Configs synthetic v5

ID	Label	N paniers	Mode	Scaler	Inverses
baseline_original_zscore	Baseline original only / Ridge zscore	0	none	zscore	False
synth_mixed24_zscore	Synth mixed 24 + inverses / Ridge zscore	24	mixed	zscore	True
synth_mixed48_zscore	Synth mixed 48 + inverses / Ridge zscore	48	mixed	zscore	True
synth_mixed48_time_p1p99	Synth mixed 48 + inverses / Ridge time p1-p99	48	mixed	time_p1p99_minmax	True
synth_longshort48_time_p1p99	Synth long/short 48 + inverses / Ridge time p1-p99	48	long_short	time_p1p99_minmax	True
synth_longonly48_time_p1p99	Synth long-only 48 + inverses / Ridge time p1-p99	48	long_only	time_p1p99_minmax	True
synth_longshort48_zscore	Synth long/short 48 + inverses / Ridge zscore	48	long_short	zscore	True
synth_longshort24_time_p1p99	Synth long/short 24 + inverses / Ridge time p1-p99	24	long_short	time_p1p99_minmax	True
synth_mixed96_zscore	Synth mixed 96 + inverses / Ridge zscore	96	mixed	zscore	True
synth_mixed96_time_p1p99	Synth mixed 96 + inverses / Ridge time p1-p99	96	mixed	time_p1p99_minmax	True
synth_mixed48_noinv_zscore	Synth mixed 48 sans inverses / Ridge zscore	48	mixed	zscore	False
synth_longshort96_time_p1p99	Synth long/short 96 + inverses / Ridge time p1-p99	96	long_short	time_p1p99_minmax	True
synth_longshort96_zscore_huber	Synth long/short 96 + inverses / Huber zscore	96	long_short	zscore	True
synth_longshort96_p1p99_huber	Synth long/short 96 + inverses / Huber time p1-p99	96	long_short	time_p1p99_minmax	True
synth_longshort96_p5p95_ridge	Synth long/short 96 + inverses / Ridge time p5-p95	96	long_short	time_p5p95_minmax	True
synth_longshort96_p01p999_ridge	Synth long/short 96 + inverses / Ridge time p0.1-p99.9	96	long_short	time_p01p999_minmax	True
synth_longshort96_p1p99_sgd_huber	Synth long/short 96 + inverses / SGD Huber time p1-p99	96	long_short	time_p1p99_minmax	True
synth_longshort96_p1p99_sgd_epsilon	Synth long/short 96 + inverses / SGD epsilon-insensitive time p1-p99	96	long_short	time_p1p99_minmax	True
synth_longshort96_p1p99_extratrees	Synth long/short 96 + inverses / ExtraTrees shallow time p1-p99	96	long_short	time_p1p99_minmax	True
synth_rawlong48_p1p99_ridge	RAW long-only 48 + inverse short / Ridge time p1-p99	48	long_only	time_p1p99_minmax	True
synth_rawlong96_p1p99_ridge	RAW long-only 96 + inverse short / Ridge time p1-p99	96	long_only	time_p1p99_minmax	True
synth_rawlong96_zscore_ridge	RAW long-only 96 + inverse short / Ridge zscore	96	long_only	zscore	True
synth_rawlong96_p1p99_huber	RAW long-only 96 + inverse short / Huber time p1-p99	96	long_only	time_p1p99_minmax	True
synth_longonly96_p1p99_ridge	Long-only normalized 96 + inverse short / Ridge time p1-p99	96	long_only	time_p1p99_minmax	True
synth_longonly96_p1p99_huber	Long-only normalized 96 + inverse short / Huber time p1-p99	96	long_only	time_p1p99_minmax	True
synth_longonly96_zscore_ridge	Long-only normalized 96 + inverse short / Ridge zscore	96	long_only	zscore	True
synth_longonly24_p1p99_ridge	Long-only normalized 24 + inverse short / Ridge time p1-p99	24	long_only	time_p1p99_minmax	True

Diagnostic

{
  "n_assets": 10,
  "assets": [
    "ADA_ret",
    "BCH_ret",
    "BNB_ret",
    "BTC_ret",
    "DOT_ret",
    "ETH_ret",
    "LINK_ret",
    "SOL_ret",
    "SUI_ret",
    "XRP_ret"
  ],
  "n_synthetic_with_inverses": 256,
  "synthetic_step_std_median": 0.016599822516472344,
  "synthetic_step_std_p10": 0.007192590004706748,
  "synthetic_step_std_p90": 0.02060848756067646,
  "orig_step_std": 0.018489066233023193,
  "synthetic_corr_to_orig_median": 0.0,
  "synthetic_corr_to_orig_p10": -0.9761221100700332,
  "synthetic_corr_to_orig_p90": 0.9761221100700332
}