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Dennis Thiessen
2026-07-23 16:38:13 +02:00
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reports/fundamentals-overlay-20260723-135627-arms.csv
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arm,composite,weight,window,sharpe,sharpe_se,dsr,cagr_pct,max_drawdown_pct,calmar,trades,overlap_pct,top5_pnl_share_pct,avg_r_ex_top5
control_w00,,0.0,train,1.26,0.764,0.4607,32.5,18.5,1.76,195,,67.83,0.2729
control_w00,,0.0,validation,2.52,0.938,0.8309,71.3,14.8,4.82,106,,69.13,0.357
control_w00,,0.0,test,1.99,0.81,0.7757,54.4,19.2,2.83,188,,62.82,0.1591
control_w00,,0.0,full,1.86,0.49,0.9807,52.1,22.3,2.34,483,,38.74,0.4132
quality_w10,quality,0.1,train,1.66,0.772,0.6629,45.4,16.9,2.68,183,57.5,63.51,0.2957
quality_w10,quality,0.1,validation,2.44,0.941,0.8077,68.8,17.3,3.98,107,65.12,70.53,0.3518
quality_w10,quality,0.1,test,1.7,0.805,0.6562,43.8,18.8,2.33,189,60.43,72.18,0.1424
quality_w10,quality,0.1,full,1.91,0.493,0.9845,53.3,21.6,2.46,470,59.1,39.96,0.4105
quality_w20,quality,0.2,train,1.64,0.77,0.6538,44.4,17.4,2.55,181,42.42,61.16,0.2545
quality_w20,quality,0.2,validation,2.28,0.953,0.7551,59.4,18.6,3.19,111,53.9,79.91,0.3052
quality_w20,quality,0.2,test,1.49,0.805,0.5562,35.9,18.6,1.93,189,44.44,80.74,0.136
quality_w20,quality,0.2,full,1.75,0.493,0.9666,46.6,20.7,2.26,478,44.73,44.1,0.3938
quality_w30,quality,0.3,train,1.69,0.767,0.6781,45.0,17.3,2.6,176,39.47,48.72,0.3464
quality_w30,quality,0.3,validation,1.83,0.948,0.5869,42.9,18.8,2.28,111,51.75,83.6,0.2918
quality_w30,quality,0.3,test,1.3,0.801,0.4621,28.9,18.6,1.56,189,41.73,94.0,0.1314
quality_w30,quality,0.3,full,1.57,0.491,0.9297,39.1,19.6,2.0,469,41.25,43.46,0.4265
quality_w40,quality,0.4,train,1.73,0.772,0.6954,46.5,18.2,2.55,190,31.85,48.84,0.3179
quality_w40,quality,0.4,validation,1.58,0.944,0.4824,36.8,19.0,1.94,110,48.97,101.05,0.2815
quality_w40,quality,0.4,test,1.18,0.812,0.4045,24.2,18.0,1.35,193,34.63,110.57,0.0845
quality_w40,quality,0.4,full,1.39,0.494,0.8643,33.0,23.8,1.39,492,34.11,47.94,0.3366
growth_w10,growth,0.1,train,1.24,0.769,0.4506,31.1,18.2,1.71,190,53.39,70.42,0.2227
growth_w10,growth,0.1,validation,2.65,0.915,0.8695,74.6,11.6,6.41,103,74.17,67.49,0.4295
growth_w10,growth,0.1,test,1.87,0.807,0.7297,52.4,18.9,2.77,197,61.09,69.9,0.1885
growth_w10,growth,0.1,full,1.83,0.49,0.9776,51.5,21.6,2.39,485,58.43,42.2,0.4164
growth_w20,growth,0.2,train,1.16,0.775,0.4105,27.3,17.8,1.53,189,42.75,83.96,0.1951
growth_w20,growth,0.2,validation,1.99,0.945,0.6516,50.1,19.2,2.61,101,56.82,71.97,0.3987
growth_w20,growth,0.2,test,1.59,0.8,0.6053,40.5,18.7,2.16,191,53.44,83.16,0.066
growth_w20,growth,0.2,full,1.55,0.493,0.9232,39.3,21.1,1.86,477,49.07,45.99,0.3356
growth_w30,growth,0.3,train,0.94,0.784,0.307,19.5,17.7,1.1,199,41.22,107.4,0.0981
growth_w30,growth,0.3,validation,1.79,0.954,0.57,42.4,19.5,2.18,101,55.64,78.91,0.2995
growth_w30,growth,0.3,test,1.32,0.8,0.472,31.5,18.3,1.72,198,47.33,92.89,0.066
growth_w30,growth,0.3,full,1.29,0.496,0.8143,29.9,20.7,1.44,500,45.63,50.27,0.2876
growth_w40,growth,0.4,train,1.08,0.785,0.3725,22.5,16.2,1.38,196,32.54,101.48,0.1686
growth_w40,growth,0.4,validation,1.96,0.956,0.6383,48.1,19.3,2.5,101,55.64,80.82,0.2926
growth_w40,growth,0.4,test,1.45,0.799,0.5368,36.3,17.8,2.03,193,50.59,84.67,0.0155
growth_w40,growth,0.4,full,1.47,0.495,0.896,35.6,26.0,1.37,487,40.99,46.88,0.2959
balanced_w10,balanced,0.1,train,1.66,0.773,0.6627,45.7,18.5,2.47,191,62.87,63.37,0.2536
balanced_w10,balanced,0.1,validation,2.42,0.931,0.8044,64.1,17.4,3.69,105,64.84,75.23,0.4326
balanced_w10,balanced,0.1,test,2.05,0.808,0.7978,57.6,18.9,3.04,186,56.49,62.34,0.2001
balanced_w10,balanced,0.1,full,2.0,0.493,0.9903,57.4,21.4,2.69,471,58.21,38.56,0.4343
balanced_w20,balanced,0.2,train,1.5,0.774,0.5842,40.3,16.2,2.49,186,48.25,69.56,0.2281
balanced_w20,balanced,0.2,validation,1.94,0.945,0.6319,45.7,18.5,2.47,113,58.7,78.45,0.3889
balanced_w20,balanced,0.2,test,1.99,0.805,0.7771,52.6,18.3,2.88,189,46.12,61.78,0.2105
balanced_w20,balanced,0.2,full,1.71,0.493,0.96,45.6,19.3,2.37,481,47.18,37.87,0.4034
balanced_w30,balanced,0.3,train,1.11,0.774,0.3854,26.5,17.1,1.55,201,37.98,82.7,0.1461
balanced_w30,balanced,0.3,validation,1.9,0.94,0.6164,47.7,17.3,2.76,104,60.31,89.47,0.3487
balanced_w30,balanced,0.3,test,1.54,0.799,0.5812,37.9,18.3,2.08,197,45.83,82.89,0.1937
balanced_w30,balanced,0.3,full,1.52,0.492,0.9144,39.4,21.3,1.85,496,43.55,47.61,0.3639
balanced_w40,balanced,0.4,train,1.16,0.782,0.4113,25.9,16.2,1.6,202,34.58,77.25,0.1727
balanced_w40,balanced,0.4,validation,2.07,0.943,0.6827,56.2,18.4,3.06,103,50.36,80.3,0.2394
balanced_w40,balanced,0.4,test,1.29,0.807,0.4574,30.0,17.8,1.68,202,46.62,91.39,0.1051
balanced_w40,balanced,0.4,full,1.34,0.496,0.8401,32.3,26.4,1.22,507,40.83,51.04,0.3014
1 arm composite weight window sharpe sharpe_se dsr cagr_pct max_drawdown_pct calmar trades overlap_pct top5_pnl_share_pct avg_r_ex_top5
2 control_w00 0.0 train 1.26 0.764 0.4607 32.5 18.5 1.76 195 67.83 0.2729
3 control_w00 0.0 validation 2.52 0.938 0.8309 71.3 14.8 4.82 106 69.13 0.357
4 control_w00 0.0 test 1.99 0.81 0.7757 54.4 19.2 2.83 188 62.82 0.1591
5 control_w00 0.0 full 1.86 0.49 0.9807 52.1 22.3 2.34 483 38.74 0.4132
6 quality_w10 quality 0.1 train 1.66 0.772 0.6629 45.4 16.9 2.68 183 57.5 63.51 0.2957
7 quality_w10 quality 0.1 validation 2.44 0.941 0.8077 68.8 17.3 3.98 107 65.12 70.53 0.3518
8 quality_w10 quality 0.1 test 1.7 0.805 0.6562 43.8 18.8 2.33 189 60.43 72.18 0.1424
9 quality_w10 quality 0.1 full 1.91 0.493 0.9845 53.3 21.6 2.46 470 59.1 39.96 0.4105
10 quality_w20 quality 0.2 train 1.64 0.77 0.6538 44.4 17.4 2.55 181 42.42 61.16 0.2545
11 quality_w20 quality 0.2 validation 2.28 0.953 0.7551 59.4 18.6 3.19 111 53.9 79.91 0.3052
12 quality_w20 quality 0.2 test 1.49 0.805 0.5562 35.9 18.6 1.93 189 44.44 80.74 0.136
13 quality_w20 quality 0.2 full 1.75 0.493 0.9666 46.6 20.7 2.26 478 44.73 44.1 0.3938
14 quality_w30 quality 0.3 train 1.69 0.767 0.6781 45.0 17.3 2.6 176 39.47 48.72 0.3464
15 quality_w30 quality 0.3 validation 1.83 0.948 0.5869 42.9 18.8 2.28 111 51.75 83.6 0.2918
16 quality_w30 quality 0.3 test 1.3 0.801 0.4621 28.9 18.6 1.56 189 41.73 94.0 0.1314
17 quality_w30 quality 0.3 full 1.57 0.491 0.9297 39.1 19.6 2.0 469 41.25 43.46 0.4265
18 quality_w40 quality 0.4 train 1.73 0.772 0.6954 46.5 18.2 2.55 190 31.85 48.84 0.3179
19 quality_w40 quality 0.4 validation 1.58 0.944 0.4824 36.8 19.0 1.94 110 48.97 101.05 0.2815
20 quality_w40 quality 0.4 test 1.18 0.812 0.4045 24.2 18.0 1.35 193 34.63 110.57 0.0845
21 quality_w40 quality 0.4 full 1.39 0.494 0.8643 33.0 23.8 1.39 492 34.11 47.94 0.3366
22 growth_w10 growth 0.1 train 1.24 0.769 0.4506 31.1 18.2 1.71 190 53.39 70.42 0.2227
23 growth_w10 growth 0.1 validation 2.65 0.915 0.8695 74.6 11.6 6.41 103 74.17 67.49 0.4295
24 growth_w10 growth 0.1 test 1.87 0.807 0.7297 52.4 18.9 2.77 197 61.09 69.9 0.1885
25 growth_w10 growth 0.1 full 1.83 0.49 0.9776 51.5 21.6 2.39 485 58.43 42.2 0.4164
26 growth_w20 growth 0.2 train 1.16 0.775 0.4105 27.3 17.8 1.53 189 42.75 83.96 0.1951
27 growth_w20 growth 0.2 validation 1.99 0.945 0.6516 50.1 19.2 2.61 101 56.82 71.97 0.3987
28 growth_w20 growth 0.2 test 1.59 0.8 0.6053 40.5 18.7 2.16 191 53.44 83.16 0.066
29 growth_w20 growth 0.2 full 1.55 0.493 0.9232 39.3 21.1 1.86 477 49.07 45.99 0.3356
30 growth_w30 growth 0.3 train 0.94 0.784 0.307 19.5 17.7 1.1 199 41.22 107.4 0.0981
31 growth_w30 growth 0.3 validation 1.79 0.954 0.57 42.4 19.5 2.18 101 55.64 78.91 0.2995
32 growth_w30 growth 0.3 test 1.32 0.8 0.472 31.5 18.3 1.72 198 47.33 92.89 0.066
33 growth_w30 growth 0.3 full 1.29 0.496 0.8143 29.9 20.7 1.44 500 45.63 50.27 0.2876
34 growth_w40 growth 0.4 train 1.08 0.785 0.3725 22.5 16.2 1.38 196 32.54 101.48 0.1686
35 growth_w40 growth 0.4 validation 1.96 0.956 0.6383 48.1 19.3 2.5 101 55.64 80.82 0.2926
36 growth_w40 growth 0.4 test 1.45 0.799 0.5368 36.3 17.8 2.03 193 50.59 84.67 0.0155
37 growth_w40 growth 0.4 full 1.47 0.495 0.896 35.6 26.0 1.37 487 40.99 46.88 0.2959
38 balanced_w10 balanced 0.1 train 1.66 0.773 0.6627 45.7 18.5 2.47 191 62.87 63.37 0.2536
39 balanced_w10 balanced 0.1 validation 2.42 0.931 0.8044 64.1 17.4 3.69 105 64.84 75.23 0.4326
40 balanced_w10 balanced 0.1 test 2.05 0.808 0.7978 57.6 18.9 3.04 186 56.49 62.34 0.2001
41 balanced_w10 balanced 0.1 full 2.0 0.493 0.9903 57.4 21.4 2.69 471 58.21 38.56 0.4343
42 balanced_w20 balanced 0.2 train 1.5 0.774 0.5842 40.3 16.2 2.49 186 48.25 69.56 0.2281
43 balanced_w20 balanced 0.2 validation 1.94 0.945 0.6319 45.7 18.5 2.47 113 58.7 78.45 0.3889
44 balanced_w20 balanced 0.2 test 1.99 0.805 0.7771 52.6 18.3 2.88 189 46.12 61.78 0.2105
45 balanced_w20 balanced 0.2 full 1.71 0.493 0.96 45.6 19.3 2.37 481 47.18 37.87 0.4034
46 balanced_w30 balanced 0.3 train 1.11 0.774 0.3854 26.5 17.1 1.55 201 37.98 82.7 0.1461
47 balanced_w30 balanced 0.3 validation 1.9 0.94 0.6164 47.7 17.3 2.76 104 60.31 89.47 0.3487
48 balanced_w30 balanced 0.3 test 1.54 0.799 0.5812 37.9 18.3 2.08 197 45.83 82.89 0.1937
49 balanced_w30 balanced 0.3 full 1.52 0.492 0.9144 39.4 21.3 1.85 496 43.55 47.61 0.3639
50 balanced_w40 balanced 0.4 train 1.16 0.782 0.4113 25.9 16.2 1.6 202 34.58 77.25 0.1727
51 balanced_w40 balanced 0.4 validation 2.07 0.943 0.6827 56.2 18.4 3.06 103 50.36 80.3 0.2394
52 balanced_w40 balanced 0.4 test 1.29 0.807 0.4574 30.0 17.8 1.68 202 46.62 91.39 0.1051
53 balanced_w40 balanced 0.4 full 1.34 0.496 0.8401 32.3 26.4 1.22 507 40.83 51.04 0.3014