results.json
2.1 KB · 72 lines · json Raw
1 {
2 "2010": {
3 "split": "2010",
4 "train_start": "2005-01-01",
5 "train_end": "2009-12-31",
6 "test_start": "2010-01-01",
7 "test_end": "2010-12-31",
8 "bear_threshold": -0.002,
9 "bull_threshold": -0.003,
10 "best_iter": 1,
11 "val_avg_excess": -0.0006996662802474628,
12 "strat_final_return_pct": 24.04376565032309,
13 "bh_final_return_pct": 24.1058185596029,
14 "excess_vs_bh_pct": -0.06205290927980833
15 },
16 "2018": {
17 "split": "2018",
18 "train_start": "2005-01-01",
19 "train_end": "2017-12-31",
20 "test_start": "2018-01-01",
21 "test_end": "2018-12-31",
22 "bear_threshold": -0.002,
23 "bull_threshold": -0.003,
24 "best_iter": 90,
25 "val_avg_excess": -0.003261361440700389,
26 "strat_final_return_pct": 12.805702645656458,
27 "bh_final_return_pct": 0.951417722057113,
28 "excess_vs_bh_pct": 11.854284923599344
29 },
30 "2020": {
31 "split": "2020",
32 "train_start": "2005-01-01",
33 "train_end": "2019-12-31",
34 "test_start": "2020-01-01",
35 "test_end": "2020-12-31",
36 "bear_threshold": -0.00175,
37 "bull_threshold": -0.003,
38 "best_iter": 280,
39 "val_avg_excess": 0.17789174160157648,
40 "strat_final_return_pct": 56.0589023713193,
41 "bh_final_return_pct": 34.04615056246381,
42 "excess_vs_bh_pct": 22.01275180885549
43 },
44 "2022": {
45 "split": "2022",
46 "train_start": "2005-01-01",
47 "train_end": "2021-12-31",
48 "test_start": "2022-01-01",
49 "test_end": "2022-12-31",
50 "bear_threshold": -0.002,
51 "bull_threshold": -0.003,
52 "best_iter": 1,
53 "val_avg_excess": -0.0009472722765065571,
54 "strat_final_return_pct": -22.428052569293932,
55 "bh_final_return_pct": -22.389247192890373,
56 "excess_vs_bh_pct": -0.03880537640356119
57 },
58 "live": {
59 "split": "live",
60 "train_start": "2005-01-01",
61 "train_end": "2025-04-23",
62 "test_start": "2025-04-24",
63 "test_end": "2026-04-23",
64 "bear_threshold": -0.00125,
65 "bull_threshold": -0.003,
66 "best_iter": 120,
67 "val_avg_excess": 0.11865230925168409,
68 "strat_final_return_pct": 25.52505010115398,
69 "bh_final_return_pct": 28.727982490630133,
70 "excess_vs_bh_pct": -3.202932389476154
71 }
72 }