File size: 2,908 Bytes
62e9b0b ab9c8d8 85a7150 62e9b0b 8ed14f5 62e9b0b 85a7150 62e9b0b ab9c8d8 62e9b0b 62e1102 2fa586e a9dbff5 85a7150 62e1102 62e9b0b ab9c8d8 62e9b0b ab9c8d8 62e9b0b ab9c8d8 62e1102 ab9c8d8 72fbf8d ab9c8d8 62e1102 ab9c8d8 62e9b0b 8ed14f5 62e9b0b ac7246c 62e9b0b | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 | {
"option": "A",
"trained_at": "2026-05-25T04:57:51.108147",
"elapsed_sec": 144.6,
"n_params": 129616,
"n_assets": 8,
"tickers": [
"TLT",
"LQD",
"HYG",
"VNQ",
"GLD",
"SLV",
"PFF",
"MBB"
],
"include_cash": false,
"n_asset_feats": 8,
"n_macro_feats": 19,
"lookback": 60,
"loss_fn": "sharpe",
"best_val_loss": -0.879164,
"best_val_sharpe": 0.6862,
"best_val_ann_return": 0.1129,
"test_loss": -1.41139,
"test_sharpe": 1.4605,
"test_ann_return": 0.1235,
"splits": {
"n_train": 3196,
"n_val": 684,
"n_test": 686,
"train_start": "2008-04-01",
"train_end": "2020-12-07",
"val_end": "2023-08-28",
"test_end": "2026-05-22"
},
"history": {
"train_loss": [
-0.992945,
-1.45143,
-1.540951,
-1.685154,
-1.870612,
-1.748815,
-1.938981,
-2.110942,
-2.105661,
-2.206476,
-2.268431,
-2.326567,
-2.656798,
-2.765741,
-3.122561,
-3.035434,
-3.13508,
-3.194659,
-3.530786,
-3.419781,
-4.005,
-4.226088,
-4.347215,
-4.751008,
-4.976809,
-4.948935,
-5.322707,
-5.313893,
-5.658325
],
"val_loss": [
0.300574,
0.227434,
0.200551,
0.212711,
0.1049,
0.036959,
-0.630202,
-0.520822,
-0.865805,
-0.594484,
-0.322257,
-0.573737,
-0.276244,
-0.879164,
-0.41081,
-0.442301,
-0.377779,
-0.473517,
-0.685863,
-0.588466,
-0.529467,
-0.559037,
-0.512239,
-0.492644,
-0.457687,
-0.45257,
-0.430487,
-0.381863,
-0.438311
],
"val_sharpe": [
-0.3563,
-0.3589,
-0.2815,
-0.265,
-0.1634,
-0.0664,
0.3872,
0.3776,
0.5479,
0.3269,
0.2135,
0.3601,
0.0519,
0.6862,
0.2493,
0.6573,
0.4077,
0.2747,
0.529,
0.5093,
0.4755,
0.4303,
0.4659,
0.4385,
0.3995,
0.3698,
0.4497,
0.3631,
0.4143
],
"val_ann_return": [
-0.0314,
-0.031,
-0.0252,
-0.0249,
-0.0165,
-0.0084,
0.0552,
0.0479,
0.0893,
0.0511,
0.0239,
0.0501,
0.0062,
0.1129,
0.0393,
0.0863,
0.0608,
0.0478,
0.09,
0.0801,
0.0792,
0.0714,
0.0737,
0.0735,
0.0663,
0.064,
0.0748,
0.0622,
0.0719
]
},
"config": {
"asset_hidden_dim": 64,
"macro_hidden_dim": 64,
"graph_hidden_dim": 64,
"n_attn_heads": 2,
"dropout": 0.2,
"lr": 0.001,
"batch_size": 64,
"max_epochs": 150,
"patience": 15,
"evar_beta": 0.95
},
"winning_loss": "sharpe"
} |