Nouveau protocole candidat L4/L5
Protocol v5 — paniers synthétiques Train-only
Train12m / Val6m / Test1m. Les paniers synthétiques seedés augmentent uniquement Train pour l'évaluation principale; Val/Test restent le panier original. Le full synthetic est secondaire.
Configs testées27
Best Test score-0.51
Best Test gain6.7%
Paniers diag256
Leaderboard Test original
| Config | Seuil | Val score | Test score | Test gain | Test DD | Worst month | Full synth score | Temps |
|---|---|---|---|---|---|---|---|---|
| Synth long/short 96 + inverses / time p1-p99 minmax synv5_0012_synth_longshort96_time_p1p99 · synth_longshort96_time_p1p99 | p70 | -11.76 | -0.51 | 6.71% | -4.81% | -4.24% | -5.29 | 0.6m |
| Long-only normalized 24 + inverse short / Ridge time p1-p99 synv5_0027_synth_longonly24_p1p99_ridge · synth_longonly24_p1p99_ridge | p50 | -5.46 | -4.95 | 6.86% | -7.87% | -3.53% | -16.22 | 0.2m |
| Synth long/short 96 + inverses / Huber time p1-p99 synv5_0014_synth_longshort96_p1p99_huber · synth_longshort96_p1p99_huber | p80 | -5.27 | -6.09 | 4.22% | -6.88% | -4.48% | -2.03 | 0.7m |
| Synth long/short 48 + inverses / time p1-p99 minmax synv5_0005_synth_longshort48_time_p1p99 · synth_longshort48_time_p1p99 | p80 | -3.28 | -7.62 | -0.37% | -4.84% | -3.57% | -5.53 | 0.3m |
| RAW long-only 96 + inverse short / Huber time p1-p99 synv5_0023_synth_rawlong96_p1p99_huber · synth_rawlong96_p1p99_huber | p80 | -5.39 | -7.71 | 2.27% | -6.66% | -3.69% | -34.52 | 0.7m |
| Synth mixed 48 + inverses / zscore synv5_0003_synth_mixed48_zscore · synth_mixed48_zscore | p70 | -7.84 | -9.52 | 0.51% | -6.69% | -4.66% | -4.73 | 0.3m |
| Synth long/short 96 + inverses / Huber zscore synv5_0013_synth_longshort96_zscore_huber · synth_longshort96_zscore_huber | p80 | -5.85 | -10.18 | 1.54% | -7.81% | -3.44% | -2.02 | 0.6m |
| Long-only normalized 96 + inverse short / Huber time p1-p99 synv5_0025_synth_longonly96_p1p99_huber · synth_longonly96_p1p99_huber | p80 | -5.43 | -11.24 | 0.58% | -7.88% | -4.33% | -7.41 | 0.7m |
| Synth long/short 24 + inverses / time p1-p99 minmax synv5_0008_synth_longshort24_time_p1p99 · synth_longshort24_time_p1p99 | p80 | -0.77 | -12.82 | -3.89% | -5.95% | -2.50% | -4.96 | 0.1m |
| Long-only normalized 96 + inverse short / Ridge zscore synv5_0026_synth_longonly96_zscore_ridge · synth_longonly96_zscore_ridge | p70 | -7.50 | -13.82 | -2.21% | -7.74% | -3.40% | -11.44 | 0.7m |
| RAW long-only 96 + inverse short / Ridge zscore synv5_0022_synth_rawlong96_zscore_ridge · synth_rawlong96_zscore_ridge | p70 | -7.60 | -15.15 | -2.51% | -8.42% | -4.19% | -79.98 | 0.6m |
| Synth long/short 96 + inverses / Ridge time p0.1-p99.9 synv5_0016_synth_longshort96_p01p999_ridge · synth_longshort96_p01p999_ridge | p80 | -8.78 | -15.30 | -2.31% | -8.66% | -3.53% | -4.22 | 0.7m |
| Synth mixed 96 + inverses / time p1-p99 minmax synv5_0010_synth_mixed96_time_p1p99 · synth_mixed96_time_p1p99 | p60 | -5.48 | -15.50 | -1.54% | -9.31% | -5.77% | -4.21 | 0.7m |
| Synth mixed 24 + inverses / zscore synv5_0002_synth_mixed24_zscore · synth_mixed24_zscore | p50 | -7.66 | -17.27 | -4.00% | -8.85% | -4.28% | -6.49 | 0.2m |
| Synth long/short 48 + inverses / zscore synv5_0007_synth_longshort48_zscore · synth_longshort48_zscore | p80 | -7.17 | -20.57 | -4.91% | -10.44% | -4.30% | -4.28 | 0.3m |
| Synth long/short 96 + inverses / SGD Huber time p1-p99 synv5_0017_synth_longshort96_p1p99_sgd_huber · synth_longshort96_p1p99_sgd_huber | p50 | -4.62 | -21.36 | -5.91% | -10.30% | -5.10% | -2.58 | 0.7m |
| Synth long/short 96 + inverses / Ridge time p5-p95 synv5_0015_synth_longshort96_p5p95_ridge · synth_longshort96_p5p95_ridge | p70 | -0.46 | -24.07 | -9.05% | -10.02% | -6.97% | -8.15 | 0.7m |
| Synth long-only 48 + inverses / time p1-p99 minmax synv5_0006_synth_longonly48_time_p1p99 · synth_longonly48_time_p1p99 | p60 | -4.92 | -24.32 | -7.46% | -11.24% | -5.83% | -13.64 | 0.3m |
| Long-only normalized 96 + inverse short / Ridge time p1-p99 synv5_0024_synth_longonly96_p1p99_ridge · synth_longonly96_p1p99_ridge | p60 | -6.21 | -28.65 | -10.13% | -12.34% | -5.66% | -9.08 | 0.7m |
| Baseline original only / zscore synv5_0001_baseline_original_zscore · baseline_original_zscore | p80 | -9.32 | -28.84 | -7.06% | -14.52% | -6.76% | — | 0.0m |
| Synth mixed 48 + inverses / time p1-p99 minmax synv5_0004_synth_mixed48_time_p1p99 · synth_mixed48_time_p1p99 | p50 | -10.19 | -32.20 | -11.00% | -14.13% | -7.14% | -3.74 | 0.3m |
| Synth long/short 96 + inverses / ExtraTrees shallow time p1-p99 synv5_0019_synth_longshort96_p1p99_extratrees · synth_longshort96_p1p99_extratrees | p0 | -18.48 | -32.60 | -2.82% | -19.85% | -8.08% | -2.08 | 0.8m |
| Synth mixed 96 + inverses / zscore synv5_0009_synth_mixed96_zscore · synth_mixed96_zscore | p50 | -6.77 | -33.07 | -11.46% | -14.41% | -5.87% | -7.52 | 0.7m |
| RAW long-only 96 + inverse short / Ridge time p1-p99 synv5_0021_synth_rawlong96_p1p99_ridge · synth_rawlong96_p1p99_ridge | p50 | -5.82 | -36.12 | -12.53% | -15.73% | -5.97% | -57.62 | 0.6m |
| Synth mixed 48 sans inverses / zscore synv5_0011_synth_mixed48_noinv_zscore · synth_mixed48_noinv_zscore | p0 | -9.38 | -38.65 | -6.25% | -21.60% | -5.82% | -10.49 | 0.2m |
| RAW long-only 48 + inverse short / Ridge time p1-p99 synv5_0020_synth_rawlong48_p1p99_ridge · synth_rawlong48_p1p99_ridge | p50 | -2.78 | -43.99 | -15.55% | -18.96% | -5.65% | -114.15 | 0.3m |
| Synth long/short 96 + inverses / SGD epsilon-insensitive time p1-p99 synv5_0018_synth_longshort96_p1p99_sgd_epsilon · synth_longshort96_p1p99_sgd_epsilon | p60 | -7.25 | -55.47 | -21.72% | -22.50% | -8.27% | -8.52 | 0.7m |
Lecture
On compare d'abord la performance sur panier original. C'est le signal qui compte pour une future bascule; le full synthetic indique seulement si la tâche générale portefeuille est apprenable.
Graphiques
