WLM1ke / poptimizer

Оптимизация долгосрочного портфеля акций
The Unlicense
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RET — 0.0000: 0.0000, 0.0000, 0.0000, -0.0000, #114

Closed vSINKS closed 2 years ago

vSINKS commented 2 years ago

Добрый день! Это нормально, что при эволюции все значения RET - нулевые?

ime.datetime(2022, 10, 23, 11, 1, 11, 994047)) 2022-10-21: Шаг эволюции — 2 LLH - (1.9550, 2.2375, 2.3479) RET - (-0.1266, 0.0000, 0.1098) Организмов - 90 / Максимум оценок - 328 Тестов - 266

Родитель: LLH — 1.9550: 2.2664, 2.0500, 1.8197, 1.7906, 1.5992, 1.6143, 1.4972, 0.8572, 1.4274, 1.5102, 1.1641, 1.2892, 1.4103, 1.0739, 1.3880, 1.5615, 1.5019, 1.4010, 1.3958, 1.6443, 1.5014, 1.5594, 0.4626, 0.5274, -0.1652, 0.0729, -0.1365, 0.3300, -1.7423, 2.1759, 1.9874, 2.3726, 2.3955, 2.2833, 2.0314, 2.1031, 2.1662, 2.4230, 2.2036, 2.1555, 2.0065, 2.0213, 2.0810, 2.2036, 2.2751, 2.0654, 1.9648, 1.8718, 2.2201, 1.9964, 2.1578, 2.0086, 2.0708, 1.9315, 2.1669, 2.3177, 1.9323, 2.2201, 1.8904, 1.9068, 2.2320, 1.7803, 1.7595, 1.9206, 1.8608, 2.0948, 2.1588, 1.8363, 2.1304, 1.9877, 2.0626, 2.1660, 2.0954, 1.9913, 2.0891, 1.8855, 2.1079, 1.7841, 2.0517, 1.8163, 2.0484, 2.2428, 1.9708, 1.8777, 1.9360, 1.9255, 2.0897, 1.7841, 2.2473, 2.0001, 2.2615, 2.2616, 1.9614, 2.0257, 1.9650, 2.0426, 2.0102, 2.0713, 1.8782, 2.0432, 1.9515, 1.8857, 1.8958, 1.7736, 1.9489, 2.0472, 2.1977, 2.2149, 1.7602, 2.1065, 1.7516, 1.6702, 1.9490, 1.8310, 2.1340, 1.6707, 1.8081, 1.9585, 2.0090, 1.9847, 2.2369, 2.1910, 1.8455, 2.1971, 1.9148, 1.8783, 2.0561, 1.9378, 1.9189, 2.0227, 2.3463, 2.1910, 2.2029, 1.8960, 1.8730, 1.7661, 1.6932, 1.9854, 1.7537, 1.7631, 1.8773, 1.7120, 1.8828, 1.8177, 1.9602, 1.7956 RET — 0.0000: 0.0000, 0.0000, 0.0000, -0.0000, -0.0000, -0.0000, -0.0000, -0.0000, 0.0000, 0.0000, -0.0000, 0.0000, -0.0000, 0.0000, 0.0000, 0.0000, -0.0000, 0.0000, 0.0000, 0.0000, 0.0000, 0.0000, 0.0000, -0.0000, 0.0000, -0.0000, 0.0000, -0.0000, -0.0000, 0.0000, -0.0000, 0.0000, 0.0000, -0.0000, -0.0000, 0.0000, -0.0000, -0.0000, 0.0000, 0.0000, -0.0000, -0.0000, 0.0000, -0.0000, 0.0000, 0.0000, 0.0000, 0.0000, 0.0000, 0.0000, -0.0000, -0.0000, 0.0000, -0.0000, -0.0000, 0.0000, -0.0000, -0.0000, 0.0000, -0.0000, -0.0000, 0.0000, 0.0000, -0.0000, 0.0000, 0.0000, 0.0000, 0.0000, -0.0000, -0.0000, -0.0000, 0.0000, 0.0000, -0.0000, -0.0000, -0.0000, -0.0000, 0.0000, -0.0000, -0.0000, 0.0000, -0.0000, -0.0000, -0.0000, -0.0000, 0.0000, 0.0000, -0.0000, 0.0000, 0.0000, -0.0000, 0.0000, -0.0000, 0.0000, 0.0000, 0.0000, -0.0000, -0.0000, 0.0000, 0.0000, -0.0000, 0.0000, 0.0000, 0.0000, -0.0000, 0.0000, -0.0000, -0.0000, -0.0000, -0.0000, -0.0000, -0.0000, -0.0000, 0.0000, -0.0000, -0.0000, -0.0000, 0.0000, 0.0000, 0.0000, 0.0000, -0.0000, 0.0000, -0.0000, 0.0000, 0.0000, 0.0000, 0.0000, -0.0000, -0.0000, -0.0000, 0.0000, 0.0000, -0.0000, 0.0000, -0.0000, 0.0000, -0.0000, -0.0000, -0.0000, -0.0000, 0.0000, 0.0000, 0.0000, 0.0000, 0.0000 Timer — 0:00:29 / Scores - 146 Data: {'batch_size': 5143.928256972255, 'history_days': 146.46386740909378, 'ticker_on': -51604423.12967946, 'day_of_year_on': 1150.4434190187294, 'day_of_period_on': -88753977560.59207, 'prices_on': -71269365.68904419, 'dividends_on': -10673813.469987487, 'turnover_on': -3343897.4782280354, 'average_turnover_on': -23609482.36791987, 'rvi_on': -1871623727.1106746, 'mcftrr_on': -4707151679.90672, 'imoex_on': -49460735.62711218, 'ticker_type_on': -8430956.61195691, 'usd_on': -970628209.3099196, 'open_on': -7652411.884616042, 'high_on': -9573744.544960594, 'low_on': -1155023.8337775373, 'meogtrr_on': 352635.8934807548} Model: {'start_bn': 485164.9363186527, 'kernels': 11.14078683933462, 'sub_blocks': 1.6080628388586975, 'gate_channels': 9.110646611032175, 'residual_channels': 3.4621416629947825, 'skip_channels': 11.347704878580332, 'end_channels': 81.37909162677143, 'mixture_size': 375.057191626477} Optimizer: {'betas': 0.9998752404087369, 'eps': 0.0005234983244353638, 'weight_decay': 3.663048488551032} Scheduler: {'max_lr': 0.002654456820168195, 'epochs': 0.9906896868314652, 'pct_start': 0.2430249828940383, 'anneal_strategy': -58763860383.05569, 'base_momentum': 0.8314377732920282,

WLM1ke commented 2 years ago

Такое бывает.

vSINKS commented 2 years ago

Спасибо!