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learnfinance-models-ppo-with-patchtst

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learnfinance-models-ppo-with-patchtst
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{
  "model_type": "ppo_patchtst",
  "version": "v2026-01-09-115ed1fe4710",
  "created_at": "2026-01-12T05:38:56.232059+00:00",
  "data_window": {
    "start": "2011-01-01",
    "end": "2026-01-09"
  },
  "symbols": [
    "AAPL",
    "NVDA",
    "MSFT",
    "TSM",
    "GOOGL",
    "META",
    "AVGO",
    "TSLA",
    "SAP",
    "LLY",
    "XOM",
    "JNJ",
    "TOELY",
    "AMD",
    "ABBV"
  ],
  "config": {
    "hidden_sizes": [
      64,
      64
    ],
    "activation": "tanh",
    "learning_rate": 0.0003,
    "clip_epsilon": 0.2,
    "gae_lambda": 0.95,
    "gamma": 0.99,
    "entropy_coef": 0.01,
    "value_coef": 0.5,
    "max_grad_norm": 0.5,
    "n_epochs": 10,
    "batch_size": 64,
    "rollout_steps": 52,
    "total_timesteps": 10000,
    "cost_bps": 10,
    "cash_buffer": 0.02,
    "max_position_weight": 0.2,
    "reward_scale": 100.0,
    "n_stocks": 15,
    "seed": 42,
    "validation_years": 2,
    "min_sharpe_improvement": 0.0,
    "patchtst_version": null,
    "training_years": 10,
    "n_eval_folds": 3
  },
  "metrics": {
    "policy_loss": -0.030133440821932922,
    "value_loss": 10.962506198883057,
    "avg_episode_return": 0.0,
    "avg_episode_sharpe": 0.0,
    "eval_sharpe": 2.3419447081622793,
    "eval_cagr": 0.42142641165055816,
    "eval_max_drawdown": 0.07423796421125513
  },
  "promoted": true,
  "prior_version": "v2026-01-10-2b2043197e8a"
}