id stringlengths 20 20 | template stringclasses 6
values | complexity int64 1 3 | split stringclasses 1
value | market_regime stringclasses 1
value | asset_class stringclasses 1
value | assets listlengths 1 4 | decision_date timestamp[s]date 2015-02-05 00:00:00 2022-12-28 00:00:00 | context_summary stringlengths 52 153 | question stringlengths 245 9.63k | answer stringlengths 2 63 | answer_numeric float64 -3.07 9.2 | explanation stringlengths 100 240 | metadata unknown |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
T5_all_20210913_0077 | T5 | 3 | train | sideways | all | [
"IVV",
"SOL-USD",
"INDS",
"EMB"
] | 2021-09-13T00:00:00 | 4-asset optimization. Max-Sharpe: 8.592. Portfolio: return=600.60%, vol=69.44%. Weights: w_IVV=0.0000, w_SOL-USD=0.6187, w_INDS=0.0000, w_EMB=0.3813. | Assets: IVV, SOL-USD, INDS, EMB
Annualized mean returns: IVV:0.1315, SOL-USD:9.6629, INDS:0.1557, EMB:0.0715
Covariance matrix (annualized):
[[0.009031, 0.03496, 0.006933, 0.000955], [0.03496, 1.25506, 0.036422, 0.003164], [0.006933, 0.036422, 0.020221, 0.001828], [0.000955, 0.003164, 0.001828, 0.001548]]
Risk-free rat... | w_IVV=0.0000, w_SOL-USD=0.6187, w_INDS=0.0000, w_EMB=0.3813 | 8.591643 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IVV=0.0000, w_SOL-USD=0.6187, w_INDS=0.0000, w_EMB=0.3813
Portfolio annualized return: 600.60%, volatility: 69.44%
Sharpe ratio: (6.0060 - 0.0400) / 0.6944 = 8.5916 | {
"weights": {
"IVV": 0,
"SOL-USD": 0.6187,
"INDS": 0,
"EMB": 0.38130000000000003
},
"sharpe_ratio": 8.5916,
"portfolio_return": 6.005954,
"portfolio_vol": 0.6943900000000001,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180703_0083 | T5 | 3 | train | sideways | all | [
"XLU",
"LINK-USD",
"STIP",
"DBB"
] | 2018-07-03T00:00:00 | 4-asset optimization. Max-Sharpe: 0.978. Portfolio: return=17.93%, vol=14.25%. Weights: w_XLU=1.0000, w_LINK-USD=0.0000, w_STIP=0.0000, w_DBB=0.0000. | Assets: XLU, LINK-USD, STIP, DBB
Annualized mean returns: XLU:0.1793, LINK-USD:-3.9351, STIP:0.0318, DBB:-0.3827
Covariance matrix (annualized):
[[0.020295, -0.001297, 0.000699, -0.007988], [-0.001297, 1.071198, 0.001468, -0.024727], [0.000699, 0.001468, 0.000128, -0.000406], [-0.007988, -0.024727, -0.000406, 0.019452]... | w_XLU=1.0000, w_LINK-USD=0.0000, w_STIP=0.0000, w_DBB=0.0000 | 0.977921 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLU=1.0000, w_LINK-USD=0.0000, w_STIP=0.0000, w_DBB=0.0000
Portfolio annualized return: 17.93%, volatility: 14.25%
Sharpe ratio: (0.1793 - 0.0400) / 0.1425 = 0.9779 | {
"weights": {
"XLU": 1,
"LINK-USD": 0,
"STIP": 0,
"DBB": 0
},
"sharpe_ratio": 0.9779,
"portfolio_return": 0.179315,
"portfolio_vol": 0.14246,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20160107_0099 | T5 | 3 | train | sideways | all | [
"VEA",
"BTC-USD",
"ITB",
"SHY"
] | 2016-01-07T00:00:00 | 4-asset optimization. Max-Sharpe: 2.112. Portfolio: return=120.73%, vol=55.27%. Weights: w_VEA=0.0000, w_BTC-USD=1.0000, w_ITB=0.0000, w_SHY=0.0000. | Assets: VEA, BTC-USD, ITB, SHY
Annualized mean returns: VEA:-0.3840, BTC-USD:1.2073, ITB:-0.3076, SHY:-0.0004
Covariance matrix (annualized):
[[0.022082, -0.024986, 0.02937, -0.000547], [-0.024986, 0.305493, -0.056026, 0.000548], [0.02937, -0.056026, 0.058347, -0.00063], [-0.000547, 0.000548, -0.00063, 7.7e-05]]
Risk-f... | w_VEA=0.0000, w_BTC-USD=1.0000, w_ITB=0.0000, w_SHY=0.0000 | 2.11202 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VEA=0.0000, w_BTC-USD=1.0000, w_ITB=0.0000, w_SHY=0.0000
Portfolio annualized return: 120.73%, volatility: 55.27%
Sharpe ratio: (1.2073 - 0.0400) / 0.5527 = 2.1120 | {
"weights": {
"VEA": 0,
"BTC-USD": 1,
"ITB": 0,
"SHY": 0
},
"sharpe_ratio": 2.112,
"portfolio_return": 1.207343,
"portfolio_vol": 0.5527139999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20181121_0106 | T5 | 3 | train | sideways | all | [
"USMV",
"XRP-USD",
"WEAT",
"TIP"
] | 2018-11-21T00:00:00 | 4-asset optimization. Max-Sharpe: -1.876. Portfolio: return=-165.69%, vol=90.43%. Weights: w_USMV=0.0000, w_XRP-USD=1.0000, w_WEAT=0.0000, w_TIP=0.0000. | Assets: USMV, XRP-USD, WEAT, TIP
Annualized mean returns: USMV:-0.2603, XRP-USD:-1.6569, WEAT:-0.3513, TIP:-0.0130
Covariance matrix (annualized):
[[0.019777, 0.063604, -0.001565, -0.000205], [0.063604, 0.817817, 0.014455, 0.000774], [-0.001565, 0.014455, 0.032313, 0.000708], [-0.000205, 0.000774, 0.000708, 0.000169]]
... | w_USMV=0.0000, w_XRP-USD=1.0000, w_WEAT=0.0000, w_TIP=0.0000 | -1.87637 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_USMV=0.0000, w_XRP-USD=1.0000, w_WEAT=0.0000, w_TIP=0.0000
Portfolio annualized return: -165.69%, volatility: 90.43%
Sharpe ratio: (-1.6569 - 0.0400) / 0.9043 = -1.8764 | {
"weights": {
"USMV": 0,
"XRP-USD": 1,
"WEAT": 0,
"TIP": 0
},
"sharpe_ratio": -1.8764,
"portfolio_return": -1.6568619999999998,
"portfolio_vol": 0.9043319999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201021_0109 | T5 | 3 | train | sideways | all | [
"VEA",
"LINK-USD",
"PALL",
"SGOV"
] | 2020-10-21T00:00:00 | 4-asset optimization. Max-Sharpe: 2.373. Portfolio: return=68.32%, vol=27.11%. Weights: w_VEA=0.0000, w_LINK-USD=0.0000, w_PALL=1.0000, w_SGOV=0.0000. | Assets: VEA, LINK-USD, PALL, SGOV
Annualized mean returns: VEA:0.0635, LINK-USD:-3.1381, PALL:0.6832, SGOV:0.0004
Covariance matrix (annualized):
[[0.023793, 0.081252, 0.017159, -2e-06], [0.081252, 1.147903, 0.029542, -0.000217], [0.017159, 0.029542, 0.073488, -2.1e-05], [-2e-06, -0.000217, -2.1e-05, 1e-06]]
Risk-free ... | w_VEA=0.0000, w_LINK-USD=0.0000, w_PALL=1.0000, w_SGOV=0.0000 | 2.372859 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VEA=0.0000, w_LINK-USD=0.0000, w_PALL=1.0000, w_SGOV=0.0000
Portfolio annualized return: 68.32%, volatility: 27.11%
Sharpe ratio: (0.6832 - 0.0400) / 0.2711 = 2.3729 | {
"weights": {
"VEA": 0,
"LINK-USD": 0,
"PALL": 1,
"SGOV": 0
},
"sharpe_ratio": 2.3729,
"portfolio_return": 0.683248,
"portfolio_vol": 0.271086,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200911_0112 | T5 | 3 | train | sideways | all | [
"XLF",
"BTC-USD",
"DBA",
"ICSH"
] | 2020-09-11T00:00:00 | 4-asset optimization. Max-Sharpe: 3.989. Portfolio: return=45.22%, vol=10.33%. Weights: w_XLF=0.1602, w_BTC-USD=0.0000, w_DBA=0.8398, w_ICSH=0.0000. | Assets: XLF, BTC-USD, DBA, ICSH
Annualized mean returns: XLF:0.2638, BTC-USD:0.5175, DBA:0.4882, ICSH:0.0114
Covariance matrix (annualized):
[[0.032685, 0.00501, 0.000667, -8.5e-05], [0.00501, 0.227481, 0.017958, -0.000167], [0.000667, 0.017958, 0.013698, 2.1e-05], [-8.5e-05, -0.000167, 2.1e-05, 1.5e-05]]
Risk-free rat... | w_XLF=0.1602, w_BTC-USD=0.0000, w_DBA=0.8398, w_ICSH=0.0000 | 3.988998 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLF=0.1602, w_BTC-USD=0.0000, w_DBA=0.8398, w_ICSH=0.0000
Portfolio annualized return: 45.22%, volatility: 10.33%
Sharpe ratio: (0.4522 - 0.0400) / 0.1033 = 3.9890 | {
"weights": {
"XLF": 0.1602,
"BTC-USD": 0,
"DBA": 0.8398,
"ICSH": 0
},
"sharpe_ratio": 3.989,
"portfolio_return": 0.452212,
"portfolio_vol": 0.103337,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20211022_0115 | T5 | 3 | train | sideways | all | [
"^VIX",
"ADA-USD",
"LQD",
"ICSH"
] | 2021-10-22T00:00:00 | 4-asset optimization. Max-Sharpe: -1.001. Portfolio: return=-124.41%, vol=128.34%. Weights: w_^VIX=1.0000, w_ADA-USD=0.0000, w_LQD=0.0000, w_ICSH=0.0000. | Assets: ^VIX, ADA-USD, LQD, ICSH
Annualized mean returns: ^VIX:-1.2441, ADA-USD:-0.4425, LQD:-0.1282, ICSH:0.0002
Covariance matrix (annualized):
[[1.647103, -0.732629, -0.022018, 0.000355], [-0.732629, 0.708946, 0.014684, 0.000302], [-0.022018, 0.014684, 0.003698, 2.3e-05], [0.000355, 0.000302, 2.3e-05, 8e-06]]
Risk-f... | w_^VIX=1.0000, w_ADA-USD=0.0000, w_LQD=0.0000, w_ICSH=0.0000 | -1.000573 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_^VIX=1.0000, w_ADA-USD=0.0000, w_LQD=0.0000, w_ICSH=0.0000
Portfolio annualized return: -124.41%, volatility: 128.34%
Sharpe ratio: (-1.2441 - 0.0400) / 1.2834 = -1.0006 | {
"weights": {
"^VIX": 1,
"ADA-USD": 0,
"LQD": 0,
"ICSH": 0
},
"sharpe_ratio": -1.0006,
"portfolio_return": -1.24413,
"portfolio_vol": 1.283395,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201110_0120 | T5 | 3 | train | sideways | all | [
"XLRE",
"ETH-USD",
"SLV",
"SGOV"
] | 2020-11-10T00:00:00 | 4-asset optimization. Max-Sharpe: 1.635. Portfolio: return=63.45%, vol=36.36%. Weights: w_XLRE=0.4264, w_ETH-USD=0.5736, w_SLV=0.0000, w_SGOV=0.0000. | Assets: XLRE, ETH-USD, SLV, SGOV
Annualized mean returns: XLRE:0.1855, ETH-USD:0.9684, SLV:-0.2174, SGOV:0.0009
Covariance matrix (annualized):
[[0.052188, 0.017623, 0.030693, 1.8e-05], [0.017623, 0.346901, 0.102881, -7e-06], [0.030693, 0.102881, 0.138783, 1e-05], [1.8e-05, -7e-06, 1e-05, 0.0]]
Risk-free rate: 4.00%
Co... | w_XLRE=0.4264, w_ETH-USD=0.5736, w_SLV=0.0000, w_SGOV=0.0000 | 1.635014 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLRE=0.4264, w_ETH-USD=0.5736, w_SLV=0.0000, w_SGOV=0.0000
Portfolio annualized return: 63.45%, volatility: 36.36%
Sharpe ratio: (0.6345 - 0.0400) / 0.3636 = 1.6350 | {
"weights": {
"XLRE": 0.4264,
"ETH-USD": 0.5736,
"SLV": 0,
"SGOV": 0
},
"sharpe_ratio": 1.635,
"portfolio_return": 0.634544,
"portfolio_vol": 0.363632,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201229_0123 | T5 | 3 | train | sideways | all | [
"IVV",
"MATIC-USD",
"CORN",
"TLH"
] | 2020-12-29T00:00:00 | 4-asset optimization. Max-Sharpe: 7.086. Portfolio: return=79.30%, vol=10.63%. Weights: w_IVV=0.5653, w_MATIC-USD=0.0172, w_CORN=0.4175, w_TLH=0.0000. | Assets: IVV, MATIC-USD, CORN, TLH
Annualized mean returns: IVV:0.7863, MATIC-USD:2.1194, CORN:0.7474, TLH:-0.0571
Covariance matrix (annualized):
[[0.018426, -0.004166, 0.002031, -0.001801], [-0.004166, 1.047259, 0.037185, -0.003401], [0.002031, 0.037185, 0.02113, -0.000148], [-0.001801, -0.003401, -0.000148, 0.010382]... | w_IVV=0.5653, w_MATIC-USD=0.0172, w_CORN=0.4175, w_TLH=0.0000 | 7.086134 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IVV=0.5653, w_MATIC-USD=0.0172, w_CORN=0.4175, w_TLH=0.0000
Portfolio annualized return: 79.30%, volatility: 10.63%
Sharpe ratio: (0.7930 - 0.0400) / 0.1063 = 7.0861 | {
"weights": {
"IVV": 0.5653,
"MATIC-USD": 0.0172,
"CORN": 0.41750000000000004,
"TLH": 0
},
"sharpe_ratio": 7.0861,
"portfolio_return": 0.793032,
"portfolio_vol": 0.106268,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201117_0128 | T5 | 3 | train | sideways | all | [
"^VIX",
"XRP-USD",
"GLD",
"VCIT"
] | 2020-11-17T00:00:00 | 4-asset optimization. Max-Sharpe: 1.117. Portfolio: return=49.59%, vol=40.82%. Weights: w_^VIX=0.0000, w_XRP-USD=1.0000, w_GLD=0.0000, w_VCIT=0.0000. | Assets: ^VIX, XRP-USD, GLD, VCIT
Annualized mean returns: ^VIX:-0.9758, XRP-USD:0.4959, GLD:-0.0560, VCIT:0.0212
Covariance matrix (annualized):
[[1.096188, -0.221055, -0.064038, -0.015321], [-0.221055, 0.166609, 0.02823, 0.001308], [-0.064038, 0.02823, 0.023525, 0.002329], [-0.015321, 0.001308, 0.002329, 0.001426]]
Ri... | w_^VIX=0.0000, w_XRP-USD=1.0000, w_GLD=0.0000, w_VCIT=0.0000 | 1.116801 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_^VIX=0.0000, w_XRP-USD=1.0000, w_GLD=0.0000, w_VCIT=0.0000
Portfolio annualized return: 49.59%, volatility: 40.82%
Sharpe ratio: (0.4959 - 0.0400) / 0.4082 = 1.1168 | {
"weights": {
"^VIX": 0,
"XRP-USD": 1,
"GLD": 0,
"VCIT": 0
},
"sharpe_ratio": 1.1168,
"portfolio_return": 0.495853,
"portfolio_vol": 0.408178,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190819_0138 | T5 | 3 | train | sideways | all | [
"XLF",
"BTC-USD",
"HAUZ",
"STIP"
] | 2019-08-19T00:00:00 | 4-asset optimization. Max-Sharpe: 2.940. Portfolio: return=80.14%, vol=25.90%. Weights: w_XLF=0.0000, w_BTC-USD=0.2884, w_HAUZ=0.0000, w_STIP=0.7116. | Assets: XLF, BTC-USD, HAUZ, STIP
Annualized mean returns: XLF:-0.1319, BTC-USD:2.6640, HAUZ:-0.1183, STIP:0.0464
Covariance matrix (annualized):
[[0.038037, -0.009351, 0.016851, 1.1e-05], [-0.009351, 0.797586, 0.009495, 0.001473], [0.016851, 0.009495, 0.013023, 0.000382], [1.1e-05, 0.001473, 0.000382, 0.000198]]
Risk-f... | w_XLF=0.0000, w_BTC-USD=0.2884, w_HAUZ=0.0000, w_STIP=0.7116 | 2.940282 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLF=0.0000, w_BTC-USD=0.2884, w_HAUZ=0.0000, w_STIP=0.7116
Portfolio annualized return: 80.14%, volatility: 25.90%
Sharpe ratio: (0.8014 - 0.0400) / 0.2590 = 2.9403 | {
"weights": {
"XLF": 0,
"BTC-USD": 0.2884,
"HAUZ": 0,
"STIP": 0.7116
},
"sharpe_ratio": 2.9403,
"portfolio_return": 0.801402,
"portfolio_vol": 0.258955,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20181004_0141 | T5 | 3 | train | sideways | all | [
"VTI",
"ETH-USD",
"ICSH",
"HAUZ"
] | 2018-10-04T00:00:00 | 4-asset optimization. Max-Sharpe: 2.135. Portfolio: return=17.41%, vol=6.28%. Weights: w_VTI=1.0000, w_ETH-USD=0.0000, w_ICSH=0.0000, w_HAUZ=0.0000. | Assets: VTI, ETH-USD, ICSH, HAUZ
Annualized mean returns: VTI:0.1741, ETH-USD:-2.3599, ICSH:0.0257, HAUZ:-0.2345
Covariance matrix (annualized):
[[0.003942, 0.028043, -1.1e-05, 0.005075], [0.028043, 0.889348, -0.000781, 0.054392], [-1.1e-05, -0.000781, 1.6e-05, -9e-05], [0.005075, 0.054392, -9e-05, 0.015667]]
Risk-free... | w_VTI=1.0000, w_ETH-USD=0.0000, w_ICSH=0.0000, w_HAUZ=0.0000 | 2.135018 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VTI=1.0000, w_ETH-USD=0.0000, w_ICSH=0.0000, w_HAUZ=0.0000
Portfolio annualized return: 17.41%, volatility: 6.28%
Sharpe ratio: (0.1741 - 0.0400) / 0.0628 = 2.1350 | {
"weights": {
"VTI": 1,
"ETH-USD": 0,
"ICSH": 0,
"HAUZ": 0
},
"sharpe_ratio": 2.135,
"portfolio_return": 0.174056,
"portfolio_vol": 0.062789,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220707_0144 | T5 | 3 | train | sideways | all | [
"XLP",
"SOL-USD",
"BNDX",
"SGOV"
] | 2022-07-07T00:00:00 | 4-asset optimization. Max-Sharpe: -0.427. Portfolio: return=-4.10%, vol=18.95%. Weights: w_XLP=1.0000, w_SOL-USD=0.0000, w_BNDX=0.0000, w_SGOV=0.0000. | Assets: XLP, SOL-USD, BNDX, SGOV
Annualized mean returns: XLP:-0.0410, SOL-USD:-5.9637, BNDX:-0.0341, SGOV:0.0076
Covariance matrix (annualized):
[[0.035921, 0.069582, 0.003164, 1.5e-05], [0.069582, 1.773357, 0.005436, -0.000147], [0.003164, 0.005436, 0.004855, -2.2e-05], [1.5e-05, -0.000147, -2.2e-05, 2e-06]]
Risk-fre... | w_XLP=1.0000, w_SOL-USD=0.0000, w_BNDX=0.0000, w_SGOV=0.0000 | -0.427467 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLP=1.0000, w_SOL-USD=0.0000, w_BNDX=0.0000, w_SGOV=0.0000
Portfolio annualized return: -4.10%, volatility: 18.95%
Sharpe ratio: (-0.0410 - 0.0400) / 0.1895 = -0.4275 | {
"weights": {
"XLP": 1,
"SOL-USD": 0,
"BNDX": 0,
"SGOV": 0
},
"sharpe_ratio": -0.42750000000000005,
"portfolio_return": -0.041017,
"portfolio_vol": 0.189528,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210914_0151 | T5 | 3 | train | sideways | all | [
"QQQ",
"SOL-USD",
"VNQI",
"ICSH"
] | 2021-09-14T00:00:00 | 4-asset optimization. Max-Sharpe: 9.201. Portfolio: return=1003.33%, vol=108.61%. Weights: w_QQQ=0.0000, w_SOL-USD=1.0000, w_VNQI=0.0000, w_ICSH=0.0000. | Assets: QQQ, SOL-USD, VNQI, ICSH
Annualized mean returns: QQQ:0.2638, SOL-USD:10.0333, VNQI:0.0286, ICSH:0.0040
Covariance matrix (annualized):
[[0.010538, 0.030073, 0.00505, -7e-06], [0.030073, 1.179606, 0.032149, 0.000462], [0.00505, 0.032149, 0.011865, 7.7e-05], [-7e-06, 0.000462, 7.7e-05, 7e-06]]
Risk-free rate: 4.... | w_QQQ=0.0000, w_SOL-USD=1.0000, w_VNQI=0.0000, w_ICSH=0.0000 | 9.201081 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QQQ=0.0000, w_SOL-USD=1.0000, w_VNQI=0.0000, w_ICSH=0.0000
Portfolio annualized return: 1003.33%, volatility: 108.61%
Sharpe ratio: (10.0333 - 0.0400) / 1.0861 = 9.2011 | {
"weights": {
"QQQ": 0,
"SOL-USD": 1,
"VNQI": 0,
"ICSH": 0
},
"sharpe_ratio": 9.2011,
"portfolio_return": 10.033266,
"portfolio_vol": 1.086097,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20181126_0154 | T5 | 3 | train | sideways | all | [
"FXI",
"BNB-USD",
"SCHP",
"BIL"
] | 2018-11-26T00:00:00 | 4-asset optimization. Max-Sharpe: -1.521. Portfolio: return=-40.13%, vol=29.01%. Weights: w_FXI=1.0000, w_BNB-USD=0.0000, w_SCHP=0.0000, w_BIL=0.0000. | Assets: FXI, BNB-USD, SCHP, BIL
Annualized mean returns: FXI:-0.4013, BNB-USD:-2.6669, SCHP:-0.0853, BIL:0.0206
Covariance matrix (annualized):
[[0.084147, 0.041958, -0.001769, 8.2e-05], [0.041958, 0.535317, 6.8e-05, 0.000308], [-0.001769, 6.8e-05, 0.001061, 4e-06], [8.2e-05, 0.000308, 4e-06, 3e-06]]
Risk-free rate: 4.... | w_FXI=1.0000, w_BNB-USD=0.0000, w_SCHP=0.0000, w_BIL=0.0000 | -1.521449 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_FXI=1.0000, w_BNB-USD=0.0000, w_SCHP=0.0000, w_BIL=0.0000
Portfolio annualized return: -40.13%, volatility: 29.01%
Sharpe ratio: (-0.4013 - 0.0400) / 0.2901 = -1.5214 | {
"weights": {
"FXI": 1,
"BNB-USD": 0,
"SCHP": 0,
"BIL": 0
},
"sharpe_ratio": -1.5213999999999999,
"portfolio_return": -0.401344,
"portfolio_vol": 0.290081,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220110_0159 | T5 | 3 | train | sideways | all | [
"XLRE",
"ETH-USD",
"SGOV",
"VNQI"
] | 2022-01-10T00:00:00 | 4-asset optimization. Max-Sharpe: 0.814. Portfolio: return=19.86%, vol=19.47%. Weights: w_XLRE=1.0000, w_ETH-USD=0.0000, w_SGOV=0.0000, w_VNQI=0.0000. | Assets: XLRE, ETH-USD, SGOV, VNQI
Annualized mean returns: XLRE:0.1986, ETH-USD:-3.0351, SGOV:0.0002, VNQI:-0.0979
Covariance matrix (annualized):
[[0.037914, 0.0341, 3.1e-05, 0.01627], [0.0341, 0.44736, 2.5e-05, 0.021089], [3.1e-05, 2.5e-05, 1e-06, 2e-06], [0.01627, 0.021089, 2e-06, 0.014179]]
Risk-free rate: 4.00%
Co... | w_XLRE=1.0000, w_ETH-USD=0.0000, w_SGOV=0.0000, w_VNQI=0.0000 | 0.814468 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLRE=1.0000, w_ETH-USD=0.0000, w_SGOV=0.0000, w_VNQI=0.0000
Portfolio annualized return: 19.86%, volatility: 19.47%
Sharpe ratio: (0.1986 - 0.0400) / 0.1947 = 0.8145 | {
"weights": {
"XLRE": 1,
"ETH-USD": 0,
"SGOV": 0,
"VNQI": 0
},
"sharpe_ratio": 0.8145,
"portfolio_return": 0.198589,
"portfolio_vol": 0.194715,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220117_0162 | T5 | 3 | train | sideways | all | [
"XLP",
"XRP-USD",
"ITB",
"SGOV"
] | 2022-01-17T00:00:00 | 4-asset optimization. Max-Sharpe: 2.900. Portfolio: return=42.48%, vol=13.27%. Weights: w_XLP=1.0000, w_XRP-USD=0.0000, w_ITB=0.0000, w_SGOV=0.0000. | Assets: XLP, XRP-USD, ITB, SGOV
Annualized mean returns: XLP:0.4248, XRP-USD:-1.3459, ITB:-0.0793, SGOV:0.0008
Covariance matrix (annualized):
[[0.017606, -0.008812, 0.015771, 3.5e-05], [-0.008812, 0.413359, 0.052772, 5.3e-05], [0.015771, 0.052772, 0.078416, -9e-06], [3.5e-05, 5.3e-05, -9e-06, 1e-06]]
Risk-free rate: 4... | w_XLP=1.0000, w_XRP-USD=0.0000, w_ITB=0.0000, w_SGOV=0.0000 | 2.900078 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLP=1.0000, w_XRP-USD=0.0000, w_ITB=0.0000, w_SGOV=0.0000
Portfolio annualized return: 42.48%, volatility: 13.27%
Sharpe ratio: (0.4248 - 0.0400) / 0.1327 = 2.9001 | {
"weights": {
"XLP": 1,
"XRP-USD": 0,
"ITB": 0,
"SGOV": 0
},
"sharpe_ratio": 2.9001,
"portfolio_return": 0.424801,
"portfolio_vol": 0.132686,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20160816_0165 | T5 | 3 | train | sideways | all | [
"VTI",
"BTC-USD",
"VCIT",
"MORT"
] | 2016-08-16T00:00:00 | 4-asset optimization. Max-Sharpe: 3.782. Portfolio: return=22.64%, vol=4.93%. Weights: w_VTI=0.1354, w_BTC-USD=0.0000, w_VCIT=0.6383, w_MORT=0.2263. | Assets: VTI, BTC-USD, VCIT, MORT
Annualized mean returns: VTI:0.3766, BTC-USD:-1.3108, VCIT:0.1095, MORT:0.4665
Covariance matrix (annualized):
[[0.020476, -0.001071, -0.001539, 0.011479], [-0.001071, 0.322931, 0.006148, 0.019675], [-0.001539, 0.006148, 0.001796, -0.000142], [0.011479, 0.019675, -0.000142, 0.018099]]
R... | w_VTI=0.1354, w_BTC-USD=0.0000, w_VCIT=0.6383, w_MORT=0.2263 | 3.781845 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VTI=0.1354, w_BTC-USD=0.0000, w_VCIT=0.6383, w_MORT=0.2263
Portfolio annualized return: 22.64%, volatility: 4.93%
Sharpe ratio: (0.2264 - 0.0400) / 0.0493 = 3.7818 | {
"weights": {
"VTI": 0.13540000000000002,
"BTC-USD": 0,
"VCIT": 0.6383,
"MORT": 0.2263
},
"sharpe_ratio": 3.7818,
"portfolio_return": 0.22644000000000003,
"portfolio_vol": 0.049298999999999996,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210316_0168 | T5 | 3 | train | sideways | all | [
"EEM",
"BNB-USD",
"SCHP",
"IYR"
] | 2021-03-16T00:00:00 | 4-asset optimization. Max-Sharpe: 6.636. Portfolio: return=192.61%, vol=28.42%. Weights: w_EEM=0.0000, w_BNB-USD=0.1285, w_SCHP=0.0000, w_IYR=0.8715. | Assets: EEM, BNB-USD, SCHP, IYR
Annualized mean returns: EEM:-0.1165, BNB-USD:10.7850, SCHP:-0.0668, IYR:0.6201
Covariance matrix (annualized):
[[0.061752, 0.178666, 0.003778, 0.017029], [0.178666, 3.302973, -0.006573, 0.04108], [0.003778, -0.006573, 0.003, 0.000743], [0.017029, 0.04108, 0.000743, 0.022448]]
Risk-free ... | w_EEM=0.0000, w_BNB-USD=0.1285, w_SCHP=0.0000, w_IYR=0.8715 | 6.636193 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EEM=0.0000, w_BNB-USD=0.1285, w_SCHP=0.0000, w_IYR=0.8715
Portfolio annualized return: 192.61%, volatility: 28.42%
Sharpe ratio: (1.9261 - 0.0400) / 0.2842 = 6.6362 | {
"weights": {
"EEM": 0,
"BNB-USD": 0.1285,
"SCHP": 0,
"IYR": 0.8715
},
"sharpe_ratio": 6.6362,
"portfolio_return": 1.926068,
"portfolio_vol": 0.284209,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20191203_0171 | T5 | 3 | train | sideways | all | [
"ACWI",
"XRP-USD",
"ITB",
"GLD"
] | 2019-12-03T00:00:00 | 4-asset optimization. Max-Sharpe: 4.293. Portfolio: return=38.33%, vol=8.00%. Weights: w_ACWI=0.8741, w_XRP-USD=0.0000, w_ITB=0.1259, w_GLD=0.0000. | Assets: ACWI, XRP-USD, ITB, GLD
Annualized mean returns: ACWI:0.3920, XRP-USD:-0.5872, ITB:0.3227, GLD:-0.1762
Covariance matrix (annualized):
[[0.007199, -0.0065, 0.0021, -0.003107], [-0.0065, 0.270746, 0.003255, 0.012262], [0.0021, 0.003255, 0.027248, 0.006348], [-0.003107, 0.012262, 0.006348, 0.008957]]
Risk-free ra... | w_ACWI=0.8741, w_XRP-USD=0.0000, w_ITB=0.1259, w_GLD=0.0000 | 4.292753 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_ACWI=0.8741, w_XRP-USD=0.0000, w_ITB=0.1259, w_GLD=0.0000
Portfolio annualized return: 38.33%, volatility: 8.00%
Sharpe ratio: (0.3833 - 0.0400) / 0.0800 = 4.2928 | {
"weights": {
"ACWI": 0.8741,
"XRP-USD": 0,
"ITB": 0.1259,
"GLD": 0
},
"sharpe_ratio": 4.2928,
"portfolio_return": 0.383274,
"portfolio_vol": 0.079966,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201006_0176 | T5 | 3 | train | sideways | all | [
"XLY",
"DOT-USD",
"HYG",
"DBC"
] | 2020-10-06T00:00:00 | 4-asset optimization. Max-Sharpe: 1.950. Portfolio: return=120.93%, vol=59.97%. Weights: w_XLY=0.5321, w_DOT-USD=0.4679, w_HYG=0.0000, w_DBC=0.0000. | Assets: XLY, DOT-USD, HYG, DBC
Annualized mean returns: XLY:0.2813, DOT-USD:2.2645, HYG:0.0417, DBC:-0.2044
Covariance matrix (annualized):
[[0.043845, 0.108758, 0.011582, 0.015295], [0.108758, 1.338676, 0.035891, 0.107712], [0.011582, 0.035891, 0.004618, 0.007825], [0.015295, 0.107712, 0.007825, 0.033749]]
Risk-free r... | w_XLY=0.5321, w_DOT-USD=0.4679, w_HYG=0.0000, w_DBC=0.0000 | 1.949645 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLY=0.5321, w_DOT-USD=0.4679, w_HYG=0.0000, w_DBC=0.0000
Portfolio annualized return: 120.93%, volatility: 59.97%
Sharpe ratio: (1.2093 - 0.0400) / 0.5997 = 1.9496 | {
"weights": {
"XLY": 0.5321,
"DOT-USD": 0.46790000000000004,
"HYG": 0,
"DBC": 0
},
"sharpe_ratio": 1.9496,
"portfolio_return": 1.209295,
"portfolio_vol": 0.599748,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20191114_0179 | T5 | 3 | train | sideways | all | [
"MTUM",
"ETH-USD",
"INDS",
"WEAT"
] | 2019-11-14T00:00:00 | 4-asset optimization. Max-Sharpe: 3.367. Portfolio: return=31.69%, vol=8.23%. Weights: w_MTUM=0.0000, w_ETH-USD=0.0183, w_INDS=0.7228, w_WEAT=0.2589. | Assets: MTUM, ETH-USD, INDS, WEAT
Annualized mean returns: MTUM:0.1045, ETH-USD:0.4406, INDS:0.3271, WEAT:0.2800
Covariance matrix (annualized):
[[0.014518, 0.006422, 0.005397, -7.1e-05], [0.006422, 0.461239, 0.001995, -0.000413], [0.005397, 0.001995, 0.010539, -0.00248], [-7.1e-05, -0.000413, -0.00248, 0.029598]]
Risk... | w_MTUM=0.0000, w_ETH-USD=0.0183, w_INDS=0.7228, w_WEAT=0.2589 | 3.366982 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_MTUM=0.0000, w_ETH-USD=0.0183, w_INDS=0.7228, w_WEAT=0.2589
Portfolio annualized return: 31.69%, volatility: 8.23%
Sharpe ratio: (0.3169 - 0.0400) / 0.0823 = 3.3670 | {
"weights": {
"MTUM": 0,
"ETH-USD": 0.0183,
"INDS": 0.7228,
"WEAT": 0.2589
},
"sharpe_ratio": 3.367,
"portfolio_return": 0.316944,
"portfolio_vol": 0.08225299999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190826_0182 | T5 | 3 | train | sideways | all | [
"MTUM",
"XRP-USD",
"ITB",
"SLV"
] | 2019-08-26T00:00:00 | 4-asset optimization. Max-Sharpe: 4.911. Portfolio: return=70.11%, vol=13.46%. Weights: w_MTUM=0.0000, w_XRP-USD=0.0000, w_ITB=0.3609, w_SLV=0.6391. | Assets: MTUM, XRP-USD, ITB, SLV
Annualized mean returns: MTUM:-0.0031, XRP-USD:-2.5047, ITB:0.4662, SLV:0.8338
Covariance matrix (annualized):
[[0.0311, 0.007374, 0.023471, -0.006395], [0.007374, 0.400285, -0.000189, 0.017816], [0.023471, -0.000189, 0.040051, -0.004333], [-0.006395, 0.017816, -0.004333, 0.0365]]
Risk-f... | w_MTUM=0.0000, w_XRP-USD=0.0000, w_ITB=0.3609, w_SLV=0.6391 | 4.910621 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_MTUM=0.0000, w_XRP-USD=0.0000, w_ITB=0.3609, w_SLV=0.6391
Portfolio annualized return: 70.11%, volatility: 13.46%
Sharpe ratio: (0.7011 - 0.0400) / 0.1346 = 4.9106 | {
"weights": {
"MTUM": 0,
"XRP-USD": 0,
"ITB": 0.3609,
"SLV": 0.6391
},
"sharpe_ratio": 4.9106000000000005,
"portfolio_return": 0.701139,
"portfolio_vol": 0.134635,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200819_0196 | T5 | 3 | train | sideways | all | [
"XLV",
"BTC-USD",
"SHV",
"REZ"
] | 2020-08-19T00:00:00 | 4-asset optimization. Max-Sharpe: 3.988. Portfolio: return=87.74%, vol=21.00%. Weights: w_XLV=0.5640, w_BTC-USD=0.4360, w_SHV=0.0000, w_REZ=0.0000. | Assets: XLV, BTC-USD, SHV, REZ
Annualized mean returns: XLV:0.4188, BTC-USD:1.4707, SHV:0.0009, REZ:0.1730
Covariance matrix (annualized):
[[0.021358, 0.018123, 3e-06, 0.01587], [0.018123, 0.14934, 3.7e-05, 0.012616], [3e-06, 3.7e-05, 1e-06, -7e-05], [0.01587, 0.012616, -7e-05, 0.052195]]
Risk-free rate: 4.00%
Constrai... | w_XLV=0.5640, w_BTC-USD=0.4360, w_SHV=0.0000, w_REZ=0.0000 | 3.988073 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLV=0.5640, w_BTC-USD=0.4360, w_SHV=0.0000, w_REZ=0.0000
Portfolio annualized return: 87.74%, volatility: 21.00%
Sharpe ratio: (0.8774 - 0.0400) / 0.2100 = 3.9881 | {
"weights": {
"XLV": 0.5640000000000001,
"BTC-USD": 0.436,
"SHV": 0,
"REZ": 0
},
"sharpe_ratio": 3.9881,
"portfolio_return": 0.877444,
"portfolio_vol": 0.20998699999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20211015_0199 | T5 | 3 | train | sideways | all | [
"^VIX",
"BTC-USD",
"UNG",
"REZ"
] | 2021-10-15T00:00:00 | 4-asset optimization. Max-Sharpe: 4.285. Portfolio: return=85.72%, vol=19.07%. Weights: w_^VIX=0.0745, w_BTC-USD=0.1151, w_UNG=0.2884, w_REZ=0.5220. | Assets: ^VIX, BTC-USD, UNG, REZ
Annualized mean returns: ^VIX:0.5118, BTC-USD:0.8213, UNG:2.2373, REZ:0.1518
Covariance matrix (annualized):
[[2.058649, -0.501819, -0.124885, -0.073818], [-0.501819, 0.466993, 0.010601, 0.029366], [-0.124885, 0.010601, 0.390067, -0.01275], [-0.073818, 0.029366, -0.01275, 0.020631]]
Risk... | w_^VIX=0.0745, w_BTC-USD=0.1151, w_UNG=0.2884, w_REZ=0.5220 | 4.28546 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_^VIX=0.0745, w_BTC-USD=0.1151, w_UNG=0.2884, w_REZ=0.5220
Portfolio annualized return: 85.72%, volatility: 19.07%
Sharpe ratio: (0.8572 - 0.0400) / 0.1907 = 4.2855 | {
"weights": {
"^VIX": 0.0745,
"BTC-USD": 0.11510000000000001,
"UNG": 0.2884,
"REZ": 0.522
},
"sharpe_ratio": 4.2855,
"portfolio_return": 0.857174,
"portfolio_vol": 0.190685,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20211018_0202 | T5 | 3 | train | sideways | all | [
"QQQ",
"ADA-USD",
"SCHH",
"SGOV"
] | 2021-10-18T00:00:00 | 4-asset optimization. Max-Sharpe: 0.648. Portfolio: return=21.21%, vol=26.55%. Weights: w_QQQ=0.8059, w_ADA-USD=0.1941, w_SCHH=0.0000, w_SGOV=0.0000. | Assets: QQQ, ADA-USD, SCHH, SGOV
Annualized mean returns: QQQ:0.1200, ADA-USD:0.5948, SCHH:0.0755, SGOV:0.0001
Covariance matrix (annualized):
[[0.023633, 0.070548, 0.008032, 1e-06], [0.070548, 0.877273, 0.045323, -0.000181], [0.008032, 0.045323, 0.020327, -1.1e-05], [1e-06, -0.000181, -1.1e-05, 1e-06]]
Risk-free rate:... | w_QQQ=0.8059, w_ADA-USD=0.1941, w_SCHH=0.0000, w_SGOV=0.0000 | 0.648375 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QQQ=0.8059, w_ADA-USD=0.1941, w_SCHH=0.0000, w_SGOV=0.0000
Portfolio annualized return: 21.21%, volatility: 26.55%
Sharpe ratio: (0.2121 - 0.0400) / 0.2655 = 0.6484 | {
"weights": {
"QQQ": 0.8059000000000001,
"ADA-USD": 0.19410000000000002,
"SCHH": 0,
"SGOV": 0
},
"sharpe_ratio": 0.6484,
"portfolio_return": 0.212115,
"portfolio_vol": 0.26545599999999997,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190104_0208 | T5 | 3 | train | sideways | all | [
"XLK",
"LINK-USD",
"SHV",
"USO"
] | 2019-01-04T00:00:00 | 4-asset optimization. Max-Sharpe: 0.038. Portfolio: return=9.33%, vol=141.18%. Weights: w_XLK=0.0000, w_LINK-USD=1.0000, w_SHV=0.0000, w_USO=0.0000. | Assets: XLK, LINK-USD, SHV, USO
Annualized mean returns: XLK:-1.0247, LINK-USD:0.0933, SHV:0.0269, USO:-1.7530
Covariance matrix (annualized):
[[0.109727, 0.01649, -0.000166, 0.028635], [0.01649, 1.993219, -8e-05, -0.039361], [-0.000166, -8e-05, 4e-06, -0.000162], [0.028635, -0.039361, -0.000162, 0.215059]]
Risk-free r... | w_XLK=0.0000, w_LINK-USD=1.0000, w_SHV=0.0000, w_USO=0.0000 | 0.03774 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLK=0.0000, w_LINK-USD=1.0000, w_SHV=0.0000, w_USO=0.0000
Portfolio annualized return: 9.33%, volatility: 141.18%
Sharpe ratio: (0.0933 - 0.0400) / 1.4118 = 0.0377 | {
"weights": {
"XLK": 0,
"LINK-USD": 1,
"SHV": 0,
"USO": 0
},
"sharpe_ratio": 0.037700000000000004,
"portfolio_return": 0.09328199999999999,
"portfolio_vol": 1.411814,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20221028_0213 | T5 | 3 | train | sideways | all | [
"QUAL",
"BNB-USD",
"TLH",
"MORT"
] | 2022-10-28T00:00:00 | 4-asset optimization. Max-Sharpe: 0.992. Portfolio: return=41.08%, vol=37.36%. Weights: w_QUAL=0.0000, w_BNB-USD=1.0000, w_TLH=0.0000, w_MORT=0.0000. | Assets: QUAL, BNB-USD, TLH, MORT
Annualized mean returns: QUAL:-0.3246, BNB-USD:0.4108, TLH:-0.7154, MORT:-1.3075
Covariance matrix (annualized):
[[0.062147, 0.047989, 0.011288, 0.063421], [0.047989, 0.139599, 0.020552, 0.058476], [0.011288, 0.020552, 0.022805, 0.028955], [0.063421, 0.058476, 0.028955, 0.129888]]
Risk-... | w_QUAL=0.0000, w_BNB-USD=1.0000, w_TLH=0.0000, w_MORT=0.0000 | 0.992408 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QUAL=0.0000, w_BNB-USD=1.0000, w_TLH=0.0000, w_MORT=0.0000
Portfolio annualized return: 41.08%, volatility: 37.36%
Sharpe ratio: (0.4108 - 0.0400) / 0.3736 = 0.9924 | {
"weights": {
"QUAL": 0,
"BNB-USD": 1,
"TLH": 0,
"MORT": 0
},
"sharpe_ratio": 0.9924000000000001,
"portfolio_return": 0.41079299999999996,
"portfolio_vol": 0.37363,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20191224_0217 | T5 | 3 | train | sideways | all | [
"VEA",
"MATIC-USD",
"HYG",
"ICSH"
] | 2019-12-24T00:00:00 | 4-asset optimization. Max-Sharpe: 4.172. Portfolio: return=35.13%, vol=7.46%. Weights: w_VEA=0.7766, w_MATIC-USD=0.0231, w_HYG=0.2003, w_ICSH=0.0000. | Assets: VEA, MATIC-USD, HYG, ICSH
Annualized mean returns: VEA:0.3044, MATIC-USD:4.0737, HYG:0.1030, ICSH:0.0237
Covariance matrix (annualized):
[[0.005015, 0.02513, 0.001267, -7.9e-05], [0.02513, 2.289632, -0.001797, -0.001493], [0.001267, -0.001797, 0.000925, 3e-06], [-7.9e-05, -0.001493, 3e-06, 1.1e-05]]
Risk-free r... | w_VEA=0.7766, w_MATIC-USD=0.0231, w_HYG=0.2003, w_ICSH=0.0000 | 4.171868 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VEA=0.7766, w_MATIC-USD=0.0231, w_HYG=0.2003, w_ICSH=0.0000
Portfolio annualized return: 35.13%, volatility: 7.46%
Sharpe ratio: (0.3513 - 0.0400) / 0.0746 = 4.1719 | {
"weights": {
"VEA": 0.7766000000000001,
"MATIC-USD": 0.023100000000000002,
"HYG": 0.2003,
"ICSH": 0
},
"sharpe_ratio": 4.1719,
"portfolio_return": 0.351331,
"portfolio_vol": 0.074626,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210705_0222 | T5 | 3 | train | sideways | all | [
"MTUM",
"LINK-USD",
"SHV",
"ICSH"
] | 2021-07-05T00:00:00 | 4-asset optimization. Max-Sharpe: 1.341. Portfolio: return=26.22%, vol=16.57%. Weights: w_MTUM=1.0000, w_LINK-USD=0.0000, w_SHV=0.0000, w_ICSH=0.0000. | Assets: MTUM, LINK-USD, SHV, ICSH
Annualized mean returns: MTUM:0.2622, LINK-USD:-3.9325, SHV:-0.0017, ICSH:0.0017
Covariance matrix (annualized):
[[0.027464, 0.093408, 4e-05, 5e-06], [0.093408, 2.449492, 0.000178, 0.000604], [4e-05, 0.000178, 2e-06, -1e-06], [5e-06, 0.000604, -1e-06, 1e-05]]
Risk-free rate: 4.00%
Cons... | w_MTUM=1.0000, w_LINK-USD=0.0000, w_SHV=0.0000, w_ICSH=0.0000 | 1.340839 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_MTUM=1.0000, w_LINK-USD=0.0000, w_SHV=0.0000, w_ICSH=0.0000
Portfolio annualized return: 26.22%, volatility: 16.57%
Sharpe ratio: (0.2622 - 0.0400) / 0.1657 = 1.3408 | {
"weights": {
"MTUM": 1,
"LINK-USD": 0,
"SHV": 0,
"ICSH": 0
},
"sharpe_ratio": 1.3408,
"portfolio_return": 0.262206,
"portfolio_vol": 0.16572099999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190314_0235 | T5 | 3 | train | sideways | all | [
"FXI",
"BTC-USD",
"TLT",
"DBB"
] | 2019-03-14T00:00:00 | 4-asset optimization. Max-Sharpe: 4.134. Portfolio: return=42.96%, vol=9.42%. Weights: w_FXI=0.1480, w_BTC-USD=0.1241, w_TLT=0.2159, w_DBB=0.5120. | Assets: FXI, BTC-USD, TLT, DBB
Annualized mean returns: FXI:0.5248, BTC-USD:0.5589, TLT:0.0757, DBB:0.5200
Covariance matrix (annualized):
[[0.035999, 0.002643, -0.001126, 0.011015], [0.002643, 0.082657, 0.001592, 0.001637], [-0.001126, 0.001592, 0.00671, -0.0013], [0.011015, 0.001637, -0.0013, 0.01834]]
Risk-free rate... | w_FXI=0.1480, w_BTC-USD=0.1241, w_TLT=0.2159, w_DBB=0.5120 | 4.134114 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_FXI=0.1480, w_BTC-USD=0.1241, w_TLT=0.2159, w_DBB=0.5120
Portfolio annualized return: 42.96%, volatility: 9.42%
Sharpe ratio: (0.4296 - 0.0400) / 0.0942 = 4.1341 | {
"weights": {
"FXI": 0.148,
"BTC-USD": 0.1241,
"TLT": 0.2159,
"DBB": 0.512
},
"sharpe_ratio": 4.1341,
"portfolio_return": 0.42963,
"portfolio_vol": 0.094248,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220315_0238 | T5 | 3 | train | sideways | all | [
"XLU",
"ETH-USD",
"BNDX",
"SGOV"
] | 2022-03-15T00:00:00 | 4-asset optimization. Max-Sharpe: -0.013. Portfolio: return=2.92%, vol=80.86%. Weights: w_XLU=0.0000, w_ETH-USD=1.0000, w_BNDX=0.0000, w_SGOV=0.0000. | Assets: XLU, ETH-USD, BNDX, SGOV
Annualized mean returns: XLU:0.0206, ETH-USD:0.0292, BNDX:-0.2433, SGOV:0.0016
Covariance matrix (annualized):
[[0.032957, -0.007469, 0.002855, -9e-06], [-0.007469, 0.6538, -0.007998, 8.8e-05], [0.002855, -0.007998, 0.003643, 2e-06], [-9e-06, 8.8e-05, 2e-06, 1e-06]]
Risk-free rate: 4.00... | w_XLU=0.0000, w_ETH-USD=1.0000, w_BNDX=0.0000, w_SGOV=0.0000 | -0.01331 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLU=0.0000, w_ETH-USD=1.0000, w_BNDX=0.0000, w_SGOV=0.0000
Portfolio annualized return: 2.92%, volatility: 80.86%
Sharpe ratio: (0.0292 - 0.0400) / 0.8086 = -0.0133 | {
"weights": {
"XLU": 0,
"ETH-USD": 1,
"BNDX": 0,
"SGOV": 0
},
"sharpe_ratio": -0.013300000000000001,
"portfolio_return": 0.029238,
"portfolio_vol": 0.8085789999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20221214_0249 | T5 | 3 | train | sideways | all | [
"XLY",
"ADA-USD",
"SGOV",
"STIP"
] | 2022-12-14T00:00:00 | 4-asset optimization. Max-Sharpe: 0.518. Portfolio: return=5.83%, vol=3.53%. Weights: w_XLY=0.0000, w_ADA-USD=0.0000, w_SGOV=0.0000, w_STIP=1.0000. | Assets: XLY, ADA-USD, SGOV, STIP
Annualized mean returns: XLY:-0.0620, ADA-USD:0.0770, SGOV:0.0352, STIP:0.0583
Covariance matrix (annualized):
[[0.073365, 0.12199, -0.000135, 0.005417], [0.12199, 0.573205, -0.00049, 0.008578], [-0.000135, -0.00049, 7e-06, -0.0], [0.005417, 0.008578, -0.0, 0.001243]]
Risk-free rate: 4.... | w_XLY=0.0000, w_ADA-USD=0.0000, w_SGOV=0.0000, w_STIP=1.0000 | 0.517773 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLY=0.0000, w_ADA-USD=0.0000, w_SGOV=0.0000, w_STIP=1.0000
Portfolio annualized return: 5.83%, volatility: 3.53%
Sharpe ratio: (0.0583 - 0.0400) / 0.0353 = 0.5178 | {
"weights": {
"XLY": 0,
"ADA-USD": 0,
"SGOV": 0,
"STIP": 1
},
"sharpe_ratio": 0.5178,
"portfolio_return": 0.058258,
"portfolio_vol": 0.035262999999999996,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210512_0261 | T5 | 3 | train | sideways | all | [
"XLRE",
"ADA-USD",
"SGOV",
"DBA"
] | 2021-05-12T00:00:00 | 4-asset optimization. Max-Sharpe: 6.460. Portfolio: return=82.66%, vol=12.18%. Weights: w_XLRE=0.5854, w_ADA-USD=0.0612, w_SGOV=0.0000, w_DBA=0.3534. | Assets: XLRE, ADA-USD, SGOV, DBA
Annualized mean returns: XLRE:0.5206, ADA-USD:4.7526, SGOV:0.0006, DBA:0.6538
Covariance matrix (annualized):
[[0.017135, -0.007768, 1.2e-05, -0.001405], [-0.007768, 1.109188, 0.000147, 0.072228], [1.2e-05, 0.000147, 1e-06, -3.4e-05], [-0.001405, 0.072228, -3.4e-05, 0.022563]]
Risk-free... | w_XLRE=0.5854, w_ADA-USD=0.0612, w_SGOV=0.0000, w_DBA=0.3534 | 6.459654 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLRE=0.5854, w_ADA-USD=0.0612, w_SGOV=0.0000, w_DBA=0.3534
Portfolio annualized return: 82.66%, volatility: 12.18%
Sharpe ratio: (0.8266 - 0.0400) / 0.1218 = 6.4597 | {
"weights": {
"XLRE": 0.5854,
"ADA-USD": 0.061200000000000004,
"SGOV": 0,
"DBA": 0.3534
},
"sharpe_ratio": 6.4597,
"portfolio_return": 0.826568,
"portfolio_vol": 0.121766,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210309_0266 | T5 | 3 | train | sideways | all | [
"XLY",
"ADA-USD",
"SHY",
"CPER"
] | 2021-03-09T00:00:00 | 4-asset optimization. Max-Sharpe: 4.191. Portfolio: return=246.03%, vol=57.76%. Weights: w_XLY=0.0000, w_ADA-USD=0.3946, w_SHY=0.0000, w_CPER=0.6054. | Assets: XLY, ADA-USD, SHY, CPER
Annualized mean returns: XLY:-0.3272, ADA-USD:5.2630, SHY:-0.0057, CPER:0.6335
Covariance matrix (annualized):
[[0.054284, 0.100204, 0.000394, 0.023465], [0.100204, 1.719047, 0.00102, 0.068562], [0.000394, 0.00102, 3.5e-05, 4.6e-05], [0.023465, 0.068562, 4.6e-05, 0.090414]]
Risk-free rat... | w_XLY=0.0000, w_ADA-USD=0.3946, w_SHY=0.0000, w_CPER=0.6054 | 4.190591 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLY=0.0000, w_ADA-USD=0.3946, w_SHY=0.0000, w_CPER=0.6054
Portfolio annualized return: 246.03%, volatility: 57.76%
Sharpe ratio: (2.4603 - 0.0400) / 0.5776 = 4.1906 | {
"weights": {
"XLY": 0,
"ADA-USD": 0.3946,
"SHY": 0,
"CPER": 0.6054
},
"sharpe_ratio": 4.1906,
"portfolio_return": 2.460312,
"portfolio_vol": 0.5775589999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210907_0275 | T5 | 3 | train | sideways | all | [
"^VIX",
"DOT-USD",
"BIL",
"IEF"
] | 2021-09-07T00:00:00 | 4-asset optimization. Max-Sharpe: 4.334. Portfolio: return=377.96%, vol=86.28%. Weights: w_^VIX=0.1249, w_DOT-USD=0.8751, w_BIL=0.0000, w_IEF=0.0000. | Assets: ^VIX, DOT-USD, BIL, IEF
Annualized mean returns: ^VIX:-0.9007, DOT-USD:4.4474, BIL:-0.0013, IEF:0.0094
Covariance matrix (annualized):
[[1.596619, -0.441831, -7.1e-05, 0.024598], [-0.441831, 1.065647, -5.1e-05, -0.008039], [-7.1e-05, -5.1e-05, 3e-06, -4e-06], [0.024598, -0.008039, -4e-06, 0.00248]]
Risk-free ra... | w_^VIX=0.1249, w_DOT-USD=0.8751, w_BIL=0.0000, w_IEF=0.0000 | 4.33418 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_^VIX=0.1249, w_DOT-USD=0.8751, w_BIL=0.0000, w_IEF=0.0000
Portfolio annualized return: 377.96%, volatility: 86.28%
Sharpe ratio: (3.7796 - 0.0400) / 0.8628 = 4.3342 | {
"weights": {
"^VIX": 0.12490000000000001,
"DOT-USD": 0.8751,
"BIL": 0,
"IEF": 0
},
"sharpe_ratio": 4.3342,
"portfolio_return": 3.779593,
"portfolio_vol": 0.862814,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190130_0278 | T5 | 3 | train | sideways | all | [
"QQQ",
"LINK-USD",
"SCHP",
"BIL"
] | 2019-01-30T00:00:00 | 4-asset optimization. Max-Sharpe: 2.334. Portfolio: return=278.56%, vol=117.63%. Weights: w_QQQ=0.0000, w_LINK-USD=0.8094, w_SCHP=0.1906, w_BIL=0.0000. | Assets: QQQ, LINK-USD, SCHP, BIL
Annualized mean returns: QQQ:-0.5221, LINK-USD:3.4274, SCHP:0.0594, BIL:0.0223
Covariance matrix (annualized):
[[0.081335, -0.044146, -0.004335, -0.000124], [-0.044146, 2.106301, 0.011833, -0.00016], [-0.004335, 0.011833, 0.001015, 1.3e-05], [-0.000124, -0.00016, 1.3e-05, 4e-06]]
Risk-f... | w_QQQ=0.0000, w_LINK-USD=0.8094, w_SCHP=0.1906, w_BIL=0.0000 | 2.334044 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QQQ=0.0000, w_LINK-USD=0.8094, w_SCHP=0.1906, w_BIL=0.0000
Portfolio annualized return: 278.56%, volatility: 117.63%
Sharpe ratio: (2.7856 - 0.0400) / 1.1763 = 2.3340 | {
"weights": {
"QQQ": 0,
"LINK-USD": 0.8094,
"SCHP": 0.19060000000000002,
"BIL": 0
},
"sharpe_ratio": 2.334,
"portfolio_return": 2.785558,
"portfolio_vol": 1.176309,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180503_0281 | T5 | 3 | train | sideways | all | [
"QQQ",
"BNB-USD",
"BIL",
"IYR"
] | 2018-05-03T00:00:00 | 4-asset optimization. Max-Sharpe: 2.846. Portfolio: return=40.21%, vol=12.72%. Weights: w_QQQ=0.0000, w_BNB-USD=0.0782, w_BIL=0.0000, w_IYR=0.9218. | Assets: QQQ, BNB-USD, BIL, IYR
Annualized mean returns: QQQ:-0.1578, BNB-USD:1.6678, BIL:0.0139, IYR:0.2947
Covariance matrix (annualized):
[[0.060791, -0.112897, -4.9e-05, 0.017212], [-0.112897, 1.496469, -0.000237, -0.047987], [-4.9e-05, -0.000237, 3e-06, 1.3e-05], [0.017212, -0.047987, 1.3e-05, 0.016417]]
Risk-free ... | w_QQQ=0.0000, w_BNB-USD=0.0782, w_BIL=0.0000, w_IYR=0.9218 | 2.846442 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QQQ=0.0000, w_BNB-USD=0.0782, w_BIL=0.0000, w_IYR=0.9218
Portfolio annualized return: 40.21%, volatility: 12.72%
Sharpe ratio: (0.4021 - 0.0400) / 0.1272 = 2.8464 | {
"weights": {
"QQQ": 0,
"BNB-USD": 0.0782,
"BIL": 0,
"IYR": 0.9218000000000001
},
"sharpe_ratio": 2.8464,
"portfolio_return": 0.40206000000000003,
"portfolio_vol": 0.127198,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220114_0284 | T5 | 3 | train | sideways | all | [
"VEA",
"ADA-USD",
"XHB",
"ICSH"
] | 2022-01-14T00:00:00 | 4-asset optimization. Max-Sharpe: -0.584. Portfolio: return=-10.09%, vol=24.14%. Weights: w_VEA=0.0000, w_ADA-USD=0.0000, w_XHB=1.0000, w_ICSH=0.0000. | Assets: VEA, ADA-USD, XHB, ICSH
Annualized mean returns: VEA:-0.0623, ADA-USD:-2.7654, XHB:-0.1009, ICSH:-0.0034
Covariance matrix (annualized):
[[0.019954, 0.06629, 0.021509, -5.2e-05], [0.06629, 0.702358, 0.096919, -0.000151], [0.021509, 0.096919, 0.058293, -0.000258], [-5.2e-05, -0.000151, -0.000258, 8e-06]]
Risk-fr... | w_VEA=0.0000, w_ADA-USD=0.0000, w_XHB=1.0000, w_ICSH=0.0000 | -0.583791 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VEA=0.0000, w_ADA-USD=0.0000, w_XHB=1.0000, w_ICSH=0.0000
Portfolio annualized return: -10.09%, volatility: 24.14%
Sharpe ratio: (-0.1009 - 0.0400) / 0.2414 = -0.5838 | {
"weights": {
"VEA": 0,
"ADA-USD": 0,
"XHB": 1,
"ICSH": 0
},
"sharpe_ratio": -0.5838,
"portfolio_return": -0.10095000000000001,
"portfolio_vol": 0.241439,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220418_0291 | T5 | 3 | train | sideways | all | [
"IVV",
"SOL-USD",
"IYR",
"SOYB"
] | 2022-04-18T00:00:00 | 4-asset optimization. Max-Sharpe: 4.010. Portfolio: return=45.93%, vol=10.46%. Weights: w_IVV=0.0000, w_SOL-USD=0.0146, w_IYR=0.5016, w_SOYB=0.4838. | Assets: IVV, SOL-USD, IYR, SOYB
Annualized mean returns: IVV:-0.1068, SOL-USD:1.1080, IYR:0.3587, SOYB:0.5441
Covariance matrix (annualized):
[[0.048038, 0.094715, 0.031163, -0.014043], [0.094715, 0.85444, 0.025429, 0.005422], [0.031163, 0.025429, 0.034499, -0.019363], [-0.014043, 0.005422, -0.019363, 0.047083]]
Risk-f... | w_IVV=0.0000, w_SOL-USD=0.0146, w_IYR=0.5016, w_SOYB=0.4838 | 4.010238 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IVV=0.0000, w_SOL-USD=0.0146, w_IYR=0.5016, w_SOYB=0.4838
Portfolio annualized return: 45.93%, volatility: 10.46%
Sharpe ratio: (0.4593 - 0.0400) / 0.1046 = 4.0102 | {
"weights": {
"IVV": 0,
"SOL-USD": 0.0146,
"IYR": 0.5016,
"SOYB": 0.4838
},
"sharpe_ratio": 4.0102,
"portfolio_return": 0.459319,
"portfolio_vol": 0.104562,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201005_0294 | T5 | 3 | train | sideways | all | [
"VTI",
"SOL-USD",
"WEAT",
"HYG"
] | 2020-10-05T00:00:00 | 4-asset optimization. Max-Sharpe: 2.493. Portfolio: return=68.28%, vol=25.78%. Weights: w_VTI=0.0000, w_SOL-USD=0.0808, w_WEAT=0.9192, w_HYG=0.0000. | Assets: VTI, SOL-USD, WEAT, HYG
Annualized mean returns: VTI:0.0931, SOL-USD:2.2239, WEAT:0.5472, HYG:-0.0460
Covariance matrix (annualized):
[[0.035013, 0.120367, 0.007882, 0.009015], [0.120367, 2.77279, 0.001855, 0.026887], [0.007882, 0.001855, 0.056904, 0.00502], [0.009015, 0.026887, 0.00502, 0.004114]]
Risk-free ra... | w_VTI=0.0000, w_SOL-USD=0.0808, w_WEAT=0.9192, w_HYG=0.0000 | 2.49308 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VTI=0.0000, w_SOL-USD=0.0808, w_WEAT=0.9192, w_HYG=0.0000
Portfolio annualized return: 68.28%, volatility: 25.78%
Sharpe ratio: (0.6828 - 0.0400) / 0.2578 = 2.4931 | {
"weights": {
"VTI": 0,
"SOL-USD": 0.08080000000000001,
"WEAT": 0.9192,
"HYG": 0
},
"sharpe_ratio": 2.4931,
"portfolio_return": 0.682761,
"portfolio_vol": 0.257818,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20221202_0302 | T5 | 3 | train | sideways | all | [
"XLE",
"BNB-USD",
"INDS",
"CSHI"
] | 2022-12-02T00:00:00 | 4-asset optimization. Max-Sharpe: 3.987. Portfolio: return=27.17%, vol=5.81%. Weights: w_XLE=0.1692, w_BNB-USD=0.0000, w_INDS=0.0000, w_CSHI=0.8308. | Assets: XLE, BNB-USD, INDS, CSHI
Annualized mean returns: XLE:1.3090, BNB-USD:0.6612, INDS:0.2706, CSHI:0.0605
Covariance matrix (annualized):
[[0.102708, 0.098383, 0.029584, 0.001348], [0.098383, 0.539629, 0.07588, 0.000308], [0.029584, 0.07588, 0.078089, 0.001013], [0.001348, 0.000308, 0.001013, 8.4e-05]]
Risk-free r... | w_XLE=0.1692, w_BNB-USD=0.0000, w_INDS=0.0000, w_CSHI=0.8308 | 3.987022 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLE=0.1692, w_BNB-USD=0.0000, w_INDS=0.0000, w_CSHI=0.8308
Portfolio annualized return: 27.17%, volatility: 5.81%
Sharpe ratio: (0.2717 - 0.0400) / 0.0581 = 3.9870 | {
"weights": {
"XLE": 0.16920000000000002,
"BNB-USD": 0,
"INDS": 0,
"CSHI": 0.8308000000000001
},
"sharpe_ratio": 3.987,
"portfolio_return": 0.27174699999999996,
"portfolio_vol": 0.058124999999999996,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201203_0307 | T5 | 3 | train | sideways | all | [
"MTUM",
"ETH-USD",
"INDS",
"BIL"
] | 2020-12-03T00:00:00 | 4-asset optimization. Max-Sharpe: 4.373. Portfolio: return=227.20%, vol=51.04%. Weights: w_MTUM=0.1440, w_ETH-USD=0.8560, w_INDS=0.0000, w_BIL=0.0000. | Assets: MTUM, ETH-USD, INDS, BIL
Annualized mean returns: MTUM:0.3140, ETH-USD:2.6014, INDS:-0.0086, BIL:0.0002
Covariance matrix (annualized):
[[0.043526, 0.030039, 0.027545, -3.3e-05], [0.030039, 0.344187, 0.013338, -3e-05], [0.027545, 0.013338, 0.049622, -2.1e-05], [-3.3e-05, -3e-05, -2.1e-05, 1e-06]]
Risk-free rate... | w_MTUM=0.1440, w_ETH-USD=0.8560, w_INDS=0.0000, w_BIL=0.0000 | 4.373021 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_MTUM=0.1440, w_ETH-USD=0.8560, w_INDS=0.0000, w_BIL=0.0000
Portfolio annualized return: 227.20%, volatility: 51.04%
Sharpe ratio: (2.2720 - 0.0400) / 0.5104 = 4.3730 | {
"weights": {
"MTUM": 0.14400000000000002,
"ETH-USD": 0.856,
"INDS": 0,
"BIL": 0
},
"sharpe_ratio": 4.373,
"portfolio_return": 2.271951,
"portfolio_vol": 0.5103909999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210420_0310 | T5 | 3 | train | sideways | all | [
"EWJ",
"LINK-USD",
"UNG",
"BIL"
] | 2021-04-20T00:00:00 | 4-asset optimization. Max-Sharpe: 1.238. Portfolio: return=145.83%, vol=114.60%. Weights: w_EWJ=0.0000, w_LINK-USD=1.0000, w_UNG=0.0000, w_BIL=0.0000. | Assets: EWJ, LINK-USD, UNG, BIL
Annualized mean returns: EWJ:-0.1412, LINK-USD:1.4583, UNG:-0.4844, BIL:-0.0013
Covariance matrix (annualized):
[[0.02119, 0.030807, 0.004802, -6e-06], [0.030807, 1.313355, 0.032919, 6.1e-05], [0.004802, 0.032919, 0.081859, 7.7e-05], [-6e-06, 6.1e-05, 7.7e-05, 2e-06]]
Risk-free rate: 4.0... | w_EWJ=0.0000, w_LINK-USD=1.0000, w_UNG=0.0000, w_BIL=0.0000 | 1.237574 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EWJ=0.0000, w_LINK-USD=1.0000, w_UNG=0.0000, w_BIL=0.0000
Portfolio annualized return: 145.83%, volatility: 114.60%
Sharpe ratio: (1.4583 - 0.0400) / 1.1460 = 1.2376 | {
"weights": {
"EWJ": 0,
"LINK-USD": 1,
"UNG": 0,
"BIL": 0
},
"sharpe_ratio": 1.2376,
"portfolio_return": 1.458281,
"portfolio_vol": 1.146017,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20221124_0319 | T5 | 3 | train | sideways | all | [
"VEA",
"ETH-USD",
"BIL",
"DBA"
] | 2022-11-24T00:00:00 | 4-asset optimization. Max-Sharpe: 2.324. Portfolio: return=56.63%, vol=22.65%. Weights: w_VEA=1.0000, w_ETH-USD=0.0000, w_BIL=0.0000, w_DBA=0.0000. | Assets: VEA, ETH-USD, BIL, DBA
Annualized mean returns: VEA:0.5663, ETH-USD:0.5142, BIL:0.0277, DBA:-0.1067
Covariance matrix (annualized):
[[0.051288, 0.080315, -3.7e-05, 0.007601], [0.080315, 0.626151, -0.000547, 0.011627], [-3.7e-05, -0.000547, 8e-06, 3e-06], [0.007601, 0.011627, 3e-06, 0.008767]]
Risk-free rate: 4.... | w_VEA=1.0000, w_ETH-USD=0.0000, w_BIL=0.0000, w_DBA=0.0000 | 2.323858 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VEA=1.0000, w_ETH-USD=0.0000, w_BIL=0.0000, w_DBA=0.0000
Portfolio annualized return: 56.63%, volatility: 22.65%
Sharpe ratio: (0.5663 - 0.0400) / 0.2265 = 2.3239 | {
"weights": {
"VEA": 1,
"ETH-USD": 0,
"BIL": 0,
"DBA": 0
},
"sharpe_ratio": 2.3239,
"portfolio_return": 0.566283,
"portfolio_vol": 0.22647000000000003,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180320_0322 | T5 | 3 | train | sideways | all | [
"FXI",
"LINK-USD",
"ICSH",
"IEF"
] | 2018-03-20T00:00:00 | 4-asset optimization. Max-Sharpe: -2.088. Portfolio: return=-308.78%, vol=149.81%. Weights: w_FXI=0.0000, w_LINK-USD=1.0000, w_ICSH=0.0000, w_IEF=0.0000. | Assets: FXI, LINK-USD, ICSH, IEF
Annualized mean returns: FXI:-0.2408, LINK-USD:-3.0878, ICSH:0.0101, IEF:-0.0861
Covariance matrix (annualized):
[[0.087382, 0.109566, 0.000127, -0.001031], [0.109566, 2.244393, 0.000557, -0.000713], [0.000127, 0.000557, 6.2e-05, -1.7e-05], [-0.001031, -0.000713, -1.7e-05, 0.002046]]
Ri... | w_FXI=0.0000, w_LINK-USD=1.0000, w_ICSH=0.0000, w_IEF=0.0000 | -2.087805 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_FXI=0.0000, w_LINK-USD=1.0000, w_ICSH=0.0000, w_IEF=0.0000
Portfolio annualized return: -308.78%, volatility: 149.81%
Sharpe ratio: (-3.0878 - 0.0400) / 1.4981 = -2.0878 | {
"weights": {
"FXI": 0,
"LINK-USD": 1,
"ICSH": 0,
"IEF": 0
},
"sharpe_ratio": -2.0878,
"portfolio_return": -3.087803,
"portfolio_vol": 1.49813,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20221107_0327 | T5 | 3 | train | sideways | all | [
"^VIX",
"LINK-USD",
"SLV",
"ITB"
] | 2022-11-07T00:00:00 | 4-asset optimization. Max-Sharpe: 1.283. Portfolio: return=34.44%, vol=23.73%. Weights: w_^VIX=0.1791, w_LINK-USD=0.1281, w_SLV=0.6928, w_ITB=0.0000. | Assets: ^VIX, LINK-USD, SLV, ITB
Annualized mean returns: ^VIX:-0.0220, LINK-USD:0.3802, SLV:0.4324, ITB:-0.0100
Covariance matrix (annualized):
[[0.476624, -0.182299, -0.106038, -0.149443], [-0.182299, 0.39401, 0.0651, 0.087292], [-0.106038, 0.0651, 0.120163, 0.076757], [-0.149443, 0.087292, 0.076757, 0.150172]]
Risk-... | w_^VIX=0.1791, w_LINK-USD=0.1281, w_SLV=0.6928, w_ITB=0.0000 | 1.28267 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_^VIX=0.1791, w_LINK-USD=0.1281, w_SLV=0.6928, w_ITB=0.0000
Portfolio annualized return: 34.44%, volatility: 23.73%
Sharpe ratio: (0.3444 - 0.0400) / 0.2373 = 1.2827 | {
"weights": {
"^VIX": 0.1791,
"LINK-USD": 0.12810000000000002,
"SLV": 0.6928000000000001,
"ITB": 0
},
"sharpe_ratio": 1.2827,
"portfolio_return": 0.344362,
"portfolio_vol": 0.237288,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20221026_0330 | T5 | 3 | train | sideways | all | [
"XLB",
"BNB-USD",
"CSHI",
"SCHP"
] | 2022-10-26T00:00:00 | 4-asset optimization. Max-Sharpe: 0.618. Portfolio: return=27.16%, vol=37.47%. Weights: w_XLB=0.0000, w_BNB-USD=1.0000, w_CSHI=0.0000, w_SCHP=0.0000. | Assets: XLB, BNB-USD, CSHI, SCHP
Annualized mean returns: XLB:-0.2035, BNB-USD:0.2716, CSHI:0.0407, SCHP:-0.4024
Covariance matrix (annualized):
[[0.092573, 0.061324, 0.002489, 0.01157], [0.061324, 0.140373, 0.001357, 0.010055], [0.002489, 0.001357, 0.000126, 0.000276], [0.01157, 0.010055, 0.000276, 0.006409]]
Risk-fre... | w_XLB=0.0000, w_BNB-USD=1.0000, w_CSHI=0.0000, w_SCHP=0.0000 | 0.618045 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLB=0.0000, w_BNB-USD=1.0000, w_CSHI=0.0000, w_SCHP=0.0000
Portfolio annualized return: 27.16%, volatility: 37.47%
Sharpe ratio: (0.2716 - 0.0400) / 0.3747 = 0.6180 | {
"weights": {
"XLB": 0,
"BNB-USD": 1,
"CSHI": 0,
"SCHP": 0
},
"sharpe_ratio": 0.618,
"portfolio_return": 0.271559,
"portfolio_vol": 0.37466299999999997,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220628_0335 | T5 | 3 | train | sideways | all | [
"XLP",
"ADA-USD",
"INDS",
"SLV"
] | 2022-06-28T00:00:00 | 4-asset optimization. Max-Sharpe: -3.068. Portfolio: return=-372.95%, vol=122.88%. Weights: w_XLP=0.0000, w_ADA-USD=1.0000, w_INDS=0.0000, w_SLV=0.0000. | Assets: XLP, ADA-USD, INDS, SLV
Annualized mean returns: XLP:-0.3079, ADA-USD:-3.7295, INDS:-1.0291, SLV:-0.5565
Covariance matrix (annualized):
[[0.042954, 0.086514, 0.048306, 0.021093], [0.086514, 1.510047, 0.198738, 0.092805], [0.048306, 0.198738, 0.103739, 0.041608], [0.021093, 0.092805, 0.041608, 0.077128]]
Risk-f... | w_XLP=0.0000, w_ADA-USD=1.0000, w_INDS=0.0000, w_SLV=0.0000 | -3.067512 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLP=0.0000, w_ADA-USD=1.0000, w_INDS=0.0000, w_SLV=0.0000
Portfolio annualized return: -372.95%, volatility: 122.88%
Sharpe ratio: (-3.7295 - 0.0400) / 1.2288 = -3.0675 | {
"weights": {
"XLP": 0,
"ADA-USD": 1,
"INDS": 0,
"SLV": 0
},
"sharpe_ratio": -3.0675,
"portfolio_return": -3.72948,
"portfolio_vol": 1.22884,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200904_0338 | T5 | 3 | train | sideways | all | [
"IVV",
"BNB-USD",
"BIL",
"TLT"
] | 2020-09-04T00:00:00 | 4-asset optimization. Max-Sharpe: 4.208. Portfolio: return=44.64%, vol=9.66%. Weights: w_IVV=0.7028, w_BNB-USD=0.0000, w_BIL=0.0000, w_TLT=0.2972. | Assets: IVV, BNB-USD, BIL, TLT
Annualized mean returns: IVV:0.5932, BNB-USD:0.8557, BIL:-0.0006, TLT:0.0994
Covariance matrix (annualized):
[[0.019677, 0.044485, 2.1e-05, -0.003806], [0.044485, 0.395771, 9.9e-05, -0.002333], [2.1e-05, 9.9e-05, 1e-06, 2.2e-05], [-0.003806, -0.002333, 2.2e-05, 0.013593]]
Risk-free rate: ... | w_IVV=0.7028, w_BNB-USD=0.0000, w_BIL=0.0000, w_TLT=0.2972 | 4.207687 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IVV=0.7028, w_BNB-USD=0.0000, w_BIL=0.0000, w_TLT=0.2972
Portfolio annualized return: 44.64%, volatility: 9.66%
Sharpe ratio: (0.4464 - 0.0400) / 0.0966 = 4.2077 | {
"weights": {
"IVV": 0.7028,
"BNB-USD": 0,
"BIL": 0,
"TLT": 0.2972
},
"sharpe_ratio": 4.2077,
"portfolio_return": 0.446437,
"portfolio_vol": 0.096594,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180227_0341 | T5 | 3 | train | sideways | all | [
"XLRE",
"XRP-USD",
"VNQ",
"TIP"
] | 2018-02-27T00:00:00 | 4-asset optimization. Max-Sharpe: -0.099. Portfolio: return=-14.78%, vol=190.35%. Weights: w_XLRE=0.0000, w_XRP-USD=1.0000, w_VNQ=0.0000, w_TIP=0.0000. | Assets: XLRE, XRP-USD, VNQ, TIP
Annualized mean returns: XLRE:-0.4261, XRP-USD:-0.1478, VNQ:-0.6190, TIP:0.0007
Covariance matrix (annualized):
[[0.037949, 0.058347, 0.03705, 9.2e-05], [0.058347, 3.623302, 0.070722, 0.002215], [0.03705, 0.070722, 0.037372, 6.7e-05], [9.2e-05, 0.002215, 6.7e-05, 0.000104]]
Risk-free rat... | w_XLRE=0.0000, w_XRP-USD=1.0000, w_VNQ=0.0000, w_TIP=0.0000 | -0.098676 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLRE=0.0000, w_XRP-USD=1.0000, w_VNQ=0.0000, w_TIP=0.0000
Portfolio annualized return: -14.78%, volatility: 190.35%
Sharpe ratio: (-0.1478 - 0.0400) / 1.9035 = -0.0987 | {
"weights": {
"XLRE": 0,
"XRP-USD": 1,
"VNQ": 0,
"TIP": 0
},
"sharpe_ratio": -0.09870000000000001,
"portfolio_return": -0.14783000000000002,
"portfolio_vol": 1.903497,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210922_0344 | T5 | 3 | train | sideways | all | [
"EFA",
"XRP-USD",
"ITB",
"PDBC"
] | 2021-09-22T00:00:00 | 4-asset optimization. Max-Sharpe: 1.339. Portfolio: return=152.89%, vol=111.20%. Weights: w_EFA=0.0000, w_XRP-USD=1.0000, w_ITB=0.0000, w_PDBC=0.0000. | Assets: EFA, XRP-USD, ITB, PDBC
Annualized mean returns: EFA:0.0441, XRP-USD:1.5289, ITB:-0.1241, PDBC:0.0311
Covariance matrix (annualized):
[[0.010494, 0.041678, 0.012217, 0.008561], [0.041678, 1.236633, 0.090212, 0.026286], [0.012217, 0.090212, 0.045108, 0.013603], [0.008561, 0.026286, 0.013603, 0.034813]]
Risk-free... | w_EFA=0.0000, w_XRP-USD=1.0000, w_ITB=0.0000, w_PDBC=0.0000 | 1.338873 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EFA=0.0000, w_XRP-USD=1.0000, w_ITB=0.0000, w_PDBC=0.0000
Portfolio annualized return: 152.89%, volatility: 111.20%
Sharpe ratio: (1.5289 - 0.0400) / 1.1120 = 1.3389 | {
"weights": {
"EFA": 0,
"XRP-USD": 1,
"ITB": 0,
"PDBC": 0
},
"sharpe_ratio": 1.3389,
"portfolio_return": 1.52888,
"portfolio_vol": 1.11204,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201027_0347 | T5 | 3 | train | sideways | all | [
"XLB",
"ADA-USD",
"BIL",
"SCHP"
] | 2020-10-27T00:00:00 | 4-asset optimization. Max-Sharpe: 0.414. Portfolio: return=14.10%, vol=24.38%. Weights: w_XLB=1.0000, w_ADA-USD=0.0000, w_BIL=0.0000, w_SCHP=0.0000. | Assets: XLB, ADA-USD, BIL, SCHP
Annualized mean returns: XLB:0.1410, ADA-USD:-0.3266, BIL:0.0000, SCHP:0.0236
Covariance matrix (annualized):
[[0.059418, 0.089565, 2.8e-05, 0.000522], [0.089565, 0.742697, 0.000228, 0.007792], [2.8e-05, 0.000228, 2e-06, 6e-06], [0.000522, 0.007792, 6e-06, 0.000696]]
Risk-free rate: 4.00... | w_XLB=1.0000, w_ADA-USD=0.0000, w_BIL=0.0000, w_SCHP=0.0000 | 0.41435 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLB=1.0000, w_ADA-USD=0.0000, w_BIL=0.0000, w_SCHP=0.0000
Portfolio annualized return: 14.10%, volatility: 24.38%
Sharpe ratio: (0.1410 - 0.0400) / 0.2438 = 0.4144 | {
"weights": {
"XLB": 1,
"ADA-USD": 0,
"BIL": 0,
"SCHP": 0
},
"sharpe_ratio": 0.41440000000000005,
"portfolio_return": 0.141001,
"portfolio_vol": 0.243757,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190926_0350 | T5 | 3 | train | sideways | all | [
"EFA",
"BNB-USD",
"ICSH",
"UNG"
] | 2019-09-26T00:00:00 | 4-asset optimization. Max-Sharpe: 2.688. Portfolio: return=87.34%, vol=31.00%. Weights: w_EFA=0.0000, w_BNB-USD=0.0000, w_ICSH=0.0000, w_UNG=1.0000. | Assets: EFA, BNB-USD, ICSH, UNG
Annualized mean returns: EFA:-0.0506, BNB-USD:-2.6433, ICSH:0.0279, UNG:0.8734
Covariance matrix (annualized):
[[0.019017, 0.011096, -7.9e-05, 0.010466], [0.011096, 0.466423, 0.000569, 0.003044], [-7.9e-05, 0.000569, 1.2e-05, -0.000297], [0.010466, 0.003044, -0.000297, 0.096117]]
Risk-fr... | w_EFA=0.0000, w_BNB-USD=0.0000, w_ICSH=0.0000, w_UNG=1.0000 | 2.688078 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EFA=0.0000, w_BNB-USD=0.0000, w_ICSH=0.0000, w_UNG=1.0000
Portfolio annualized return: 87.34%, volatility: 31.00%
Sharpe ratio: (0.8734 - 0.0400) / 0.3100 = 2.6881 | {
"weights": {
"EFA": 0,
"BNB-USD": 0,
"ICSH": 0,
"UNG": 1
},
"sharpe_ratio": 2.6881,
"portfolio_return": 0.873377,
"portfolio_vol": 0.310027,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20170207_0361 | T5 | 3 | train | sideways | all | [
"EFA",
"BTC-USD",
"VCIT",
"IYR"
] | 2017-02-07T00:00:00 | 4-asset optimization. Max-Sharpe: 3.000. Portfolio: return=36.28%, vol=10.76%. Weights: w_EFA=0.8891, w_BTC-USD=0.1109, w_VCIT=0.0000, w_IYR=0.0000. | Assets: EFA, BTC-USD, VCIT, IYR
Annualized mean returns: EFA:0.2021, BTC-USD:1.6513, VCIT:0.0657, IYR:0.0858
Covariance matrix (annualized):
[[0.006938, -0.003189, 0.00088, 0.004196], [-0.003189, 0.546695, 0.006753, 0.014617], [0.00088, 0.006753, 0.001804, 0.002475], [0.004196, 0.014617, 0.002475, 0.015416]]
Risk-free ... | w_EFA=0.8891, w_BTC-USD=0.1109, w_VCIT=0.0000, w_IYR=0.0000 | 2.999697 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EFA=0.8891, w_BTC-USD=0.1109, w_VCIT=0.0000, w_IYR=0.0000
Portfolio annualized return: 36.28%, volatility: 10.76%
Sharpe ratio: (0.3628 - 0.0400) / 0.1076 = 2.9997 | {
"weights": {
"EFA": 0.8891,
"BTC-USD": 0.1109,
"VCIT": 0,
"IYR": 0
},
"sharpe_ratio": 2.9997,
"portfolio_return": 0.362842,
"portfolio_vol": 0.107625,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220721_0364 | T5 | 3 | train | sideways | all | [
"EFA",
"AVAX-USD",
"HAUZ",
"BIL"
] | 2022-07-21T00:00:00 | 4-asset optimization. Max-Sharpe: -2.055. Portfolio: return=-235.49%, vol=116.55%. Weights: w_EFA=0.0000, w_AVAX-USD=1.0000, w_HAUZ=0.0000, w_BIL=0.0000. | Assets: EFA, AVAX-USD, HAUZ, BIL
Annualized mean returns: EFA:-0.3300, AVAX-USD:-2.3549, HAUZ:-0.4682, BIL:0.0030
Covariance matrix (annualized):
[[0.048519, 0.097978, 0.038784, -3.3e-05], [0.097978, 1.358385, 0.079594, -0.000279], [0.038784, 0.079594, 0.035593, -2.9e-05], [-3.3e-05, -0.000279, -2.9e-05, 4e-06]]
Risk-f... | w_EFA=0.0000, w_AVAX-USD=1.0000, w_HAUZ=0.0000, w_BIL=0.0000 | -2.054853 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EFA=0.0000, w_AVAX-USD=1.0000, w_HAUZ=0.0000, w_BIL=0.0000
Portfolio annualized return: -235.49%, volatility: 116.55%
Sharpe ratio: (-2.3549 - 0.0400) / 1.1655 = -2.0549 | {
"weights": {
"EFA": 0,
"AVAX-USD": 1,
"HAUZ": 0,
"BIL": 0
},
"sharpe_ratio": -2.0549,
"portfolio_return": -2.354927,
"portfolio_vol": 1.165498,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20221020_0367 | T5 | 3 | train | sideways | all | [
"XLI",
"SOL-USD",
"WEAT",
"MORT"
] | 2022-10-20T00:00:00 | 4-asset optimization. Max-Sharpe: 1.147. Portfolio: return=47.74%, vol=38.12%. Weights: w_XLI=0.0000, w_SOL-USD=0.0000, w_WEAT=1.0000, w_MORT=0.0000. | Assets: XLI, SOL-USD, WEAT, MORT
Annualized mean returns: XLI:-0.6491, SOL-USD:-0.5111, WEAT:0.4774, MORT:-1.7510
Covariance matrix (annualized):
[[0.065526, 0.076528, -0.003201, 0.065039], [0.076528, 0.404213, -0.032721, 0.044265], [-0.003201, -0.032721, 0.145328, 0.01046], [0.065039, 0.044265, 0.01046, 0.122629]]
Ris... | w_XLI=0.0000, w_SOL-USD=0.0000, w_WEAT=1.0000, w_MORT=0.0000 | 1.14736 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLI=0.0000, w_SOL-USD=0.0000, w_WEAT=1.0000, w_MORT=0.0000
Portfolio annualized return: 47.74%, volatility: 38.12%
Sharpe ratio: (0.4774 - 0.0400) / 0.3812 = 1.1474 | {
"weights": {
"XLI": 0,
"SOL-USD": 0,
"WEAT": 1,
"MORT": 0
},
"sharpe_ratio": 1.1474,
"portfolio_return": 0.47739499999999996,
"portfolio_vol": 0.381219,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210810_0370 | T5 | 3 | train | sideways | all | [
"QUAL",
"DOT-USD",
"SGOV",
"ITB"
] | 2021-08-10T00:00:00 | 4-asset optimization. Max-Sharpe: 3.412. Portfolio: return=38.68%, vol=10.16%. Weights: w_QUAL=1.0000, w_DOT-USD=0.0000, w_SGOV=0.0000, w_ITB=0.0000. | Assets: QUAL, DOT-USD, SGOV, ITB
Annualized mean returns: QUAL:0.3868, DOT-USD:-1.0678, SGOV:-0.0001, ITB:0.3473
Covariance matrix (annualized):
[[0.010327, -0.002573, 1.8e-05, 0.013158], [-0.002573, 1.164386, -0.00015, 0.005791], [1.8e-05, -0.00015, 1e-06, 3e-06], [0.013158, 0.005791, 3e-06, 0.045957]]
Risk-free rate:... | w_QUAL=1.0000, w_DOT-USD=0.0000, w_SGOV=0.0000, w_ITB=0.0000 | 3.412218 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QUAL=1.0000, w_DOT-USD=0.0000, w_SGOV=0.0000, w_ITB=0.0000
Portfolio annualized return: 38.68%, volatility: 10.16%
Sharpe ratio: (0.3868 - 0.0400) / 0.1016 = 3.4122 | {
"weights": {
"QUAL": 1,
"DOT-USD": 0,
"SGOV": 0,
"ITB": 0
},
"sharpe_ratio": 3.4122,
"portfolio_return": 0.38675899999999996,
"portfolio_vol": 0.10162299999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190809_0377 | T5 | 3 | train | sideways | all | [
"EEM",
"ADA-USD",
"BIL",
"HAUZ"
] | 2019-08-09T00:00:00 | 4-asset optimization. Max-Sharpe: -1.159. Portfolio: return=-87.15%, vol=78.68%. Weights: w_EEM=0.0000, w_ADA-USD=1.0000, w_BIL=0.0000, w_HAUZ=0.0000. | Assets: EEM, ADA-USD, BIL, HAUZ
Annualized mean returns: EEM:-0.0640, ADA-USD:-0.8715, BIL:0.0224, HAUZ:-0.0381
Covariance matrix (annualized):
[[0.026028, -0.012452, 2.4e-05, 0.011684], [-0.012452, 0.619, 1.6e-05, -0.008779], [2.4e-05, 1.6e-05, 4e-06, 4.5e-05], [0.011684, -0.008779, 4.5e-05, 0.009573]]
Risk-free rate:... | w_EEM=0.0000, w_ADA-USD=1.0000, w_BIL=0.0000, w_HAUZ=0.0000 | -1.158502 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EEM=0.0000, w_ADA-USD=1.0000, w_BIL=0.0000, w_HAUZ=0.0000
Portfolio annualized return: -87.15%, volatility: 78.68%
Sharpe ratio: (-0.8715 - 0.0400) / 0.7868 = -1.1585 | {
"weights": {
"EEM": 0,
"ADA-USD": 1,
"BIL": 0,
"HAUZ": 0
},
"sharpe_ratio": -1.1585,
"portfolio_return": -0.8714700000000001,
"portfolio_vol": 0.7867649999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20221116_0382 | T5 | 3 | train | sideways | all | [
"XLRE",
"XRP-USD",
"SHY",
"DBA"
] | 2022-11-16T00:00:00 | 4-asset optimization. Max-Sharpe: 2.561. Portfolio: return=285.66%, vol=109.99%. Weights: w_XLRE=0.0000, w_XRP-USD=1.0000, w_SHY=0.0000, w_DBA=0.0000. | Assets: XLRE, XRP-USD, SHY, DBA
Annualized mean returns: XLRE:-0.6083, XRP-USD:2.8566, SHY:-0.0326, DBA:-0.1093
Covariance matrix (annualized):
[[0.082781, 0.028856, 0.00337, 0.005461], [0.028856, 1.209814, -0.000796, 0.029056], [0.00337, -0.000796, 0.000509, 0.000441], [0.005461, 0.029056, 0.000441, 0.011919]]
Risk-fr... | w_XLRE=0.0000, w_XRP-USD=1.0000, w_SHY=0.0000, w_DBA=0.0000 | 2.560725 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLRE=0.0000, w_XRP-USD=1.0000, w_SHY=0.0000, w_DBA=0.0000
Portfolio annualized return: 285.66%, volatility: 109.99%
Sharpe ratio: (2.8566 - 0.0400) / 1.0999 = 2.5607 | {
"weights": {
"XLRE": 0,
"XRP-USD": 1,
"SHY": 0,
"DBA": 0
},
"sharpe_ratio": 2.5606999999999998,
"portfolio_return": 2.856581,
"portfolio_vol": 1.099916,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210217_0385 | T5 | 3 | train | sideways | all | [
"QUAL",
"MATIC-USD",
"SGOV",
"SHV"
] | 2021-02-17T00:00:00 | 4-asset optimization. Max-Sharpe: 5.714. Portfolio: return=185.50%, vol=31.77%. Weights: w_QUAL=0.8553, w_MATIC-USD=0.1447, w_SGOV=0.0000, w_SHV=0.0000. | Assets: QUAL, MATIC-USD, SGOV, SHV
Annualized mean returns: QUAL:0.2667, MATIC-USD:11.2446, SGOV:0.0003, SHV:0.0000
Covariance matrix (annualized):
[[0.018117, -0.01998, 0.0, -4.5e-05], [-0.01998, 4.423669, -0.000127, 0.000354], [0.0, -0.000127, 0.0, -0.0], [-4.5e-05, 0.000354, -0.0, 1e-06]]
Risk-free rate: 4.00%
Const... | w_QUAL=0.8553, w_MATIC-USD=0.1447, w_SGOV=0.0000, w_SHV=0.0000 | 5.713726 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QUAL=0.8553, w_MATIC-USD=0.1447, w_SGOV=0.0000, w_SHV=0.0000
Portfolio annualized return: 185.50%, volatility: 31.77%
Sharpe ratio: (1.8550 - 0.0400) / 0.3177 = 5.7137 | {
"weights": {
"QUAL": 0.8553000000000001,
"MATIC-USD": 0.1447,
"SGOV": 0,
"SHV": 0
},
"sharpe_ratio": 5.7137,
"portfolio_return": 1.855014,
"portfolio_vol": 0.31765899999999997,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220809_0390 | T5 | 3 | train | sideways | all | [
"EEM",
"MATIC-USD",
"DBB",
"IYR"
] | 2022-08-09T00:00:00 | 4-asset optimization. Max-Sharpe: 3.195. Portfolio: return=200.57%, vol=61.52%. Weights: w_EEM=0.0000, w_MATIC-USD=0.3885, w_DBB=0.0000, w_IYR=0.6115. | Assets: EEM, MATIC-USD, DBB, IYR
Annualized mean returns: EEM:-0.2187, MATIC-USD:4.5061, DBB:-0.7275, IYR:0.4171
Covariance matrix (annualized):
[[0.041611, 0.127691, 0.021212, 0.026874], [0.127691, 2.035679, 0.071249, 0.112727], [0.021212, 0.071249, 0.065493, 0.017366], [0.026874, 0.112727, 0.017366, 0.047093]]
Risk-f... | w_EEM=0.0000, w_MATIC-USD=0.3885, w_DBB=0.0000, w_IYR=0.6115 | 3.195362 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EEM=0.0000, w_MATIC-USD=0.3885, w_DBB=0.0000, w_IYR=0.6115
Portfolio annualized return: 200.57%, volatility: 61.52%
Sharpe ratio: (2.0057 - 0.0400) / 0.6152 = 3.1954 | {
"weights": {
"EEM": 0,
"MATIC-USD": 0.3885,
"DBB": 0,
"IYR": 0.6115
},
"sharpe_ratio": 3.1954000000000002,
"portfolio_return": 2.005673,
"portfolio_vol": 0.615165,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20191112_0397 | T5 | 3 | train | sideways | all | [
"IWM",
"BTC-USD",
"JNK",
"INDS"
] | 2019-11-12T00:00:00 | 4-asset optimization. Max-Sharpe: 2.569. Portfolio: return=30.00%, vol=10.12%. Weights: w_IWM=0.0000, w_BTC-USD=0.0000, w_JNK=0.0000, w_INDS=1.0000. | Assets: IWM, BTC-USD, JNK, INDS
Annualized mean returns: IWM:0.0872, BTC-USD:-1.6849, JNK:0.0083, INDS:0.3000
Covariance matrix (annualized):
[[0.016527, 0.011237, 0.002883, 0.003622], [0.011237, 0.279983, 0.000736, -0.005333], [0.002883, 0.000736, 0.001019, 0.000339], [0.003622, -0.005333, 0.000339, 0.010246]]
Risk-fr... | w_IWM=0.0000, w_BTC-USD=0.0000, w_JNK=0.0000, w_INDS=1.0000 | 2.568719 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IWM=0.0000, w_BTC-USD=0.0000, w_JNK=0.0000, w_INDS=1.0000
Portfolio annualized return: 30.00%, volatility: 10.12%
Sharpe ratio: (0.3000 - 0.0400) / 0.1012 = 2.5687 | {
"weights": {
"IWM": 0,
"BTC-USD": 0,
"JNK": 0,
"INDS": 1
},
"sharpe_ratio": 2.5686999999999998,
"portfolio_return": 0.300015,
"portfolio_vol": 0.101223,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20191231_0402 | T5 | 3 | train | sideways | all | [
"EWJ",
"BNB-USD",
"IYR",
"SHY"
] | 2019-12-31T00:00:00 | 4-asset optimization. Max-Sharpe: 0.970. Portfolio: return=11.43%, vol=7.66%. Weights: w_EWJ=1.0000, w_BNB-USD=0.0000, w_IYR=0.0000, w_SHY=0.0000. | Assets: EWJ, BNB-USD, IYR, SHY
Annualized mean returns: EWJ:0.1143, BNB-USD:-1.9780, IYR:-0.0475, SHY:0.0076
Covariance matrix (annualized):
[[0.005875, -0.003872, -0.000864, -0.000262], [-0.003872, 0.303748, 0.020189, 0.000589], [-0.000864, 0.020189, 0.013527, 0.000477], [-0.000262, 0.000589, 0.000477, 8.4e-05]]
Risk-... | w_EWJ=1.0000, w_BNB-USD=0.0000, w_IYR=0.0000, w_SHY=0.0000 | 0.969587 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EWJ=1.0000, w_BNB-USD=0.0000, w_IYR=0.0000, w_SHY=0.0000
Portfolio annualized return: 11.43%, volatility: 7.66%
Sharpe ratio: (0.1143 - 0.0400) / 0.0766 = 0.9696 | {
"weights": {
"EWJ": 1,
"BNB-USD": 0,
"IYR": 0,
"SHY": 0
},
"sharpe_ratio": 0.9696,
"portfolio_return": 0.11431699999999999,
"portfolio_vol": 0.076648,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200521_0406 | T5 | 3 | train | sideways | all | [
"XLU",
"LINK-USD",
"XHB",
"TLH"
] | 2020-05-21T00:00:00 | 4-asset optimization. Max-Sharpe: 6.423. Portfolio: return=166.13%, vol=25.24%. Weights: w_XLU=0.0000, w_LINK-USD=0.2958, w_XHB=0.1501, w_TLH=0.5541. | Assets: XLU, LINK-USD, XHB, TLH
Annualized mean returns: XLU:-0.1149, LINK-USD:4.7483, XHB:1.3571, TLH:0.0956
Covariance matrix (annualized):
[[0.130153, 0.0622, 0.136561, -0.01848], [0.0622, 0.581636, 0.110507, -0.006467], [0.136561, 0.110507, 0.246588, -0.032377], [-0.01848, -0.006467, -0.032377, 0.016171]]
Risk-free... | w_XLU=0.0000, w_LINK-USD=0.2958, w_XHB=0.1501, w_TLH=0.5541 | 6.422643 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLU=0.0000, w_LINK-USD=0.2958, w_XHB=0.1501, w_TLH=0.5541
Portfolio annualized return: 166.13%, volatility: 25.24%
Sharpe ratio: (1.6613 - 0.0400) / 0.2524 = 6.4226 | {
"weights": {
"XLU": 0,
"LINK-USD": 0.2958,
"XHB": 0.1501,
"TLH": 0.5541
},
"sharpe_ratio": 6.4226,
"portfolio_return": 1.6612900000000002,
"portfolio_vol": 0.25243299999999996,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210203_0413 | T5 | 3 | train | sideways | all | [
"XLB",
"MATIC-USD",
"MORT",
"BNO"
] | 2021-02-03T00:00:00 | 4-asset optimization. Max-Sharpe: 5.192. Portfolio: return=139.71%, vol=26.14%. Weights: w_XLB=0.0000, w_MATIC-USD=0.0907, w_MORT=0.0000, w_BNO=0.9093. | Assets: XLB, MATIC-USD, MORT, BNO
Annualized mean returns: XLB:0.0408, MATIC-USD:4.8189, MORT:0.2597, BNO:1.0557
Covariance matrix (annualized):
[[0.03779, 0.045085, 0.026445, 0.022675], [0.045085, 3.353876, 0.001519, -0.070096], [0.026445, 0.001519, 0.044705, 0.017596], [0.022675, -0.070096, 0.017596, 0.06323]]
Risk-f... | w_XLB=0.0000, w_MATIC-USD=0.0907, w_MORT=0.0000, w_BNO=0.9093 | 5.192075 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLB=0.0000, w_MATIC-USD=0.0907, w_MORT=0.0000, w_BNO=0.9093
Portfolio annualized return: 139.71%, volatility: 26.14%
Sharpe ratio: (1.3971 - 0.0400) / 0.2614 = 5.1921 | {
"weights": {
"XLB": 0,
"MATIC-USD": 0.0907,
"MORT": 0,
"BNO": 0.9093
},
"sharpe_ratio": 5.1921,
"portfolio_return": 1.397138,
"portfolio_vol": 0.261386,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210614_0416 | T5 | 3 | train | sideways | all | [
"XLV",
"AVAX-USD",
"BIL",
"UNG"
] | 2021-06-14T00:00:00 | 4-asset optimization. Max-Sharpe: 5.731. Portfolio: return=61.72%, vol=10.07%. Weights: w_XLV=0.6251, w_AVAX-USD=0.0024, w_BIL=0.0000, w_UNG=0.3725. | Assets: XLV, AVAX-USD, BIL, UNG
Annualized mean returns: XLV:0.3035, AVAX-USD:0.0870, BIL:-0.0007, UNG:1.1470
Covariance matrix (annualized):
[[0.012635, 0.004819, 1.2e-05, -0.008804], [0.004819, 2.735375, 0.000112, -0.023291], [1.2e-05, 0.000112, 2e-06, 3.7e-05], [-0.008804, -0.023291, 3.7e-05, 0.067139]]
Risk-free ra... | w_XLV=0.6251, w_AVAX-USD=0.0024, w_BIL=0.0000, w_UNG=0.3725 | 5.730973 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLV=0.6251, w_AVAX-USD=0.0024, w_BIL=0.0000, w_UNG=0.3725
Portfolio annualized return: 61.72%, volatility: 10.07%
Sharpe ratio: (0.6172 - 0.0400) / 0.1007 = 5.7310 | {
"weights": {
"XLV": 0.6251,
"AVAX-USD": 0.0024000000000000002,
"BIL": 0,
"UNG": 0.3725
},
"sharpe_ratio": 5.731,
"portfolio_return": 0.6171829999999999,
"portfolio_vol": 0.100713,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210514_0419 | T5 | 3 | train | sideways | all | [
"ACWI",
"SOL-USD",
"TLH",
"BIL"
] | 2021-05-14T00:00:00 | 4-asset optimization. Max-Sharpe: 0.867. Portfolio: return=15.08%, vol=12.78%. Weights: w_ACWI=0.9597, w_SOL-USD=0.0403, w_TLH=0.0000, w_BIL=0.0000. | Assets: ACWI, SOL-USD, TLH, BIL
Annualized mean returns: ACWI:0.1442, SOL-USD:0.3092, TLH:0.0371, BIL:-0.0013
Covariance matrix (annualized):
[[0.015608, 0.009451, 0.002412, 2.3e-05], [0.009451, 0.759903, 0.005981, 0.000293], [0.002412, 0.005981, 0.00687, 3.2e-05], [2.3e-05, 0.000293, 3.2e-05, 2e-06]]
Risk-free rate: 4... | w_ACWI=0.9597, w_SOL-USD=0.0403, w_TLH=0.0000, w_BIL=0.0000 | 0.86681 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_ACWI=0.9597, w_SOL-USD=0.0403, w_TLH=0.0000, w_BIL=0.0000
Portfolio annualized return: 15.08%, volatility: 12.78%
Sharpe ratio: (0.1508 - 0.0400) / 0.1278 = 0.8668 | {
"weights": {
"ACWI": 0.9597,
"SOL-USD": 0.0403,
"TLH": 0,
"BIL": 0
},
"sharpe_ratio": 0.8668,
"portfolio_return": 0.150805,
"portfolio_vol": 0.127831,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220425_0427 | T5 | 3 | train | sideways | all | [
"XLB",
"SOL-USD",
"TLT",
"VNQI"
] | 2022-04-25T00:00:00 | 4-asset optimization. Max-Sharpe: 2.031. Portfolio: return=78.86%, vol=36.86%. Weights: w_XLB=0.6746, w_SOL-USD=0.3254, w_TLT=0.0000, w_VNQI=0.0000. | Assets: XLB, SOL-USD, TLT, VNQI
Annualized mean returns: XLB:0.3438, SOL-USD:1.7107, TLT:-0.6834, VNQI:-0.2800
Covariance matrix (annualized):
[[0.051587, 0.06251, -0.004946, 0.02932], [0.06251, 0.802252, 0.055228, 0.050316], [-0.004946, 0.055228, 0.038965, -0.002511], [0.02932, 0.050316, -0.002511, 0.030215]]
Risk-fre... | w_XLB=0.6746, w_SOL-USD=0.3254, w_TLT=0.0000, w_VNQI=0.0000 | 2.030891 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLB=0.6746, w_SOL-USD=0.3254, w_TLT=0.0000, w_VNQI=0.0000
Portfolio annualized return: 78.86%, volatility: 36.86%
Sharpe ratio: (0.7886 - 0.0400) / 0.3686 = 2.0309 | {
"weights": {
"XLB": 0.6746,
"SOL-USD": 0.3254,
"TLT": 0,
"VNQI": 0
},
"sharpe_ratio": 2.0309,
"portfolio_return": 0.7886449999999999,
"portfolio_vol": 0.368629,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200206_0438 | T5 | 3 | train | sideways | all | [
"XLF",
"XRP-USD",
"DBC",
"XHB"
] | 2020-02-06T00:00:00 | 4-asset optimization. Max-Sharpe: 2.375. Portfolio: return=36.70%, vol=13.77%. Weights: w_XLF=0.0000, w_XRP-USD=0.0485, w_DBC=0.0000, w_XHB=0.9515. | Assets: XLF, XRP-USD, DBC, XHB
Annualized mean returns: XLF:0.1776, XRP-USD:0.7274, DBC:-0.3592, XHB:0.3486
Covariance matrix (annualized):
[[0.018162, 0.002507, 0.005378, 0.010616], [0.002507, 0.438831, 0.012829, 0.019528], [0.005378, 0.012829, 0.01548, 0.002173], [0.010616, 0.019528, 0.002173, 0.017814]]
Risk-free ra... | w_XLF=0.0000, w_XRP-USD=0.0485, w_DBC=0.0000, w_XHB=0.9515 | 2.37464 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLF=0.0000, w_XRP-USD=0.0485, w_DBC=0.0000, w_XHB=0.9515
Portfolio annualized return: 36.70%, volatility: 13.77%
Sharpe ratio: (0.3670 - 0.0400) / 0.1377 = 2.3746 | {
"weights": {
"XLF": 0,
"XRP-USD": 0.0485,
"DBC": 0,
"XHB": 0.9515
},
"sharpe_ratio": 2.3746,
"portfolio_return": 0.366994,
"portfolio_vol": 0.137703,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220810_0443 | T5 | 3 | train | sideways | all | [
"IWM",
"ADA-USD",
"TLH",
"SGOV"
] | 2022-08-10T00:00:00 | 4-asset optimization. Max-Sharpe: 2.531. Portfolio: return=39.95%, vol=14.21%. Weights: w_IWM=0.4597, w_ADA-USD=0.0000, w_TLH=0.5403, w_SGOV=0.0000. | Assets: IWM, ADA-USD, TLH, SGOV
Annualized mean returns: IWM:0.5313, ADA-USD:-0.1963, TLH:0.2874, SGOV:0.0135
Covariance matrix (annualized):
[[0.06259, 0.104799, -0.002204, -8.2e-05], [0.104799, 0.536535, -0.007335, -7.6e-05], [-0.002204, -0.007335, 0.027575, 3.9e-05], [-8.2e-05, -7.6e-05, 3.9e-05, 5e-06]]
Risk-free r... | w_IWM=0.4597, w_ADA-USD=0.0000, w_TLH=0.5403, w_SGOV=0.0000 | 2.530708 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IWM=0.4597, w_ADA-USD=0.0000, w_TLH=0.5403, w_SGOV=0.0000
Portfolio annualized return: 39.95%, volatility: 14.21%
Sharpe ratio: (0.3995 - 0.0400) / 0.1421 = 2.5307 | {
"weights": {
"IWM": 0.4597,
"ADA-USD": 0,
"TLH": 0.5403,
"SGOV": 0
},
"sharpe_ratio": 2.5307,
"portfolio_return": 0.39951699999999996,
"portfolio_vol": 0.142062,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200311_0448 | T5 | 3 | train | sideways | all | [
"XLP",
"MATIC-USD",
"XHB",
"HYG"
] | 2020-03-11T00:00:00 | 4-asset optimization. Max-Sharpe: 4.602. Portfolio: return=454.95%, vol=97.98%. Weights: w_XLP=0.0000, w_MATIC-USD=1.0000, w_XHB=0.0000, w_HYG=0.0000. | Assets: XLP, MATIC-USD, XHB, HYG
Annualized mean returns: XLP:-0.3984, MATIC-USD:4.5495, XHB:-0.4376, HYG:-0.1821
Covariance matrix (annualized):
[[0.032755, 0.043926, 0.04999, 0.014588], [0.043926, 0.960019, 0.087176, 0.019061], [0.04999, 0.087176, 0.094586, 0.025407], [0.014588, 0.019061, 0.025407, 0.009851]]
Risk-fr... | w_XLP=0.0000, w_MATIC-USD=1.0000, w_XHB=0.0000, w_HYG=0.0000 | 4.602485 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLP=0.0000, w_MATIC-USD=1.0000, w_XHB=0.0000, w_HYG=0.0000
Portfolio annualized return: 454.95%, volatility: 97.98%
Sharpe ratio: (4.5495 - 0.0400) / 0.9798 = 4.6025 | {
"weights": {
"XLP": 0,
"MATIC-USD": 1,
"XHB": 0,
"HYG": 0
},
"sharpe_ratio": 4.6025,
"portfolio_return": 4.54954,
"portfolio_vol": 0.979806,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190225_0452 | T5 | 3 | train | sideways | all | [
"MTUM",
"ETH-USD",
"UNG",
"IYR"
] | 2019-02-25T00:00:00 | 4-asset optimization. Max-Sharpe: 8.386. Portfolio: return=81.48%, vol=9.24%. Weights: w_MTUM=0.1771, w_ETH-USD=0.0408, w_UNG=0.0000, w_IYR=0.7821. | Assets: MTUM, ETH-USD, UNG, IYR
Annualized mean returns: MTUM:0.7663, ETH-USD:-0.0536, UNG:-1.1399, IYR:0.8710
Covariance matrix (annualized):
[[0.024049, -0.007795, 0.008548, 0.005191], [-0.007795, 0.791109, 0.066059, -0.040799], [0.008548, 0.066059, 0.255287, -0.002017], [0.005191, -0.040799, -0.002017, 0.012657]]
Ri... | w_MTUM=0.1771, w_ETH-USD=0.0408, w_UNG=0.0000, w_IYR=0.7821 | 8.386286 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_MTUM=0.1771, w_ETH-USD=0.0408, w_UNG=0.0000, w_IYR=0.7821
Portfolio annualized return: 81.48%, volatility: 9.24%
Sharpe ratio: (0.8148 - 0.0400) / 0.0924 = 8.3863 | {
"weights": {
"MTUM": 0.1771,
"ETH-USD": 0.0408,
"UNG": 0,
"IYR": 0.7821
},
"sharpe_ratio": 8.3863,
"portfolio_return": 0.8147679999999999,
"portfolio_vol": 0.092385,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190207_0457 | T5 | 3 | train | sideways | all | [
"XLV",
"BTC-USD",
"STIP",
"BIL"
] | 2019-02-07T00:00:00 | 4-asset optimization. Max-Sharpe: 0.043. Portfolio: return=6.51%, vol=57.98%. Weights: w_XLV=0.0000, w_BTC-USD=1.0000, w_STIP=0.0000, w_BIL=0.0000. | Assets: XLV, BTC-USD, STIP, BIL
Annualized mean returns: XLV:-0.0729, BTC-USD:0.0651, STIP:0.0397, BIL:0.0227
Covariance matrix (annualized):
[[0.0398, -0.027619, 0.000201, -1.6e-05], [-0.027619, 0.336167, -0.00111, -0.000177], [0.000201, -0.00111, 0.00027, 1e-05], [-1.6e-05, -0.000177, 1e-05, 4e-06]]
Risk-free rate: 4... | w_XLV=0.0000, w_BTC-USD=1.0000, w_STIP=0.0000, w_BIL=0.0000 | 0.043279 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLV=0.0000, w_BTC-USD=1.0000, w_STIP=0.0000, w_BIL=0.0000
Portfolio annualized return: 6.51%, volatility: 57.98%
Sharpe ratio: (0.0651 - 0.0400) / 0.5798 = 0.0433 | {
"weights": {
"XLV": 0,
"BTC-USD": 1,
"STIP": 0,
"BIL": 0
},
"sharpe_ratio": 0.043300000000000005,
"portfolio_return": 0.065093,
"portfolio_vol": 0.579799,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210824_0460 | T5 | 3 | train | sideways | all | [
"IVV",
"BNB-USD",
"XHB",
"BIL"
] | 2021-08-24T00:00:00 | 4-asset optimization. Max-Sharpe: 3.914. Portfolio: return=63.73%, vol=15.26%. Weights: w_IVV=0.8428, w_BNB-USD=0.1572, w_XHB=0.0000, w_BIL=0.0000. | Assets: IVV, BNB-USD, XHB, BIL
Annualized mean returns: IVV:0.3133, BNB-USD:2.3749, XHB:0.3950, BIL:-0.0020
Covariance matrix (annualized):
[[0.009306, 0.017881, 0.01448, -2e-06], [0.017881, 0.483332, 0.028238, -9e-05], [0.01448, 0.028238, 0.047675, -2.2e-05], [-2e-06, -9e-05, -2.2e-05, 2e-06]]
Risk-free rate: 4.00%
Co... | w_IVV=0.8428, w_BNB-USD=0.1572, w_XHB=0.0000, w_BIL=0.0000 | 3.913977 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IVV=0.8428, w_BNB-USD=0.1572, w_XHB=0.0000, w_BIL=0.0000
Portfolio annualized return: 63.73%, volatility: 15.26%
Sharpe ratio: (0.6373 - 0.0400) / 0.1526 = 3.9140 | {
"weights": {
"IVV": 0.8428,
"BNB-USD": 0.1572,
"XHB": 0,
"BIL": 0
},
"sharpe_ratio": 3.914,
"portfolio_return": 0.637251,
"portfolio_vol": 0.15259399999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201020_0467 | T5 | 3 | train | sideways | all | [
"XLB",
"ADA-USD",
"STIP",
"CORN"
] | 2020-10-20T00:00:00 | 4-asset optimization. Max-Sharpe: 4.651. Portfolio: return=70.19%, vol=14.23%. Weights: w_XLB=0.0777, w_ADA-USD=0.0000, w_STIP=0.0000, w_CORN=0.9223. | Assets: XLB, ADA-USD, STIP, CORN
Annualized mean returns: XLB:0.3449, ADA-USD:-1.3298, STIP:0.0317, CORN:0.7320
Covariance matrix (annualized):
[[0.057546, 0.097111, 0.001215, 0.005268], [0.097111, 0.812388, 0.004277, 0.007587], [0.001215, 0.004277, 0.000151, 0.000355], [0.005268, 0.007587, 0.000355, 0.022512]]
Risk-fr... | w_XLB=0.0777, w_ADA-USD=0.0000, w_STIP=0.0000, w_CORN=0.9223 | 4.651042 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLB=0.0777, w_ADA-USD=0.0000, w_STIP=0.0000, w_CORN=0.9223
Portfolio annualized return: 70.19%, volatility: 14.23%
Sharpe ratio: (0.7019 - 0.0400) / 0.1423 = 4.6510 | {
"weights": {
"XLB": 0.0777,
"ADA-USD": 0,
"STIP": 0,
"CORN": 0.9223
},
"sharpe_ratio": 4.651,
"portfolio_return": 0.70189,
"portfolio_vol": 0.14231000000000002,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200724_0476 | T5 | 3 | train | sideways | all | [
"XLRE",
"XRP-USD",
"BNO",
"SHY"
] | 2020-07-24T00:00:00 | 4-asset optimization. Max-Sharpe: 3.421. Portfolio: return=117.97%, vol=33.32%. Weights: w_XLRE=0.1985, w_XRP-USD=0.0000, w_BNO=0.8015, w_SHY=0.0000. | Assets: XLRE, XRP-USD, BNO, SHY
Annualized mean returns: XLRE:0.5735, XRP-USD:0.3507, BNO:1.3298, SHY:0.0042
Covariance matrix (annualized):
[[0.070366, 0.031833, 0.047398, -0.000348], [0.031833, 0.178387, 0.031221, 3.5e-05], [0.047398, 0.031221, 0.144981, 5.3e-05], [-0.000348, 3.5e-05, 5.3e-05, 2.1e-05]]
Risk-free rat... | w_XLRE=0.1985, w_XRP-USD=0.0000, w_BNO=0.8015, w_SHY=0.0000 | 3.420927 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLRE=0.1985, w_XRP-USD=0.0000, w_BNO=0.8015, w_SHY=0.0000
Portfolio annualized return: 117.97%, volatility: 33.32%
Sharpe ratio: (1.1797 - 0.0400) / 0.3332 = 3.4209 | {
"weights": {
"XLRE": 0.1985,
"XRP-USD": 0,
"BNO": 0.8015,
"SHY": 0
},
"sharpe_ratio": 3.4209,
"portfolio_return": 1.179723,
"portfolio_vol": 0.33316199999999996,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220930_0479 | T5 | 3 | train | sideways | all | [
"EWJ",
"BTC-USD",
"CORN",
"INDS"
] | 2022-09-30T00:00:00 | 4-asset optimization. Max-Sharpe: 1.711. Portfolio: return=39.68%, vol=20.86%. Weights: w_EWJ=0.0000, w_BTC-USD=0.0000, w_CORN=1.0000, w_INDS=0.0000. | Assets: EWJ, BTC-USD, CORN, INDS
Annualized mean returns: EWJ:-0.7728, BTC-USD:-0.6268, CORN:0.3968, INDS:-1.3083
Covariance matrix (annualized):
[[0.037885, 0.068032, 0.002789, 0.028338], [0.068032, 0.298551, 0.004222, 0.052892], [0.002789, 0.004222, 0.043497, 0.003832], [0.028338, 0.052892, 0.003832, 0.054414]]
Risk-... | w_EWJ=0.0000, w_BTC-USD=0.0000, w_CORN=1.0000, w_INDS=0.0000 | 1.710638 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EWJ=0.0000, w_BTC-USD=0.0000, w_CORN=1.0000, w_INDS=0.0000
Portfolio annualized return: 39.68%, volatility: 20.86%
Sharpe ratio: (0.3968 - 0.0400) / 0.2086 = 1.7106 | {
"weights": {
"EWJ": 0,
"BTC-USD": 0,
"CORN": 1,
"INDS": 0
},
"sharpe_ratio": 1.7106,
"portfolio_return": 0.396769,
"portfolio_vol": 0.208559,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20221220_0482 | T5 | 3 | train | sideways | all | [
"QUAL",
"BNB-USD",
"BIL",
"REZ"
] | 2022-12-20T00:00:00 | 4-asset optimization. Max-Sharpe: 0.636. Portfolio: return=18.51%, vol=22.80%. Weights: w_QUAL=1.0000, w_BNB-USD=0.0000, w_BIL=0.0000, w_REZ=0.0000. | Assets: QUAL, BNB-USD, BIL, REZ
Annualized mean returns: QUAL:0.1851, BNB-USD:-0.6001, BIL:0.0349, REZ:-0.1625
Covariance matrix (annualized):
[[0.051994, 0.093514, -0.000207, 0.041601], [0.093514, 0.654099, -0.000215, 0.097088], [-0.000207, -0.000215, 8e-06, -7e-05], [0.041601, 0.097088, -7e-05, 0.059504]]
Risk-free r... | w_QUAL=1.0000, w_BNB-USD=0.0000, w_BIL=0.0000, w_REZ=0.0000 | 0.636318 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QUAL=1.0000, w_BNB-USD=0.0000, w_BIL=0.0000, w_REZ=0.0000
Portfolio annualized return: 18.51%, volatility: 22.80%
Sharpe ratio: (0.1851 - 0.0400) / 0.2280 = 0.6363 | {
"weights": {
"QUAL": 1,
"BNB-USD": 0,
"BIL": 0,
"REZ": 0
},
"sharpe_ratio": 0.6363,
"portfolio_return": 0.18509399999999998,
"portfolio_vol": 0.228021,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200914_0489 | T5 | 3 | train | sideways | all | [
"XLV",
"ADA-USD",
"VNQ",
"TIP"
] | 2020-09-14T00:00:00 | 4-asset optimization. Max-Sharpe: 2.896. Portfolio: return=7.87%, vol=1.34%. Weights: w_XLV=0.0000, w_ADA-USD=0.0000, w_VNQ=0.0102, w_TIP=0.9898. | Assets: XLV, ADA-USD, VNQ, TIP
Annualized mean returns: XLV:-0.0023, ADA-USD:-2.5478, VNQ:0.1421, TIP:0.0780
Covariance matrix (annualized):
[[0.022051, 0.004165, 0.014349, 0.000752], [0.004165, 0.578859, 0.007012, 0.004307], [0.014349, 0.007012, 0.029507, 0.00017], [0.000752, 0.004307, 0.00017, 0.000176]]
Risk-free ra... | w_XLV=0.0000, w_ADA-USD=0.0000, w_VNQ=0.0102, w_TIP=0.9898 | 2.896203 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLV=0.0000, w_ADA-USD=0.0000, w_VNQ=0.0102, w_TIP=0.9898
Portfolio annualized return: 7.87%, volatility: 1.34%
Sharpe ratio: (0.0787 - 0.0400) / 0.0134 = 2.8962 | {
"weights": {
"XLV": 0,
"ADA-USD": 0,
"VNQ": 0.0102,
"TIP": 0.9898
},
"sharpe_ratio": 2.8962,
"portfolio_return": 0.078705,
"portfolio_vol": 0.013364,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20160824_0503 | T5 | 3 | train | sideways | all | [
"VLUE",
"BTC-USD",
"XHB",
"BNO"
] | 2016-08-24T00:00:00 | 4-asset optimization. Max-Sharpe: 3.901. Portfolio: return=65.35%, vol=15.73%. Weights: w_VLUE=0.2872, w_BTC-USD=0.0000, w_XHB=0.7128, w_BNO=0.0000. | Assets: VLUE, BTC-USD, XHB, BNO
Annualized mean returns: VLUE:0.5247, BTC-USD:-0.2991, XHB:0.7054, BNO:0.1035
Covariance matrix (annualized):
[[0.018947, 0.011985, 0.019784, 0.025707], [0.011985, 0.152226, 0.006782, 0.039714], [0.019784, 0.006782, 0.029666, 0.017843], [0.025707, 0.039714, 0.017843, 0.143406]]
Risk-free... | w_VLUE=0.2872, w_BTC-USD=0.0000, w_XHB=0.7128, w_BNO=0.0000 | 3.900693 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VLUE=0.2872, w_BTC-USD=0.0000, w_XHB=0.7128, w_BNO=0.0000
Portfolio annualized return: 65.35%, volatility: 15.73%
Sharpe ratio: (0.6535 - 0.0400) / 0.1573 = 3.9007 | {
"weights": {
"VLUE": 0.2872,
"BTC-USD": 0,
"XHB": 0.7128,
"BNO": 0
},
"sharpe_ratio": 3.9007,
"portfolio_return": 0.653484,
"portfolio_vol": 0.157276,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180109_0506 | T5 | 3 | train | sideways | all | [
"XLRE",
"XRP-USD",
"TLH",
"HAUZ"
] | 2018-01-09T00:00:00 | 4-asset optimization. Max-Sharpe: 6.380. Portfolio: return=357.47%, vol=55.41%. Weights: w_XLRE=0.0000, w_XRP-USD=0.2581, w_TLH=0.0000, w_HAUZ=0.7419. | Assets: XLRE, XRP-USD, TLH, HAUZ
Annualized mean returns: XLRE:-0.1864, XRP-USD:13.2014, TLH:-0.0422, HAUZ:0.2262
Covariance matrix (annualized):
[[0.009494, 0.006866, 0.000922, 0.000801], [0.006866, 4.404893, 0.032226, 0.00842], [0.000922, 0.032226, 0.003022, -0.002712], [0.000801, 0.00842, -0.002712, 0.018869]]
Risk-... | w_XLRE=0.0000, w_XRP-USD=0.2581, w_TLH=0.0000, w_HAUZ=0.7419 | 6.37971 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLRE=0.0000, w_XRP-USD=0.2581, w_TLH=0.0000, w_HAUZ=0.7419
Portfolio annualized return: 357.47%, volatility: 55.41%
Sharpe ratio: (3.5747 - 0.0400) / 0.5541 = 6.3797 | {
"weights": {
"XLRE": 0,
"XRP-USD": 0.2581,
"TLH": 0,
"HAUZ": 0.7419
},
"sharpe_ratio": 6.3797,
"portfolio_return": 3.574721,
"portfolio_vol": 0.554057,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210729_0512 | T5 | 3 | train | sideways | all | [
"XLV",
"BNB-USD",
"IAU",
"VNQ"
] | 2021-07-29T00:00:00 | 4-asset optimization. Max-Sharpe: 3.774. Portfolio: return=41.83%, vol=10.02%. Weights: w_XLV=0.7067, w_BNB-USD=0.0000, w_IAU=0.0000, w_VNQ=0.2933. | Assets: XLV, BNB-USD, IAU, VNQ
Annualized mean returns: XLV:0.4146, BNB-USD:-1.2228, IAU:-0.2653, VNQ:0.4274
Covariance matrix (annualized):
[[0.011729, -0.015577, 0.002319, 0.005657], [-0.015577, 0.874152, -0.025795, -0.011115], [0.002319, -0.025795, 0.014326, 0.005824], [0.005657, -0.011115, 0.005824, 0.02145]]
Risk-... | w_XLV=0.7067, w_BNB-USD=0.0000, w_IAU=0.0000, w_VNQ=0.2933 | 3.774153 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLV=0.7067, w_BNB-USD=0.0000, w_IAU=0.0000, w_VNQ=0.2933
Portfolio annualized return: 41.83%, volatility: 10.02%
Sharpe ratio: (0.4183 - 0.0400) / 0.1002 = 3.7742 | {
"weights": {
"XLV": 0.7067,
"BNB-USD": 0,
"IAU": 0,
"VNQ": 0.2933
},
"sharpe_ratio": 3.7742,
"portfolio_return": 0.418326,
"portfolio_vol": 0.100241,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20181016_0518 | T5 | 3 | train | sideways | all | [
"XLV",
"XRP-USD",
"VNQI",
"DBB"
] | 2018-10-16T00:00:00 | 4-asset optimization. Max-Sharpe: 2.728. Portfolio: return=199.01%, vol=71.49%. Weights: w_XLV=0.0000, w_XRP-USD=0.4254, w_VNQI=0.0000, w_DBB=0.5746. | Assets: XLV, XRP-USD, VNQI, DBB
Annualized mean returns: XLV:-0.0012, XRP-USD:4.2566, VNQI:-0.3826, DBB:0.3119
Covariance matrix (annualized):
[[0.014539, 0.071824, 0.009558, 0.010384], [0.071824, 2.439892, 0.080343, 0.116748], [0.009558, 0.080343, 0.015891, 0.013103], [0.010384, 0.116748, 0.013103, 0.037576]]
Risk-fre... | w_XLV=0.0000, w_XRP-USD=0.4254, w_VNQI=0.0000, w_DBB=0.5746 | 2.727799 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLV=0.0000, w_XRP-USD=0.4254, w_VNQI=0.0000, w_DBB=0.5746
Portfolio annualized return: 199.01%, volatility: 71.49%
Sharpe ratio: (1.9901 - 0.0400) / 0.7149 = 2.7278 | {
"weights": {
"XLV": 0,
"XRP-USD": 0.4254,
"VNQI": 0,
"DBB": 0.5746
},
"sharpe_ratio": 2.7278000000000002,
"portfolio_return": 1.990128,
"portfolio_vol": 0.714909,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220720_0523 | T5 | 3 | train | sideways | all | [
"XLI",
"ADA-USD",
"SCHP",
"HAUZ"
] | 2022-07-20T00:00:00 | 4-asset optimization. Max-Sharpe: -0.966. Portfolio: return=-80.65%, vol=87.59%. Weights: w_XLI=0.0000, w_ADA-USD=1.0000, w_SCHP=0.0000, w_HAUZ=0.0000. | Assets: XLI, ADA-USD, SCHP, HAUZ
Annualized mean returns: XLI:-0.0506, ADA-USD:-0.8065, SCHP:-0.1065, HAUZ:-0.4370
Covariance matrix (annualized):
[[0.059629, 0.0651, 0.005909, 0.039923], [0.0651, 0.767273, 0.004939, 0.05987], [0.005909, 0.004939, 0.006082, 0.003893], [0.039923, 0.05987, 0.003893, 0.036371]]
Risk-free ... | w_XLI=0.0000, w_ADA-USD=1.0000, w_SCHP=0.0000, w_HAUZ=0.0000 | -0.966429 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLI=0.0000, w_ADA-USD=1.0000, w_SCHP=0.0000, w_HAUZ=0.0000
Portfolio annualized return: -80.65%, volatility: 87.59%
Sharpe ratio: (-0.8065 - 0.0400) / 0.8759 = -0.9664 | {
"weights": {
"XLI": 0,
"ADA-USD": 1,
"SCHP": 0,
"HAUZ": 0
},
"sharpe_ratio": -0.9664,
"portfolio_return": -0.806535,
"portfolio_vol": 0.875941,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210728_0526 | T5 | 3 | train | sideways | all | [
"FXI",
"BNB-USD",
"SOYB",
"TLH"
] | 2021-07-28T00:00:00 | 4-asset optimization. Max-Sharpe: 3.407. Portfolio: return=40.44%, vol=10.70%. Weights: w_FXI=0.0000, w_BNB-USD=0.0000, w_SOYB=0.0370, w_TLH=0.9630. | Assets: FXI, BNB-USD, SOYB, TLH
Annualized mean returns: FXI:-0.9559, BNB-USD:-1.2499, SOYB:0.1898, TLH:0.4126
Covariance matrix (annualized):
[[0.060448, 0.001847, 0.006105, -0.004229], [0.001847, 0.896444, -0.024247, 0.003463], [0.006105, -0.024247, 0.056695, 0.002708], [-0.004229, 0.003463, 0.002708, 0.012045]]
Risk... | w_FXI=0.0000, w_BNB-USD=0.0000, w_SOYB=0.0370, w_TLH=0.9630 | 3.406526 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_FXI=0.0000, w_BNB-USD=0.0000, w_SOYB=0.0370, w_TLH=0.9630
Portfolio annualized return: 40.44%, volatility: 10.70%
Sharpe ratio: (0.4044 - 0.0400) / 0.1070 = 3.4065 | {
"weights": {
"FXI": 0,
"BNB-USD": 0,
"SOYB": 0.037,
"TLH": 0.963
},
"sharpe_ratio": 3.4065,
"portfolio_return": 0.404385,
"portfolio_vol": 0.10696699999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210929_0533 | T5 | 3 | train | sideways | all | [
"VLUE",
"AVAX-USD",
"BNO",
"ICSH"
] | 2021-09-29T00:00:00 | 4-asset optimization. Max-Sharpe: 5.272. Portfolio: return=546.06%, vol=102.82%. Weights: w_VLUE=0.0000, w_AVAX-USD=0.5210, w_BNO=0.4790, w_ICSH=0.0000. | Assets: VLUE, AVAX-USD, BNO, ICSH
Annualized mean returns: VLUE:-0.0795, AVAX-USD:10.1597, BNO:0.3491, ICSH:0.0028
Covariance matrix (annualized):
[[0.017919, 0.052018, 0.022755, 2e-06], [0.052018, 3.754839, 0.036544, 0.000228], [0.022755, 0.036544, 0.086128, 1.5e-05], [2e-06, 0.000228, 1.5e-05, 7e-06]]
Risk-free rate:... | w_VLUE=0.0000, w_AVAX-USD=0.5210, w_BNO=0.4790, w_ICSH=0.0000 | 5.271728 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VLUE=0.0000, w_AVAX-USD=0.5210, w_BNO=0.4790, w_ICSH=0.0000
Portfolio annualized return: 546.06%, volatility: 102.82%
Sharpe ratio: (5.4606 - 0.0400) / 1.0282 = 5.2717 | {
"weights": {
"VLUE": 0,
"AVAX-USD": 0.521,
"BNO": 0.47900000000000004,
"ICSH": 0
},
"sharpe_ratio": 5.2717,
"portfolio_return": 5.460633,
"portfolio_vol": 1.028246,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200306_0537 | T5 | 3 | train | sideways | all | [
"XLRE",
"BTC-USD",
"IAU",
"INDS"
] | 2020-03-06T00:00:00 | 4-asset optimization. Max-Sharpe: 4.119. Portfolio: return=72.00%, vol=16.51%. Weights: w_XLRE=0.0000, w_BTC-USD=0.2200, w_IAU=0.7800, w_INDS=0.0000. | Assets: XLRE, BTC-USD, IAU, INDS
Annualized mean returns: XLRE:0.0839, BTC-USD:1.5039, IAU:0.4989, INDS:0.1181
Covariance matrix (annualized):
[[0.046259, 0.014502, 0.002225, 0.050777], [0.014502, 0.223831, 0.012105, 0.016519], [0.002225, 0.012105, 0.020169, 0.002934], [0.050777, 0.016519, 0.002934, 0.059305]]
Risk-fre... | w_XLRE=0.0000, w_BTC-USD=0.2200, w_IAU=0.7800, w_INDS=0.0000 | 4.118679 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLRE=0.0000, w_BTC-USD=0.2200, w_IAU=0.7800, w_INDS=0.0000
Portfolio annualized return: 72.00%, volatility: 16.51%
Sharpe ratio: (0.7200 - 0.0400) / 0.1651 = 4.1187 | {
"weights": {
"XLRE": 0,
"BTC-USD": 0.22,
"IAU": 0.78,
"INDS": 0
},
"sharpe_ratio": 4.1187,
"portfolio_return": 0.7199639999999999,
"portfolio_vol": 0.165093,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220921_0542 | T5 | 3 | train | sideways | all | [
"QUAL",
"DOT-USD",
"BNO",
"XHB"
] | 2022-09-21T00:00:00 | 4-asset optimization. Max-Sharpe: -0.297. Portfolio: return=-19.27%, vol=78.38%. Weights: w_QUAL=0.0000, w_DOT-USD=1.0000, w_BNO=0.0000, w_XHB=0.0000. | Assets: QUAL, DOT-USD, BNO, XHB
Annualized mean returns: QUAL:-0.2155, DOT-USD:-0.1927, BNO:-0.3513, XHB:-0.3002
Covariance matrix (annualized):
[[0.046546, 0.105096, 0.006668, 0.056599], [0.105096, 0.614322, 0.075989, 0.150025], [0.006668, 0.075989, 0.149097, 7.7e-05], [0.056599, 0.150025, 7.7e-05, 0.086897]]
Risk-fre... | w_QUAL=0.0000, w_DOT-USD=1.0000, w_BNO=0.0000, w_XHB=0.0000 | -0.296887 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QUAL=0.0000, w_DOT-USD=1.0000, w_BNO=0.0000, w_XHB=0.0000
Portfolio annualized return: -19.27%, volatility: 78.38%
Sharpe ratio: (-0.1927 - 0.0400) / 0.7838 = -0.2969 | {
"weights": {
"QUAL": 0,
"DOT-USD": 1,
"BNO": 0,
"XHB": 0
},
"sharpe_ratio": -0.2969,
"portfolio_return": -0.19269599999999998,
"portfolio_vol": 0.783787,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20191107_0551 | T5 | 3 | train | sideways | all | [
"XLRE",
"MATIC-USD",
"MORT",
"ICSH"
] | 2019-11-07T00:00:00 | 4-asset optimization. Max-Sharpe: 5.276. Portfolio: return=47.59%, vol=8.26%. Weights: w_XLRE=0.0000, w_MATIC-USD=0.0387, w_MORT=0.9613, w_ICSH=0.0000. | Assets: XLRE, MATIC-USD, MORT, ICSH
Annualized mean returns: XLRE:-0.1922, MATIC-USD:1.6358, MORT:0.4292, ICSH:0.0247
Covariance matrix (annualized):
[[0.013557, -0.011018, 0.002705, 4.3e-05], [-0.011018, 0.702993, -0.00234, 6.6e-05], [0.002705, -0.00234, 0.006434, -1.9e-05], [4.3e-05, 6.6e-05, -1.9e-05, 1.4e-05]]
Risk... | w_XLRE=0.0000, w_MATIC-USD=0.0387, w_MORT=0.9613, w_ICSH=0.0000 | 5.276322 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLRE=0.0000, w_MATIC-USD=0.0387, w_MORT=0.9613, w_ICSH=0.0000
Portfolio annualized return: 47.59%, volatility: 8.26%
Sharpe ratio: (0.4759 - 0.0400) / 0.0826 = 5.2763 | {
"weights": {
"XLRE": 0,
"MATIC-USD": 0.038700000000000005,
"MORT": 0.9613,
"ICSH": 0
},
"sharpe_ratio": 5.2763,
"portfolio_return": 0.47592399999999996,
"portfolio_vol": 0.082619,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201111_0558 | T5 | 3 | train | sideways | all | [
"FXI",
"BNB-USD",
"BIL",
"STIP"
] | 2020-11-11T00:00:00 | 4-asset optimization. Max-Sharpe: 2.816. Portfolio: return=61.21%, vol=20.32%. Weights: w_FXI=1.0000, w_BNB-USD=0.0000, w_BIL=0.0000, w_STIP=0.0000. | Assets: FXI, BNB-USD, BIL, STIP
Annualized mean returns: FXI:0.6121, BNB-USD:-0.7284, BIL:0.0000, STIP:0.0075
Covariance matrix (annualized):
[[0.041289, 0.009694, 2.8e-05, 9.1e-05], [0.009694, 0.466563, 0.000251, 0.001748], [2.8e-05, 0.000251, 2e-06, 2e-06], [9.1e-05, 0.001748, 2e-06, 0.000122]]
Risk-free rate: 4.00%
... | w_FXI=1.0000, w_BNB-USD=0.0000, w_BIL=0.0000, w_STIP=0.0000 | 2.815524 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_FXI=1.0000, w_BNB-USD=0.0000, w_BIL=0.0000, w_STIP=0.0000
Portfolio annualized return: 61.21%, volatility: 20.32%
Sharpe ratio: (0.6121 - 0.0400) / 0.2032 = 2.8155 | {
"weights": {
"FXI": 1,
"BNB-USD": 0,
"BIL": 0,
"STIP": 0
},
"sharpe_ratio": 2.8155,
"portfolio_return": 0.612105,
"portfolio_vol": 0.203197,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220811_0563 | T5 | 3 | train | sideways | all | [
"USMV",
"BTC-USD",
"TLT",
"PPLT"
] | 2022-08-11T00:00:00 | 4-asset optimization. Max-Sharpe: 2.578. Portfolio: return=39.57%, vol=13.80%. Weights: w_USMV=0.7592, w_BTC-USD=0.0000, w_TLT=0.2408, w_PPLT=0.0000. | Assets: USMV, BTC-USD, TLT, PPLT
Annualized mean returns: USMV:0.4390, BTC-USD:-0.1119, TLT:0.2593, PPLT:-0.1904
Covariance matrix (annualized):
[[0.02754, 0.058913, 0.001861, 0.012725], [0.058913, 0.413985, -0.005317, 0.07911], [0.001861, -0.005317, 0.042855, 0.004037], [0.012725, 0.07911, 0.004037, 0.072547]]
Risk-fr... | w_USMV=0.7592, w_BTC-USD=0.0000, w_TLT=0.2408, w_PPLT=0.0000 | 2.578292 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_USMV=0.7592, w_BTC-USD=0.0000, w_TLT=0.2408, w_PPLT=0.0000
Portfolio annualized return: 39.57%, volatility: 13.80%
Sharpe ratio: (0.3957 - 0.0400) / 0.1380 = 2.5783 | {
"weights": {
"USMV": 0.7592,
"BTC-USD": 0,
"TLT": 0.24080000000000001,
"PPLT": 0
},
"sharpe_ratio": 2.5783,
"portfolio_return": 0.395746,
"portfolio_vol": 0.137977,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190614_0566 | T5 | 3 | train | sideways | all | [
"XLK",
"ADA-USD",
"SCHH",
"ICSH"
] | 2019-06-14T00:00:00 | 4-asset optimization. Max-Sharpe: 0.289. Portfolio: return=8.18%, vol=14.49%. Weights: w_XLK=0.0000, w_ADA-USD=0.0035, w_SCHH=0.9965, w_ICSH=0.0000. | Assets: XLK, ADA-USD, SCHH, ICSH
Annualized mean returns: XLK:-0.0031, ADA-USD:0.0651, SCHH:0.0819, ICSH:0.0372
Covariance matrix (annualized):
[[0.038422, 0.011605, 0.00757, -0.000122], [0.011605, 0.74862, 0.010022, -0.000634], [0.00757, 0.010022, 0.021062, -6.3e-05], [-0.000122, -0.000634, -6.3e-05, 1.2e-05]]
Risk-fr... | w_XLK=0.0000, w_ADA-USD=0.0035, w_SCHH=0.9965, w_ICSH=0.0000 | 0.288601 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLK=0.0000, w_ADA-USD=0.0035, w_SCHH=0.9965, w_ICSH=0.0000
Portfolio annualized return: 8.18%, volatility: 14.49%
Sharpe ratio: (0.0818 - 0.0400) / 0.1449 = 0.2886 | {
"weights": {
"XLK": 0,
"ADA-USD": 0.0035,
"SCHH": 0.9965,
"ICSH": 0
},
"sharpe_ratio": 0.2886,
"portfolio_return": 0.081817,
"portfolio_vol": 0.144895,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20191017_0573 | T5 | 3 | train | sideways | all | [
"XLB",
"LINK-USD",
"BNO",
"BIL"
] | 2019-10-17T00:00:00 | 4-asset optimization. Max-Sharpe: 0.486. Portfolio: return=11.85%, vol=16.14%. Weights: w_XLB=1.0000, w_LINK-USD=0.0000, w_BNO=0.0000, w_BIL=0.0000. | Assets: XLB, LINK-USD, BNO, BIL
Annualized mean returns: XLB:0.1185, LINK-USD:-0.1930, BNO:-0.1014, BIL:0.0187
Covariance matrix (annualized):
[[0.026064, -0.032653, 0.007988, 5.4e-05], [-0.032653, 0.602569, -0.071004, 3.6e-05], [0.007988, -0.071004, 0.108047, -9.2e-05], [5.4e-05, 3.6e-05, -9.2e-05, 4e-06]]
Risk-free r... | w_XLB=1.0000, w_LINK-USD=0.0000, w_BNO=0.0000, w_BIL=0.0000 | 0.485932 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLB=1.0000, w_LINK-USD=0.0000, w_BNO=0.0000, w_BIL=0.0000
Portfolio annualized return: 11.85%, volatility: 16.14%
Sharpe ratio: (0.1185 - 0.0400) / 0.1614 = 0.4859 | {
"weights": {
"XLB": 1,
"LINK-USD": 0,
"BNO": 0,
"BIL": 0
},
"sharpe_ratio": 0.4859,
"portfolio_return": 0.11845000000000001,
"portfolio_vol": 0.161443,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200806_0580 | T5 | 3 | train | sideways | all | [
"FXI",
"ETH-USD",
"MORT",
"SLV"
] | 2020-08-06T00:00:00 | 4-asset optimization. Max-Sharpe: 6.496. Portfolio: return=210.57%, vol=31.80%. Weights: w_FXI=0.0000, w_ETH-USD=0.2981, w_MORT=0.0000, w_SLV=0.7019. | Assets: FXI, ETH-USD, MORT, SLV
Annualized mean returns: FXI:-0.0184, ETH-USD:2.0441, MORT:-0.0518, SLV:2.1318
Covariance matrix (annualized):
[[0.065454, 0.048781, 0.02268, 0.02747], [0.048781, 0.19627, 0.058497, 0.056405], [0.02268, 0.058497, 0.14168, 0.044457], [0.02747, 0.056405, 0.044457, 0.12193]]
Risk-free rate:... | w_FXI=0.0000, w_ETH-USD=0.2981, w_MORT=0.0000, w_SLV=0.7019 | 6.496148 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_FXI=0.0000, w_ETH-USD=0.2981, w_MORT=0.0000, w_SLV=0.7019
Portfolio annualized return: 210.57%, volatility: 31.80%
Sharpe ratio: (2.1057 - 0.0400) / 0.3180 = 6.4961 | {
"weights": {
"FXI": 0,
"ETH-USD": 0.29810000000000003,
"MORT": 0,
"SLV": 0.7019000000000001
},
"sharpe_ratio": 6.4961,
"portfolio_return": 2.10569,
"portfolio_vol": 0.31798699999999996,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190606_0585 | T5 | 3 | train | sideways | all | [
"XLE",
"BTC-USD",
"INDS",
"CPER"
] | 2019-06-06T00:00:00 | 4-asset optimization. Max-Sharpe: 1.272. Portfolio: return=27.29%, vol=18.31%. Weights: w_XLE=0.0000, w_BTC-USD=0.2199, w_INDS=0.7801, w_CPER=0.0000. | Assets: XLE, BTC-USD, INDS, CPER
Annualized mean returns: XLE:-0.7462, BTC-USD:0.5444, INDS:0.1964, CPER:-0.5867
Covariance matrix (annualized):
[[0.032369, -0.012024, 0.002013, 0.012016], [-0.012024, 0.309634, 0.005759, -0.002928], [0.002013, 0.005759, 0.027224, 0.001236], [0.012016, -0.002928, 0.001236, 0.030518]]
Ri... | w_XLE=0.0000, w_BTC-USD=0.2199, w_INDS=0.7801, w_CPER=0.0000 | 1.272237 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLE=0.0000, w_BTC-USD=0.2199, w_INDS=0.7801, w_CPER=0.0000
Portfolio annualized return: 27.29%, volatility: 18.31%
Sharpe ratio: (0.2729 - 0.0400) / 0.1831 = 1.2722 | {
"weights": {
"XLE": 0,
"BTC-USD": 0.2199,
"INDS": 0.7801,
"CPER": 0
},
"sharpe_ratio": 1.2722,
"portfolio_return": 0.272927,
"portfolio_vol": 0.183085,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210715_0594 | T5 | 3 | train | sideways | all | [
"USMV",
"ADA-USD",
"SGOV",
"XHB"
] | 2021-07-15T00:00:00 | 4-asset optimization. Max-Sharpe: 2.201. Portfolio: return=22.43%, vol=8.37%. Weights: w_USMV=1.0000, w_ADA-USD=0.0000, w_SGOV=0.0000, w_XHB=0.0000. | Assets: USMV, ADA-USD, SGOV, XHB
Annualized mean returns: USMV:0.2243, ADA-USD:-2.9859, SGOV:-0.0001, XHB:-0.3418
Covariance matrix (annualized):
[[0.007012, 0.017281, 1.4e-05, 0.007221], [0.017281, 1.637473, -8e-06, 0.028598], [1.4e-05, -8e-06, 1e-06, 4e-06], [0.007221, 0.028598, 4e-06, 0.033262]]
Risk-free rate: 4.00... | w_USMV=1.0000, w_ADA-USD=0.0000, w_SGOV=0.0000, w_XHB=0.0000 | 2.201087 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_USMV=1.0000, w_ADA-USD=0.0000, w_SGOV=0.0000, w_XHB=0.0000
Portfolio annualized return: 22.43%, volatility: 8.37%
Sharpe ratio: (0.2243 - 0.0400) / 0.0837 = 2.2011 | {
"weights": {
"USMV": 1,
"ADA-USD": 0,
"SGOV": 0,
"XHB": 0
},
"sharpe_ratio": 2.2011,
"portfolio_return": 0.224319,
"portfolio_vol": 0.08374000000000001,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20181011_0599 | T5 | 3 | train | sideways | all | [
"XLE",
"LINK-USD",
"SLV",
"VNQI"
] | 2018-10-11T00:00:00 | 4-asset optimization. Max-Sharpe: 3.362. Portfolio: return=292.76%, vol=85.88%. Weights: w_XLE=0.0000, w_LINK-USD=1.0000, w_SLV=0.0000, w_VNQI=0.0000. | Assets: XLE, LINK-USD, SLV, VNQI
Annualized mean returns: XLE:0.0459, LINK-USD:2.9276, SLV:-0.3958, VNQI:-0.4173
Covariance matrix (annualized):
[[0.026262, 0.009059, 0.015833, 0.010774], [0.009059, 0.737619, 0.038093, 0.038926], [0.015833, 0.038093, 0.035561, 0.010266], [0.010774, 0.038926, 0.010266, 0.016321]]
Risk-f... | w_XLE=0.0000, w_LINK-USD=1.0000, w_SLV=0.0000, w_VNQI=0.0000 | 3.362229 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLE=0.0000, w_LINK-USD=1.0000, w_SLV=0.0000, w_VNQI=0.0000
Portfolio annualized return: 292.76%, volatility: 85.88%
Sharpe ratio: (2.9276 - 0.0400) / 0.8588 = 3.3622 | {
"weights": {
"XLE": 0,
"LINK-USD": 1,
"SLV": 0,
"VNQI": 0
},
"sharpe_ratio": 3.3622,
"portfolio_return": 2.927642,
"portfolio_vol": 0.858848,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220328_0602 | T5 | 3 | train | sideways | all | [
"^VIX",
"SOL-USD",
"ICSH",
"INDS"
] | 2022-03-28T00:00:00 | 4-asset optimization. Max-Sharpe: 2.383. Portfolio: return=153.42%, vol=62.72%. Weights: w_^VIX=0.0000, w_SOL-USD=0.6851, w_ICSH=0.0000, w_INDS=0.3149. | Assets: ^VIX, SOL-USD, ICSH, INDS
Annualized mean returns: ^VIX:-2.6371, SOL-USD:2.1811, ICSH:-0.0218, INDS:0.1270
Covariance matrix (annualized):
[[1.569319, -0.490206, -0.001418, -0.160048], [-0.490206, 0.816531, 0.000859, 0.013323], [-0.001418, 0.000859, 3.8e-05, 0.000356], [-0.160048, 0.013323, 0.000356, 0.043778]]... | w_^VIX=0.0000, w_SOL-USD=0.6851, w_ICSH=0.0000, w_INDS=0.3149 | 2.382563 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_^VIX=0.0000, w_SOL-USD=0.6851, w_ICSH=0.0000, w_INDS=0.3149
Portfolio annualized return: 153.42%, volatility: 62.72%
Sharpe ratio: (1.5342 - 0.0400) / 0.6272 = 2.3826 | {
"weights": {
"^VIX": 0,
"SOL-USD": 0.6851,
"ICSH": 0,
"INDS": 0.3149
},
"sharpe_ratio": 2.3826,
"portfolio_return": 1.534249,
"portfolio_vol": 0.62716,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210603_0604 | T5 | 3 | train | sideways | all | [
"VLUE",
"MATIC-USD",
"PPLT",
"SHV"
] | 2021-06-03T00:00:00 | 4-asset optimization. Max-Sharpe: 4.966. Portfolio: return=261.75%, vol=51.90%. Weights: w_VLUE=0.8097, w_MATIC-USD=0.1903, w_PPLT=0.0000, w_SHV=0.0000. | Assets: VLUE, MATIC-USD, PPLT, SHV
Annualized mean returns: VLUE:0.2564, MATIC-USD:12.6613, PPLT:-0.0843, SHV:0.0000
Covariance matrix (annualized):
[[0.020143, 0.033146, 0.014383, 1.1e-05], [0.033146, 6.788353, 0.067552, -0.000355], [0.014383, 0.067552, 0.057897, -2e-06], [1.1e-05, -0.000355, -2e-06, 1e-06]]
Risk-free... | w_VLUE=0.8097, w_MATIC-USD=0.1903, w_PPLT=0.0000, w_SHV=0.0000 | 4.966453 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VLUE=0.8097, w_MATIC-USD=0.1903, w_PPLT=0.0000, w_SHV=0.0000
Portfolio annualized return: 261.75%, volatility: 51.90%
Sharpe ratio: (2.6175 - 0.0400) / 0.5190 = 4.9665 | {
"weights": {
"VLUE": 0.8097000000000001,
"MATIC-USD": 0.1903,
"PPLT": 0,
"SHV": 0
},
"sharpe_ratio": 4.9665,
"portfolio_return": 2.617521,
"portfolio_vol": 0.518986,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
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