P2SAMAPA commited on
Commit
db5d30c
·
verified ·
1 Parent(s): 57cd9f1

Upload walk_forward_results_equity_shrinking.json with huggingface_hub

Browse files
walk_forward_results_equity_shrinking.json CHANGED
@@ -6,17 +6,17 @@
6
  1.033302833343792,
7
  1.0344451332948914,
8
  0.9290351448139714,
9
- 1.0595779099274818,
10
- 1.1924395425056515,
11
- 1.259045944173465
12
  ],
13
  "returns": [
14
  0.03330283334379183,
15
  0.0011054841951832406,
16
  -0.1019000284192652,
17
- 0.14051434527770215,
18
  0.1253910933149435,
19
- 0.055857256735930276
20
  ],
21
  "picks": [
22
  [
@@ -29,21 +29,21 @@
29
  "QQQ"
30
  ],
31
  [
32
- "XLI"
33
  ],
34
  [
35
  "QQQ"
36
  ],
37
  [
38
- "QQQ"
39
  ]
40
  ],
41
  "summary": {
42
- "annualised_return": 0.2233,
43
- "annualised_vol": 0.1855,
44
- "sharpe_ratio": 1.2041,
45
  "max_drawdown": -0.1019,
46
- "total_return": 0.259
47
  },
48
  "fold": 1,
49
  "train_range": "2008\u20132010",
@@ -101,15 +101,15 @@
101
  {
102
  "equity": [
103
  1.0,
104
- 1.0763907659256262,
105
- 1.063994207154202,
106
- 0.9647462859424973,
107
- 0.8262850653886469,
108
- 1.038631380213082,
109
- 0.9608164152272487
110
  ],
111
  "returns": [
112
- 0.0763907659256262,
113
  -0.011516782904361108,
114
  -0.09327862928610935,
115
  -0.14352086405658704,
@@ -118,7 +118,7 @@
118
  ],
119
  "picks": [
120
  [
121
- "XLP"
122
  ],
123
  [
124
  "GDX"
@@ -137,11 +137,11 @@
137
  ]
138
  ],
139
  "summary": {
140
- "annualised_return": -0.0344,
141
- "annualised_vol": 0.3058,
142
- "sharpe_ratio": -0.1124,
143
- "max_drawdown": -0.2324,
144
- "total_return": -0.0392
145
  },
146
  "fold": 3,
147
  "train_range": "2009\u20132013",
@@ -152,17 +152,17 @@
152
  1.0,
153
  1.0436981352987438,
154
  1.039510931192364,
155
- 1.0750011056956825,
156
- 1.138071908455143,
157
- 1.19576501929547,
158
- 1.184296897021555
159
  ],
160
  "returns": [
161
  0.04369813529874378,
162
  -0.0040118919108552325,
163
- 0.03414122299090169,
164
  0.05867045384910971,
165
- 0.05069373069636847,
166
  -0.009590615287167339
167
  ],
168
  "picks": [
@@ -173,24 +173,24 @@
173
  "XLP"
174
  ],
175
  [
176
- "XLP"
177
  ],
178
  [
179
  "XLY"
180
  ],
181
  [
182
- "XLP"
183
  ],
184
  [
185
  "XLK"
186
  ]
187
  ],
188
  "summary": {
189
- "annualised_return": 0.1595,
190
- "annualised_vol": 0.0604,
191
- "sharpe_ratio": 2.6401,
192
- "max_drawdown": -0.0096,
193
- "total_return": 0.1843
194
  },
195
  "fold": 4,
196
  "train_range": "2010\u20132014",
@@ -199,47 +199,47 @@
199
  {
200
  "equity": [
201
  1.0,
202
- 1.0236064229077673,
203
- 1.0442381867364021,
204
- 0.9626112402305436,
205
- 0.9938087654631664,
206
- 0.8782928672905442,
207
- 0.9583606324474836
208
  ],
209
  "returns": [
210
- 0.02360642290776723,
211
- 0.02015595385775923,
212
- -0.07816889627544688,
213
- 0.032409267551406495,
214
- -0.11623553966017376,
215
- 0.09116294591340739
216
  ],
217
  "picks": [
218
  [
219
- "XLF"
220
  ],
221
  [
222
- "XLF"
223
  ],
224
  [
225
- "XLF"
226
  ],
227
  [
228
- "XLF"
229
  ],
230
  [
231
- "XLF"
232
  ],
233
  [
234
- "XLF"
235
  ]
236
  ],
237
  "summary": {
238
- "annualised_return": -0.0365,
239
- "annualised_vol": 0.1615,
240
- "sharpe_ratio": -0.2261,
241
- "max_drawdown": -0.1589,
242
- "total_return": -0.0416
243
  },
244
  "fold": 5,
245
  "train_range": "2011\u20132015",
@@ -248,30 +248,30 @@
248
  {
249
  "equity": [
250
  1.0,
251
- 1.0179991370306223,
252
- 1.1099763525190287,
253
- 1.11901425195893,
254
- 1.2071648629434488,
255
- 1.2674552779221648,
256
- 1.1875672289107515
257
  ],
258
  "returns": [
259
- 0.01799913703062222,
260
- 0.09035097589246743,
261
- 0.008142425214186047,
262
  0.07877523528427265,
263
  0.049943812008998646,
264
- -0.06303027049789067
265
  ],
266
  "picks": [
267
  [
268
- "SPY"
269
  ],
270
  [
271
- "XLK"
272
  ],
273
  [
274
- "XLI"
275
  ],
276
  [
277
  "XLI"
@@ -280,15 +280,15 @@
280
  "XLI"
281
  ],
282
  [
283
- "XLE"
284
  ]
285
  ],
286
  "summary": {
287
- "annualised_return": 0.1623,
288
- "annualised_vol": 0.1172,
289
- "sharpe_ratio": 1.3851,
290
- "max_drawdown": -0.063,
291
- "total_return": 0.1876
292
  },
293
  "fold": 6,
294
  "train_range": "2013\u20132016",
@@ -297,47 +297,47 @@
297
  {
298
  "equity": [
299
  1.0,
300
- 1.0832857774354259,
301
- 1.0828038800070863,
302
- 1.0887511662259046,
303
- 1.144238525922728,
304
- 1.2504763707808564,
305
- 1.341310185869344
306
  ],
307
  "returns": [
308
- 0.08328577743542591,
309
- -0.0004448479232141698,
310
- 0.005492486985528167,
311
- 0.05096422526844883,
312
- 0.09284589047764917,
313
- 0.0726393694522724
314
  ],
315
  "picks": [
316
  [
317
- "GDX"
318
  ],
319
  [
320
- "XLP"
321
  ],
322
  [
323
- "XLY"
324
  ],
325
  [
326
- "XLP"
327
  ],
328
  [
329
- "XLY"
330
  ],
331
  [
332
- "XLE"
333
  ]
334
  ],
335
  "summary": {
336
- "annualised_return": 0.293,
337
- "annualised_vol": 0.0836,
338
- "sharpe_ratio": 3.5063,
339
- "max_drawdown": -0.0004,
340
- "total_return": 0.3413
341
  },
342
  "fold": 7,
343
  "train_range": "2014\u20132017",
@@ -347,17 +347,17 @@
347
  "equity": [
348
  1.0,
349
  1.1590058636981218,
350
- 1.1904398111841417,
351
- 1.16207414730782,
352
- 0.9849475900356525,
353
- 1.0729175194099274,
354
- 0.9920428628193643
355
  ],
356
  "returns": [
357
  0.15900586369812167,
358
- 0.02712147407582688,
359
  -0.023827885803068084,
360
- -0.15242276724124446,
361
  0.0893143252130713,
362
  -0.07537826079589222
363
  ],
@@ -366,13 +366,13 @@
366
  "XLE"
367
  ],
368
  [
369
- "IWM"
370
  ],
371
  [
372
  "IWM"
373
  ],
374
  [
375
- "IWM"
376
  ],
377
  [
378
  "XLE"
@@ -382,11 +382,11 @@
382
  ]
383
  ],
384
  "summary": {
385
- "annualised_return": -0.007,
386
- "annualised_vol": 0.2355,
387
- "sharpe_ratio": -0.0296,
388
- "max_drawdown": -0.1726,
389
- "total_return": -0.008
390
  },
391
  "fold": 8,
392
  "train_range": "2015\u20132018",
@@ -395,33 +395,33 @@
395
  {
396
  "equity": [
397
  1.0,
398
- 0.9658746597829737,
399
- 0.975553075315587,
400
- 0.9579777084215039,
401
- 1.0743963846216964,
402
- 0.9517210609648777,
403
- 0.7468250848150055
404
  ],
405
  "returns": [
406
- -0.034125340217026345,
407
- 0.010020363858378938,
408
- -0.018015797744676883,
409
- 0.12152545427389953,
410
  -0.11418069291066507,
411
  -0.21528994634430354
412
  ],
413
  "picks": [
414
  [
415
- "IWM"
416
  ],
417
  [
418
- "XLU"
419
  ],
420
  [
421
- "XLF"
422
  ],
423
  [
424
- "IWM"
425
  ],
426
  [
427
  "XLF"
@@ -431,11 +431,11 @@
431
  ]
432
  ],
433
  "summary": {
434
- "annualised_return": -0.2254,
435
- "annualised_vol": 0.2391,
436
- "sharpe_ratio": -0.9429,
437
  "max_drawdown": -0.3049,
438
- "total_return": -0.2532
439
  },
440
  "fold": 9,
441
  "train_range": "2016\u20132019",
@@ -445,16 +445,16 @@
445
  "equity": [
446
  1.0,
447
  1.4126371401463116,
448
- 1.5456225248132156,
449
- 1.6239930026343747,
450
- 1.4982265638864511,
451
- 1.298233320220879,
452
- 1.530427956981444
453
  ],
454
  "returns": [
455
  0.4126371401463115,
456
- 0.09413980482852823,
457
- 0.05070479794581795,
458
  -0.07744272207079124,
459
  -0.13348664913988906,
460
  0.1788543192845028
@@ -464,10 +464,10 @@
464
  "XLE"
465
  ],
466
  [
467
- "IWM"
468
  ],
469
  [
470
- "XLU"
471
  ],
472
  [
473
  "GDX"
@@ -480,11 +480,11 @@
480
  ]
481
  ],
482
  "summary": {
483
- "annualised_return": 0.4511,
484
- "annualised_vol": 0.4093,
485
- "sharpe_ratio": 1.1021,
486
- "max_drawdown": -0.2006,
487
- "total_return": 0.5304
488
  },
489
  "fold": 10,
490
  "train_range": "2017\u20132020",
@@ -493,47 +493,47 @@
493
  {
494
  "equity": [
495
  1.0,
496
- 1.1379373511351505,
497
- 1.1050961892499507,
498
- 0.9722954623920312,
499
- 0.9708089106337141,
500
- 1.0871870615885089,
501
- 1.161076391669315
502
  ],
503
  "returns": [
504
- 0.1379373511351505,
505
- -0.028860254786820222,
506
- -0.1201711924715384,
507
- -0.0015289094887472648,
508
- 0.11987750594380787,
509
- 0.06796376878588413
510
  ],
511
  "picks": [
512
  [
513
- "XME"
514
  ],
515
  [
516
- "XME"
517
  ],
518
  [
519
- "GDX"
520
  ],
521
  [
522
- "XME"
523
  ],
524
  [
525
- "GDX"
526
  ],
527
  [
528
- "XME"
529
  ]
530
  ],
531
  "summary": {
532
- "annualised_return": 0.1396,
533
- "annualised_vol": 0.2053,
534
- "sharpe_ratio": 0.6799,
535
- "max_drawdown": -0.1469,
536
- "total_return": 0.1611
537
  },
538
  "fold": 11,
539
  "train_range": "2018\u20132021",
@@ -542,15 +542,15 @@
542
  {
543
  "equity": [
544
  1.0,
545
- 0.9445723211042915,
546
- 0.8479109315280564,
547
- 0.8298950274936131,
548
- 0.9002510052395768,
549
- 1.0180532571782976,
550
- 0.8842933519021305
551
  ],
552
  "returns": [
553
- -0.05542767889570857,
554
  -0.10233349783447915,
555
  -0.021247401542489948,
556
  0.08477696023610069,
@@ -559,7 +559,7 @@
559
  ],
560
  "picks": [
561
  [
562
- "XME"
563
  ],
564
  [
565
  "XME"
@@ -578,11 +578,11 @@
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",
@@ -642,18 +642,18 @@
642
  1.0,
643
  1.1248683742990682,
644
  1.0970395521411571,
645
- 1.2602257098363288,
646
- 1.4612466691239157,
647
- 1.4207849686820264,
648
- 1.5113280872080141
649
  ],
650
  "returns": [
651
  0.12486837429906825,
652
  -0.024739625358613022,
653
- 0.14875138947968802,
654
- 0.15951186975362894,
655
  -0.02768984956259842,
656
- 0.06372753127447499
657
  ],
658
  "picks": [
659
  [
@@ -663,24 +663,24 @@
663
  "XLY"
664
  ],
665
  [
666
- "XLY"
667
  ],
668
  [
669
- "XLY"
670
  ],
671
  [
672
  "XME"
673
  ],
674
  [
675
- "XME"
676
  ]
677
  ],
678
  "summary": {
679
- "annualised_return": 0.4353,
680
- "annualised_vol": 0.1767,
681
- "sharpe_ratio": 2.4634,
682
- "max_drawdown": -0.0277,
683
- "total_return": 0.5113
684
  },
685
  "fold": 14,
686
  "train_range": "2021\u20132024",
@@ -693,102 +693,102 @@
693
  1.033302833343792,
694
  1.0344451332948914,
695
  0.9290351448139714,
696
- 1.0595779099274818,
697
- 1.1924395425056515,
698
- 1.259045944173465,
699
- 1.021162177558226,
700
- 0.9397884367508791,
701
- 1.0689442634904724,
702
- 1.0927863400054387,
703
- 1.0105013323551,
704
- 0.9353364401694506,
705
- 1.0067875072321435,
706
- 0.995192554080528,
707
- 0.9023623567601541,
708
- 0.7728545316257985,
709
- 0.9714697778167871,
710
- 0.8986866054750273,
711
- 0.9379575343522438,
712
- 0.9341945501074503,
713
- 0.9660890945595539,
714
- 1.0227699801960384,
715
- 1.0746180061364263,
716
- 1.064311758258909,
717
- 1.0894363517300782,
718
- 1.111394980566515,
719
- 1.0245184616095588,
720
- 1.0577223545432184,
721
- 0.9347774258522578,
722
- 1.0199944897663014,
723
- 1.0383535103580848,
724
- 1.132169763340307,
725
- 1.1413883709680681,
726
- 1.2313015084418102,
727
- 1.2927973995058244,
728
- 1.2113120297160027,
729
- 1.3121970938277836,
730
- 1.3116133656757467,
731
- 1.3188173850167655,
732
- 1.3860298913147064,
733
- 1.5147170708024598,
734
- 1.6247451637241435,
735
- 1.883089171771447,
736
- 1.9341613259261166,
737
- 1.8880743507272384,
738
- 1.6002888334321768,
739
- 1.7432175507361847,
740
- 1.6118168435728162,
741
- 1.5568130454183604,
742
- 1.5724128785929234,
743
- 1.5440846062010682,
744
- 1.7317301894069883,
745
- 1.5340000364461812,
746
- 1.2037452509075233,
747
- 1.700455248706708,
748
- 1.8605357739396038,
749
- 1.9548738644281773,
750
- 1.8034831110618124,
751
- 1.5627421937857886,
752
- 1.8422453850725162,
753
- 2.0963598336303746,
754
- 2.035858354706946,
755
- 1.7912068285186682,
756
- 1.788468235402237,
757
- 2.0028653469219804,
758
- 2.138987624269445,
759
- 2.020428505069544,
760
- 1.8136709890212896,
761
- 1.7751351932515895,
762
- 1.9256257589435823,
763
- 2.1776033179515775,
764
- 1.8914925359424029,
765
- 1.7431291941706717,
766
- 1.9632711219975838,
767
- 1.9838589549908459,
768
- 2.279527777302714,
769
- 2.145917084131351,
770
- 2.310329443073207,
771
- 2.59881652472503,
772
- 2.53452277752756,
773
- 2.9115365623527025,
774
- 3.375961203269635,
775
- 3.28248134542193,
776
- 3.4916657780201867
777
  ],
778
  "returns": [
779
  0.03330283334379183,
780
  0.0011054841951832406,
781
  -0.1019000284192652,
782
- 0.14051434527770215,
783
  0.1253910933149435,
784
- 0.055857256735930276,
785
  -0.18893970288860604,
786
  -0.07968738227450362,
787
  0.13743074684566495,
788
  0.02230432149672023,
789
  -0.07529834940097174,
790
  -0.0743837635626548,
791
- 0.0763907659256262,
792
  -0.011516782904361108,
793
  -0.09327862928610935,
794
  -0.14352086405658704,
@@ -796,53 +796,53 @@
796
  -0.07492067587046049,
797
  0.04369813529874378,
798
  -0.0040118919108552325,
799
- 0.03414122299090169,
800
  0.05867045384910971,
801
- 0.05069373069636847,
802
  -0.009590615287167339,
803
- 0.02360642290776723,
804
- 0.02015595385775923,
805
- -0.07816889627544688,
806
- 0.032409267551406495,
807
- -0.11623553966017376,
808
- 0.09116294591340739,
809
- 0.01799913703062222,
810
- 0.09035097589246743,
811
- 0.008142425214186047,
812
  0.07877523528427265,
813
  0.049943812008998646,
814
- -0.06303027049789067,
815
- 0.08328577743542591,
816
- -0.0004448479232141698,
817
- 0.005492486985528167,
818
- 0.05096422526844883,
819
- 0.09284589047764917,
820
- 0.0726393694522724,
821
  0.15900586369812167,
822
- 0.02712147407582688,
823
  -0.023827885803068084,
824
- -0.15242276724124446,
825
  0.0893143252130713,
826
  -0.07537826079589222,
827
- -0.034125340217026345,
828
- 0.010020363858378938,
829
- -0.018015797744676883,
830
- 0.12152545427389953,
831
  -0.11418069291066507,
832
  -0.21528994634430354,
833
  0.4126371401463115,
834
- 0.09413980482852823,
835
- 0.05070479794581795,
836
  -0.07744272207079124,
837
  -0.13348664913988906,
838
  0.1788543192845028,
839
- 0.1379373511351505,
840
- -0.028860254786820222,
841
- -0.1201711924715384,
842
- -0.0015289094887472648,
843
- 0.11987750594380787,
844
- 0.06796376878588413,
845
- -0.05542767889570857,
846
  -0.10233349783447915,
847
  -0.021247401542489948,
848
  0.08477696023610069,
@@ -856,19 +856,19 @@
856
  0.07661636144176032,
857
  0.12486837429906825,
858
  -0.024739625358613022,
859
- 0.14875138947968802,
860
- 0.15951186975362894,
861
  -0.02768984956259842,
862
- 0.06372753127447499
863
  ],
864
  "summary": {
865
- "annualised_return": 0.0813,
866
- "annualised_vol": 0.2355,
867
- "sharpe_ratio": 0.3451,
868
- "max_drawdown": -0.3862,
869
- "total_return": 2.4917,
870
  "num_folds": 14
871
  }
872
  },
873
- "elapsed_s": 7225.1
874
  }
 
6
  1.033302833343792,
7
  1.0344451332948914,
8
  0.9290351448139714,
9
+ 1.0111308074261864,
10
+ 1.1379176048537776,
11
+ 1.0372854275792494
12
  ],
13
  "returns": [
14
  0.03330283334379183,
15
  0.0011054841951832406,
16
  -0.1019000284192652,
17
+ 0.08836658448336085,
18
  0.1253910933149435,
19
+ -0.08843538130114383
20
  ],
21
  "picks": [
22
  [
 
29
  "QQQ"
30
  ],
31
  [
32
+ "XLF"
33
  ],
34
  [
35
  "QQQ"
36
  ],
37
  [
38
+ "XME"
39
  ]
40
  ],
41
  "summary": {
42
+ "annualised_return": 0.0325,
43
+ "annualised_vol": 0.1924,
44
+ "sharpe_ratio": 0.1692,
45
  "max_drawdown": -0.1019,
46
+ "total_return": 0.0373
47
  },
48
  "fold": 1,
49
  "train_range": "2008\u20132010",
 
101
  {
102
  "equity": [
103
  1.0,
104
+ 0.7389816475673057,
105
+ 0.7304709563619659,
106
+ 0.6623336268192084,
107
+ 0.5672749324043825,
108
+ 0.7130584476028484,
109
+ 0.6596356267733017
110
  ],
111
  "returns": [
112
+ -0.26101835243269433,
113
  -0.011516782904361108,
114
  -0.09327862928610935,
115
  -0.14352086405658704,
 
118
  ],
119
  "picks": [
120
  [
121
+ "GDX"
122
  ],
123
  [
124
  "GDX"
 
137
  ]
138
  ],
139
  "summary": {
140
+ "annualised_return": -0.3051,
141
+ "annualised_vol": 0.3639,
142
+ "sharpe_ratio": -0.8385,
143
+ "max_drawdown": -0.4327,
144
+ "total_return": -0.3404
145
  },
146
  "fold": 3,
147
  "train_range": "2009\u20132013",
 
152
  1.0,
153
  1.0436981352987438,
154
  1.039510931192364,
155
+ 1.0171375798292193,
156
+ 1.0768135032647845,
157
+ 1.1499735088782235,
158
+ 1.1389445553641386
159
  ],
160
  "returns": [
161
  0.04369813529874378,
162
  -0.0040118919108552325,
163
+ -0.021522959203018284,
164
  0.05867045384910971,
165
+ 0.06794120373827561,
166
  -0.009590615287167339
167
  ],
168
  "picks": [
 
173
  "XLP"
174
  ],
175
  [
176
+ "XLY"
177
  ],
178
  [
179
  "XLY"
180
  ],
181
  [
182
+ "XLK"
183
  ],
184
  [
185
  "XLK"
186
  ]
187
  ],
188
  "summary": {
189
+ "annualised_return": 0.1206,
190
+ "annualised_vol": 0.081,
191
+ "sharpe_ratio": 1.489,
192
+ "max_drawdown": -0.0254,
193
+ "total_return": 0.1389
194
  },
195
  "fold": 4,
196
  "train_range": "2010\u20132014",
 
199
  {
200
  "equity": [
201
  1.0,
202
+ 1.05015825539175,
203
+ 1.064751221395349,
204
+ 1.0037885428052287,
205
+ 1.0300707952528385,
206
+ 0.9506594510223295,
207
+ 0.9999393166812851
208
  ],
209
  "returns": [
210
+ 0.05015825539174983,
211
+ 0.013895968468252676,
212
+ -0.05725532628197335,
213
+ 0.026183056816090317,
214
+ -0.07709309359752978,
215
+ 0.051837559292089976
216
  ],
217
  "picks": [
218
  [
219
+ "QQQ"
220
  ],
221
  [
222
+ "QQQ"
223
  ],
224
  [
225
+ "QQQ"
226
  ],
227
  [
228
+ "SPY"
229
  ],
230
  [
231
+ "QQQ"
232
  ],
233
  [
234
+ "SPY"
235
  ]
236
  ],
237
  "summary": {
238
+ "annualised_return": -0.0001,
239
+ "annualised_vol": 0.1157,
240
+ "sharpe_ratio": -0.0005,
241
+ "max_drawdown": -0.1072,
242
+ "total_return": -0.0001
243
  },
244
  "fold": 5,
245
  "train_range": "2011\u20132015",
 
248
  {
249
  "equity": [
250
  1.0,
251
+ 1.2558452417908634,
252
+ 1.2839831608693106,
253
+ 1.3156212414246389,
254
+ 1.4192596142628515,
255
+ 1.4901428496295592,
256
+ 1.5096132333761099
257
  ],
258
  "returns": [
259
+ 0.2558452417908635,
260
+ 0.022405562518453166,
261
+ 0.02464057280463699,
262
  0.07877523528427265,
263
  0.049943812008998646,
264
+ 0.013066118963957672
265
  ],
266
  "picks": [
267
  [
268
+ "GDX"
269
  ],
270
  [
271
+ "XLF"
272
  ],
273
  [
274
+ "XLF"
275
  ],
276
  [
277
  "XLI"
 
280
  "XLI"
281
  ],
282
  [
283
+ "XLI"
284
  ]
285
  ],
286
  "summary": {
287
+ "annualised_return": 0.4339,
288
+ "annualised_vol": 0.1928,
289
+ "sharpe_ratio": 2.2504,
290
+ "max_drawdown": 0.0,
291
+ "total_return": 0.5096
292
  },
293
  "fold": 6,
294
  "train_range": "2013\u20132016",
 
297
  {
298
  "equity": [
299
  1.0,
300
+ 1.0589271337984085,
301
+ 1.0920067802641378,
302
+ 1.102493543051073,
303
+ 1.139493476584748,
304
+ 1.2459607412716405,
305
+ 1.2523081566846712
306
  ],
307
  "returns": [
308
+ 0.058927133798408575,
309
+ 0.03123883165319547,
310
+ 0.009603202998793305,
311
+ 0.03356022696630074,
312
+ 0.09343385186020783,
313
+ 0.005094394392035601
314
  ],
315
  "picks": [
316
  [
317
+ "QQQ"
318
  ],
319
  [
320
+ "QQQ"
321
  ],
322
  [
323
+ "XLU"
324
  ],
325
  [
326
+ "XLU"
327
  ],
328
  [
329
+ "QQQ"
330
  ],
331
  [
332
+ "IWM"
333
  ]
334
  ],
335
  "summary": {
336
+ "annualised_return": 0.2176,
337
+ "annualised_vol": 0.0691,
338
+ "sharpe_ratio": 3.147,
339
+ "max_drawdown": 0.0,
340
+ "total_return": 0.2523
341
  },
342
  "fold": 7,
343
  "train_range": "2014\u20132017",
 
347
  "equity": [
348
  1.0,
349
  1.1590058636981218,
350
+ 1.1212169056092176,
351
+ 1.094500677221892,
352
+ 1.2034582047004452,
353
+ 1.3109442621753997,
354
+ 1.212127563692264
355
  ],
356
  "returns": [
357
  0.15900586369812167,
358
+ -0.03260463063433376,
359
  -0.023827885803068084,
360
+ 0.09954998635095774,
361
  0.0893143252130713,
362
  -0.07537826079589222
363
  ],
 
366
  "XLE"
367
  ],
368
  [
369
+ "XME"
370
  ],
371
  [
372
  "IWM"
373
  ],
374
  [
375
+ "GDX"
376
  ],
377
  [
378
  "XLE"
 
382
  ]
383
  ],
384
  "summary": {
385
+ "annualised_return": 0.1833,
386
+ "annualised_vol": 0.1933,
387
+ "sharpe_ratio": 0.9484,
388
+ "max_drawdown": -0.0754,
389
+ "total_return": 0.2121
390
  },
391
  "fold": 8,
392
  "train_range": "2015\u20132018",
 
395
  {
396
  "equity": [
397
  1.0,
398
+ 0.9992582106592113,
399
+ 1.0663271603763613,
400
+ 1.0561475351580083,
401
+ 1.1790375740245964,
402
+ 1.0444142468547586,
403
+ 0.8195623596881714
404
  ],
405
  "returns": [
406
+ -0.0007417893407887335,
407
+ 0.0671187376813294,
408
+ -0.009546437150452159,
409
+ 0.116356886491434,
410
  -0.11418069291066507,
411
  -0.21528994634430354
412
  ],
413
  "picks": [
414
  [
415
+ "QQQ"
416
  ],
417
  [
418
+ "QQQ"
419
  ],
420
  [
421
+ "SPY"
422
  ],
423
  [
424
+ "QQQ"
425
  ],
426
  [
427
  "XLF"
 
431
  ]
432
  ],
433
  "summary": {
434
+ "annualised_return": -0.1598,
435
+ "annualised_vol": 0.2535,
436
+ "sharpe_ratio": -0.6303,
437
  "max_drawdown": -0.3049,
438
+ "total_return": -0.1804
439
  },
440
  "fold": 9,
441
  "train_range": "2016\u20132019",
 
445
  "equity": [
446
  1.0,
447
  1.4126371401463116,
448
+ 1.7034655724990524,
449
+ 1.5425655336161113,
450
+ 1.423105059720297,
451
+ 1.2331395339242128,
452
+ 1.4536918658470368
453
  ],
454
  "returns": [
455
  0.4126371401463115,
456
+ 0.2058762466932016,
457
+ -0.09445452933157569,
458
  -0.07744272207079124,
459
  -0.13348664913988906,
460
  0.1788543192845028
 
464
  "XLE"
465
  ],
466
  [
467
+ "GDX"
468
  ],
469
  [
470
+ "GDX"
471
  ],
472
  [
473
  "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",
 
493
  {
494
  "equity": [
495
  1.0,
496
+ 0.9603267384545429,
497
+ 1.0038865410412174,
498
+ 1.0057160734892638,
499
+ 1.0693728846746762,
500
+ 1.004963054666951,
501
+ 0.9212405796890766
502
  ],
503
  "returns": [
504
+ -0.03967326154545716,
505
+ 0.04535935618826535,
506
+ 0.0018224494235662314,
507
+ 0.0632950122439223,
508
+ -0.060231403779533586,
509
+ -0.08330900781782517
510
  ],
511
  "picks": [
512
  [
513
+ "IWM"
514
  ],
515
  [
516
+ "SPY"
517
  ],
518
  [
519
+ "SPY"
520
  ],
521
  [
522
+ "SPY"
523
  ],
524
  [
525
+ "SPY"
526
  ],
527
  [
528
+ "IWM"
529
  ]
530
  ],
531
  "summary": {
532
+ "annualised_return": -0.0693,
533
+ "annualised_vol": 0.1231,
534
+ "sharpe_ratio": -0.5625,
535
+ "max_drawdown": -0.1385,
536
+ "total_return": -0.0788
537
  },
538
  "fold": 11,
539
  "train_range": "2018\u20132021",
 
542
  {
543
  "equity": [
544
  1.0,
545
+ 0.9171034010084214,
546
+ 0.8232530021073325,
547
+ 0.8057610150004977,
548
+ 0.8740709845289949,
549
+ 0.9884474525723808,
550
+ 0.8585773925393674
551
  ],
552
  "returns": [
553
+ -0.08289659899157859,
554
  -0.10233349783447915,
555
  -0.021247401542489948,
556
  0.08477696023610069,
 
559
  ],
560
  "picks": [
561
  [
562
+ "XLK"
563
  ],
564
  [
565
  "XME"
 
578
  ]
579
  ],
580
  "summary": {
581
+ "annualised_return": -0.1249,
582
+ "annualised_vol": 0.2231,
583
+ "sharpe_ratio": -0.5599,
584
+ "max_drawdown": -0.1942,
585
+ "total_return": -0.1414
586
  },
587
  "fold": 12,
588
  "train_range": "2019\u20132022",
 
642
  1.0,
643
  1.1248683742990682,
644
  1.0970395521411571,
645
+ 1.1852791581522109,
646
+ 1.043798140915539,
647
+ 1.0148955274198679,
648
+ 1.0363316953024877
649
  ],
650
  "returns": [
651
  0.12486837429906825,
652
  -0.024739625358613022,
653
+ 0.08043429777789807,
654
+ -0.11936514386807691,
655
  -0.02768984956259842,
656
+ 0.021121551237018657
657
  ],
658
  "picks": [
659
  [
 
663
  "XLY"
664
  ],
665
  [
666
+ "XLE"
667
  ],
668
  [
669
+ "XME"
670
  ],
671
  [
672
  "XME"
673
  ],
674
  [
675
+ "XLY"
676
  ]
677
  ],
678
  "summary": {
679
+ "annualised_return": 0.0317,
680
+ "annualised_vol": 0.1815,
681
+ "sharpe_ratio": 0.1748,
682
+ "max_drawdown": -0.1437,
683
+ "total_return": 0.0363
684
  },
685
  "fold": 14,
686
  "train_range": "2021\u20132024",
 
693
  1.033302833343792,
694
  1.0344451332948914,
695
  0.9290351448139714,
696
+ 1.0111308074261864,
697
+ 1.1379176048537776,
698
+ 1.0372854275792494,
699
+ 0.8413010270817453,
700
+ 0.7742599505287496,
701
+ 0.8806670737826033,
702
+ 0.9003097553278263,
703
+ 0.8325179168020482,
704
+ 0.7705921009169708,
705
+ 0.5694534203379746,
706
+ 0.5628951489217963,
707
+ 0.5103890609985707,
708
+ 0.43713758195902574,
709
+ 0.5494772072148727,
710
+ 0.5083100034749214,
711
+ 0.5305222027804735,
712
+ 0.5283938050466094,
713
+ 0.5170212067374637,
714
+ 0.547355075586365,
715
+ 0.5845430382939575,
716
+ 0.5789369108948882,
717
+ 0.6079753763272647,
718
+ 0.6164237829861825,
719
+ 0.5811302381633403,
720
+ 0.5963460042067191,
721
+ 0.5503718458878977,
722
+ 0.5789017790818085,
723
+ 0.7270110447241548,
724
+ 0.7433001361383278,
725
+ 0.7616154772585408,
726
+ 0.8216119156757259,
727
+ 0.8626463467365875,
728
+ 0.8739177865268711,
729
+ 0.925415256862349,
730
+ 0.9543241482807706,
731
+ 0.9634887168033615,
732
+ 0.9958236168187521,
733
+ 1.0888672531114918,
734
+ 1.0944143723394142,
735
+ 1.2684326748568806,
736
+ 1.227075896008652,
737
+ 1.1978372716868606,
738
+ 1.317081955733956,
739
+ 1.4347162418606463,
740
+ 1.3265698268135722,
741
+ 1.32558579145623,
742
+ 1.4145574364670779,
743
+ 1.4010534528041403,
744
+ 1.5640756703805032,
745
+ 1.3854884265717444,
746
+ 1.08720669755446,
747
+ 1.5358285599812485,
748
+ 1.8520191794744125,
749
+ 1.6770875795641058,
750
+ 1.5472093522515467,
751
+ 1.3406775603015895,
752
+ 1.5804635327293381,
753
+ 1.5177613896323099,
754
+ 1.5866060691134383,
755
+ 1.5894975784295207,
756
+ 1.6901048471179019,
757
+ 1.5883074596413966,
758
+ 1.4559871410690215,
759
+ 1.3352907588989278,
760
+ 1.1986457849147443,
761
+ 1.1731776766154476,
762
+ 1.2726361138557563,
763
+ 1.4391667805678179,
764
+ 1.2500776431498886,
765
+ 1.1520250772065384,
766
+ 1.2975157397743546,
767
+ 1.3111221322166902,
768
+ 1.5065281290816854,
769
+ 1.418225512367386,
770
+ 1.5268847908288512,
771
+ 1.7175444124016226,
772
+ 1.6750530071020273,
773
+ 1.8097847194690353,
774
+ 1.5937595060593666,
775
+ 1.5496285450976215,
776
+ 1.5823591038112474
777
  ],
778
  "returns": [
779
  0.03330283334379183,
780
  0.0011054841951832406,
781
  -0.1019000284192652,
782
+ 0.08836658448336085,
783
  0.1253910933149435,
784
+ -0.08843538130114383,
785
  -0.18893970288860604,
786
  -0.07968738227450362,
787
  0.13743074684566495,
788
  0.02230432149672023,
789
  -0.07529834940097174,
790
  -0.0743837635626548,
791
+ -0.26101835243269433,
792
  -0.011516782904361108,
793
  -0.09327862928610935,
794
  -0.14352086405658704,
 
796
  -0.07492067587046049,
797
  0.04369813529874378,
798
  -0.0040118919108552325,
799
+ -0.021522959203018284,
800
  0.05867045384910971,
801
+ 0.06794120373827561,
802
  -0.009590615287167339,
803
+ 0.05015825539174983,
804
+ 0.013895968468252676,
805
+ -0.05725532628197335,
806
+ 0.026183056816090317,
807
+ -0.07709309359752978,
808
+ 0.051837559292089976,
809
+ 0.2558452417908635,
810
+ 0.022405562518453166,
811
+ 0.02464057280463699,
812
  0.07877523528427265,
813
  0.049943812008998646,
814
+ 0.013066118963957672,
815
+ 0.058927133798408575,
816
+ 0.03123883165319547,
817
+ 0.009603202998793305,
818
+ 0.03356022696630074,
819
+ 0.09343385186020783,
820
+ 0.005094394392035601,
821
  0.15900586369812167,
822
+ -0.03260463063433376,
823
  -0.023827885803068084,
824
+ 0.09954998635095774,
825
  0.0893143252130713,
826
  -0.07537826079589222,
827
+ -0.0007417893407887335,
828
+ 0.0671187376813294,
829
+ -0.009546437150452159,
830
+ 0.116356886491434,
831
  -0.11418069291066507,
832
  -0.21528994634430354,
833
  0.4126371401463115,
834
+ 0.2058762466932016,
835
+ -0.09445452933157569,
836
  -0.07744272207079124,
837
  -0.13348664913988906,
838
  0.1788543192845028,
839
+ -0.03967326154545716,
840
+ 0.04535935618826535,
841
+ 0.0018224494235662314,
842
+ 0.0632950122439223,
843
+ -0.060231403779533586,
844
+ -0.08330900781782517,
845
+ -0.08289659899157859,
846
  -0.10233349783447915,
847
  -0.021247401542489948,
848
  0.08477696023610069,
 
856
  0.07661636144176032,
857
  0.12486837429906825,
858
  -0.024739625358613022,
859
+ 0.08043429777789807,
860
+ -0.11936514386807691,
861
  -0.02768984956259842,
862
+ 0.021121551237018657
863
  ],
864
  "summary": {
865
+ "annualised_return": 0.0291,
866
+ "annualised_vol": 0.2456,
867
+ "sharpe_ratio": 0.1185,
868
+ "max_drawdown": -0.6158,
869
+ "total_return": 0.5824,
870
  "num_folds": 14
871
  }
872
  },
873
+ "elapsed_s": 7437.8
874
  }