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Dennis Thiessen
2026-07-23 17:37:43 +02:00
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reports/fundamentals-splitsafe-20260723-153520-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,1.26,0.764,0.5133,32.5,18.5,1.76,195,,67.83,0.2729
control_w00,,0.0,validation,2.52,0.938,0.8618,71.3,14.8,4.82,106,,69.13,0.357
control_w00,,0.0,test,1.99,0.81,0.8122,54.4,19.2,2.83,188,,62.82,0.1591
control_w00,,0.0,full,1.86,0.49,0.986,52.1,22.3,2.34,483,,38.74,0.4132
quality_w05,quality,0.05,train,1.5,0.767,0.6354,40.3,16.7,2.42,192,72.0,69.73,0.2241
quality_w05,quality,0.05,validation,2.43,0.939,0.8392,67.4,17.3,3.89,106,73.77,71.95,0.3914
quality_w05,quality,0.05,test,1.67,0.807,0.6889,43.1,19.2,2.24,191,64.78,71.88,0.1701
quality_w05,quality,0.05,full,1.81,0.492,0.9816,49.7,22.0,2.26,482,68.12,40.52,0.3944
quality_w10,quality,0.1,train,1.68,0.768,0.7191,46.1,16.7,2.75,195,64.56,63.19,0.1846
quality_w10,quality,0.1,validation,1.95,0.948,0.6828,47.9,17.8,2.69,112,61.48,74.11,0.3579
quality_w10,quality,0.1,test,1.57,0.809,0.6436,39.7,18.8,2.12,193,56.79,76.49,0.131
quality_w10,quality,0.1,full,1.72,0.493,0.9714,46.0,19.3,2.39,491,59.67,39.37,0.3583
quality_w15,quality,0.15,train,1.4,0.773,0.5848,35.8,15.3,2.33,189,47.69,67.32,0.2364
quality_w15,quality,0.15,validation,1.85,0.932,0.6467,45.0,18.4,2.44,111,57.25,79.6,0.3738
quality_w15,quality,0.15,test,1.78,0.804,0.7361,46.3,18.8,2.47,195,49.61,66.98,0.1186
quality_w15,quality,0.15,full,1.66,0.491,0.963,43.4,19.7,2.2,484,48.31,38.77,0.3822
growth_w05,growth,0.05,train,1.31,0.768,0.5392,32.7,17.9,1.83,192,72.0,69.9,0.3036
growth_w05,growth,0.05,validation,2.64,0.918,0.893,73.6,11.6,6.33,103,75.63,68.23,0.447
growth_w05,growth,0.05,test,1.99,0.8,0.8152,56.1,18.9,2.96,190,64.35,67.21,0.1646
growth_w05,growth,0.05,full,1.87,0.489,0.9869,51.5,21.3,2.41,481,68.53,42.14,0.4654
growth_w10,growth,0.1,train,1.11,0.775,0.4362,26.3,17.8,1.47,197,53.73,86.35,0.218
growth_w10,growth,0.1,validation,2.64,0.918,0.893,73.6,11.6,6.33,103,75.63,68.23,0.447
growth_w10,growth,0.1,test,1.92,0.808,0.7886,54.1,17.3,3.13,192,55.1,68.64,0.2284
growth_w10,growth,0.1,full,1.77,0.492,0.9776,48.9,20.2,2.42,490,56.94,42.63,0.4153
growth_w15,growth,0.15,train,1.07,0.772,0.4156,24.6,18.0,1.37,194,52.55,88.03,0.2015
growth_w15,growth,0.15,validation,2.02,0.93,0.7123,52.6,19.1,2.76,100,58.46,70.05,0.3237
growth_w15,growth,0.15,test,1.61,0.809,0.6618,42.3,17.3,2.45,191,55.97,78.59,0.2064
growth_w15,growth,0.15,full,1.39,0.492,0.8915,34.7,20.6,1.69,487,54.95,47.05,0.3551
balanced_w05,balanced,0.05,train,1.2,0.771,0.4822,30.2,20.9,1.45,198,73.13,74.32,0.2634
balanced_w05,balanced,0.05,validation,2.25,0.947,0.7861,62.1,20.0,3.11,106,70.97,76.48,0.3761
balanced_w05,balanced,0.05,test,2.02,0.802,0.8244,55.6,18.9,2.94,185,78.47,66.73,0.1759
balanced_w05,balanced,0.05,full,1.76,0.492,0.9765,48.3,21.9,2.2,481,73.69,42.66,0.412
balanced_w10,balanced,0.1,train,1.34,0.77,0.5545,34.1,17.0,2.01,189,68.42,66.41,0.2941
balanced_w10,balanced,0.1,validation,1.82,0.93,0.6349,43.1,19.3,2.23,110,58.82,83.18,0.4047
balanced_w10,balanced,0.1,test,2.0,0.811,0.8152,55.9,18.5,3.03,187,57.56,66.25,0.2341
balanced_w10,balanced,0.1,full,1.71,0.492,0.9703,46.0,19.9,2.31,476,59.57,41.92,0.46
balanced_w15,balanced,0.15,train,1.35,0.766,0.5599,34.3,15.5,2.21,182,56.43,65.25,0.276
balanced_w15,balanced,0.15,validation,1.89,0.931,0.6627,45.3,17.8,2.54,111,55.0,79.37,0.3649
balanced_w15,balanced,0.15,test,1.83,0.808,0.755,48.7,18.5,2.64,190,50.0,65.58,0.1869
balanced_w15,balanced,0.15,full,1.59,0.49,0.9503,41.0,19.9,2.06,474,52.88,39.94,0.4303
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 0.5133 32.5 18.5 1.76 195 67.83 0.2729
3 control_w00 0.0 validation 2.52 0.938 0.8618 71.3 14.8 4.82 106 69.13 0.357
4 control_w00 0.0 test 1.99 0.81 0.8122 54.4 19.2 2.83 188 62.82 0.1591
5 control_w00 0.0 full 1.86 0.49 0.986 52.1 22.3 2.34 483 38.74 0.4132
6 quality_w05 quality 0.05 train 1.5 0.767 0.6354 40.3 16.7 2.42 192 72.0 69.73 0.2241
7 quality_w05 quality 0.05 validation 2.43 0.939 0.8392 67.4 17.3 3.89 106 73.77 71.95 0.3914
8 quality_w05 quality 0.05 test 1.67 0.807 0.6889 43.1 19.2 2.24 191 64.78 71.88 0.1701
9 quality_w05 quality 0.05 full 1.81 0.492 0.9816 49.7 22.0 2.26 482 68.12 40.52 0.3944
10 quality_w10 quality 0.1 train 1.68 0.768 0.7191 46.1 16.7 2.75 195 64.56 63.19 0.1846
11 quality_w10 quality 0.1 validation 1.95 0.948 0.6828 47.9 17.8 2.69 112 61.48 74.11 0.3579
12 quality_w10 quality 0.1 test 1.57 0.809 0.6436 39.7 18.8 2.12 193 56.79 76.49 0.131
13 quality_w10 quality 0.1 full 1.72 0.493 0.9714 46.0 19.3 2.39 491 59.67 39.37 0.3583
14 quality_w15 quality 0.15 train 1.4 0.773 0.5848 35.8 15.3 2.33 189 47.69 67.32 0.2364
15 quality_w15 quality 0.15 validation 1.85 0.932 0.6467 45.0 18.4 2.44 111 57.25 79.6 0.3738
16 quality_w15 quality 0.15 test 1.78 0.804 0.7361 46.3 18.8 2.47 195 49.61 66.98 0.1186
17 quality_w15 quality 0.15 full 1.66 0.491 0.963 43.4 19.7 2.2 484 48.31 38.77 0.3822
18 growth_w05 growth 0.05 train 1.31 0.768 0.5392 32.7 17.9 1.83 192 72.0 69.9 0.3036
19 growth_w05 growth 0.05 validation 2.64 0.918 0.893 73.6 11.6 6.33 103 75.63 68.23 0.447
20 growth_w05 growth 0.05 test 1.99 0.8 0.8152 56.1 18.9 2.96 190 64.35 67.21 0.1646
21 growth_w05 growth 0.05 full 1.87 0.489 0.9869 51.5 21.3 2.41 481 68.53 42.14 0.4654
22 growth_w10 growth 0.1 train 1.11 0.775 0.4362 26.3 17.8 1.47 197 53.73 86.35 0.218
23 growth_w10 growth 0.1 validation 2.64 0.918 0.893 73.6 11.6 6.33 103 75.63 68.23 0.447
24 growth_w10 growth 0.1 test 1.92 0.808 0.7886 54.1 17.3 3.13 192 55.1 68.64 0.2284
25 growth_w10 growth 0.1 full 1.77 0.492 0.9776 48.9 20.2 2.42 490 56.94 42.63 0.4153
26 growth_w15 growth 0.15 train 1.07 0.772 0.4156 24.6 18.0 1.37 194 52.55 88.03 0.2015
27 growth_w15 growth 0.15 validation 2.02 0.93 0.7123 52.6 19.1 2.76 100 58.46 70.05 0.3237
28 growth_w15 growth 0.15 test 1.61 0.809 0.6618 42.3 17.3 2.45 191 55.97 78.59 0.2064
29 growth_w15 growth 0.15 full 1.39 0.492 0.8915 34.7 20.6 1.69 487 54.95 47.05 0.3551
30 balanced_w05 balanced 0.05 train 1.2 0.771 0.4822 30.2 20.9 1.45 198 73.13 74.32 0.2634
31 balanced_w05 balanced 0.05 validation 2.25 0.947 0.7861 62.1 20.0 3.11 106 70.97 76.48 0.3761
32 balanced_w05 balanced 0.05 test 2.02 0.802 0.8244 55.6 18.9 2.94 185 78.47 66.73 0.1759
33 balanced_w05 balanced 0.05 full 1.76 0.492 0.9765 48.3 21.9 2.2 481 73.69 42.66 0.412
34 balanced_w10 balanced 0.1 train 1.34 0.77 0.5545 34.1 17.0 2.01 189 68.42 66.41 0.2941
35 balanced_w10 balanced 0.1 validation 1.82 0.93 0.6349 43.1 19.3 2.23 110 58.82 83.18 0.4047
36 balanced_w10 balanced 0.1 test 2.0 0.811 0.8152 55.9 18.5 3.03 187 57.56 66.25 0.2341
37 balanced_w10 balanced 0.1 full 1.71 0.492 0.9703 46.0 19.9 2.31 476 59.57 41.92 0.46
38 balanced_w15 balanced 0.15 train 1.35 0.766 0.5599 34.3 15.5 2.21 182 56.43 65.25 0.276
39 balanced_w15 balanced 0.15 validation 1.89 0.931 0.6627 45.3 17.8 2.54 111 55.0 79.37 0.3649
40 balanced_w15 balanced 0.15 test 1.83 0.808 0.755 48.7 18.5 2.64 190 50.0 65.58 0.1869
41 balanced_w15 balanced 0.15 full 1.59 0.49 0.9503 41.0 19.9 2.06 474 52.88 39.94 0.4303