
+
"GDX"
|
| 480 |
+
]
|
| 481 |
+
],
|
| 482 |
+
"summary": {
|
| 483 |
+
"annualised_return": 0.3873,
|
| 484 |
+
"annualised_vol": 0.4554,
|
| 485 |
+
"sharpe_ratio": 0.8504,
|
| 486 |
+
"max_drawdown": -0.2761,
|
| 487 |
+
"total_return": 0.4537
|
| 488 |
+
},
|
| 489 |
+
"fold": 10,
|
| 490 |
+
"train_range": "2017\u20132020",
|
| 491 |
+
"test_range": "2020-01-07 \u2192 2021-03-16"
|
| 492 |
+
},
|
| 493 |
+
{
|
| 494 |
+
"equity": [
|
| 495 |
+
1.0,
|
| 496 |
+
1.0811779530675205,
|
| 497 |
+
1.0716596322909857,
|
| 498 |
+
1.05517230512091,
|
| 499 |
+
1.087241446492957,
|
| 500 |
+
1.0358683117358745,
|
| 501 |
+
0.9801882362742083
|
| 502 |
+
],
|
| 503 |
+
"returns": [
|
| 504 |
+
0.08117795306752053,
|
| 505 |
+
-0.00880365785255742,
|
| 506 |
+
-0.015384854176907988,
|
| 507 |
+
0.030392326652633257,
|
| 508 |
+
-0.0472508980620574,
|
| 509 |
+
-0.05375207913094599
|
| 510 |
+
],
|
| 511 |
+
"picks": [
|
| 512 |
+
[
|
| 513 |
+
"XLV"
|
| 514 |
+
],
|
| 515 |
+
[
|
| 516 |
+
"XLI"
|
| 517 |
+
],
|
| 518 |
+
[
|
| 519 |
+
"XLI"
|
| 520 |
+
],
|
| 521 |
+
[
|
| 522 |
+
"XLI"
|
| 523 |
+
],
|
| 524 |
+
[
|
| 525 |
+
"XLI"
|
| 526 |
+
],
|
| 527 |
+
[
|
| 528 |
+
"SPY"
|
| 529 |
+
]
|
| 530 |
+
],
|
| 531 |
+
"summary": {
|
| 532 |
+
"annualised_return": -0.0174,
|
| 533 |
+
"annualised_vol": 0.1063,
|
| 534 |
+
"sharpe_ratio": -0.1633,
|
| 535 |
+
"max_drawdown": -0.0985,
|
| 536 |
+
"total_return": -0.0198
|
| 537 |
+
},
|
| 538 |
+
"fold": 11,
|
| 539 |
+
"train_range": "2018\u20132021",
|
| 540 |
+
"test_range": "2021-01-06 \u2192 2022-03-15"
|
| 541 |
+
},
|
| 542 |
+
{
|
| 543 |
+
"equity": [
|
| 544 |
+
1.0,
|
| 545 |
+
0.9445723249210872,
|
| 546 |
+
0.8479110846820125,
|
| 547 |
+
0.829894968113208,
|
| 548 |
+
0.9002507988569213,
|
| 549 |
+
1.018053255176259,
|
| 550 |
+
0.8842935007712502
|
| 551 |
+
],
|
| 552 |
+
"returns": [
|
| 553 |
+
-0.05542767507891281,
|
| 554 |
+
-0.10233333932068152,
|
| 555 |
+
-0.021247648361102746,
|
| 556 |
+
0.08477678916847706,
|
| 557 |
+
0.13085515332940076,
|
| 558 |
+
-0.13138777733376092
|
| 559 |
+
],
|
| 560 |
+
"picks": [
|
| 561 |
+
[
|
| 562 |
+
"XME"
|
| 563 |
+
],
|
| 564 |
+
[
|
| 565 |
+
"XME"
|
| 566 |
+
],
|
| 567 |
+
[
|
| 568 |
+
"XME"
|
| 569 |
+
],
|
| 570 |
+
[
|
| 571 |
+
"XME"
|
| 572 |
+
],
|
| 573 |
+
[
|
| 574 |
+
"XME"
|
| 575 |
+
],
|
| 576 |
+
[
|
| 577 |
+
"XME"
|
| 578 |
+
]
|
| 579 |
+
],
|
| 580 |
+
"summary": {
|
| 581 |
+
"annualised_return": -0.102,
|
| 582 |
+
"annualised_vol": 0.2175,
|
| 583 |
+
"sharpe_ratio": -0.469,
|
| 584 |
+
"max_drawdown": -0.1701,
|
| 585 |
+
"total_return": -0.1157
|
| 586 |
+
},
|
| 587 |
+
"fold": 12,
|
| 588 |
+
"train_range": "2019\u20132022",
|
| 589 |
+
"test_range": "2022-01-05 \u2192 2023-03-16"
|
| 590 |
+
},
|
| 591 |
+
{
|
| 592 |
+
"equity": [
|
| 593 |
+
1.0,
|
| 594 |
+
0.9215628193331401,
|
| 595 |
+
1.037948120170307,
|
| 596 |
+
1.0488325580425424,
|
| 597 |
+
1.2051475682692356,
|
| 598 |
+
1.1345099403817107,
|
| 599 |
+
1.221431886504556
|
| 600 |
+
],
|
| 601 |
+
"returns": [
|
| 602 |
+
-0.07843718066685994,
|
| 603 |
+
0.12629122876439972,
|
| 604 |
+
0.010486495096160927,
|
| 605 |
+
0.14903714518400066,
|
| 606 |
+
-0.05861326010803027,
|
| 607 |
+
0.0766162931050212
|
| 608 |
+
],
|
| 609 |
+
"picks": [
|
| 610 |
+
[
|
| 611 |
+
"XME"
|
| 612 |
+
],
|
| 613 |
+
[
|
| 614 |
+
"XME"
|
| 615 |
+
],
|
| 616 |
+
[
|
| 617 |
+
"XME"
|
| 618 |
+
],
|
| 619 |
+
[
|
| 620 |
+
"XME"
|
| 621 |
+
],
|
| 622 |
+
[
|
| 623 |
+
"XME"
|
| 624 |
+
],
|
| 625 |
+
[
|
| 626 |
+
"XME"
|
| 627 |
+
]
|
| 628 |
+
],
|
| 629 |
+
"summary": {
|
| 630 |
+
"annualised_return": 0.1913,
|
| 631 |
+
"annualised_vol": 0.199,
|
| 632 |
+
"sharpe_ratio": 0.9611,
|
| 633 |
+
"max_drawdown": -0.0784,
|
| 634 |
+
"total_return": 0.2214
|
| 635 |
+
},
|
| 636 |
+
"fold": 13,
|
| 637 |
+
"train_range": "2020\u20132023",
|
| 638 |
+
"test_range": "2023-01-06 \u2192 2024-03-18"
|
| 639 |
+
},
|
| 640 |
+
{
|
| 641 |
+
"equity": [
|
| 642 |
+
1.0,
|
| 643 |
+
1.1248682970362511,
|
| 644 |
+
1.0970391830273254,
|
| 645 |
+
1.2637532509181995,
|
| 646 |
+
1.1129053698291194,
|
| 647 |
+
1.0820891894846774,
|
| 648 |
+
1.1510480572380697
|
| 649 |
+
],
|
| 650 |
+
"returns": [
|
| 651 |
+
0.12486829703625119,
|
| 652 |
+
-0.024739886511379754,
|
| 653 |
+
0.15196728655654737,
|
| 654 |
+
-0.11936497965839404,
|
| 655 |
+
-0.027689847834208713,
|
| 656 |
+
0.06372752673578831
|
| 657 |
+
],
|
| 658 |
+
"picks": [
|
| 659 |
+
[
|
| 660 |
+
"XME"
|
| 661 |
+
],
|
| 662 |
+
[
|
| 663 |
+
"XLY"
|
| 664 |
+
],
|
| 665 |
+
[
|
| 666 |
+
"XME"
|
| 667 |
+
],
|
| 668 |
+
[
|
| 669 |
+
"XME"
|
| 670 |
+
],
|
| 671 |
+
[
|
| 672 |
+
"XME"
|
| 673 |
+
],
|
| 674 |
+
[
|
| 675 |
+
"XME"
|
| 676 |
+
]
|
| 677 |
+
],
|
| 678 |
+
"summary": {
|
| 679 |
+
"annualised_return": 0.131,
|
| 680 |
+
"annualised_vol": 0.2166,
|
| 681 |
+
"sharpe_ratio": 0.6047,
|
| 682 |
+
"max_drawdown": -0.1437,
|
| 683 |
+
"total_return": 0.151
|
| 684 |
+
},
|
| 685 |
+
"fold": 14,
|
| 686 |
+
"train_range": "2021\u20132024",
|
| 687 |
+
"test_range": "2024-01-09 \u2192 2025-03-20"
|
| 688 |
+
}
|
| 689 |
+
],
|
| 690 |
+
"aggregate": {
|
| 691 |
+
"equity": [
|
| 692 |
+
1.0,
|
| 693 |
+
1.0893324945343805,
|
| 694 |
+
1.0536226726618871,
|
| 695 |
+
1.0070654778698966,
|
| 696 |
+
1.1296722953915803,
|
| 697 |
+
1.1757176357153443,
|
| 698 |
+
1.0717423093686975,
|
| 699 |
+
0.8692481729619869,
|
| 700 |
+
0.7999792964425768,
|
| 701 |
+
0.9099215102956766,
|
| 702 |
+
0.9302167926999605,
|
| 703 |
+
0.8601730036245875,
|
| 704 |
+
0.7961898540143084,
|
| 705 |
+
0.8473056365980832,
|
| 706 |
+
0.8375474008915887,
|
| 707 |
+
0.7594223214162431,
|
| 708 |
+
0.6504291928122631,
|
| 709 |
+
0.8175825361522558,
|
| 710 |
+
0.7563286999638437,
|
| 711 |
+
0.7893792373411349,
|
| 712 |
+
0.7862122399828073,
|
| 713 |
+
0.8130540171596891,
|
| 714 |
+
0.854609069193248,
|
| 715 |
+
0.8979321904675732,
|
| 716 |
+
0.8789314049681032,
|
| 717 |
+
0.920749780620632,
|
| 718 |
+
0.9342499338376801,
|
| 719 |
+
0.8345545083692147,
|
| 720 |
+
0.8564056964779703,
|
| 721 |
+
0.7903827900641951,
|
| 722 |
+
0.8313543856351625,
|
| 723 |
+
0.8925279112522141,
|
| 724 |
+
0.9390986757379148,
|
| 725 |
+
0.9622387198049258,
|
| 726 |
+
0.9502276007151897,
|
| 727 |
+
1.026779009364655,
|
| 728 |
+
0.9620607544728843,
|
| 729 |
+
0.9922753408100857,
|
| 730 |
+
0.9918339287810519,
|
| 731 |
+
0.9972815637266871,
|
| 732 |
+
1.0622654631981587,
|
| 733 |
+
1.1608922491126414,
|
| 734 |
+
1.166806037884654,
|
| 735 |
+
1.3523355702457116,
|
| 736 |
+
1.3082430248821189,
|
| 737 |
+
1.277070754307199,
|
| 738 |
+
1.082415606568249,
|
| 739 |
+
1.2589339283866523,
|
| 740 |
+
1.1640379029949013,
|
| 741 |
+
1.1963171324422388,
|
| 742 |
+
1.23751947217904,
|
| 743 |
+
1.2152243774602718,
|
| 744 |
+
1.215442776888201,
|
| 745 |
+
1.2217430795764368,
|
| 746 |
+
1.0181120886766006,
|
| 747 |
+
1.4382232055082143,
|
| 748 |
+
1.73431956806652,
|
| 749 |
+
1.5705050789075001,
|
| 750 |
+
1.4488808905709005,
|
| 751 |
+
1.2554746354857726,
|
| 752 |
+
1.4800216967945397,
|
| 753 |
+
1.6001668286358388,
|
| 754 |
+
1.586079507369517,
|
| 755 |
+
1.561677905435655,
|
| 756 |
+
1.6091409304638558,
|
| 757 |
+
1.533107576391024,
|
| 758 |
+
1.450699856628601,
|
| 759 |
+
1.3702909363383655,
|
| 760 |
+
1.2300644889819972,
|
| 761 |
+
1.2039285112586282,
|
| 762 |
+
1.3059937048315193,
|
| 763 |
+
1.4768897113244799,
|
| 764 |
+
1.2828444547864566,
|
| 765 |
+
1.1822217525188918,
|
| 766 |
+
1.3315259903165049,
|
| 767 |
+
1.3454890310843697,
|
| 768 |
+
1.5460168751535712,
|
| 769 |
+
1.4553997859187908,
|
| 770 |
+
1.56690712250173,
|
| 771 |
+
1.7625641465024935,
|
| 772 |
+
1.718958509548995,
|
| 773 |
+
1.9801839699484427,
|
| 774 |
+
1.743819350655669,
|
| 775 |
+
1.6955332581856648,
|
| 776 |
+
1.8035853992281101
|
| 777 |
+
],
|
| 778 |
+
"returns": [
|
| 779 |
+
0.08933249453438061,
|
| 780 |
+
-0.032781379470146976,
|
| 781 |
+
-0.04418773057945668,
|
| 782 |
+
0.12174661947604112,
|
| 783 |
+
0.040759909322024425,
|
| 784 |
+
-0.08843562704865343,
|
| 785 |
+
-0.18893920174336357,
|
| 786 |
+
-0.079688262424958,
|
| 787 |
+
0.13743132396300894,
|
| 788 |
+
0.022304431947860123,
|
| 789 |
+
-0.07529834940097174,
|
| 790 |
+
-0.07438404755865113,
|
| 791 |
+
0.06420049480165341,
|
| 792 |
+
-0.011516783655156211,
|
| 793 |
+
-0.093278397607323,
|
| 794 |
+
-0.1435211021987335,
|
| 795 |
+
0.25698930058362124,
|
| 796 |
+
-0.07492067587046049,
|
| 797 |
+
0.043698642374500836,
|
| 798 |
+
-0.0040120099548032594,
|
| 799 |
+
0.03414062489979642,
|
| 800 |
+
0.05110982930596268,
|
| 801 |
+
0.050693495817008216,
|
| 802 |
+
-0.021160601770581246,
|
| 803 |
+
0.047578656782717194,
|
| 804 |
+
0.01466213025643979,
|
| 805 |
+
-0.10671172869013738,
|
| 806 |
+
0.026183056816090317,
|
| 807 |
+
-0.07709302575321372,
|
| 808 |
+
0.051837661555914835,
|
| 809 |
+
0.07358297096167288,
|
| 810 |
+
0.05217849649134465,
|
| 811 |
+
0.02464069502475675,
|
| 812 |
+
-0.012482473260035857,
|
| 813 |
+
0.08056112934611527,
|
| 814 |
+
-0.06303036417915932,
|
| 815 |
+
0.03140611047350759,
|
| 816 |
+
-0.00044484833078028843,
|
| 817 |
+
0.005492486985528167,
|
| 818 |
+
0.06516103559423751,
|
| 819 |
+
0.09284570508161621,
|
| 820 |
+
0.005094175429746466,
|
| 821 |
+
0.1590063183915392,
|
| 822 |
+
-0.03260473682251908,
|
| 823 |
+
-0.02382758400544785,
|
| 824 |
+
-0.15242315046557378,
|
| 825 |
+
0.16307813814515,
|
| 826 |
+
-0.07537808240132343,
|
| 827 |
+
0.02773039379928075,
|
| 828 |
+
0.03444098443419261,
|
| 829 |
+
-0.018015954673836862,
|
| 830 |
+
0.00017971942628859866,
|
| 831 |
+
0.005183545295621226,
|
| 832 |
+
-0.16667251429853192,
|
| 833 |
+
0.41263739180004994,
|
| 834 |
+
0.2058765019395416,
|
| 835 |
+
-0.09445461619374222,
|
| 836 |
+
-0.07744272207079124,
|
| 837 |
+
-0.13348664913988906,
|
| 838 |
+
0.1788543192845028,
|
| 839 |
+
0.08117795306752053,
|
| 840 |
+
-0.00880365785255742,
|
| 841 |
+
-0.015384854176907988,
|
| 842 |
+
0.030392326652633257,
|
| 843 |
+
-0.0472508980620574,
|
| 844 |
+
-0.05375207913094599,
|
| 845 |
+
-0.05542767507891281,
|
| 846 |
+
-0.10233333932068152,
|
| 847 |
+
-0.021247648361102746,
|
| 848 |
+
0.08477678916847706,
|
| 849 |
+
0.13085515332940076,
|
| 850 |
+
-0.13138777733376092,
|
| 851 |
+
-0.07843718066685994,
|
| 852 |
+
0.12629122876439972,
|
| 853 |
+
0.010486495096160927,
|
| 854 |
+
0.14903714518400066,
|
| 855 |
+
-0.05861326010803027,
|
| 856 |
+
0.0766162931050212,
|
| 857 |
+
0.12486829703625119,
|
| 858 |
+
-0.024739886511379754,
|
| 859 |
+
0.15196728655654737,
|
| 860 |
+
-0.11936497965839404,
|
| 861 |
+
-0.027689847834208713,
|
| 862 |
+
0.06372752673578831
|
| 863 |
+
],
|
| 864 |
+
"summary": {
|
| 865 |
+
"annualised_return": 0.0375,
|
| 866 |
+
"annualised_vol": 0.2287,
|
| 867 |
+
"sharpe_ratio": 0.1642,
|
| 868 |
+
"max_drawdown": -0.4468,
|
| 869 |
+
"total_return": 0.8036,
|
| 870 |
+
"num_folds": 14
|
| 871 |
+
}
|
| 872 |
+
},
|
| 873 |
+
"elapsed_s": 6320.5
|
| 874 |
+
}
|