P2SAMAPA commited on
Commit
ff62052
·
verified ·
1 Parent(s): 27a43ad

Upload walk_forward_results_fixed.json with huggingface_hub

Browse files
Files changed (1) hide show
  1. walk_forward_results_fixed.json +874 -0
walk_forward_results_fixed.json ADDED
@@ -0,0 +1,874 @@
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
+ {
2
+ "folds": [
3
+ {
4
+ "equity": [
5
+ 1.0,
6
+ 0.9942164998310253,
7
+ 0.9970932100515186,
8
+ 0.8299125013398952,
9
+ 0.9099587671171819,
10
+ 1.0099955808884706,
11
+ 0.9058887369762163
12
+ ],
13
+ "returns": [
14
+ -0.005783500168974654,
15
+ 0.002893444456999277,
16
+ -0.1676680846146624,
17
+ 0.09645145198807335,
18
+ 0.10993554585798727,
19
+ -0.10307653407817279
20
+ ],
21
+ "picks": [
22
+ [
23
+ "SLV"
24
+ ],
25
+ [
26
+ "VNQ"
27
+ ],
28
+ [
29
+ "VNQ"
30
+ ],
31
+ [
32
+ "VNQ"
33
+ ],
34
+ [
35
+ "VNQ"
36
+ ],
37
+ [
38
+ "SLV"
39
+ ]
40
+ ],
41
+ "summary": {
42
+ "annualised_return": -0.0828,
43
+ "annualised_vol": 0.228,
44
+ "sharpe_ratio": -0.3634,
45
+ "max_drawdown": -0.1701,
46
+ "total_return": -0.0941
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
+ 1.0137561217350242,
56
+ 0.9920042539436393,
57
+ 1.2425709156414657,
58
+ 1.1666662692628076,
59
+ 1.036306728006707,
60
+ 0.8577629728084808
61
+ ],
62
+ "returns": [
63
+ 0.013756121735024203,
64
+ -0.021456706721688493,
65
+ 0.2525862774294738,
66
+ -0.06108677212959954,
67
+ -0.11173678770919812,
68
+ -0.17228852266707545
69
+ ],
70
+ "picks": [
71
+ [
72
+ "VNQ"
73
+ ],
74
+ [
75
+ "SLV"
76
+ ],
77
+ [
78
+ "SLV"
79
+ ],
80
+ [
81
+ "SLV"
82
+ ],
83
+ [
84
+ "SLV"
85
+ ],
86
+ [
87
+ "SLV"
88
+ ]
89
+ ],
90
+ "summary": {
91
+ "annualised_return": -0.1256,
92
+ "annualised_vol": 0.3084,
93
+ "sharpe_ratio": -0.4074,
94
+ "max_drawdown": -0.3097,
95
+ "total_return": -0.1422
96
+ },
97
+ "fold": 2,
98
+ "train_range": "2009\u20132011",
99
+ "test_range": "2011-12-30 \u2192 2013-03-13"
100
+ },
101
+ {
102
+ "equity": [
103
+ 1.0,
104
+ 1.0159825983312267,
105
+ 0.9921458025983617,
106
+ 0.9925771937266752,
107
+ 0.9686620774979442,
108
+ 1.0114565170751113,
109
+ 1.0613883880415875
110
+ ],
111
+ "returns": [
112
+ 0.01598259833122665,
113
+ -0.023461814968108126,
114
+ 0.0004348061818975923,
115
+ -0.024093961033842225,
116
+ 0.04417891499139221,
117
+ 0.049366305049738914
118
+ ],
119
+ "picks": [
120
+ [
121
+ "LQD"
122
+ ],
123
+ [
124
+ "HYG"
125
+ ],
126
+ [
127
+ "HYG"
128
+ ],
129
+ [
130
+ "TLT"
131
+ ],
132
+ [
133
+ "TLT"
134
+ ],
135
+ [
136
+ "TLT"
137
+ ]
138
+ ],
139
+ "summary": {
140
+ "annualised_return": 0.0535,
141
+ "annualised_vol": 0.067,
142
+ "sharpe_ratio": 0.799,
143
+ "max_drawdown": -0.0466,
144
+ "total_return": 0.0614
145
+ },
146
+ "fold": 3,
147
+ "train_range": "2010\u20132013",
148
+ "test_range": "2013-01-03 \u2192 2014-03-13"
149
+ },
150
+ {
151
+ "equity": [
152
+ 1.0,
153
+ 1.0378343682151088,
154
+ 1.029539100025968,
155
+ 1.026482569123681,
156
+ 1.1375624857793878,
157
+ 1.1686898970451156,
158
+ 1.1392685214909875
159
+ ],
160
+ "returns": [
161
+ 0.037834368215108764,
162
+ -0.007992863257561222,
163
+ -0.002968834211551501,
164
+ 0.10821412851709379,
165
+ 0.027363254023273505,
166
+ -0.02517466406487849
167
+ ],
168
+ "picks": [
169
+ [
170
+ "TLT"
171
+ ],
172
+ [
173
+ "HYG"
174
+ ],
175
+ [
176
+ "HYG"
177
+ ],
178
+ [
179
+ "VNQ"
180
+ ],
181
+ [
182
+ "LQD"
183
+ ],
184
+ [
185
+ "LQD"
186
+ ]
187
+ ],
188
+ "summary": {
189
+ "annualised_return": 0.1209,
190
+ "annualised_vol": 0.1001,
191
+ "sharpe_ratio": 1.2071,
192
+ "max_drawdown": -0.0252,
193
+ "total_return": 0.1393
194
+ },
195
+ "fold": 4,
196
+ "train_range": "2011\u20132014",
197
+ "test_range": "2014-01-03 \u2192 2015-03-13"
198
+ },
199
+ {
200
+ "equity": [
201
+ 1.0,
202
+ 1.097999987199002,
203
+ 1.0824134914331998,
204
+ 1.092184852122918,
205
+ 0.9342801870048995,
206
+ 0.9279247216163208,
207
+ 0.9868384016172117
208
+ ],
209
+ "returns": [
210
+ 0.09799998719900213,
211
+ -0.014195351500470832,
212
+ 0.009027382573345595,
213
+ -0.14457686792770813,
214
+ -0.006802526133999292,
215
+ 0.06348971918570205
216
+ ],
217
+ "picks": [
218
+ [
219
+ "SLV"
220
+ ],
221
+ [
222
+ "VNQ"
223
+ ],
224
+ [
225
+ "VNQ"
226
+ ],
227
+ [
228
+ "SLV"
229
+ ],
230
+ [
231
+ "VNQ"
232
+ ],
233
+ [
234
+ "HYG"
235
+ ]
236
+ ],
237
+ "summary": {
238
+ "annualised_return": -0.0115,
239
+ "annualised_vol": 0.1747,
240
+ "sharpe_ratio": -0.066,
241
+ "max_drawdown": -0.1549,
242
+ "total_return": -0.0132
243
+ },
244
+ "fold": 5,
245
+ "train_range": "2013\u20132015",
246
+ "test_range": "2015-01-05 \u2192 2016-03-14"
247
+ },
248
+ {
249
+ "equity": [
250
+ 1.0,
251
+ 1.019654211214694,
252
+ 1.1573263086815675,
253
+ 1.0349453673684945,
254
+ 1.0278446473132419,
255
+ 1.0923464801748621,
256
+ 1.0495701902756436
257
+ ],
258
+ "returns": [
259
+ 0.019654211214693976,
260
+ 0.13501841698164252,
261
+ -0.10574454274049122,
262
+ -0.006860961244077432,
263
+ 0.06275445713535246,
264
+ -0.03916000158884645
265
+ ],
266
+ "picks": [
267
+ [
268
+ "VNQ"
269
+ ],
270
+ [
271
+ "VNQ"
272
+ ],
273
+ [
274
+ "VNQ"
275
+ ],
276
+ [
277
+ "VNQ"
278
+ ],
279
+ [
280
+ "VNQ"
281
+ ],
282
+ [
283
+ "VNQ"
284
+ ]
285
+ ],
286
+ "summary": {
287
+ "annualised_return": 0.0432,
288
+ "annualised_vol": 0.174,
289
+ "sharpe_ratio": 0.2485,
290
+ "max_drawdown": -0.1119,
291
+ "total_return": 0.0496
292
+ },
293
+ "fold": 6,
294
+ "train_range": "2014\u20132016",
295
+ "test_range": "2016-01-05 \u2192 2017-03-14"
296
+ },
297
+ {
298
+ "equity": [
299
+ 1.0,
300
+ 1.0562503689659186,
301
+ 1.064323767186599,
302
+ 1.0649818191269826,
303
+ 1.0744696835077632,
304
+ 1.0396601214145809,
305
+ 1.0775840416419848
306
+ ],
307
+ "returns": [
308
+ 0.05625036896591865,
309
+ 0.007643451266752524,
310
+ 0.0006182817303075892,
311
+ 0.008908944932560541,
312
+ -0.032396969991318296,
313
+ 0.03647722890034876
314
+ ],
315
+ "picks": [
316
+ [
317
+ "TLT"
318
+ ],
319
+ [
320
+ "TLT"
321
+ ],
322
+ [
323
+ "TLT"
324
+ ],
325
+ [
326
+ "LQD"
327
+ ],
328
+ [
329
+ "LQD"
330
+ ],
331
+ [
332
+ "VNQ"
333
+ ]
334
+ ],
335
+ "summary": {
336
+ "annualised_return": 0.0676,
337
+ "annualised_vol": 0.064,
338
+ "sharpe_ratio": 1.0557,
339
+ "max_drawdown": -0.0324,
340
+ "total_return": 0.0776
341
+ },
342
+ "fold": 7,
343
+ "train_range": "2015\u20132017",
344
+ "test_range": "2017-01-04 \u2192 2018-03-14"
345
+ },
346
+ {
347
+ "equity": [
348
+ 1.0,
349
+ 1.0183455311148677,
350
+ 1.0319948059843156,
351
+ 1.0312617085395825,
352
+ 1.0085227493378326,
353
+ 1.1001868629970941,
354
+ 1.1328369143911445
355
+ ],
356
+ "returns": [
357
+ 0.018345531114867628,
358
+ 0.013403382695169216,
359
+ -0.0007103693162814095,
360
+ -0.022049649486115055,
361
+ 0.09088948535810969,
362
+ 0.02967682353987227
363
+ ],
364
+ "picks": [
365
+ [
366
+ "VNQ"
367
+ ],
368
+ [
369
+ "HYG"
370
+ ],
371
+ [
372
+ "HYG"
373
+ ],
374
+ [
375
+ "HYG"
376
+ ],
377
+ [
378
+ "VNQ"
379
+ ],
380
+ [
381
+ "VNQ"
382
+ ]
383
+ ],
384
+ "summary": {
385
+ "annualised_return": 0.1153,
386
+ "annualised_vol": 0.0802,
387
+ "sharpe_ratio": 1.4382,
388
+ "max_drawdown": -0.0227,
389
+ "total_return": 0.1328
390
+ },
391
+ "fold": 8,
392
+ "train_range": "2016\u20132018",
393
+ "test_range": "2018-01-04 \u2192 2019-03-15"
394
+ },
395
+ {
396
+ "equity": [
397
+ 1.0,
398
+ 1.0289899996333982,
399
+ 1.0498445101247966,
400
+ 1.053792001777948,
401
+ 1.081794044409604,
402
+ 1.0588324143091061,
403
+ 0.9853384190204554
404
+ ],
405
+ "returns": [
406
+ 0.02898999963339815,
407
+ 0.020266971009269483,
408
+ 0.0037600726727449827,
409
+ 0.026572646769391833,
410
+ -0.021225509808596915,
411
+ -0.06941041310735271
412
+ ],
413
+ "picks": [
414
+ [
415
+ "VNQ"
416
+ ],
417
+ [
418
+ "VNQ"
419
+ ],
420
+ [
421
+ "HYG"
422
+ ],
423
+ [
424
+ "HYG"
425
+ ],
426
+ [
427
+ "HYG"
428
+ ],
429
+ [
430
+ "HYG"
431
+ ]
432
+ ],
433
+ "summary": {
434
+ "annualised_return": -0.0128,
435
+ "annualised_vol": 0.0795,
436
+ "sharpe_ratio": -0.1616,
437
+ "max_drawdown": -0.0892,
438
+ "total_return": -0.0147
439
+ },
440
+ "fold": 9,
441
+ "train_range": "2017\u20132019",
442
+ "test_range": "2019-01-07 \u2192 2020-03-16"
443
+ },
444
+ {
445
+ "equity": [
446
+ 1.0,
447
+ 1.0107774975654436,
448
+ 1.1272675754173713,
449
+ 1.161105827960546,
450
+ 1.1413050834776546,
451
+ 1.037897100394362,
452
+ 1.0887392420902897
453
+ ],
454
+ "returns": [
455
+ 0.010777497565443507,
456
+ 0.11524799288914277,
457
+ 0.030017941863222646,
458
+ -0.01705335035452433,
459
+ -0.09060503153828021,
460
+ 0.04898572476655872
461
+ ],
462
+ "picks": [
463
+ [
464
+ "TLT"
465
+ ],
466
+ [
467
+ "VNQ"
468
+ ],
469
+ [
470
+ "VNQ"
471
+ ],
472
+ [
473
+ "TLT"
474
+ ],
475
+ [
476
+ "TLT"
477
+ ],
478
+ [
479
+ "GLD"
480
+ ]
481
+ ],
482
+ "summary": {
483
+ "annualised_return": 0.0772,
484
+ "annualised_vol": 0.1438,
485
+ "sharpe_ratio": 0.5372,
486
+ "max_drawdown": -0.1061,
487
+ "total_return": 0.0887
488
+ },
489
+ "fold": 10,
490
+ "train_range": "2018\u20132020",
491
+ "test_range": "2020-01-07 \u2192 2021-03-16"
492
+ },
493
+ {
494
+ "equity": [
495
+ 1.0,
496
+ 1.0744514675256949,
497
+ 1.0312375884487628,
498
+ 1.0289409288541689,
499
+ 1.1176572187284954,
500
+ 1.201974409981926,
501
+ 1.1126420105599928
502
+ ],
503
+ "returns": [
504
+ 0.0744514675256948,
505
+ -0.0402194797839006,
506
+ -0.0022270906533271937,
507
+ 0.08622097477755238,
508
+ 0.07544101164519317,
509
+ -0.07432138211933854
510
+ ],
511
+ "picks": [
512
+ [
513
+ "VNQ"
514
+ ],
515
+ [
516
+ "GLD"
517
+ ],
518
+ [
519
+ "HYG"
520
+ ],
521
+ [
522
+ "VNQ"
523
+ ],
524
+ [
525
+ "SLV"
526
+ ],
527
+ [
528
+ "SLV"
529
+ ]
530
+ ],
531
+ "summary": {
532
+ "annualised_return": 0.0979,
533
+ "annualised_vol": 0.1432,
534
+ "sharpe_ratio": 0.6836,
535
+ "max_drawdown": -0.0743,
536
+ "total_return": 0.1126
537
+ },
538
+ "fold": 11,
539
+ "train_range": "2019\u20132021",
540
+ "test_range": "2021-01-06 \u2192 2022-03-15"
541
+ },
542
+ {
543
+ "equity": [
544
+ 1.0,
545
+ 0.9405359278549382,
546
+ 0.9553896966762471,
547
+ 0.7626073848956739,
548
+ 0.8344497164701882,
549
+ 0.7488281687815501,
550
+ 0.7265135930447344
551
+ ],
552
+ "returns": [
553
+ -0.05946407214506173,
554
+ 0.015792877636461547,
555
+ -0.20178395522921497,
556
+ 0.09420618393872798,
557
+ -0.10260839688558632,
558
+ -0.02979932735853774
559
+ ],
560
+ "picks": [
561
+ [
562
+ "LQD"
563
+ ],
564
+ [
565
+ "LQD"
566
+ ],
567
+ [
568
+ "VNQ"
569
+ ],
570
+ [
571
+ "VNQ"
572
+ ],
573
+ [
574
+ "SLV"
575
+ ],
576
+ [
577
+ "VNQ"
578
+ ]
579
+ ],
580
+ "summary": {
581
+ "annualised_return": -0.2439,
582
+ "annualised_vol": 0.212,
583
+ "sharpe_ratio": -1.1502,
584
+ "max_drawdown": -0.2735,
585
+ "total_return": -0.2735
586
+ },
587
+ "fold": 12,
588
+ "train_range": "2020\u20132022",
589
+ "test_range": "2022-01-05 \u2192 2023-03-16"
590
+ },
591
+ {
592
+ "equity": [
593
+ 1.0,
594
+ 1.060248984255469,
595
+ 1.0440850459041022,
596
+ 1.008558704717006,
597
+ 1.0955645623002617,
598
+ 1.0287236310706687,
599
+ 1.158551067033139
600
+ ],
601
+ "returns": [
602
+ 0.06024898425546905,
603
+ -0.015245417436280193,
604
+ -0.03402629060387803,
605
+ 0.08626751935839858,
606
+ -0.0610104904171535,
607
+ 0.12620244353417773
608
+ ],
609
+ "picks": [
610
+ [
611
+ "SLV"
612
+ ],
613
+ [
614
+ "GLD"
615
+ ],
616
+ [
617
+ "GLD"
618
+ ],
619
+ [
620
+ "GLD"
621
+ ],
622
+ [
623
+ "SLV"
624
+ ],
625
+ [
626
+ "GLD"
627
+ ]
628
+ ],
629
+ "summary": {
630
+ "annualised_return": 0.1374,
631
+ "annualised_vol": 0.1557,
632
+ "sharpe_ratio": 0.8825,
633
+ "max_drawdown": -0.061,
634
+ "total_return": 0.1586
635
+ },
636
+ "fold": 13,
637
+ "train_range": "2021\u20132023",
638
+ "test_range": "2023-01-06 \u2192 2024-03-18"
639
+ },
640
+ {
641
+ "equity": [
642
+ 1.0,
643
+ 0.9909150143112786,
644
+ 1.0800701876713656,
645
+ 1.0288118621449684,
646
+ 0.9724682094107066,
647
+ 1.0174248068529135,
648
+ 0.9646291551823898
649
+ ],
650
+ "returns": [
651
+ -0.009084985688721379,
652
+ 0.0899725728972359,
653
+ -0.04745832827485986,
654
+ -0.054765749509138706,
655
+ 0.04622937491133987,
656
+ -0.05189145312254623
657
+ ],
658
+ "picks": [
659
+ [
660
+ "TLT"
661
+ ],
662
+ [
663
+ "TLT"
664
+ ],
665
+ [
666
+ "TLT"
667
+ ],
668
+ [
669
+ "TLT"
670
+ ],
671
+ [
672
+ "TLT"
673
+ ],
674
+ [
675
+ "TLT"
676
+ ]
677
+ ],
678
+ "summary": {
679
+ "annualised_return": -0.031,
680
+ "annualised_vol": 0.126,
681
+ "sharpe_ratio": -0.2462,
682
+ "max_drawdown": -0.1069,
683
+ "total_return": -0.0354
684
+ },
685
+ "fold": 14,
686
+ "train_range": "2022\u20132024",
687
+ "test_range": "2024-01-09 \u2192 2025-03-20"
688
+ }
689
+ ],
690
+ "aggregate": {
691
+ "equity": [
692
+ 1.0,
693
+ 0.9942164998310253,
694
+ 0.9970932100515186,
695
+ 0.8299125013398952,
696
+ 0.9099587671171819,
697
+ 1.0099955808884706,
698
+ 0.9058887369762163,
699
+ 0.9183502527204485,
700
+ 0.8986454806800372,
701
+ 1.1256309973738279,
702
+ 1.056869833135239,
703
+ 0.9387785929539512,
704
+ 0.7770378160624392,
705
+ 0.7894568993647387,
706
+ 0.7709348076665469,
707
+ 0.7712700148867603,
708
+ 0.7526870652015077,
709
+ 0.7859399630701657,
710
+ 0.8247389150378679,
711
+ 0.8559423908307399,
712
+ 0.8491009603444798,
713
+ 0.8465801203643479,
714
+ 0.9381920503094723,
715
+ 0.9638640377047062,
716
+ 0.9395990843512729,
717
+ 1.0316797825898918,
718
+ 1.0170347254400989,
719
+ 1.0262158869970242,
720
+ 0.8778488082373395,
721
+ 0.8718772187776048,
722
+ 0.9272324585622058,
723
+ 0.9454564811479075,
724
+ 1.0731105185575323,
725
+ 0.9596349374626545,
726
+ 0.9530509193482606,
727
+ 1.0128591124143091,
728
+ 0.9731955479628872,
729
+ 1.027938156611789,
730
+ 1.0357951518170865,
731
+ 1.0364355650357961,
732
+ 1.0456691124108473,
733
+ 1.0117926015552245,
734
+ 1.0486999918818338,
735
+ 1.0679389502130636,
736
+ 1.0822529446578466,
737
+ 1.0814841453735065,
738
+ 1.05763779904323,
739
+ 1.153765954293553,
740
+ 1.1880060629254352,
741
+ 1.2224463582541185,
742
+ 1.2472216431572418,
743
+ 1.2519112871745335,
744
+ 1.285177883595237,
745
+ 1.2578993278211945,
746
+ 1.170588015829664,
747
+ 1.1832040253204057,
748
+ 1.319565914416937,
749
+ 1.3591765673205949,
750
+ 1.3359980531244169,
751
+ 1.2149499073859982,
752
+ 1.2744651091543648,
753
+ 1.3693509068412022,
754
+ 1.3142763257264365,
755
+ 1.311349313205522,
756
+ 1.424415129263976,
757
+ 1.5318744476183688,
758
+ 1.4180234214380734,
759
+ 1.3337019744022924,
760
+ 1.354764966487535,
761
+ 1.0813951331437053,
762
+ 1.1832692419670865,
763
+ 1.0618558819648207,
764
+ 1.0302132909305621,
765
+ 1.0922825952756126,
766
+ 1.0756302911522524,
767
+ 1.0390305822831718,
768
+ 1.1286651731542534,
769
+ 1.059804757423351,
770
+ 1.1935547074793242,
771
+ 1.1827112800431685,
772
+ 1.2891228569032356,
773
+ 1.2279432411736966,
774
+ 1.160694009216138,
775
+ 1.214352167725537,
776
+ 1.1513376691397448
777
+ ],
778
+ "returns": [
779
+ -0.005783500168974654,
780
+ 0.002893444456999277,
781
+ -0.1676680846146624,
782
+ 0.09645145198807335,
783
+ 0.10993554585798727,
784
+ -0.10307653407817279,
785
+ 0.013756121735024203,
786
+ -0.021456706721688493,
787
+ 0.2525862774294738,
788
+ -0.06108677212959954,
789
+ -0.11173678770919812,
790
+ -0.17228852266707545,
791
+ 0.01598259833122665,
792
+ -0.023461814968108126,
793
+ 0.0004348061818975923,
794
+ -0.024093961033842225,
795
+ 0.04417891499139221,
796
+ 0.049366305049738914,
797
+ 0.037834368215108764,
798
+ -0.007992863257561222,
799
+ -0.002968834211551501,
800
+ 0.10821412851709379,
801
+ 0.027363254023273505,
802
+ -0.02517466406487849,
803
+ 0.09799998719900213,
804
+ -0.014195351500470832,
805
+ 0.009027382573345595,
806
+ -0.14457686792770813,
807
+ -0.006802526133999292,
808
+ 0.06348971918570205,
809
+ 0.019654211214693976,
810
+ 0.13501841698164252,
811
+ -0.10574454274049122,
812
+ -0.006860961244077432,
813
+ 0.06275445713535246,
814
+ -0.03916000158884645,
815
+ 0.05625036896591865,
816
+ 0.007643451266752524,
817
+ 0.0006182817303075892,
818
+ 0.008908944932560541,
819
+ -0.032396969991318296,
820
+ 0.03647722890034876,
821
+ 0.018345531114867628,
822
+ 0.013403382695169216,
823
+ -0.0007103693162814095,
824
+ -0.022049649486115055,
825
+ 0.09088948535810969,
826
+ 0.02967682353987227,
827
+ 0.02898999963339815,
828
+ 0.020266971009269483,
829
+ 0.0037600726727449827,
830
+ 0.026572646769391833,
831
+ -0.021225509808596915,
832
+ -0.06941041310735271,
833
+ 0.010777497565443507,
834
+ 0.11524799288914277,
835
+ 0.030017941863222646,
836
+ -0.01705335035452433,
837
+ -0.09060503153828021,
838
+ 0.04898572476655872,
839
+ 0.0744514675256948,
840
+ -0.0402194797839006,
841
+ -0.0022270906533271937,
842
+ 0.08622097477755238,
843
+ 0.07544101164519317,
844
+ -0.07432138211933854,
845
+ -0.05946407214506173,
846
+ 0.015792877636461547,
847
+ -0.20178395522921497,
848
+ 0.09420618393872798,
849
+ -0.10260839688558632,
850
+ -0.02979932735853774,
851
+ 0.06024898425546905,
852
+ -0.015245417436280193,
853
+ -0.03402629060387803,
854
+ 0.08626751935839858,
855
+ -0.0610104904171535,
856
+ 0.12620244353417773,
857
+ -0.009084985688721379,
858
+ 0.0899725728972359,
859
+ -0.04745832827485986,
860
+ -0.054765749509138706,
861
+ 0.04622937491133987,
862
+ -0.05189145312254623
863
+ ],
864
+ "summary": {
865
+ "annualised_return": 0.0088,
866
+ "annualised_vol": 0.1675,
867
+ "sharpe_ratio": 0.0528,
868
+ "max_drawdown": -0.3313,
869
+ "total_return": 0.1513,
870
+ "num_folds": 14
871
+ }
872
+ },
873
+ "elapsed_s": 2031.4
874
+ }