SPB Git

spb/wp39_uqo

Public
87.6 KB · 3,534 lines json
1{2 "fits": [3  {4   "C": 0.01,5   "coef": {6    "f_accruals": -0.0494,7    "f_capex_assets": -0.0998,8    "f_cash_assets": 0.1992,9    "f_current_ratio": 0.0689,10    "f_gross_margin": -0.1335,11    "f_int_cover": 0.0697,12    "f_leverage": 0.004,13    "f_log_assets": -0.1602,14    "f_log_mcap": -0.0956,15    "f_loss": 0.0557,16    "f_net_issuance": -0.008,17    "f_ni_assets": 0.0712,18    "f_ocf_assets": -0.0321,19    "f_op_margin": 0.0434,20    "f_rd_rev": 0.036,21    "f_rev_growth": 0.0089,22    "f_roa": 0.1111,23    "hist_adverse_rate": 0.3978,24    "info_age_td": 0.0505,25    "last_surprise": -0.5415,26    "mean_surprise4": 0.668527   },28   "design": "event",29   "h": 1,30   "model": "B1",31   "n_features": 21,32   "n_test": 53669,33   "n_train": 27420,34   "n_valid": 12519,35   "tag": "chrono",36   "target": "y_adverse_opinc",37   "val_logloss": 0.594967310439872338  },39  {40   "C": 0.01,41   "coef": {42    "f_accruals": -0.0268,43    "f_capex_assets": -0.0624,44    "f_cash_assets": 0.1468,45    "f_current_ratio": 0.0431,46    "f_gross_margin": -0.1218,47    "f_int_cover": 0.0606,48    "f_leverage": -0.006,49    "f_log_assets": -0.2916,50    "f_log_mcap": -0.0857,51    "f_loss": 0.0034,52    "f_net_issuance": -0.0213,53    "f_ni_assets": 0.0918,54    "f_ocf_assets": -0.0058,55    "f_op_margin": 0.0596,56    "f_rd_rev": 0.04,57    "f_rev_growth": -0.0033,58    "f_roa": 0.1223,59    "hist_adverse_rate": 0.362,60    "info_age_td": 0.0431,61    "last_surprise": -0.5433,62    "mean_surprise4": 0.6598,63    "wd_amihud60": 0.0474,64    "wd_bars20": 0.0696,65    "wd_intraday20": -0.0105,66    "wd_kurt60": -0.001,67    "wd_log_dollar_vol60": 0.1863,68    "wd_maxdd60": -0.1927,69    "wd_overnight20": -0.0425,70    "wd_parkinson20": -0.0134,71    "wd_ret20": -0.0421,72    "wd_ret60": -0.0426,73    "wd_skew60": 0.0304,74    "wd_vol20": 0.0021,75    "wd_vol60": 0.0872,76    "wd_volratio20": 0.0098,77    "wd_volratio5": -0.0209,78    "wd_zeroret60": 0.006279   },80   "design": "event",81   "h": 1,82   "model": "B2",83   "n_features": 37,84   "n_test": 53669,85   "n_train": 27420,86   "n_valid": 12519,87   "tag": "chrono",88   "target": "y_adverse_opinc",89   "val_logloss": 0.567919421515226890  },91  {92   "C": 0.01,93   "coef": {94    "f_accruals": -0.0263,95    "f_capex_assets": -0.0557,96    "f_cash_assets": 0.1446,97    "f_current_ratio": 0.0445,98    "f_gross_margin": -0.1172,99    "f_int_cover": 0.0614,100    "f_leverage": -0.0075,101    "f_log_assets": -0.2976,102    "f_log_mcap": -0.0811,103    "f_loss": 0.0017,104    "f_net_issuance": -0.0246,105    "f_ni_assets": 0.0841,106    "f_ocf_assets": -0.006,107    "f_op_margin": 0.0722,108    "f_rd_rev": 0.0546,109    "f_rev_growth": -0.0027,110    "f_roa": 0.1213,111    "hist_adverse_rate": 0.3582,112    "info_age_td": 0.0384,113    "last_surprise": -0.5416,114    "mean_surprise4": 0.6593,115    "w30m_ac1": -0.0279,116    "w30m_beta": -0.0386,117    "w30m_bpv": -0.0142,118    "w30m_down_vol_share": -0.0129,119    "w30m_drift": 0.0341,120    "w30m_max_share": -0.0103,121    "w30m_present_share": -0.0004,122    "w30m_rj": 0.0019,123    "w30m_rkurt": 0.0465,124    "w30m_rskew": 0.0996,125    "w30m_rsneg_share": 0.0942,126    "w30m_rv": -0.0377,127    "w30m_rv_mktdown_share": -0.0253,128    "w30m_sjv": -0.0921,129    "w30m_vol_first30": 0.0297,130    "w30m_vol_gini": -0.0693,131    "w30m_vol_last30": 0.0077,132    "w30m_volofvol": -0.0667,133    "w30m_vratio": 0.0179,134    "wd_amihud60": 0.0404,135    "wd_bars20": 0.0381,136    "wd_intraday20": 0.0109,137    "wd_kurt60": 0.0032,138    "wd_log_dollar_vol60": 0.172,139    "wd_maxdd60": -0.1879,140    "wd_overnight20": -0.0426,141    "wd_parkinson20": 0.0754,142    "wd_ret20": -0.0405,143    "wd_ret60": -0.0406,144    "wd_skew60": 0.0224,145    "wd_vol20": 0.0349,146    "wd_vol60": 0.0817,147    "wd_volratio20": 0.0115,148    "wd_volratio5": -0.0216,149    "wd_zeroret60": 0.0014150   },151   "design": "event",152   "h": 1,153   "model": "B3",154   "n_features": 56,155   "n_test": 53669,156   "n_train": 27420,157   "n_valid": 12519,158   "tag": "chrono",159   "target": "y_adverse_opinc",160   "val_logloss": 0.5692554542183652161  },162  {163   "C": 0.01,164   "coef": {165    "f_accruals": -0.0242,166    "f_capex_assets": -0.0531,167    "f_cash_assets": 0.145,168    "f_current_ratio": 0.0472,169    "f_gross_margin": -0.1131,170    "f_int_cover": 0.0627,171    "f_leverage": -0.0105,172    "f_log_assets": -0.3053,173    "f_log_mcap": -0.0707,174    "f_loss": -0.0003,175    "f_net_issuance": -0.0288,176    "f_ni_assets": 0.0866,177    "f_ocf_assets": -0.0019,178    "f_op_margin": 0.0662,179    "f_rd_rev": 0.0496,180    "f_rev_growth": -0.0047,181    "f_roa": 0.116,182    "hist_adverse_rate": 0.3564,183    "info_age_td": 0.0357,184    "last_surprise": -0.5408,185    "mean_surprise4": 0.6593,186    "w5m_ac1": 0.0297,187    "w5m_beta": -0.0419,188    "w5m_bpv": 0.016,189    "w5m_down_vol_share": -0.0454,190    "w5m_drift": 0.0259,191    "w5m_max_share": 0.0226,192    "w5m_present_share": -0.036,193    "w5m_rj": 0.0136,194    "w5m_rkurt": -0.0015,195    "w5m_rskew": 0.1136,196    "w5m_rsneg_share": 0.0878,197    "w5m_rv": -0.0225,198    "w5m_rv_mktdown_share": -0.049,199    "w5m_sjv": -0.0878,200    "w5m_vol_first30": 0.0022,201    "w5m_vol_gini": -0.0195,202    "w5m_vol_last30": -0.0696,203    "w5m_volofvol": -0.0963,204    "w5m_vratio": 0.0184,205    "wd_amihud60": 0.0299,206    "wd_bars20": 0.0631,207    "wd_intraday20": 0.004,208    "wd_kurt60": 0.005,209    "wd_log_dollar_vol60": 0.1874,210    "wd_maxdd60": -0.1911,211    "wd_overnight20": -0.042,212    "wd_parkinson20": 0.0662,213    "wd_ret20": -0.0436,214    "wd_ret60": -0.0435,215    "wd_skew60": 0.0257,216    "wd_vol20": 0.0262,217    "wd_vol60": 0.0773,218    "wd_volratio20": 0.0103,219    "wd_volratio5": -0.0235,220    "wd_zeroret60": -0.008221   },222   "design": "event",223   "h": 1,224   "model": "B4",225   "n_features": 56,226   "n_test": 53669,227   "n_train": 27420,228   "n_valid": 12519,229   "tag": "chrono",230   "target": "y_adverse_opinc",231   "val_logloss": 0.5687650196397869232  },233  {234   "C": 0.01,235   "coef": {236    "f_accruals": -0.0278,237    "f_capex_assets": -0.0562,238    "f_cash_assets": 0.142,239    "f_current_ratio": 0.0488,240    "f_gross_margin": -0.1155,241    "f_int_cover": 0.062,242    "f_leverage": -0.0101,243    "f_log_assets": -0.3109,244    "f_log_mcap": -0.069,245    "f_loss": -0.0011,246    "f_net_issuance": -0.0288,247    "f_ni_assets": 0.0859,248    "f_ocf_assets": -0.006,249    "f_op_margin": 0.0674,250    "f_rd_rev": 0.0508,251    "f_rev_growth": -0.003,252    "f_roa": 0.1189,253    "hist_adverse_rate": 0.3577,254    "info_age_td": 0.0448,255    "last_surprise": -0.5423,256    "mean_surprise4": 0.6615,257    "w1m_ac1": 0.0098,258    "w1m_beta": -0.0391,259    "w1m_bpv": -0.0089,260    "w1m_down_vol_share": -0.0554,261    "w1m_drift": 0.0182,262    "w1m_max_share": 0.0295,263    "w1m_present_share": 0.0153,264    "w1m_rj": 0.0451,265    "w1m_rkurt": -0.032,266    "w1m_rskew": 0.0611,267    "w1m_rsneg_share": 0.0367,268    "w1m_rv": -0.0329,269    "w1m_rv_mktdown_share": 0.004,270    "w1m_sjv": -0.0367,271    "w1m_vol_first30": 0.0043,272    "w1m_vol_gini": -0.0297,273    "w1m_vol_last30": -0.0796,274    "w1m_volofvol": -0.0447,275    "w1m_vratio": 0.0056,276    "wd_amihud60": 0.0385,277    "wd_bars20": 0.0216,278    "wd_intraday20": -0.0094,279    "wd_kurt60": 0.0023,280    "wd_log_dollar_vol60": 0.2236,281    "wd_maxdd60": -0.1927,282    "wd_overnight20": -0.0378,283    "wd_parkinson20": 0.0598,284    "wd_ret20": -0.0477,285    "wd_ret60": -0.0432,286    "wd_skew60": 0.0284,287    "wd_vol20": 0.0012,288    "wd_vol60": 0.0817,289    "wd_volratio20": 0.0071,290    "wd_volratio5": -0.0204,291    "wd_zeroret60": -0.0112292   },293   "design": "event",294   "h": 1,295   "model": "B5",296   "n_features": 56,297   "n_test": 53669,298   "n_train": 27420,299   "n_valid": 12519,300   "tag": "chrono",301   "target": "y_adverse_opinc",302   "val_logloss": 0.5703846660060465303  },304  {305   "C": 0.01,306   "coef": {307    "f_accruals": -0.0296,308    "f_capex_assets": -0.053,309    "f_cash_assets": 0.1435,310    "f_current_ratio": 0.0491,311    "f_gross_margin": -0.1126,312    "f_int_cover": 0.0641,313    "f_leverage": -0.0105,314    "f_log_assets": -0.3104,315    "f_log_mcap": -0.061,316    "f_loss": -0.0028,317    "f_net_issuance": -0.0291,318    "f_ni_assets": 0.0801,319    "f_ocf_assets": -0.009,320    "f_op_margin": 0.0695,321    "f_rd_rev": 0.0538,322    "f_rev_growth": -0.0047,323    "f_roa": 0.1269,324    "hist_adverse_rate": 0.3539,325    "info_age_td": 0.0354,326    "last_surprise": -0.5412,327    "mean_surprise4": 0.661,328    "w1m_ac1": -0.008,329    "w1m_beta": -0.017,330    "w1m_bpv": -0.0143,331    "w1m_down_vol_share": -0.0487,332    "w1m_drift": 0.0226,333    "w1m_max_share": 0.005,334    "w1m_present_share": 0.0194,335    "w1m_rj": 0.0476,336    "w1m_rkurt": -0.0317,337    "w1m_rskew": 0.0127,338    "w1m_rsneg_share": -0.0056,339    "w1m_rv": -0.0372,340    "w1m_rv_mktdown_share": 0.0244,341    "w1m_sjv": 0.0056,342    "w1m_vol_first30": -0.0027,343    "w1m_vol_gini": -0.0282,344    "w1m_vol_last30": -0.0784,345    "w1m_volofvol": 0.038,346    "w1m_vratio": -0.064,347    "w30m_ac1": -0.0329,348    "w30m_beta": -0.025,349    "w30m_bpv": -0.0265,350    "w30m_down_vol_share": 0.0081,351    "w30m_drift": 0.0226,352    "w30m_max_share": -0.0091,353    "w30m_present_share": 0.0088,354    "w30m_rj": 0.0005,355    "w30m_rkurt": 0.0347,356    "w30m_rskew": 0.0816,357    "w30m_rsneg_share": 0.0734,358    "w30m_rv": -0.0345,359    "w30m_rv_mktdown_share": -0.0135,360    "w30m_sjv": -0.0709,361    "w30m_vol_first30": -0.0027,362    "w30m_vol_gini": 0.0291,363    "w30m_vol_last30": 0.0073,364    "w30m_volofvol": -0.0267,365    "w30m_vratio": -0.0005,366    "w5m_ac1": 0.0248,367    "w5m_beta": -0.0119,368    "w5m_bpv": 0.0652,369    "w5m_down_vol_share": -0.0187,370    "w5m_drift": 0.0226,371    "w5m_max_share": 0.0289,372    "w5m_present_share": -0.0085,373    "w5m_rj": -0.004,374    "w5m_rkurt": -0.0053,375    "w5m_rskew": 0.0599,376    "w5m_rsneg_share": 0.0571,377    "w5m_rv": 0.0128,378    "w5m_rv_mktdown_share": -0.0562,379    "w5m_sjv": -0.0571,380    "w5m_vol_first30": -0.0027,381    "w5m_vol_gini": -0.0246,382    "w5m_vol_last30": -0.0113,383    "w5m_volofvol": -0.1097,384    "w5m_vratio": 0.0697,385    "wd_amihud60": 0.025,386    "wd_bars20": 0.0305,387    "wd_intraday20": -0.007,388    "wd_kurt60": 0.0045,389    "wd_log_dollar_vol60": 0.2126,390    "wd_maxdd60": -0.1901,391    "wd_overnight20": -0.0372,392    "wd_parkinson20": 0.1032,393    "wd_ret20": -0.0481,394    "wd_ret60": -0.0341,395    "wd_skew60": 0.0187,396    "wd_vol20": 0.0294,397    "wd_vol60": 0.0787,398    "wd_volratio20": 0.0111,399    "wd_volratio5": -0.0239,400    "wd_zeroret60": -0.016401   },402   "design": "event",403   "h": 1,404   "model": "B5all",405   "n_features": 94,406   "n_test": 53669,407   "n_train": 27420,408   "n_valid": 12519,409   "tag": "chrono",410   "target": "y_adverse_opinc",411   "val_logloss": 0.5697255494063354412  },413  {414   "C": 0.01,415   "coef": {416    "f_accruals": -0.0505,417    "f_capex_assets": -0.0978,418    "f_cash_assets": 0.1976,419    "f_current_ratio": 0.0716,420    "f_gross_margin": -0.1335,421    "f_int_cover": 0.0693,422    "f_leverage": 0.0024,423    "f_log_assets": -0.1646,424    "f_log_mcap": -0.0904,425    "f_loss": 0.0576,426    "f_net_issuance": -0.0098,427    "f_ni_assets": 0.0691,428    "f_ocf_assets": -0.0337,429    "f_op_margin": 0.0491,430    "f_rd_rev": 0.0353,431    "f_rev_growth": 0.0034,432    "f_roa": 0.1136,433    "hist_adverse_rate": 0.3995,434    "info_age_td": 0.051,435    "last_surprise": -0.5435,436    "mean_surprise4": 0.6658437   },438   "design": "event",439   "h": 5,440   "model": "B1",441   "n_features": 21,442   "n_test": 53575,443   "n_train": 27463,444   "n_valid": 12460,445   "tag": "chrono",446   "target": "y_adverse_opinc",447   "val_logloss": 0.593936396811062448  },449  {450   "C": 0.1,451   "coef": {452    "f_accruals": -0.0606,453    "f_capex_assets": -0.0602,454    "f_cash_assets": 0.1446,455    "f_current_ratio": 0.0443,456    "f_gross_margin": -0.1236,457    "f_int_cover": 0.0613,458    "f_leverage": -0.0054,459    "f_log_assets": -0.3059,460    "f_log_mcap": -0.1037,461    "f_loss": 0.0041,462    "f_net_issuance": -0.0211,463    "f_ni_assets": 0.0836,464    "f_ocf_assets": -0.0492,465    "f_op_margin": 0.0849,466    "f_rd_rev": 0.0612,467    "f_rev_growth": -0.0103,468    "f_roa": 0.1742,469    "hist_adverse_rate": 0.3782,470    "info_age_td": 0.041,471    "last_surprise": -0.5811,472    "mean_surprise4": 0.7042,473    "wd_amihud60": 0.0422,474    "wd_bars20": 0.0517,475    "wd_intraday20": -0.0237,476    "wd_kurt60": -0.0006,477    "wd_log_dollar_vol60": 0.2207,478    "wd_maxdd60": -0.1626,479    "wd_overnight20": -0.0459,480    "wd_parkinson20": -0.0123,481    "wd_ret20": 0.0068,482    "wd_ret60": -0.0593,483    "wd_skew60": -0.0189,484    "wd_vol20": 0.041,485    "wd_vol60": 0.0754,486    "wd_volratio20": 0.0042,487    "wd_volratio5": 0.0007,488    "wd_zeroret60": 0.0082489   },490   "design": "event",491   "h": 5,492   "model": "B2",493   "n_features": 37,494   "n_test": 53575,495   "n_train": 27463,496   "n_valid": 12460,497   "tag": "chrono",498   "target": "y_adverse_opinc",499   "val_logloss": 0.568945024111435500  },501  {502   "C": 0.01,503   "coef": {504    "f_accruals": -0.0311,505    "f_capex_assets": -0.0534,506    "f_cash_assets": 0.1447,507    "f_current_ratio": 0.0452,508    "f_gross_margin": -0.1171,509    "f_int_cover": 0.0621,510    "f_leverage": -0.0091,511    "f_log_assets": -0.292,512    "f_log_mcap": -0.0859,513    "f_loss": 0.0028,514    "f_net_issuance": -0.0247,515    "f_ni_assets": 0.08,516    "f_ocf_assets": -0.009,517    "f_op_margin": 0.0778,518    "f_rd_rev": 0.056,519    "f_rev_growth": -0.0102,520    "f_roa": 0.1228,521    "hist_adverse_rate": 0.3617,522    "info_age_td": 0.0369,523    "last_surprise": -0.5402,524    "mean_surprise4": 0.6565,525    "w30m_ac1": -0.0308,526    "w30m_beta": -0.0395,527    "w30m_bpv": -0.0158,528    "w30m_down_vol_share": -0.035,529    "w30m_drift": 0.0191,530    "w30m_max_share": -0.0013,531    "w30m_present_share": 0.0023,532    "w30m_rj": -0.0139,533    "w30m_rkurt": 0.0338,534    "w30m_rskew": 0.133,535    "w30m_rsneg_share": 0.1003,536    "w30m_rv": -0.0298,537    "w30m_rv_mktdown_share": -0.0076,538    "w30m_sjv": -0.0993,539    "w30m_vol_first30": 0.029,540    "w30m_vol_gini": -0.0675,541    "w30m_vol_last30": -0.0033,542    "w30m_volofvol": -0.0788,543    "w30m_vratio": 0.0242,544    "wd_amihud60": 0.0318,545    "wd_bars20": 0.0138,546    "wd_intraday20": 0.0113,547    "wd_kurt60": 0.0094,548    "wd_log_dollar_vol60": 0.1864,549    "wd_maxdd60": -0.1516,550    "wd_overnight20": -0.0367,551    "wd_parkinson20": 0.0986,552    "wd_ret20": -0.0086,553    "wd_ret60": -0.0566,554    "wd_skew60": -0.0262,555    "wd_vol20": 0.0781,556    "wd_vol60": 0.0619,557    "wd_volratio20": 0.0057,558    "wd_volratio5": 0.0002,559    "wd_zeroret60": -0.0008560   },561   "design": "event",562   "h": 5,563   "model": "B3",564   "n_features": 56,565   "n_test": 53575,566   "n_train": 27463,567   "n_valid": 12460,568   "tag": "chrono",569   "target": "y_adverse_opinc",570   "val_logloss": 0.5707727049807755571  },572  {573   "C": 0.01,574   "coef": {575    "f_accruals": -0.028,576    "f_capex_assets": -0.051,577    "f_cash_assets": 0.1447,578    "f_current_ratio": 0.0495,579    "f_gross_margin": -0.1122,580    "f_int_cover": 0.0618,581    "f_leverage": -0.013,582    "f_log_assets": -0.2991,583    "f_log_mcap": -0.0737,584    "f_loss": 0.0016,585    "f_net_issuance": -0.0288,586    "f_ni_assets": 0.0816,587    "f_ocf_assets": -0.0038,588    "f_op_margin": 0.0735,589    "f_rd_rev": 0.0529,590    "f_rev_growth": -0.0114,591    "f_roa": 0.1169,592    "hist_adverse_rate": 0.3614,593    "info_age_td": 0.0319,594    "last_surprise": -0.5398,595    "mean_surprise4": 0.6575,596    "w5m_ac1": 0.0137,597    "w5m_beta": -0.0491,598    "w5m_bpv": 0.0059,599    "w5m_down_vol_share": -0.0321,600    "w5m_drift": 0.0198,601    "w5m_max_share": -0.0108,602    "w5m_present_share": -0.0514,603    "w5m_rj": 0.0184,604    "w5m_rkurt": 0.0133,605    "w5m_rskew": 0.1077,606    "w5m_rsneg_share": 0.0836,607    "w5m_rv": -0.0198,608    "w5m_rv_mktdown_share": -0.0573,609    "w5m_sjv": -0.0836,610    "w5m_vol_first30": -0.0034,611    "w5m_vol_gini": -0.0129,612    "w5m_vol_last30": -0.0748,613    "w5m_volofvol": -0.0864,614    "w5m_vratio": 0.0157,615    "wd_amihud60": 0.0152,616    "wd_bars20": 0.0707,617    "wd_intraday20": 0.0065,618    "wd_kurt60": 0.0094,619    "wd_log_dollar_vol60": 0.1895,620    "wd_maxdd60": -0.1546,621    "wd_overnight20": -0.0394,622    "wd_parkinson20": 0.0933,623    "wd_ret20": -0.0076,624    "wd_ret60": -0.0586,625    "wd_skew60": -0.0231,626    "wd_vol20": 0.0575,627    "wd_vol60": 0.0622,628    "wd_volratio20": -0.0007,629    "wd_volratio5": -0.0017,630    "wd_zeroret60": -0.0104631   },632   "design": "event",633   "h": 5,634   "model": "B4",635   "n_features": 56,636   "n_test": 53575,637   "n_train": 27463,638   "n_valid": 12460,639   "tag": "chrono",640   "target": "y_adverse_opinc",641   "val_logloss": 0.570797016161446642  },643  {644   "C": 0.01,645   "coef": {646    "f_accruals": -0.0304,647    "f_capex_assets": -0.0543,648    "f_cash_assets": 0.1417,649    "f_current_ratio": 0.0497,650    "f_gross_margin": -0.1131,651    "f_int_cover": 0.062,652    "f_leverage": -0.0124,653    "f_log_assets": -0.3057,654    "f_log_mcap": -0.0722,655    "f_loss": 0.0017,656    "f_net_issuance": -0.0289,657    "f_ni_assets": 0.0813,658    "f_ocf_assets": -0.0062,659    "f_op_margin": 0.0725,660    "f_rd_rev": 0.0528,661    "f_rev_growth": -0.0093,662    "f_roa": 0.1183,663    "hist_adverse_rate": 0.3605,664    "info_age_td": 0.0397,665    "last_surprise": -0.5389,666    "mean_surprise4": 0.6571,667    "w1m_ac1": -0.0058,668    "w1m_beta": -0.0387,669    "w1m_bpv": -0.0079,670    "w1m_down_vol_share": -0.0558,671    "w1m_drift": 0.008,672    "w1m_max_share": 0.0099,673    "w1m_present_share": 0.0077,674    "w1m_rj": 0.0476,675    "w1m_rkurt": -0.0151,676    "w1m_rskew": 0.0525,677    "w1m_rsneg_share": 0.0273,678    "w1m_rv": -0.0375,679    "w1m_rv_mktdown_share": -0.0077,680    "w1m_sjv": -0.0273,681    "w1m_vol_first30": -0.0013,682    "w1m_vol_gini": -0.0378,683    "w1m_vol_last30": -0.084,684    "w1m_volofvol": -0.0337,685    "w1m_vratio": 0.0004,686    "wd_amihud60": 0.0263,687    "wd_bars20": 0.0116,688    "wd_intraday20": -0.0082,689    "wd_kurt60": 0.0052,690    "wd_log_dollar_vol60": 0.2254,691    "wd_maxdd60": -0.1539,692    "wd_overnight20": -0.0322,693    "wd_parkinson20": 0.0809,694    "wd_ret20": -0.0125,695    "wd_ret60": -0.0612,696    "wd_skew60": -0.02,697    "wd_vol20": 0.0292,698    "wd_vol60": 0.0702,699    "wd_volratio20": -0.001,700    "wd_volratio5": -0.0014,701    "wd_zeroret60": -0.0121702   },703   "design": "event",704   "h": 5,705   "model": "B5",706   "n_features": 56,707   "n_test": 53575,708   "n_train": 27463,709   "n_valid": 12460,710   "tag": "chrono",711   "target": "y_adverse_opinc",712   "val_logloss": 0.5720938424416239713  },714  {715   "C": 0.01,716   "coef": {717    "f_accruals": -0.0333,718    "f_capex_assets": -0.0514,719    "f_cash_assets": 0.1435,720    "f_current_ratio": 0.0501,721    "f_gross_margin": -0.112,722    "f_int_cover": 0.0636,723    "f_leverage": -0.0129,724    "f_log_assets": -0.3042,725    "f_log_mcap": -0.0649,726    "f_loss": -0.0017,727    "f_net_issuance": -0.0296,728    "f_ni_assets": 0.0748,729    "f_ocf_assets": -0.0101,730    "f_op_margin": 0.0772,731    "f_rd_rev": 0.0569,732    "f_rev_growth": -0.0109,733    "f_roa": 0.1265,734    "hist_adverse_rate": 0.3571,735    "info_age_td": 0.0333,736    "last_surprise": -0.5393,737    "mean_surprise4": 0.6577,738    "w1m_ac1": -0.0166,739    "w1m_beta": 0.0052,740    "w1m_bpv": -0.0117,741    "w1m_down_vol_share": -0.0668,742    "w1m_drift": 0.0138,743    "w1m_max_share": -0.0042,744    "w1m_present_share": 0.0227,745    "w1m_rj": 0.0477,746    "w1m_rkurt": -0.0038,747    "w1m_rskew": 0.0035,748    "w1m_rsneg_share": -0.0185,749    "w1m_rv": -0.0426,750    "w1m_rv_mktdown_share": 0.009,751    "w1m_sjv": 0.0185,752    "w1m_vol_first30": -0.0023,753    "w1m_vol_gini": -0.0341,754    "w1m_vol_last30": -0.0683,755    "w1m_volofvol": 0.0483,756    "w1m_vratio": -0.1093,757    "w30m_ac1": -0.0333,758    "w30m_beta": -0.0075,759    "w30m_bpv": -0.0284,760    "w30m_down_vol_share": -0.0272,761    "w30m_drift": 0.0138,762    "w30m_max_share": 0.0037,763    "w30m_present_share": 0.0163,764    "w30m_rj": -0.0146,765    "w30m_rkurt": 0.0193,766    "w30m_rskew": 0.1207,767    "w30m_rsneg_share": 0.074,768    "w30m_rv": -0.0281,769    "w30m_rv_mktdown_share": 0.0093,770    "w30m_sjv": -0.0727,771    "w30m_vol_first30": -0.0023,772    "w30m_vol_gini": 0.0334,773    "w30m_vol_last30": -0.0072,774    "w30m_volofvol": -0.0624,775    "w30m_vratio": 0.0308,776    "w5m_ac1": 0.0019,777    "w5m_beta": -0.0541,778    "w5m_bpv": 0.0525,779    "w5m_down_vol_share": 0.023,780    "w5m_drift": 0.0138,781    "w5m_max_share": -0.0041,782    "w5m_present_share": -0.0333,783    "w5m_rj": 0.0044,784    "w5m_rkurt": 0.0015,785    "w5m_rskew": 0.067,786    "w5m_rsneg_share": 0.0794,787    "w5m_rv": 0.0263,788    "w5m_rv_mktdown_share": -0.067,789    "w5m_sjv": -0.0794,790    "w5m_vol_first30": -0.0023,791    "w5m_vol_gini": -0.0149,792    "w5m_vol_last30": -0.0309,793    "w5m_volofvol": -0.0892,794    "w5m_vratio": 0.0768,795    "wd_amihud60": 0.0077,796    "wd_bars20": 0.0274,797    "wd_intraday20": 0.002,798    "wd_kurt60": 0.0081,799    "wd_log_dollar_vol60": 0.2177,800    "wd_maxdd60": -0.1564,801    "wd_overnight20": -0.037,802    "wd_parkinson20": 0.1209,803    "wd_ret20": -0.0095,804    "wd_ret60": -0.0501,805    "wd_skew60": -0.0281,806    "wd_vol20": 0.0756,807    "wd_vol60": 0.0632,808    "wd_volratio20": 0.004,809    "wd_volratio5": -0.0028,810    "wd_zeroret60": -0.0171811   },812   "design": "event",813   "h": 5,814   "model": "B5all",815   "n_features": 94,816   "n_test": 53575,817   "n_train": 27463,818   "n_valid": 12460,819   "tag": "chrono",820   "target": "y_adverse_opinc",821   "val_logloss": 0.5723759487067628822  },823  {824   "C": 0.01,825   "coef": {826    "f_accruals": -0.046,827    "f_capex_assets": -0.0985,828    "f_cash_assets": 0.1979,829    "f_current_ratio": 0.0698,830    "f_gross_margin": -0.1344,831    "f_int_cover": 0.065,832    "f_leverage": 0.0007,833    "f_log_assets": -0.1692,834    "f_log_mcap": -0.0859,835    "f_loss": 0.0559,836    "f_net_issuance": -0.015,837    "f_ni_assets": 0.0761,838    "f_ocf_assets": -0.0272,839    "f_op_margin": 0.0531,840    "f_rd_rev": 0.0356,841    "f_rev_growth": 0.004,842    "f_roa": 0.1015,843    "hist_adverse_rate": 0.4014,844    "info_age_td": 0.0528,845    "last_surprise": -0.5416,846    "mean_surprise4": 0.6713847   },848   "design": "event",849   "h": 10,850   "model": "B1",851   "n_features": 21,852   "n_test": 53751,853   "n_train": 27528,854   "n_valid": 12491,855   "tag": "chrono",856   "target": "y_adverse_opinc",857   "val_logloss": 0.593814266486845858  },859  {860   "C": 0.01,861   "coef": {862    "f_accruals": -0.0339,863    "f_capex_assets": -0.0596,864    "f_cash_assets": 0.1471,865    "f_current_ratio": 0.0415,866    "f_gross_margin": -0.1212,867    "f_int_cover": 0.0589,868    "f_leverage": -0.0094,869    "f_log_assets": -0.2898,870    "f_log_mcap": -0.0849,871    "f_loss": 0.003,872    "f_net_issuance": -0.0256,873    "f_ni_assets": 0.0993,874    "f_ocf_assets": -0.0071,875    "f_op_margin": 0.0701,876    "f_rd_rev": 0.0423,877    "f_rev_growth": -0.011,878    "f_roa": 0.1171,879    "hist_adverse_rate": 0.3661,880    "info_age_td": 0.0445,881    "last_surprise": -0.5389,882    "mean_surprise4": 0.6607,883    "wd_amihud60": 0.0387,884    "wd_bars20": 0.0549,885    "wd_intraday20": 0.0149,886    "wd_kurt60": -0.0005,887    "wd_log_dollar_vol60": 0.1999,888    "wd_maxdd60": -0.1232,889    "wd_overnight20": -0.0183,890    "wd_parkinson20": 0.0597,891    "wd_ret20": -0.0012,892    "wd_ret60": -0.0985,893    "wd_skew60": -0.0286,894    "wd_vol20": -0.0149,895    "wd_vol60": 0.1003,896    "wd_volratio20": 0.0027,897    "wd_volratio5": -0.0073,898    "wd_zeroret60": 0.0161899   },900   "design": "event",901   "h": 10,902   "model": "B2",903   "n_features": 37,904   "n_test": 53751,905   "n_train": 27528,906   "n_valid": 12491,907   "tag": "chrono",908   "target": "y_adverse_opinc",909   "val_logloss": 0.5700775480296084910  },911  {912   "C": 0.01,913   "coef": {914    "f_accruals": -0.0342,915    "f_capex_assets": -0.0526,916    "f_cash_assets": 0.1439,917    "f_current_ratio": 0.0444,918    "f_gross_margin": -0.1176,919    "f_int_cover": 0.0585,920    "f_leverage": -0.0126,921    "f_log_assets": -0.2976,922    "f_log_mcap": -0.0785,923    "f_loss": 0.0013,924    "f_net_issuance": -0.0315,925    "f_ni_assets": 0.0937,926    "f_ocf_assets": -0.0077,927    "f_op_margin": 0.0839,928    "f_rd_rev": 0.0568,929    "f_rev_growth": -0.0103,930    "f_roa": 0.1163,931    "hist_adverse_rate": 0.3629,932    "info_age_td": 0.0402,933    "last_surprise": -0.5367,934    "mean_surprise4": 0.6595,935    "w30m_ac1": -0.0204,936    "w30m_beta": -0.047,937    "w30m_bpv": -0.0321,938    "w30m_down_vol_share": -0.0365,939    "w30m_drift": 0.0434,940    "w30m_max_share": -0.0084,941    "w30m_present_share": 0.0216,942    "w30m_rj": -0.014,943    "w30m_rkurt": 0.0334,944    "w30m_rskew": 0.073,945    "w30m_rsneg_share": 0.0589,946    "w30m_rv": -0.0386,947    "w30m_rv_mktdown_share": 0.0032,948    "w30m_sjv": -0.0577,949    "w30m_vol_first30": 0.0369,950    "w30m_vol_gini": -0.0818,951    "w30m_vol_last30": -0.0013,952    "w30m_volofvol": -0.0384,953    "w30m_vratio": 0.0346,954    "wd_amihud60": 0.0363,955    "wd_bars20": 0.0018,956    "wd_intraday20": 0.0026,957    "wd_kurt60": 0.0018,958    "wd_log_dollar_vol60": 0.191,959    "wd_maxdd60": -0.1208,960    "wd_overnight20": -0.0161,961    "wd_parkinson20": 0.1321,962    "wd_ret20": -0.0117,963    "wd_ret60": -0.0981,964    "wd_skew60": -0.0308,965    "wd_vol20": 0.0377,966    "wd_vol60": 0.0916,967    "wd_volratio20": 0.0047,968    "wd_volratio5": -0.0075,969    "wd_zeroret60": 0.0086970   },971   "design": "event",972   "h": 10,973   "model": "B3",974   "n_features": 56,975   "n_test": 53751,976   "n_train": 27528,977   "n_valid": 12491,978   "tag": "chrono",979   "target": "y_adverse_opinc",980   "val_logloss": 0.5714069876198068981  },982  {983   "C": 0.01,984   "coef": {985    "f_accruals": -0.0325,986    "f_capex_assets": -0.0495,987    "f_cash_assets": 0.1442,988    "f_current_ratio": 0.048,989    "f_gross_margin": -0.1127,990    "f_int_cover": 0.0584,991    "f_leverage": -0.0155,992    "f_log_assets": -0.3061,993    "f_log_mcap": -0.0705,994    "f_loss": -0.0015,995    "f_net_issuance": -0.0337,996    "f_ni_assets": 0.0928,997    "f_ocf_assets": -0.0051,998    "f_op_margin": 0.0858,999    "f_rd_rev": 0.0602,1000    "f_rev_growth": -0.0116,1001    "f_roa": 0.1126,1002    "hist_adverse_rate": 0.3625,1003    "info_age_td": 0.0374,1004    "last_surprise": -0.5377,1005    "mean_surprise4": 0.6616,1006    "w5m_ac1": 0.0181,1007    "w5m_beta": -0.0626,1008    "w5m_bpv": -0.0009,1009    "w5m_down_vol_share": -0.039,1010    "w5m_drift": 0.0494,1011    "w5m_max_share": -0.0396,1012    "w5m_present_share": -0.0354,1013    "w5m_rj": 0.0098,1014    "w5m_rkurt": 0.0321,1015    "w5m_rskew": 0.0756,1016    "w5m_rsneg_share": 0.064,1017    "w5m_rv": -0.0321,1018    "w5m_rv_mktdown_share": -0.0373,1019    "w5m_sjv": -0.064,1020    "w5m_vol_first30": 0.0131,1021    "w5m_vol_gini": -0.032,1022    "w5m_vol_last30": -0.0686,1023    "w5m_volofvol": -0.0749,1024    "w5m_vratio": 0.0329,1025    "wd_amihud60": 0.0197,1026    "wd_bars20": 0.0442,1027    "wd_intraday20": 0.005,1028    "wd_kurt60": 0.0065,1029    "wd_log_dollar_vol60": 0.1973,1030    "wd_maxdd60": -0.1214,1031    "wd_overnight20": -0.0176,1032    "wd_parkinson20": 0.1396,1033    "wd_ret20": -0.013,1034    "wd_ret60": -0.0961,1035    "wd_skew60": -0.0311,1036    "wd_vol20": 0.0253,1037    "wd_vol60": 0.0883,1038    "wd_volratio20": 0.0028,1039    "wd_volratio5": -0.0125,1040    "wd_zeroret60": -0.00121041   },1042   "design": "event",1043   "h": 10,1044   "model": "B4",1045   "n_features": 56,1046   "n_test": 53751,1047   "n_train": 27528,1048   "n_valid": 12491,1049   "tag": "chrono",1050   "target": "y_adverse_opinc",1051   "val_logloss": 0.57117286207125981052  },1053  {1054   "C": 0.01,1055   "coef": {1056    "f_accruals": -0.0353,1057    "f_capex_assets": -0.0518,1058    "f_cash_assets": 0.1405,1059    "f_current_ratio": 0.049,1060    "f_gross_margin": -0.113,1061    "f_int_cover": 0.0593,1062    "f_leverage": -0.0151,1063    "f_log_assets": -0.3096,1064    "f_log_mcap": -0.0698,1065    "f_loss": -0.0027,1066    "f_net_issuance": -0.0346,1067    "f_ni_assets": 0.0927,1068    "f_ocf_assets": -0.0093,1069    "f_op_margin": 0.0822,1070    "f_rd_rev": 0.0588,1071    "f_rev_growth": -0.0099,1072    "f_roa": 0.1146,1073    "hist_adverse_rate": 0.3612,1074    "info_age_td": 0.0421,1075    "last_surprise": -0.5365,1076    "mean_surprise4": 0.6603,1077    "w1m_ac1": 0.0033,1078    "w1m_beta": -0.0509,1079    "w1m_bpv": -0.0156,1080    "w1m_down_vol_share": -0.0596,1081    "w1m_drift": 0.0468,1082    "w1m_max_share": -0.0416,1083    "w1m_present_share": 0.0119,1084    "w1m_rj": 0.032,1085    "w1m_rkurt": 0.0206,1086    "w1m_rskew": 0.0889,1087    "w1m_rsneg_share": 0.0483,1088    "w1m_rv": -0.0707,1089    "w1m_rv_mktdown_share": -0.0157,1090    "w1m_sjv": -0.0483,1091    "w1m_vol_first30": 0.01,1092    "w1m_vol_gini": -0.0443,1093    "w1m_vol_last30": -0.078,1094    "w1m_volofvol": -0.0203,1095    "w1m_vratio": 0.0287,1096    "wd_amihud60": 0.0331,1097    "wd_bars20": -0.0105,1098    "wd_intraday20": -0.0029,1099    "wd_kurt60": 0.0013,1100    "wd_log_dollar_vol60": 0.2249,1101    "wd_maxdd60": -0.122,1102    "wd_overnight20": -0.0117,1103    "wd_parkinson20": 0.1338,1104    "wd_ret20": -0.0153,1105    "wd_ret60": -0.0988,1106    "wd_skew60": -0.0305,1107    "wd_vol20": 0.0054,1108    "wd_vol60": 0.0965,1109    "wd_volratio20": 0.0002,1110    "wd_volratio5": -0.0125,1111    "wd_zeroret60": -0.00551112   },1113   "design": "event",1114   "h": 10,1115   "model": "B5",1116   "n_features": 56,1117   "n_test": 53751,1118   "n_train": 27528,1119   "n_valid": 12491,1120   "tag": "chrono",1121   "target": "y_adverse_opinc",1122   "val_logloss": 0.57279173570035261123  },1124  {1125   "C": 0.01,1126   "coef": {1127    "f_accruals": -0.0346,1128    "f_capex_assets": -0.05,1129    "f_cash_assets": 0.1434,1130    "f_current_ratio": 0.0464,1131    "f_gross_margin": -0.1136,1132    "f_int_cover": 0.0588,1133    "f_leverage": -0.017,1134    "f_log_assets": -0.3138,1135    "f_log_mcap": -0.0625,1136    "f_loss": -0.0029,1137    "f_net_issuance": -0.0342,1138    "f_ni_assets": 0.0903,1139    "f_ocf_assets": -0.0096,1140    "f_op_margin": 0.0845,1141    "f_rd_rev": 0.0589,1142    "f_rev_growth": -0.0107,1143    "f_roa": 0.1171,1144    "hist_adverse_rate": 0.3586,1145    "info_age_td": 0.0373,1146    "last_surprise": -0.5351,1147    "mean_surprise4": 0.6594,1148    "w1m_ac1": -0.002,1149    "w1m_beta": 0.0143,1150    "w1m_bpv": -0.031,1151    "w1m_down_vol_share": -0.0539,1152    "w1m_drift": 0.0302,1153    "w1m_max_share": -0.0416,1154    "w1m_present_share": 0.0283,1155    "w1m_rj": 0.035,1156    "w1m_rkurt": 0.0262,1157    "w1m_rskew": 0.0692,1158    "w1m_rsneg_share": 0.0208,1159    "w1m_rv": -0.0865,1160    "w1m_rv_mktdown_share": -0.0074,1161    "w1m_sjv": -0.0208,1162    "w1m_vol_first30": 0.0038,1163    "w1m_vol_gini": -0.0267,1164    "w1m_vol_last30": -0.0426,1165    "w1m_volofvol": 0.0488,1166    "w1m_vratio": -0.0405,1167    "w30m_ac1": -0.0223,1168    "w30m_beta": -0.0026,1169    "w30m_bpv": -0.0302,1170    "w30m_down_vol_share": -0.0281,1171    "w30m_drift": 0.0302,1172    "w30m_max_share": -0.0025,1173    "w30m_present_share": 0.0345,1174    "w30m_rj": -0.0131,1175    "w30m_rkurt": 0.0248,1176    "w30m_rskew": 0.0574,1177    "w30m_rsneg_share": 0.0294,1178    "w30m_rv": -0.0217,1179    "w30m_rv_mktdown_share": 0.019,1180    "w30m_sjv": -0.0278,1181    "w30m_vol_first30": 0.0038,1182    "w30m_vol_gini": 0.0078,1183    "w30m_vol_last30": -0.0047,1184    "w30m_volofvol": -0.0076,1185    "w30m_vratio": 0.0079,1186    "w5m_ac1": 0.0065,1187    "w5m_beta": -0.0805,1188    "w5m_bpv": 0.0659,1189    "w5m_down_vol_share": 0.0089,1190    "w5m_drift": 0.0302,1191    "w5m_max_share": -0.025,1192    "w5m_present_share": -0.0445,1193    "w5m_rj": -0.0008,1194    "w5m_rkurt": 0.0132,1195    "w5m_rskew": 0.0228,1196    "w5m_rsneg_share": 0.0501,1197    "w5m_rv": 0.0348,1198    "w5m_rv_mktdown_share": -0.0438,1199    "w5m_sjv": -0.0501,1200    "w5m_vol_first30": 0.0038,1201    "w5m_vol_gini": -0.0158,1202    "w5m_vol_last30": -0.038,1203    "w5m_volofvol": -0.1038,1204    "w5m_vratio": 0.0589,1205    "wd_amihud60": 0.0202,1206    "wd_bars20": -0.0021,1207    "wd_intraday20": -0.0203,1208    "wd_kurt60": 0.0032,1209    "wd_log_dollar_vol60": 0.2171,1210    "wd_maxdd60": -0.1253,1211    "wd_overnight20": -0.0125,1212    "wd_parkinson20": 0.1622,1213    "wd_ret20": -0.0211,1214    "wd_ret60": -0.0931,1215    "wd_skew60": -0.0327,1216    "wd_vol20": 0.0276,1217    "wd_vol60": 0.0886,1218    "wd_volratio20": 0.0039,1219    "wd_volratio5": -0.0122,1220    "wd_zeroret60": -0.00791221   },1222   "design": "event",1223   "h": 10,1224   "model": "B5all",1225   "n_features": 94,1226   "n_test": 53751,1227   "n_train": 27528,1228   "n_valid": 12491,1229   "tag": "chrono",1230   "target": "y_adverse_opinc",1231   "val_logloss": 0.57200794656740891232  },1233  {1234   "C": 0.01,1235   "coef": {1236    "f_accruals": -0.0376,1237    "f_capex_assets": -0.1021,1238    "f_cash_assets": 0.194,1239    "f_current_ratio": 0.0686,1240    "f_gross_margin": -0.1364,1241    "f_int_cover": 0.0595,1242    "f_leverage": -0.0001,1243    "f_log_assets": -0.1772,1244    "f_log_mcap": -0.0747,1245    "f_loss": 0.0539,1246    "f_net_issuance": -0.012,1247    "f_ni_assets": 0.0786,1248    "f_ocf_assets": -0.0262,1249    "f_op_margin": 0.0671,1250    "f_rd_rev": 0.0472,1251    "f_rev_growth": 0.0075,1252    "f_roa": 0.0986,1253    "hist_adverse_rate": 0.3971,1254    "info_age_td": 0.0547,1255    "last_surprise": -0.545,1256    "mean_surprise4": 0.66661257   },1258   "design": "event",1259   "h": 20,1260   "model": "B1",1261   "n_features": 21,1262   "n_test": 53667,1263   "n_train": 27574,1264   "n_valid": 12364,1265   "tag": "chrono",1266   "target": "y_adverse_opinc",1267   "val_logloss": 0.59382147397525551268  },1269  {1270   "C": 0.03,1271   "coef": {1272    "f_accruals": -0.04,1273    "f_capex_assets": -0.0635,1274    "f_cash_assets": 0.1425,1275    "f_current_ratio": 0.0392,1276    "f_gross_margin": -0.128,1277    "f_int_cover": 0.0533,1278    "f_leverage": -0.0116,1279    "f_log_assets": -0.3082,1280    "f_log_mcap": -0.0866,1281    "f_loss": -0.0024,1282    "f_net_issuance": -0.0237,1283    "f_ni_assets": 0.1028,1284    "f_ocf_assets": -0.0244,1285    "f_op_margin": 0.1123,1286    "f_rd_rev": 0.0815,1287    "f_rev_growth": -0.0081,1288    "f_roa": 0.1377,1289    "hist_adverse_rate": 0.3698,1290    "info_age_td": 0.0533,1291    "last_surprise": -0.5688,1292    "mean_surprise4": 0.6882,1293    "wd_amihud60": 0.0229,1294    "wd_bars20": 0.0405,1295    "wd_intraday20": -0.0484,1296    "wd_kurt60": -0.0176,1297    "wd_log_dollar_vol60": 0.2234,1298    "wd_maxdd60": -0.0958,1299    "wd_overnight20": -0.0429,1300    "wd_parkinson20": 0.0586,1301    "wd_ret20": 0.0734,1302    "wd_ret60": -0.1149,1303    "wd_skew60": -0.0208,1304    "wd_vol20": 0.0182,1305    "wd_vol60": 0.1037,1306    "wd_volratio20": 0.011,1307    "wd_volratio5": 0.0192,1308    "wd_zeroret60": 0.00441309   },1310   "design": "event",1311   "h": 20,1312   "model": "B2",1313   "n_features": 37,1314   "n_test": 53667,1315   "n_train": 27574,1316   "n_valid": 12364,1317   "tag": "chrono",1318   "target": "y_adverse_opinc",1319   "val_logloss": 0.56910001474911841320  },1321  {1322   "C": 0.01,1323   "coef": {1324    "f_accruals": -0.0235,1325    "f_capex_assets": -0.058,1326    "f_cash_assets": 0.1406,1327    "f_current_ratio": 0.0419,1328    "f_gross_margin": -0.1228,1329    "f_int_cover": 0.0508,1330    "f_leverage": -0.0157,1331    "f_log_assets": -0.3027,1332    "f_log_mcap": -0.0735,1333    "f_loss": -0.0019,1334    "f_net_issuance": -0.0281,1335    "f_ni_assets": 0.0941,1336    "f_ocf_assets": -0.0029,1337    "f_op_margin": 0.1037,1338    "f_rd_rev": 0.0756,1339    "f_rev_growth": -0.0066,1340    "f_roa": 0.1133,1341    "hist_adverse_rate": 0.3582,1342    "info_age_td": 0.0497,1343    "last_surprise": -0.5395,1344    "mean_surprise4": 0.656,1345    "w30m_ac1": -0.0341,1346    "w30m_beta": -0.0524,1347    "w30m_bpv": -0.0213,1348    "w30m_down_vol_share": -0.0171,1349    "w30m_drift": 0.0228,1350    "w30m_max_share": -0.0283,1351    "w30m_present_share": 0.0201,1352    "w30m_rj": 0.0054,1353    "w30m_rkurt": 0.0343,1354    "w30m_rskew": 0.0926,1355    "w30m_rsneg_share": 0.0561,1356    "w30m_rv": -0.0554,1357    "w30m_rv_mktdown_share": 0.0272,1358    "w30m_sjv": -0.0556,1359    "w30m_vol_first30": 0.0438,1360    "w30m_vol_gini": -0.0529,1361    "w30m_vol_last30": 0.0142,1362    "w30m_volofvol": -0.0112,1363    "w30m_vratio": 0.0111,1364    "wd_amihud60": 0.0087,1365    "wd_bars20": 0.0212,1366    "wd_intraday20": -0.0172,1367    "wd_kurt60": -0.0159,1368    "wd_log_dollar_vol60": 0.1887,1369    "wd_maxdd60": -0.1012,1370    "wd_overnight20": -0.0274,1371    "wd_parkinson20": 0.1326,1372    "wd_ret20": 0.0372,1373    "wd_ret60": -0.1084,1374    "wd_skew60": -0.0249,1375    "wd_vol20": 0.0399,1376    "wd_vol60": 0.1013,1377    "wd_volratio20": 0.0051,1378    "wd_volratio5": 0.019,1379    "wd_zeroret60": -0.00671380   },1381   "design": "event",1382   "h": 20,1383   "model": "B3",1384   "n_features": 56,1385   "n_test": 53667,1386   "n_train": 27574,1387   "n_valid": 12364,1388   "tag": "chrono",1389   "target": "y_adverse_opinc",1390   "val_logloss": 0.56949045880431611391  },1392  {1393   "C": 0.01,1394   "coef": {1395    "f_accruals": -0.0252,1396    "f_capex_assets": -0.0559,1397    "f_cash_assets": 0.1417,1398    "f_current_ratio": 0.043,1399    "f_gross_margin": -0.1204,1400    "f_int_cover": 0.0521,1401    "f_leverage": -0.0154,1402    "f_log_assets": -0.3166,1403    "f_log_mcap": -0.0701,1404    "f_loss": -0.0061,1405    "f_net_issuance": -0.0302,1406    "f_ni_assets": 0.0898,1407    "f_ocf_assets": -0.0028,1408    "f_op_margin": 0.1044,1409    "f_rd_rev": 0.0779,1410    "f_rev_growth": -0.0065,1411    "f_roa": 0.114,1412    "hist_adverse_rate": 0.3565,1413    "info_age_td": 0.0496,1414    "last_surprise": -0.5389,1415    "mean_surprise4": 0.6542,1416    "w5m_ac1": 0.0026,1417    "w5m_beta": -0.0571,1418    "w5m_bpv": 0.0353,1419    "w5m_down_vol_share": -0.0354,1420    "w5m_drift": 0.0235,1421    "w5m_max_share": -0.0523,1422    "w5m_present_share": -0.0644,1423    "w5m_rj": 0.0209,1424    "w5m_rkurt": 0.029,1425    "w5m_rskew": 0.0652,1426    "w5m_rsneg_share": 0.0415,1427    "w5m_rv": -0.0876,1428    "w5m_rv_mktdown_share": -0.0061,1429    "w5m_sjv": -0.0415,1430    "w5m_vol_first30": 0.032,1431    "w5m_vol_gini": -0.0407,1432    "w5m_vol_last30": -0.0323,1433    "w5m_volofvol": -0.052,1434    "w5m_vratio": 0.0162,1435    "wd_amihud60": -0.0013,1436    "wd_bars20": 0.065,1437    "wd_intraday20": -0.0266,1438    "wd_kurt60": -0.0096,1439    "wd_log_dollar_vol60": 0.1944,1440    "wd_maxdd60": -0.0981,1441    "wd_overnight20": -0.0277,1442    "wd_parkinson20": 0.1432,1443    "wd_ret20": 0.0365,1444    "wd_ret60": -0.1061,1445    "wd_skew60": -0.024,1446    "wd_vol20": 0.036,1447    "wd_vol60": 0.0957,1448    "wd_volratio20": 0.0065,1449    "wd_volratio5": 0.0182,1450    "wd_zeroret60": -0.01851451   },1452   "design": "event",1453   "h": 20,1454   "model": "B4",1455   "n_features": 56,1456   "n_test": 53667,1457   "n_train": 27574,1458   "n_valid": 12364,1459   "tag": "chrono",1460   "target": "y_adverse_opinc",1461   "val_logloss": 0.56880502534757721462  },1463  {1464   "C": 0.01,1465   "coef": {1466    "f_accruals": -0.0235,1467    "f_capex_assets": -0.0575,1468    "f_cash_assets": 0.1386,1469    "f_current_ratio": 0.0454,1470    "f_gross_margin": -0.1213,1471    "f_int_cover": 0.0529,1472    "f_leverage": -0.017,1473    "f_log_assets": -0.3152,1474    "f_log_mcap": -0.0678,1475    "f_loss": -0.0055,1476    "f_net_issuance": -0.0301,1477    "f_ni_assets": 0.0915,1478    "f_ocf_assets": -0.0012,1479    "f_op_margin": 0.1,1480    "f_rd_rev": 0.0742,1481    "f_rev_growth": -0.0058,1482    "f_roa": 0.1115,1483    "hist_adverse_rate": 0.3574,1484    "info_age_td": 0.0491,1485    "last_surprise": -0.5385,1486    "mean_surprise4": 0.6557,1487    "w1m_ac1": -0.0095,1488    "w1m_beta": -0.0546,1489    "w1m_bpv": -0.0161,1490    "w1m_down_vol_share": -0.0553,1491    "w1m_drift": 0.0214,1492    "w1m_max_share": -0.0381,1493    "w1m_present_share": 0.0171,1494    "w1m_rj": 0.0464,1495    "w1m_rkurt": 0.0113,1496    "w1m_rskew": 0.0647,1497    "w1m_rsneg_share": 0.0393,1498    "w1m_rv": -0.0748,1499    "w1m_rv_mktdown_share": -0.0098,1500    "w1m_sjv": -0.0394,1501    "w1m_vol_first30": 0.0287,1502    "w1m_vol_gini": -0.0573,1503    "w1m_vol_last30": -0.0383,1504    "w1m_volofvol": -0.0083,1505    "w1m_vratio": 0.0278,1506    "wd_amihud60": 0.011,1507    "wd_bars20": -0.0114,1508    "wd_intraday20": -0.0219,1509    "wd_kurt60": -0.0156,1510    "wd_log_dollar_vol60": 0.2286,1511    "wd_maxdd60": -0.0969,1512    "wd_overnight20": -0.0255,1513    "wd_parkinson20": 0.1268,1514    "wd_ret20": 0.0343,1515    "wd_ret60": -0.1104,1516    "wd_skew60": -0.023,1517    "wd_vol20": 0.0386,1518    "wd_vol60": 0.1032,1519    "wd_volratio20": 0.0047,1520    "wd_volratio5": 0.0168,1521    "wd_zeroret60": -0.02291522   },1523   "design": "event",1524   "h": 20,1525   "model": "B5",1526   "n_features": 56,1527   "n_test": 53667,1528   "n_train": 27574,1529   "n_valid": 12364,1530   "tag": "chrono",1531   "target": "y_adverse_opinc",1532   "val_logloss": 0.57057978191821681533  },1534  {1535   "C": 0.01,1536   "coef": {1537    "f_accruals": -0.0256,1538    "f_capex_assets": -0.0568,1539    "f_cash_assets": 0.1394,1540    "f_current_ratio": 0.0448,1541    "f_gross_margin": -0.1212,1542    "f_int_cover": 0.0519,1543    "f_leverage": -0.0178,1544    "f_log_assets": -0.3223,1545    "f_log_mcap": -0.0602,1546    "f_loss": -0.007,1547    "f_net_issuance": -0.0287,1548    "f_ni_assets": 0.0913,1549    "f_ocf_assets": -0.0064,1550    "f_op_margin": 0.1007,1551    "f_rd_rev": 0.0753,1552    "f_rev_growth": -0.0055,1553    "f_roa": 0.1141,1554    "hist_adverse_rate": 0.3547,1555    "info_age_td": 0.0483,1556    "last_surprise": -0.5375,1557    "mean_surprise4": 0.6548,1558    "w1m_ac1": 0.0044,1559    "w1m_beta": -0.015,1560    "w1m_bpv": -0.0187,1561    "w1m_down_vol_share": -0.0504,1562    "w1m_drift": 0.015,1563    "w1m_max_share": -0.0386,1564    "w1m_present_share": 0.0367,1565    "w1m_rj": 0.0394,1566    "w1m_rkurt": 0.0328,1567    "w1m_rskew": 0.045,1568    "w1m_rsneg_share": 0.0315,1569    "w1m_rv": -0.0841,1570    "w1m_rv_mktdown_share": -0.0176,1571    "w1m_sjv": -0.0315,1572    "w1m_vol_first30": 0.0108,1573    "w1m_vol_gini": -0.021,1574    "w1m_vol_last30": -0.0097,1575    "w1m_volofvol": 0.0413,1576    "w1m_vratio": 0.0038,1577    "w30m_ac1": -0.0346,1578    "w30m_beta": -0.0316,1579    "w30m_bpv": -0.003,1580    "w30m_down_vol_share": 0.0045,1581    "w30m_drift": 0.015,1582    "w30m_max_share": -0.0218,1583    "w30m_present_share": 0.0367,1584    "w30m_rj": 0.0033,1585    "w30m_rkurt": 0.0355,1586    "w30m_rskew": 0.0745,1587    "w30m_rsneg_share": 0.0395,1588    "w30m_rv": -0.027,1589    "w30m_rv_mktdown_share": 0.0345,1590    "w30m_sjv": -0.0388,1591    "w30m_vol_first30": 0.0108,1592    "w30m_vol_gini": -0.0007,1593    "w30m_vol_last30": -0.0079,1594    "w30m_volofvol": 0.0261,1595    "w30m_vratio": -0.0242,1596    "w5m_ac1": 0.003,1597    "w5m_beta": -0.0217,1598    "w5m_bpv": 0.0787,1599    "w5m_down_vol_share": -0.0085,1600    "w5m_drift": 0.015,1601    "w5m_max_share": -0.0315,1602    "w5m_present_share": -0.088,1603    "w5m_rj": 0.001,1604    "w5m_rkurt": 0.0027,1605    "w5m_rskew": 0.0136,1606    "w5m_rsneg_share": 0.0088,1607    "w5m_rv": -0.0312,1608    "w5m_rv_mktdown_share": -0.0116,1609    "w5m_sjv": -0.0088,1610    "w5m_vol_first30": 0.0108,1611    "w5m_vol_gini": -0.0232,1612    "w5m_vol_last30": -0.0295,1613    "w5m_volofvol": -0.0923,1614    "w5m_vratio": 0.0315,1615    "wd_amihud60": 0.0015,1616    "wd_bars20": 0.0026,1617    "wd_intraday20": -0.032,1618    "wd_kurt60": -0.0148,1619    "wd_log_dollar_vol60": 0.2207,1620    "wd_maxdd60": -0.1037,1621    "wd_overnight20": -0.0288,1622    "wd_parkinson20": 0.157,1623    "wd_ret20": 0.0382,1624    "wd_ret60": -0.1032,1625    "wd_skew60": -0.0257,1626    "wd_vol20": 0.0279,1627    "wd_vol60": 0.1008,1628    "wd_volratio20": 0.0042,1629    "wd_volratio5": 0.0172,1630    "wd_zeroret60": -0.02791631   },1632   "design": "event",1633   "h": 20,1634   "model": "B5all",1635   "n_features": 94,1636   "n_test": 53667,1637   "n_train": 27574,1638   "n_valid": 12364,1639   "tag": "chrono",1640   "target": "y_adverse_opinc",1641   "val_logloss": 0.56998767195686861642  },1643  {1644   "alpha": 1000,1645   "design": "event",1646   "h": 20,1647   "model": "B2",1648   "tag": "chrono_cont",1649   "target": "S_opinc",1650   "train_mean": -8.877935038064945e-05,1651   "val_mse": 0.0010171558432674997,1652   "winsor": [1653    -0.1341090830637767,1654    0.14667980935884151655   ]1656  },1657  {1658   "alpha": 1000,1659   "design": "event",1660   "h": 20,1661   "model": "B5",1662   "tag": "chrono_cont",1663   "target": "S_opinc",1664   "train_mean": -8.877935038064945e-05,1665   "val_mse": 0.0010267545434258078,1666   "winsor": [1667    -0.1341090830637767,1668    0.14667980935884151669   ]1670  },1671  {1672   "C": 0.01,1673   "coef": {1674    "f_accruals": -0.0382,1675    "f_capex_assets": -0.066,1676    "f_cash_assets": 0.1457,1677    "f_current_ratio": 0.0334,1678    "f_gross_margin": -0.1044,1679    "f_int_cover": 0.0344,1680    "f_leverage": -0.0097,1681    "f_log_assets": -0.2988,1682    "f_log_mcap": -0.0915,1683    "f_loss": 0.0049,1684    "f_net_issuance": -0.0348,1685    "f_ni_assets": 0.1034,1686    "f_ocf_assets": -0.0191,1687    "f_op_margin": 0.0883,1688    "f_rd_rev": 0.0403,1689    "f_rev_growth": 0.0089,1690    "f_roa": 0.1234,1691    "hist_adverse_rate": 0.3704,1692    "info_age_td": 0.0467,1693    "last_surprise": -0.5302,1694    "mean_surprise4": 0.6418,1695    "wd_amihud60": 0.0165,1696    "wd_bars20": 0.0246,1697    "wd_intraday20": -0.0385,1698    "wd_kurt60": -0.0131,1699    "wd_log_dollar_vol60": 0.2338,1700    "wd_maxdd60": -0.105,1701    "wd_overnight20": -0.0331,1702    "wd_parkinson20": 0.079,1703    "wd_ret20": 0.0587,1704    "wd_ret60": -0.1004,1705    "wd_skew60": -0.0177,1706    "wd_vol20": 0.0113,1707    "wd_vol60": 0.0785,1708    "wd_volratio20": -0.0034,1709    "wd_volratio5": 0.0367,1710    "wd_zeroret60": 0.00381711   },1712   "design": "event",1713   "h": 20,1714   "model": "B2",1715   "n_features": 37,1716   "n_test": 10071,1717   "n_train": 22331,1718   "n_valid": 10012,1719   "tag": "firmhold_heldout",1720   "target": "y_adverse_opinc",1721   "val_logloss": 0.57051456333596441722  },1723  {1724   "C": 0.01,1725   "coef": {1726    "f_accruals": -0.0363,1727    "f_capex_assets": -0.0601,1728    "f_cash_assets": 0.1409,1729    "f_current_ratio": 0.036,1730    "f_gross_margin": -0.1013,1731    "f_int_cover": 0.0348,1732    "f_leverage": -0.0124,1733    "f_log_assets": -0.3236,1734    "f_log_mcap": -0.0848,1735    "f_loss": -0.0001,1736    "f_net_issuance": -0.0396,1737    "f_ni_assets": 0.0981,1738    "f_ocf_assets": -0.0179,1739    "f_op_margin": 0.0949,1740    "f_rd_rev": 0.053,1741    "f_rev_growth": 0.0105,1742    "f_roa": 0.1174,1743    "hist_adverse_rate": 0.3653,1744    "info_age_td": 0.0448,1745    "last_surprise": -0.5273,1746    "mean_surprise4": 0.6396,1747    "w1m_ac1": -0.0173,1748    "w1m_beta": -0.035,1749    "w1m_bpv": -0.0333,1750    "w1m_down_vol_share": -0.0477,1751    "w1m_drift": 0.0109,1752    "w1m_max_share": -0.0391,1753    "w1m_present_share": 0.0156,1754    "w1m_rj": 0.035,1755    "w1m_rkurt": 0.0046,1756    "w1m_rskew": 0.0626,1757    "w1m_rsneg_share": 0.0319,1758    "w1m_rv": -0.0704,1759    "w1m_rv_mktdown_share": -0.0055,1760    "w1m_sjv": -0.0319,1761    "w1m_vol_first30": 0.0344,1762    "w1m_vol_gini": -0.0611,1763    "w1m_vol_last30": -0.029,1764    "w1m_volofvol": -0.0075,1765    "w1m_vratio": 0.0378,1766    "wd_amihud60": 0.0159,1767    "wd_bars20": -0.0125,1768    "wd_intraday20": -0.0312,1769    "wd_kurt60": -0.0125,1770    "wd_log_dollar_vol60": 0.2452,1771    "wd_maxdd60": -0.1036,1772    "wd_overnight20": -0.029,1773    "wd_parkinson20": 0.1353,1774    "wd_ret20": 0.0484,1775    "wd_ret60": -0.1004,1776    "wd_skew60": -0.0186,1777    "wd_vol20": 0.0392,1778    "wd_vol60": 0.0784,1779    "wd_volratio20": -0.0062,1780    "wd_volratio5": 0.0359,1781    "wd_zeroret60": -0.01971782   },1783   "design": "event",1784   "h": 20,1785   "model": "B5",1786   "n_features": 56,1787   "n_test": 10071,1788   "n_train": 22331,1789   "n_valid": 10012,1790   "tag": "firmhold_heldout",1791   "target": "y_adverse_opinc",1792   "val_logloss": 0.57117215099196561793  },1794  {1795   "C": 0.01,1796   "coef": {1797    "f_accruals": -0.0382,1798    "f_capex_assets": -0.066,1799    "f_cash_assets": 0.1457,1800    "f_current_ratio": 0.0334,1801    "f_gross_margin": -0.1044,1802    "f_int_cover": 0.0344,1803    "f_leverage": -0.0097,1804    "f_log_assets": -0.2988,1805    "f_log_mcap": -0.0915,1806    "f_loss": 0.0049,1807    "f_net_issuance": -0.0348,1808    "f_ni_assets": 0.1034,1809    "f_ocf_assets": -0.0191,1810    "f_op_margin": 0.0883,1811    "f_rd_rev": 0.0403,1812    "f_rev_growth": 0.0089,1813    "f_roa": 0.1234,1814    "hist_adverse_rate": 0.3704,1815    "info_age_td": 0.0467,1816    "last_surprise": -0.5302,1817    "mean_surprise4": 0.6418,1818    "wd_amihud60": 0.0165,1819    "wd_bars20": 0.0246,1820    "wd_intraday20": -0.0385,1821    "wd_kurt60": -0.0131,1822    "wd_log_dollar_vol60": 0.2338,1823    "wd_maxdd60": -0.105,1824    "wd_overnight20": -0.0331,1825    "wd_parkinson20": 0.079,1826    "wd_ret20": 0.0587,1827    "wd_ret60": -0.1004,1828    "wd_skew60": -0.0177,1829    "wd_vol20": 0.0113,1830    "wd_vol60": 0.0785,1831    "wd_volratio20": -0.0034,1832    "wd_volratio5": 0.0367,1833    "wd_zeroret60": 0.00381834   },1835   "design": "event",1836   "h": 20,1837   "model": "B2",1838   "n_features": 37,1839   "n_test": 43596,1840   "n_train": 22331,1841   "n_valid": 10012,1842   "tag": "firmhold_seen",1843   "target": "y_adverse_opinc",1844   "val_logloss": 0.57051456333596441845  },1846  {1847   "C": 0.01,1848   "coef": {1849    "f_accruals": -0.0363,1850    "f_capex_assets": -0.0601,1851    "f_cash_assets": 0.1409,1852    "f_current_ratio": 0.036,1853    "f_gross_margin": -0.1013,1854    "f_int_cover": 0.0348,1855    "f_leverage": -0.0124,1856    "f_log_assets": -0.3236,1857    "f_log_mcap": -0.0848,1858    "f_loss": -0.0001,1859    "f_net_issuance": -0.0396,1860    "f_ni_assets": 0.0981,1861    "f_ocf_assets": -0.0179,1862    "f_op_margin": 0.0949,1863    "f_rd_rev": 0.053,1864    "f_rev_growth": 0.0105,1865    "f_roa": 0.1174,1866    "hist_adverse_rate": 0.3653,1867    "info_age_td": 0.0448,1868    "last_surprise": -0.5273,1869    "mean_surprise4": 0.6396,1870    "w1m_ac1": -0.0173,1871    "w1m_beta": -0.035,1872    "w1m_bpv": -0.0333,1873    "w1m_down_vol_share": -0.0477,1874    "w1m_drift": 0.0109,1875    "w1m_max_share": -0.0391,1876    "w1m_present_share": 0.0156,1877    "w1m_rj": 0.035,1878    "w1m_rkurt": 0.0046,1879    "w1m_rskew": 0.0626,1880    "w1m_rsneg_share": 0.0319,1881    "w1m_rv": -0.0704,1882    "w1m_rv_mktdown_share": -0.0055,1883    "w1m_sjv": -0.0319,1884    "w1m_vol_first30": 0.0344,1885    "w1m_vol_gini": -0.0611,1886    "w1m_vol_last30": -0.029,1887    "w1m_volofvol": -0.0075,1888    "w1m_vratio": 0.0378,1889    "wd_amihud60": 0.0159,1890    "wd_bars20": -0.0125,1891    "wd_intraday20": -0.0312,1892    "wd_kurt60": -0.0125,1893    "wd_log_dollar_vol60": 0.2452,1894    "wd_maxdd60": -0.1036,1895    "wd_overnight20": -0.029,1896    "wd_parkinson20": 0.1353,1897    "wd_ret20": 0.0484,1898    "wd_ret60": -0.1004,1899    "wd_skew60": -0.0186,1900    "wd_vol20": 0.0392,1901    "wd_vol60": 0.0784,1902    "wd_volratio20": -0.0062,1903    "wd_volratio5": 0.0359,1904    "wd_zeroret60": -0.01971905   },1906   "design": "event",1907   "h": 20,1908   "model": "B5",1909   "n_features": 56,1910   "n_test": 43596,1911   "n_train": 22331,1912   "n_valid": 10012,1913   "tag": "firmhold_seen",1914   "target": "y_adverse_opinc",1915   "val_logloss": 0.57117215099196561916  },1917  {1918   "C": 0.01,1919   "coef": {1920    "f_accruals": 0.1016,1921    "f_capex_assets": -0.0768,1922    "f_cash_assets": 0.2058,1923    "f_current_ratio": 0.037,1924    "f_gross_margin": -0.0837,1925    "f_int_cover": 0.0038,1926    "f_leverage": 0.0901,1927    "f_log_assets": -0.1859,1928    "f_log_mcap": -0.0775,1929    "f_loss": 0.1096,1930    "f_net_issuance": -0.0034,1931    "f_ni_assets": 0.1004,1932    "f_ocf_assets": 0.018,1933    "f_op_margin": 0.0184,1934    "f_rd_rev": 0.0459,1935    "f_rev_growth": 0.0142,1936    "f_roa": 0.1086,1937    "hist_adverse_rate": 0.3198,1938    "info_age_td": 0.0704,1939    "last_surprise": -0.4401,1940    "mean_surprise4": 0.47881941   },1942   "design": "event",1943   "h": 20,1944   "model": "B1",1945   "n_features": 21,1946   "n_test": 53663,1947   "n_train": 27574,1948   "n_valid": 12362,1949   "tag": "chrono",1950   "target": "y_adverse_netinc",1951   "val_logloss": 0.6500189402791021952  },1953  {1954   "C": 0.01,1955   "coef": {1956    "f_accruals": 0.114,1957    "f_capex_assets": -0.0439,1958    "f_cash_assets": 0.1515,1959    "f_current_ratio": 0.0136,1960    "f_gross_margin": -0.0727,1961    "f_int_cover": -0.0004,1962    "f_leverage": 0.074,1963    "f_log_assets": -0.3042,1964    "f_log_mcap": -0.0849,1965    "f_loss": 0.056,1966    "f_net_issuance": -0.0185,1967    "f_ni_assets": 0.1269,1968    "f_ocf_assets": 0.0366,1969    "f_op_margin": 0.05,1970    "f_rd_rev": 0.0657,1971    "f_rev_growth": -0.0007,1972    "f_roa": 0.1309,1973    "hist_adverse_rate": 0.2809,1974    "info_age_td": 0.0677,1975    "last_surprise": -0.4421,1976    "mean_surprise4": 0.4628,1977    "wd_amihud60": 0.0488,1978    "wd_bars20": 0.1136,1979    "wd_intraday20": -0.0281,1980    "wd_kurt60": 0.0008,1981    "wd_log_dollar_vol60": 0.169,1982    "wd_maxdd60": -0.0575,1983    "wd_overnight20": -0.0152,1984    "wd_parkinson20": 0.1144,1985    "wd_ret20": 0.0428,1986    "wd_ret60": -0.073,1987    "wd_skew60": -0.0209,1988    "wd_vol20": 0.0111,1989    "wd_vol60": 0.0496,1990    "wd_volratio20": 0.0085,1991    "wd_volratio5": -0.0055,1992    "wd_zeroret60": 0.05031993   },1994   "design": "event",1995   "h": 20,1996   "model": "B2",1997   "n_features": 37,1998   "n_test": 53663,1999   "n_train": 27574,2000   "n_valid": 12362,2001   "tag": "chrono",2002   "target": "y_adverse_netinc",2003   "val_logloss": 0.62418563442324132004  },2005  {2006   "C": 0.01,2007   "coef": {2008    "f_accruals": 0.1161,2009    "f_capex_assets": -0.0399,2010    "f_cash_assets": 0.1457,2011    "f_current_ratio": 0.0181,2012    "f_gross_margin": -0.0733,2013    "f_int_cover": -0.0017,2014    "f_leverage": 0.0666,2015    "f_log_assets": -0.3236,2016    "f_log_mcap": -0.0687,2017    "f_loss": 0.0521,2018    "f_net_issuance": -0.0261,2019    "f_ni_assets": 0.1231,2020    "f_ocf_assets": 0.0381,2021    "f_op_margin": 0.0647,2022    "f_rd_rev": 0.0823,2023    "f_rev_growth": 0.0001,2024    "f_roa": 0.1251,2025    "hist_adverse_rate": 0.2785,2026    "info_age_td": 0.0657,2027    "last_surprise": -0.4394,2028    "mean_surprise4": 0.4625,2029    "w1m_ac1": 0.0344,2030    "w1m_beta": -0.0775,2031    "w1m_bpv": 0.0278,2032    "w1m_down_vol_share": -0.0003,2033    "w1m_drift": 0.015,2034    "w1m_max_share": -0.0587,2035    "w1m_present_share": 0.0453,2036    "w1m_rj": 0.0759,2037    "w1m_rkurt": 0.021,2038    "w1m_rskew": 0.0778,2039    "w1m_rsneg_share": 0.0507,2040    "w1m_rv": -0.1214,2041    "w1m_rv_mktdown_share": -0.0044,2042    "w1m_sjv": -0.0507,2043    "w1m_vol_first30": 0.0471,2044    "w1m_vol_gini": -0.0205,2045    "w1m_vol_last30": 0.0044,2046    "w1m_volofvol": 0.0201,2047    "w1m_vratio": 0.0555,2048    "wd_amihud60": 0.0325,2049    "wd_bars20": 0.0126,2050    "wd_intraday20": -0.0244,2051    "wd_kurt60": -0.0087,2052    "wd_log_dollar_vol60": 0.2019,2053    "wd_maxdd60": -0.0603,2054    "wd_overnight20": -0.0259,2055    "wd_parkinson20": 0.1407,2056    "wd_ret20": 0.058,2057    "wd_ret60": -0.0793,2058    "wd_skew60": -0.0217,2059    "wd_vol20": 0.0623,2060    "wd_vol60": 0.0639,2061    "wd_volratio20": -0.0047,2062    "wd_volratio5": -0.0051,2063    "wd_zeroret60": 0.02442064   },2065   "design": "event",2066   "h": 20,2067   "model": "B5",2068   "n_features": 56,2069   "n_test": 53663,2070   "n_train": 27574,2071   "n_valid": 12362,2072   "tag": "chrono",2073   "target": "y_adverse_netinc",2074   "val_logloss": 0.62586588094749362075  },2076  {2077   "C": 0.01,2078   "coef": {2079    "f_accruals": 0.0157,2080    "f_capex_assets": -0.0886,2081    "f_cash_assets": 0.102,2082    "f_current_ratio": 0.0716,2083    "f_gross_margin": -0.0561,2084    "f_int_cover": -0.0108,2085    "f_leverage": 0.0528,2086    "f_log_assets": 0.009,2087    "f_log_mcap": -0.1549,2088    "f_loss": 0.1268,2089    "f_net_issuance": -0.0567,2090    "f_ni_assets": -0.0245,2091    "f_ocf_assets": -0.0243,2092    "f_op_margin": 0.1144,2093    "f_rd_rev": 0.0581,2094    "f_rev_growth": -0.0274,2095    "f_roa": -0.0419,2096    "hist_adverse_rate": 0.3555,2097    "info_age_td": 0.0971,2098    "last_surprise": -0.1756,2099    "mean_surprise4": -0.03342100   },2101   "design": "event",2102   "h": 20,2103   "model": "B1",2104   "n_features": 21,2105   "n_test": 53662,2106   "n_train": 27573,2107   "n_valid": 12363,2108   "tag": "chrono",2109   "target": "y_roa_decline",2110   "val_logloss": 0.63593873539130992111  },2112  {2113   "C": 0.01,2114   "coef": {2115    "f_accruals": 0.0252,2116    "f_capex_assets": -0.0586,2117    "f_cash_assets": 0.0676,2118    "f_current_ratio": 0.0489,2119    "f_gross_margin": -0.0464,2120    "f_int_cover": -0.0192,2121    "f_leverage": 0.0424,2122    "f_log_assets": -0.0952,2123    "f_log_mcap": -0.1541,2124    "f_loss": 0.0871,2125    "f_net_issuance": -0.0635,2126    "f_ni_assets": -0.0073,2127    "f_ocf_assets": -0.0018,2128    "f_op_margin": 0.1295,2129    "f_rd_rev": 0.0685,2130    "f_rev_growth": -0.0332,2131    "f_roa": -0.0347,2132    "hist_adverse_rate": 0.3241,2133    "info_age_td": 0.0993,2134    "last_surprise": -0.1669,2135    "mean_surprise4": -0.0442,2136    "wd_amihud60": 0.0199,2137    "wd_bars20": 0.0163,2138    "wd_intraday20": -0.0776,2139    "wd_kurt60": 0.0069,2140    "wd_log_dollar_vol60": 0.1836,2141    "wd_maxdd60": -0.1908,2142    "wd_overnight20": -0.0899,2143    "wd_parkinson20": -0.0145,2144    "wd_ret20": 0.1182,2145    "wd_ret60": -0.0861,2146    "wd_skew60": -0.0192,2147    "wd_vol20": 0.0466,2148    "wd_vol60": -0.0055,2149    "wd_volratio20": 0.0546,2150    "wd_volratio5": -0.0189,2151    "wd_zeroret60": 0.01182152   },2153   "design": "event",2154   "h": 20,2155   "model": "B2",2156   "n_features": 37,2157   "n_test": 53662,2158   "n_train": 27573,2159   "n_valid": 12363,2160   "tag": "chrono",2161   "target": "y_roa_decline",2162   "val_logloss": 0.60714686200337292163  },2164  {2165   "C": 0.01,2166   "coef": {2167    "f_accruals": 0.0258,2168    "f_capex_assets": -0.0524,2169    "f_cash_assets": 0.0688,2170    "f_current_ratio": 0.0545,2171    "f_gross_margin": -0.0444,2172    "f_int_cover": -0.0169,2173    "f_leverage": 0.0341,2174    "f_log_assets": -0.0895,2175    "f_log_mcap": -0.1505,2176    "f_loss": 0.0801,2177    "f_net_issuance": -0.0641,2178    "f_ni_assets": -0.0145,2179    "f_ocf_assets": -0.0057,2180    "f_op_margin": 0.1309,2181    "f_rd_rev": 0.0751,2182    "f_rev_growth": -0.032,2183    "f_roa": -0.0432,2184    "hist_adverse_rate": 0.3238,2185    "info_age_td": 0.0996,2186    "last_surprise": -0.1631,2187    "mean_surprise4": -0.0423,2188    "w1m_ac1": -0.0082,2189    "w1m_beta": -0.0809,2190    "w1m_bpv": -0.025,2191    "w1m_down_vol_share": -0.0183,2192    "w1m_drift": 0.0103,2193    "w1m_max_share": -0.064,2194    "w1m_present_share": -0.0046,2195    "w1m_rj": 0.0356,2196    "w1m_rkurt": 0.0604,2197    "w1m_rskew": 0.0361,2198    "w1m_rsneg_share": 0.0203,2199    "w1m_rv": -0.1566,2200    "w1m_rv_mktdown_share": -0.0118,2201    "w1m_sjv": -0.0166,2202    "w1m_vol_first30": -0.0176,2203    "w1m_vol_gini": -0.0355,2204    "w1m_vol_last30": -0.0074,2205    "w1m_volofvol": -0.0167,2206    "w1m_vratio": 0.0579,2207    "wd_amihud60": 0.0468,2208    "wd_bars20": -0.0153,2209    "wd_intraday20": -0.0792,2210    "wd_kurt60": -0.0043,2211    "wd_log_dollar_vol60": 0.2319,2212    "wd_maxdd60": -0.1961,2213    "wd_overnight20": -0.0819,2214    "wd_parkinson20": 0.088,2215    "wd_ret20": 0.1098,2216    "wd_ret60": -0.08,2217    "wd_skew60": -0.019,2218    "wd_vol20": 0.1043,2219    "wd_vol60": 0.0266,2220    "wd_volratio20": 0.0461,2221    "wd_volratio5": -0.0182,2222    "wd_zeroret60": 0.00652223   },2224   "design": "event",2225   "h": 20,2226   "model": "B5",2227   "n_features": 56,2228   "n_test": 53662,2229   "n_train": 27573,2230   "n_valid": 12363,2231   "tag": "chrono",2232   "target": "y_roa_decline",2233   "val_logloss": 0.60955665251132762234  },2235  {2236   "C": 0.03,2237   "coef": {2238    "f_accruals": -0.1054,2239    "f_capex_assets": 0.0497,2240    "f_cash_assets": 0.2188,2241    "f_current_ratio": 0.0081,2242    "f_gross_margin": -0.196,2243    "f_int_cover": 0.0405,2244    "f_leverage": -0.0813,2245    "f_log_assets": -0.2526,2246    "f_log_mcap": -0.0921,2247    "f_loss": 0.0933,2248    "f_net_issuance": -0.0553,2249    "f_ni_assets": 0.0277,2250    "f_ocf_assets": -0.1484,2251    "f_op_margin": 0.2401,2252    "f_rd_rev": 0.2011,2253    "f_rev_growth": -0.0638,2254    "f_roa": 0.0399,2255    "hist_adverse_rate": 0.274,2256    "info_age_td": -0.0254,2257    "last_surprise": -0.1239,2258    "mean_surprise4": -0.03132259   },2260   "design": "event",2261   "h": 20,2262   "model": "B1",2263   "n_features": 21,2264   "n_test": 52999,2265   "n_train": 27374,2266   "n_valid": 12258,2267   "tag": "chrono",2268   "target": "y_ocf_negative",2269   "val_logloss": 0.47632272764758582270  },2271  {2272   "C": 0.3,2273   "coef": {2274    "f_accruals": -0.1184,2275    "f_capex_assets": 0.0738,2276    "f_cash_assets": 0.2064,2277    "f_current_ratio": -0.0198,2278    "f_gross_margin": -0.1953,2279    "f_int_cover": 0.0352,2280    "f_leverage": -0.0886,2281    "f_log_assets": -0.2741,2282    "f_log_mcap": -0.0823,2283    "f_loss": 0.0649,2284    "f_net_issuance": -0.0575,2285    "f_ni_assets": 0.0429,2286    "f_ocf_assets": -0.1681,2287    "f_op_margin": 0.3027,2288    "f_rd_rev": 0.2577,2289    "f_rev_growth": -0.0759,2290    "f_roa": 0.0619,2291    "hist_adverse_rate": 0.2524,2292    "info_age_td": -0.0356,2293    "last_surprise": -0.1188,2294    "mean_surprise4": -0.0359,2295    "wd_amihud60": -0.0892,2296    "wd_bars20": -0.0524,2297    "wd_intraday20": -0.05,2298    "wd_kurt60": 0.0139,2299    "wd_log_dollar_vol60": 0.0847,2300    "wd_maxdd60": -0.0777,2301    "wd_overnight20": -0.0507,2302    "wd_parkinson20": 0.1315,2303    "wd_ret20": 0.0414,2304    "wd_ret60": -0.0164,2305    "wd_skew60": -0.0203,2306    "wd_vol20": 0.019,2307    "wd_vol60": 0.0123,2308    "wd_volratio20": -0.0507,2309    "wd_volratio5": 0.0275,2310    "wd_zeroret60": -0.00862311   },2312   "design": "event",2313   "h": 20,2314   "model": "B2",2315   "n_features": 37,2316   "n_test": 52999,2317   "n_train": 27374,2318   "n_valid": 12258,2319   "tag": "chrono",2320   "target": "y_ocf_negative",2321   "val_logloss": 0.47919368862269872322  },2323  {2324   "C": 0.01,2325   "coef": {2326    "f_accruals": -0.0739,2327    "f_capex_assets": 0.0742,2328    "f_cash_assets": 0.2031,2329    "f_current_ratio": -0.0185,2330    "f_gross_margin": -0.1781,2331    "f_int_cover": 0.0334,2332    "f_leverage": -0.0807,2333    "f_log_assets": -0.2921,2334    "f_log_mcap": -0.0736,2335    "f_loss": 0.0596,2336    "f_net_issuance": -0.0523,2337    "f_ni_assets": 0.0155,2338    "f_ocf_assets": -0.1122,2339    "f_op_margin": 0.1666,2340    "f_rd_rev": 0.1345,2341    "f_rev_growth": -0.0691,2342    "f_roa": 0.0263,2343    "hist_adverse_rate": 0.2429,2344    "info_age_td": -0.036,2345    "last_surprise": -0.1191,2346    "mean_surprise4": -0.0367,2347    "w1m_ac1": -0.0202,2348    "w1m_beta": 0.0767,2349    "w1m_bpv": 0.0618,2350    "w1m_down_vol_share": -0.0201,2351    "w1m_drift": 0.015,2352    "w1m_max_share": -0.0499,2353    "w1m_present_share": -0.0202,2354    "w1m_rj": 0.0646,2355    "w1m_rkurt": -0.0024,2356    "w1m_rskew": -0.0001,2357    "w1m_rsneg_share": -0.0026,2358    "w1m_rv": -0.1191,2359    "w1m_rv_mktdown_share": 0.0069,2360    "w1m_sjv": 0.0069,2361    "w1m_vol_first30": -0.0056,2362    "w1m_vol_gini": -0.1481,2363    "w1m_vol_last30": -0.0586,2364    "w1m_volofvol": 0.0056,2365    "w1m_vratio": 0.0525,2366    "wd_amihud60": -0.0728,2367    "wd_bars20": -0.04,2368    "wd_intraday20": -0.0363,2369    "wd_kurt60": 0.0265,2370    "wd_log_dollar_vol60": 0.0091,2371    "wd_maxdd60": -0.0662,2372    "wd_overnight20": -0.0274,2373    "wd_parkinson20": 0.1004,2374    "wd_ret20": 0.0039,2375    "wd_ret60": -0.016,2376    "wd_skew60": -0.0227,2377    "wd_vol20": 0.0548,2378    "wd_vol60": -0.0035,2379    "wd_volratio20": -0.0375,2380    "wd_volratio5": 0.0249,2381    "wd_zeroret60": -0.00522382   },2383   "design": "event",2384   "h": 20,2385   "model": "B5",2386   "n_features": 56,2387   "n_test": 52999,2388   "n_train": 27374,2389   "n_valid": 12258,2390   "tag": "chrono",2391   "target": "y_ocf_negative",2392   "val_logloss": 0.473285051971824632393  },2394  {2395   "C": 0.3,2396   "coef": {2397    "f_accruals": -0.0598,2398    "f_capex_assets": -0.1568,2399    "f_cash_assets": -0.0236,2400    "f_current_ratio": -0.0177,2401    "f_gross_margin": 0.2735,2402    "f_int_cover": -0.1532,2403    "f_leverage": -0.0883,2404    "f_log_assets": 0.1145,2405    "f_log_mcap": -0.1668,2406    "f_loss": 0.1434,2407    "f_net_issuance": -0.0864,2408    "f_ni_assets": 0.0083,2409    "f_ocf_assets": -0.0553,2410    "f_op_margin": -0.156,2411    "f_rd_rev": -0.0247,2412    "f_rev_growth": 0.1079,2413    "f_roa": -0.0052,2414    "hist_adverse_rate": 0.1418,2415    "info_age_td": 0.0551,2416    "last_surprise": -0.0043,2417    "mean_surprise4": -0.03952418   },2419   "design": "event",2420   "h": 20,2421   "model": "B1",2422   "n_features": 21,2423   "n_test": 40376,2424   "n_train": 20201,2425   "n_valid": 9292,2426   "tag": "chrono",2427   "target": "y_liquidity_deterioration",2428   "val_logloss": 0.67934259744305882429  },2430  {2431   "C": 0.01,2432   "coef": {2433    "f_accruals": -0.0502,2434    "f_capex_assets": -0.1408,2435    "f_cash_assets": -0.0402,2436    "f_current_ratio": -0.0192,2437    "f_gross_margin": 0.2592,2438    "f_int_cover": -0.15,2439    "f_leverage": -0.0865,2440    "f_log_assets": 0.008,2441    "f_log_mcap": -0.0803,2442    "f_loss": 0.1218,2443    "f_net_issuance": -0.0878,2444    "f_ni_assets": 0.0099,2445    "f_ocf_assets": -0.0339,2446    "f_op_margin": -0.1162,2447    "f_rd_rev": 0.01,2448    "f_rev_growth": 0.1074,2449    "f_roa": -0.0029,2450    "hist_adverse_rate": 0.1211,2451    "info_age_td": 0.0589,2452    "last_surprise": -0.0024,2453    "mean_surprise4": -0.0446,2454    "wd_amihud60": 0.0974,2455    "wd_bars20": 0.1117,2456    "wd_intraday20": -0.0332,2457    "wd_kurt60": 0.0041,2458    "wd_log_dollar_vol60": -0.0014,2459    "wd_maxdd60": -0.1169,2460    "wd_overnight20": -0.0908,2461    "wd_parkinson20": -0.0181,2462    "wd_ret20": 0.0988,2463    "wd_ret60": -0.0541,2464    "wd_skew60": 0.026,2465    "wd_vol20": 0.0126,2466    "wd_vol60": -0.0324,2467    "wd_volratio20": -0.0229,2468    "wd_volratio5": 0.0246,2469    "wd_zeroret60": 0.01732470   },2471   "design": "event",2472   "h": 20,2473   "model": "B2",2474   "n_features": 37,2475   "n_test": 40376,2476   "n_train": 20201,2477   "n_valid": 9292,2478   "tag": "chrono",2479   "target": "y_liquidity_deterioration",2480   "val_logloss": 0.67722962471053272481  },2482  {2483   "C": 0.01,2484   "coef": {2485    "f_accruals": -0.0476,2486    "f_capex_assets": -0.135,2487    "f_cash_assets": -0.0327,2488    "f_current_ratio": -0.0204,2489    "f_gross_margin": 0.2559,2490    "f_int_cover": -0.1476,2491    "f_leverage": -0.0918,2492    "f_log_assets": 0.0239,2493    "f_log_mcap": -0.0764,2494    "f_loss": 0.1203,2495    "f_net_issuance": -0.0894,2496    "f_ni_assets": 0.005,2497    "f_ocf_assets": -0.0351,2498    "f_op_margin": -0.106,2499    "f_rd_rev": 0.0195,2500    "f_rev_growth": 0.1068,2501    "f_roa": -0.0051,2502    "hist_adverse_rate": 0.1243,2503    "info_age_td": 0.0619,2504    "last_surprise": -0.0015,2505    "mean_surprise4": -0.0445,2506    "w1m_ac1": -0.0848,2507    "w1m_beta": -0.0604,2508    "w1m_bpv": -0.0217,2509    "w1m_down_vol_share": 0.0402,2510    "w1m_drift": 0.0022,2511    "w1m_max_share": 0.0127,2512    "w1m_present_share": 0.1187,2513    "w1m_rj": 0.005,2514    "w1m_rkurt": -0.0158,2515    "w1m_rskew": -0.0392,2516    "w1m_rsneg_share": -0.0314,2517    "w1m_rv": -0.044,2518    "w1m_rv_mktdown_share": -0.0297,2519    "w1m_sjv": 0.0337,2520    "w1m_vol_first30": -0.0259,2521    "w1m_vol_gini": -0.0362,2522    "w1m_vol_last30": 0.0402,2523    "w1m_volofvol": -0.0602,2524    "w1m_vratio": 0.0592,2525    "wd_amihud60": 0.1195,2526    "wd_bars20": 0.1051,2527    "wd_intraday20": -0.042,2528    "wd_kurt60": 0.0025,2529    "wd_log_dollar_vol60": -0.027,2530    "wd_maxdd60": -0.1174,2531    "wd_overnight20": -0.0806,2532    "wd_parkinson20": 0.0274,2533    "wd_ret20": 0.0778,2534    "wd_ret60": -0.0464,2535    "wd_skew60": 0.0276,2536    "wd_vol20": 0.087,2537    "wd_vol60": -0.0138,2538    "wd_volratio20": -0.0271,2539    "wd_volratio5": 0.0259,2540    "wd_zeroret60": 0.00442541   },2542   "design": "event",2543   "h": 20,2544   "model": "B5",2545   "n_features": 56,2546   "n_test": 40376,2547   "n_train": 20201,2548   "n_valid": 9292,2549   "tag": "chrono",2550   "target": "y_liquidity_deterioration",2551   "val_logloss": 0.67940583638003842552  },2553  {2554   "C": 0.01,2555   "coef": {2556    "f_accruals": -0.1148,2557    "f_capex_assets": -0.0818,2558    "f_cash_assets": 0.2925,2559    "f_current_ratio": 0.1307,2560    "f_gross_margin": -0.2325,2561    "f_int_cover": 0.0481,2562    "f_leverage": 0.002,2563    "f_log_assets": -0.3409,2564    "f_log_mcap": 0.0786,2565    "f_loss": 0.2302,2566    "f_net_issuance": -0.0409,2567    "f_ni_assets": -0.0489,2568    "f_ocf_assets": -0.0396,2569    "f_op_margin": 0.1484,2570    "f_rd_rev": 0.0579,2571    "f_rev_growth": 0.0742,2572    "f_roa": 0.0052,2573    "hist_adverse_rate": 0.7843,2574    "info_age_td": 0.1211,2575    "last_surprise": 0.0791,2576    "mean_surprise4": 0.30762577   },2578   "design": "event",2579   "h": 20,2580   "model": "B1",2581   "n_features": 21,2582   "n_test": 53667,2583   "n_train": 27574,2584   "n_valid": 12364,2585   "tag": "chrono",2586   "target": "y_abs_surprise",2587   "val_logloss": 0.56551278664932032588  },2589  {2590   "C": 1.0,2591   "coef": {2592    "f_accruals": -0.1387,2593    "f_capex_assets": -0.0417,2594    "f_cash_assets": 0.2002,2595    "f_current_ratio": 0.0976,2596    "f_gross_margin": -0.2177,2597    "f_int_cover": 0.0414,2598    "f_leverage": -0.0159,2599    "f_log_assets": -0.4663,2600    "f_log_mcap": 0.0898,2601    "f_loss": 0.1601,2602    "f_net_issuance": -0.0533,2603    "f_ni_assets": -0.2005,2604    "f_ocf_assets": -0.0799,2605    "f_op_margin": 0.2515,2606    "f_rd_rev": 0.1155,2607    "f_rev_growth": 0.0519,2608    "f_roa": 0.2639,2609    "hist_adverse_rate": 0.7531,2610    "info_age_td": 0.1264,2611    "last_surprise": 0.0697,2612    "mean_surprise4": 0.322,2613    "wd_amihud60": 0.1239,2614    "wd_bars20": 0.1348,2615    "wd_intraday20": -0.1341,2616    "wd_kurt60": -0.002,2617    "wd_log_dollar_vol60": 0.1833,2618    "wd_maxdd60": 0.0138,2619    "wd_overnight20": -0.0376,2620    "wd_parkinson20": 0.1631,2621    "wd_ret20": 0.1129,2622    "wd_ret60": -0.0282,2623    "wd_skew60": 0.0168,2624    "wd_vol20": -0.0435,2625    "wd_vol60": 0.2657,2626    "wd_volratio20": -0.0173,2627    "wd_volratio5": 0.0006,2628    "wd_zeroret60": 0.01542629   },2630   "design": "event",2631   "h": 20,2632   "model": "B2",2633   "n_features": 37,2634   "n_test": 53667,2635   "n_train": 27574,2636   "n_valid": 12364,2637   "tag": "chrono",2638   "target": "y_abs_surprise",2639   "val_logloss": 0.55108991756766662640  },2641  {2642   "C": 0.03,2643   "coef": {2644    "f_accruals": -0.1303,2645    "f_capex_assets": -0.0367,2646    "f_cash_assets": 0.192,2647    "f_current_ratio": 0.0901,2648    "f_gross_margin": -0.2161,2649    "f_int_cover": 0.0392,2650    "f_leverage": -0.0146,2651    "f_log_assets": -0.4992,2652    "f_log_mcap": 0.0985,2653    "f_loss": 0.1538,2654    "f_net_issuance": -0.0561,2655    "f_ni_assets": -0.0445,2656    "f_ocf_assets": -0.0663,2657    "f_op_margin": 0.239,2658    "f_rd_rev": 0.1144,2659    "f_rev_growth": 0.0527,2660    "f_roa": 0.0882,2661    "hist_adverse_rate": 0.7384,2662    "info_age_td": 0.1205,2663    "last_surprise": 0.0714,2664    "mean_surprise4": 0.3108,2665    "w1m_ac1": -0.0199,2666    "w1m_beta": -0.0138,2667    "w1m_bpv": 0.0167,2668    "w1m_down_vol_share": -0.0258,2669    "w1m_drift": 0.0484,2670    "w1m_max_share": -0.0616,2671    "w1m_present_share": 0.1041,2672    "w1m_rj": 0.076,2673    "w1m_rkurt": 0.0163,2674    "w1m_rskew": -0.0044,2675    "w1m_rsneg_share": 0.0017,2676    "w1m_rv": -0.0781,2677    "w1m_rv_mktdown_share": -0.0335,2678    "w1m_sjv": -0.0018,2679    "w1m_vol_first30": 0.0837,2680    "w1m_vol_gini": -0.0854,2681    "w1m_vol_last30": 0.0249,2682    "w1m_volofvol": -0.0957,2683    "w1m_vratio": 0.0536,2684    "wd_amihud60": 0.1228,2685    "wd_bars20": 0.0001,2686    "wd_intraday20": -0.0736,2687    "wd_kurt60": 0.0121,2688    "wd_log_dollar_vol60": 0.1772,2689    "wd_maxdd60": 0.0082,2690    "wd_overnight20": 0.0163,2691    "wd_parkinson20": 0.2504,2692    "wd_ret20": -0.0081,2693    "wd_ret60": -0.0317,2694    "wd_skew60": 0.019,2695    "wd_vol20": 0.0131,2696    "wd_vol60": 0.2066,2697    "wd_volratio20": -0.0195,2698    "wd_volratio5": 0.0013,2699    "wd_zeroret60": -0.02242700   },2701   "design": "event",2702   "h": 20,2703   "model": "B5",2704   "n_features": 56,2705   "n_test": 53667,2706   "n_train": 27574,2707   "n_valid": 12364,2708   "tag": "chrono",2709   "target": "y_abs_surprise",2710   "val_logloss": 0.54761883606979322711  },2712  {2713   "C": 0.01,2714   "coef": {2715    "f_accruals": -0.018,2716    "f_capex_assets": -0.0935,2717    "f_cash_assets": 0.1913,2718    "f_current_ratio": 0.0614,2719    "f_gross_margin": -0.1221,2720    "f_int_cover": 0.0588,2721    "f_leverage": -0.005,2722    "f_log_assets": -0.1456,2723    "f_log_mcap": -0.0919,2724    "f_loss": 0.052,2725    "f_net_issuance": -0.0206,2726    "f_ni_assets": 0.0693,2727    "f_ocf_assets": -0.0007,2728    "f_op_margin": 0.0562,2729    "f_rd_rev": 0.0453,2730    "f_rev_growth": 0.0087,2731    "f_roa": 0.0864,2732    "hist_adverse_rate": 0.4079,2733    "info_age_td": 0.0565,2734    "last_surprise": -0.5993,2735    "mean_surprise4": 0.70092736   },2737   "design": "event",2738   "h": 40,2739   "model": "B1",2740   "n_features": 21,2741   "n_test": 49340,2742   "n_train": 25414,2743   "n_valid": 10380,2744   "tag": "chrono",2745   "target": "y_adverse_opinc",2746   "val_logloss": 0.59663636264492592747  },2748  {2749   "C": 0.01,2750   "coef": {2751    "f_accruals": -0.0035,2752    "f_capex_assets": -0.0589,2753    "f_cash_assets": 0.1459,2754    "f_current_ratio": 0.0403,2755    "f_gross_margin": -0.1112,2756    "f_int_cover": 0.054,2757    "f_leverage": -0.0121,2758    "f_log_assets": -0.254,2759    "f_log_mcap": -0.087,2760    "f_loss": 0.001,2761    "f_net_issuance": -0.0317,2762    "f_ni_assets": 0.088,2763    "f_ocf_assets": 0.0248,2764    "f_op_margin": 0.0727,2765    "f_rd_rev": 0.0543,2766    "f_rev_growth": -0.0007,2767    "f_roa": 0.0961,2768    "hist_adverse_rate": 0.3728,2769    "info_age_td": 0.0656,2770    "last_surprise": -0.5923,2771    "mean_surprise4": 0.6938,2772    "wd_amihud60": 0.0527,2773    "wd_bars20": 0.0513,2774    "wd_intraday20": -0.0302,2775    "wd_kurt60": 0.0084,2776    "wd_log_dollar_vol60": 0.1861,2777    "wd_maxdd60": -0.1639,2778    "wd_overnight20": -0.0363,2779    "wd_parkinson20": 0.0871,2780    "wd_ret20": 0.0215,2781    "wd_ret60": -0.0709,2782    "wd_skew60": -0.0243,2783    "wd_vol20": -0.0105,2784    "wd_vol60": 0.0028,2785    "wd_volratio20": -0.0122,2786    "wd_volratio5": 0.0478,2787    "wd_zeroret60": 0.00412788   },2789   "design": "event",2790   "h": 40,2791   "model": "B2",2792   "n_features": 37,2793   "n_test": 49340,2794   "n_train": 25414,2795   "n_valid": 10380,2796   "tag": "chrono",2797   "target": "y_adverse_opinc",2798   "val_logloss": 0.56745647093308432799  },2800  {2801   "C": 0.01,2802   "coef": {2803    "f_accruals": -0.0022,2804    "f_capex_assets": -0.0536,2805    "f_cash_assets": 0.1407,2806    "f_current_ratio": 0.0408,2807    "f_gross_margin": -0.1115,2808    "f_int_cover": 0.0521,2809    "f_leverage": -0.0121,2810    "f_log_assets": -0.2679,2811    "f_log_mcap": -0.0827,2812    "f_loss": -0.0018,2813    "f_net_issuance": -0.0405,2814    "f_ni_assets": 0.0859,2815    "f_ocf_assets": 0.0269,2816    "f_op_margin": 0.0807,2817    "f_rd_rev": 0.063,2818    "f_rev_growth": -0.0013,2819    "f_roa": 0.0924,2820    "hist_adverse_rate": 0.3704,2821    "info_age_td": 0.0682,2822    "last_surprise": -0.5903,2823    "mean_surprise4": 0.6918,2824    "w30m_ac1": -0.0103,2825    "w30m_beta": -0.0187,2826    "w30m_bpv": -0.0135,2827    "w30m_down_vol_share": -0.017,2828    "w30m_drift": 0.0025,2829    "w30m_max_share": 0.0017,2830    "w30m_present_share": -0.0382,2831    "w30m_rj": -0.0258,2832    "w30m_rkurt": 0.0077,2833    "w30m_rskew": 0.0338,2834    "w30m_rsneg_share": 0.0522,2835    "w30m_rv": -0.0435,2836    "w30m_rv_mktdown_share": -0.0175,2837    "w30m_sjv": -0.0531,2838    "w30m_vol_first30": 0.0701,2839    "w30m_vol_gini": -0.0494,2840    "w30m_vol_last30": -0.0016,2841    "w30m_volofvol": 0.007,2842    "w30m_vratio": 0.0313,2843    "wd_amihud60": 0.0348,2844    "wd_bars20": 0.0392,2845    "wd_intraday20": 0.0001,2846    "wd_kurt60": 0.0091,2847    "wd_log_dollar_vol60": 0.1494,2848    "wd_maxdd60": -0.1613,2849    "wd_overnight20": -0.0467,2850    "wd_parkinson20": 0.1019,2851    "wd_ret20": 0.0359,2852    "wd_ret60": -0.0765,2853    "wd_skew60": -0.0281,2854    "wd_vol20": 0.0251,2855    "wd_vol60": -0.0099,2856    "wd_volratio20": -0.0176,2857    "wd_volratio5": 0.0479,2858    "wd_zeroret60": -0.00232859   },2860   "design": "event",2861   "h": 40,2862   "model": "B3",2863   "n_features": 56,2864   "n_test": 49340,2865   "n_train": 25414,2866   "n_valid": 10380,2867   "tag": "chrono",2868   "target": "y_adverse_opinc",2869   "val_logloss": 0.56969365490980962870  },2871  {2872   "C": 0.01,2873   "coef": {2874    "f_accruals": -0.003,2875    "f_capex_assets": -0.0526,2876    "f_cash_assets": 0.1388,2877    "f_current_ratio": 0.0407,2878    "f_gross_margin": -0.1103,2879    "f_int_cover": 0.054,2880    "f_leverage": -0.0143,2881    "f_log_assets": -0.2757,2882    "f_log_mcap": -0.0734,2883    "f_loss": -0.0054,2884    "f_net_issuance": -0.0401,2885    "f_ni_assets": 0.0842,2886    "f_ocf_assets": 0.0267,2887    "f_op_margin": 0.0826,2888    "f_rd_rev": 0.0673,2889    "f_rev_growth": -0.0011,2890    "f_roa": 0.0918,2891    "hist_adverse_rate": 0.368,2892    "info_age_td": 0.0615,2893    "last_surprise": -0.5905,2894    "mean_surprise4": 0.6917,2895    "w5m_ac1": 0.0148,2896    "w5m_beta": -0.0254,2897    "w5m_bpv": -0.0193,2898    "w5m_down_vol_share": -0.0447,2899    "w5m_drift": -0.0083,2900    "w5m_max_share": 0.0349,2901    "w5m_present_share": -0.0053,2902    "w5m_rj": 0.0189,2903    "w5m_rkurt": -0.0447,2904    "w5m_rskew": 0.0789,2905    "w5m_rsneg_share": 0.0498,2906    "w5m_rv": -0.0339,2907    "w5m_rv_mktdown_share": -0.0143,2908    "w5m_sjv": -0.0498,2909    "w5m_vol_first30": 0.0524,2910    "w5m_vol_gini": -0.0262,2911    "w5m_vol_last30": -0.0382,2912    "w5m_volofvol": -0.031,2913    "w5m_vratio": 0.0351,2914    "wd_amihud60": 0.0345,2915    "wd_bars20": 0.0316,2916    "wd_intraday20": -0.0075,2917    "wd_kurt60": 0.0133,2918    "wd_log_dollar_vol60": 0.1753,2919    "wd_maxdd60": -0.161,2920    "wd_overnight20": -0.0382,2921    "wd_parkinson20": 0.1389,2922    "wd_ret20": 0.025,2923    "wd_ret60": -0.0753,2924    "wd_skew60": -0.0251,2925    "wd_vol20": 0.0242,2926    "wd_vol60": -0.0154,2927    "wd_volratio20": -0.0174,2928    "wd_volratio5": 0.0469,2929    "wd_zeroret60": -0.01922930   },2931   "design": "event",2932   "h": 40,2933   "model": "B4",2934   "n_features": 56,2935   "n_test": 49340,2936   "n_train": 25414,2937   "n_valid": 10380,2938   "tag": "chrono",2939   "target": "y_adverse_opinc",2940   "val_logloss": 0.56987003842751832941  },2942  {2943   "C": 0.01,2944   "coef": {2945    "f_accruals": -0.0034,2946    "f_capex_assets": -0.0533,2947    "f_cash_assets": 0.1377,2948    "f_current_ratio": 0.0422,2949    "f_gross_margin": -0.1107,2950    "f_int_cover": 0.0543,2951    "f_leverage": -0.0135,2952    "f_log_assets": -0.2805,2953    "f_log_mcap": -0.0713,2954    "f_loss": -0.006,2955    "f_net_issuance": -0.0399,2956    "f_ni_assets": 0.0827,2957    "f_ocf_assets": 0.025,2958    "f_op_margin": 0.081,2959    "f_rd_rev": 0.0669,2960    "f_rev_growth": -0.0017,2961    "f_roa": 0.0914,2962    "hist_adverse_rate": 0.3677,2963    "info_age_td": 0.0615,2964    "last_surprise": -0.5901,2965    "mean_surprise4": 0.6923,2966    "w1m_ac1": 0.0088,2967    "w1m_beta": -0.0276,2968    "w1m_bpv": -0.0339,2969    "w1m_down_vol_share": -0.0433,2970    "w1m_drift": -0.0118,2971    "w1m_max_share": 0.0302,2972    "w1m_present_share": 0.0372,2973    "w1m_rj": 0.0362,2974    "w1m_rkurt": -0.0394,2975    "w1m_rskew": 0.0239,2976    "w1m_rsneg_share": 0.022,2977    "w1m_rv": -0.0498,2978    "w1m_rv_mktdown_share": -0.0051,2979    "w1m_sjv": -0.022,2980    "w1m_vol_first30": 0.0486,2981    "w1m_vol_gini": -0.0258,2982    "w1m_vol_last30": -0.0475,2983    "w1m_volofvol": -0.0271,2984    "w1m_vratio": 0.0352,2985    "wd_amihud60": 0.048,2986    "wd_bars20": 0.0083,2987    "wd_intraday20": -0.0099,2988    "wd_kurt60": 0.011,2989    "wd_log_dollar_vol60": 0.1994,2990    "wd_maxdd60": -0.1636,2991    "wd_overnight20": -0.0387,2992    "wd_parkinson20": 0.1538,2993    "wd_ret20": 0.025,2994    "wd_ret60": -0.0774,2995    "wd_skew60": -0.0232,2996    "wd_vol20": 0.0148,2997    "wd_vol60": -0.0122,2998    "wd_volratio20": -0.0169,2999    "wd_volratio5": 0.046,3000    "wd_zeroret60": -0.01543001   },3002   "design": "event",3003   "h": 40,3004   "model": "B5",3005   "n_features": 56,3006   "n_test": 49340,3007   "n_train": 25414,3008   "n_valid": 10380,3009   "tag": "chrono",3010   "target": "y_adverse_opinc",3011   "val_logloss": 0.57021071308370323012  },3013  {3014   "C": 0.01,3015   "coef": {3016    "f_accruals": -0.0046,3017    "f_capex_assets": -0.052,3018    "f_cash_assets": 0.1403,3019    "f_current_ratio": 0.0417,3020    "f_gross_margin": -0.111,3021    "f_int_cover": 0.0558,3022    "f_leverage": -0.0134,3023    "f_log_assets": -0.2779,3024    "f_log_mcap": -0.0701,3025    "f_loss": -0.0071,3026    "f_net_issuance": -0.042,3027    "f_ni_assets": 0.0829,3028    "f_ocf_assets": 0.0255,3029    "f_op_margin": 0.0837,3030    "f_rd_rev": 0.0688,3031    "f_rev_growth": -0.0017,3032    "f_roa": 0.0918,3033    "hist_adverse_rate": 0.3676,3034    "info_age_td": 0.0631,3035    "last_surprise": -0.5897,3036    "mean_surprise4": 0.6928,3037    "w1m_ac1": 0.0046,3038    "w1m_beta": -0.0105,3039    "w1m_bpv": -0.0532,3040    "w1m_down_vol_share": -0.0225,3041    "w1m_drift": -0.0002,3042    "w1m_max_share": 0.0234,3043    "w1m_present_share": 0.0389,3044    "w1m_rj": 0.0294,3045    "w1m_rkurt": -0.022,3046    "w1m_rskew": -0.0068,3047    "w1m_rsneg_share": 0.0098,3048    "w1m_rv": -0.0718,3049    "w1m_rv_mktdown_share": 0.0018,3050    "w1m_sjv": -0.0098,3051    "w1m_vol_first30": 0.0181,3052    "w1m_vol_gini": -0.0313,3053    "w1m_vol_last30": -0.0488,3054    "w1m_volofvol": -0.0109,3055    "w1m_vratio": -0.0022,3056    "w30m_ac1": -0.0143,3057    "w30m_beta": -0.0011,3058    "w30m_bpv": 0.0074,3059    "w30m_down_vol_share": 0.0107,3060    "w30m_drift": -0.0002,3061    "w30m_max_share": -0.0013,3062    "w30m_present_share": -0.0385,3063    "w30m_rj": -0.0269,3064    "w30m_rkurt": 0.0096,3065    "w30m_rskew": 0.0126,3066    "w30m_rsneg_share": 0.0501,3067    "w30m_rv": -0.0219,3068    "w30m_rv_mktdown_share": -0.0139,3069    "w30m_sjv": -0.0514,3070    "w30m_vol_first30": 0.0181,3071    "w30m_vol_gini": -0.0045,3072    "w30m_vol_last30": 0.0036,3073    "w30m_volofvol": 0.039,3074    "w30m_vratio": -0.0008,3075    "w5m_ac1": -0.0012,3076    "w5m_beta": -0.0239,3077    "w5m_bpv": 0.0351,3078    "w5m_down_vol_share": -0.043,3079    "w5m_drift": -0.0002,3080    "w5m_max_share": 0.0313,3081    "w5m_present_share": 0.0367,3082    "w5m_rj": 0.0124,3083    "w5m_rkurt": -0.0415,3084    "w5m_rskew": 0.047,3085    "w5m_rsneg_share": 0.0004,3086    "w5m_rv": 0.0305,3087    "w5m_rv_mktdown_share": -0.0102,3088    "w5m_sjv": -0.0004,3089    "w5m_vol_first30": 0.0181,3090    "w5m_vol_gini": 0.01,3091    "w5m_vol_last30": 0.0049,3092    "w5m_volofvol": -0.0513,3093    "w5m_vratio": 0.0396,3094    "wd_amihud60": 0.0428,3095    "wd_bars20": 0.004,3096    "wd_intraday20": -0.0041,3097    "wd_kurt60": 0.0112,3098    "wd_log_dollar_vol60": 0.191,3099    "wd_maxdd60": -0.1614,3100    "wd_overnight20": -0.0472,3101    "wd_parkinson20": 0.1478,3102    "wd_ret20": 0.0412,3103    "wd_ret60": -0.0743,3104    "wd_skew60": -0.0273,3105    "wd_vol20": 0.0182,3106    "wd_vol60": -0.0163,3107    "wd_volratio20": -0.0175,3108    "wd_volratio5": 0.0463,3109    "wd_zeroret60": -0.01813110   },3111   "design": "event",3112   "h": 40,3113   "model": "B5all",3114   "n_features": 94,3115   "n_test": 49340,3116   "n_train": 25414,3117   "n_valid": 10380,3118   "tag": "chrono",3119   "target": "y_adverse_opinc",3120   "val_logloss": 0.57059993103492373121  },3122  {3123   "C": 0.01,3124   "coef": {3125    "f_accruals": -0.0452,3126    "f_capex_assets": -0.0911,3127    "f_cash_assets": 0.1884,3128    "f_current_ratio": 0.0595,3129    "f_gross_margin": -0.1173,3130    "f_int_cover": 0.0628,3131    "f_leverage": -0.0099,3132    "f_log_assets": -0.1591,3133    "f_log_mcap": -0.0943,3134    "f_loss": 0.0512,3135    "f_net_issuance": -0.0063,3136    "f_ni_assets": 0.0919,3137    "f_ocf_assets": -0.041,3138    "f_op_margin": 0.0635,3139    "f_rd_rev": 0.0566,3140    "f_rev_growth": 0.0121,3141    "f_roa": 0.1098,3142    "hist_adverse_rate": 0.4058,3143    "info_age_td": 0.0148,3144    "last_surprise": -0.6103,3145    "mean_surprise4": 0.71413146   },3147   "design": "calendar",3148   "h": 0,3149   "model": "B1",3150   "n_features": 21,3151   "n_test": 141477,3152   "n_train": 70952,3153   "n_valid": 29627,3154   "tag": "chrono",3155   "target": "y_adverse_opinc",3156   "val_logloss": 0.59874677727503793157  },3158  {3159   "C": 0.03,3160   "coef": {3161    "f_accruals": -0.0384,3162    "f_capex_assets": -0.0534,3163    "f_cash_assets": 0.1372,3164    "f_current_ratio": 0.0316,3165    "f_gross_margin": -0.1078,3166    "f_int_cover": 0.0568,3167    "f_leverage": -0.0164,3168    "f_log_assets": -0.2917,3169    "f_log_mcap": -0.0996,3170    "f_loss": -0.0037,3171    "f_net_issuance": -0.0177,3172    "f_ni_assets": 0.1193,3173    "f_ocf_assets": -0.0262,3174    "f_op_margin": 0.096,3175    "f_rd_rev": 0.0809,3176    "f_rev_growth": -0.0006,3177    "f_roa": 0.1299,3178    "hist_adverse_rate": 0.3732,3179    "info_age_td": 0.0297,3180    "last_surprise": -0.6185,3181    "mean_surprise4": 0.7217,3182    "wd_amihud60": 0.0441,3183    "wd_bars20": 0.0429,3184    "wd_intraday20": -0.0536,3185    "wd_kurt60": -0.0032,3186    "wd_log_dollar_vol60": 0.2227,3187    "wd_maxdd60": -0.1654,3188    "wd_overnight20": -0.0636,3189    "wd_parkinson20": 0.0842,3190    "wd_ret20": 0.048,3191    "wd_ret60": -0.0714,3192    "wd_skew60": -0.0138,3193    "wd_vol20": -0.001,3194    "wd_vol60": 0.0168,3195    "wd_volratio20": 0.0247,3196    "wd_volratio5": -0.0071,3197    "wd_zeroret60": 0.00483198   },3199   "design": "calendar",3200   "h": 0,3201   "model": "B2",3202   "n_features": 37,3203   "n_test": 141477,3204   "n_train": 70952,3205   "n_valid": 29627,3206   "tag": "chrono",3207   "target": "y_adverse_opinc",3208   "val_logloss": 0.57372221159566183209  },3210  {3211   "C": 0.01,3212   "coef": {3213    "f_accruals": -0.0271,3214    "f_capex_assets": -0.0473,3215    "f_cash_assets": 0.1334,3216    "f_current_ratio": 0.0318,3217    "f_gross_margin": -0.1037,3218    "f_int_cover": 0.0567,3219    "f_leverage": -0.0165,3220    "f_log_assets": -0.2946,3221    "f_log_mcap": -0.09,3222    "f_loss": -0.0084,3223    "f_net_issuance": -0.0225,3224    "f_ni_assets": 0.1045,3225    "f_ocf_assets": -0.0101,3226    "f_op_margin": 0.0958,3227    "f_rd_rev": 0.0837,3228    "f_rev_growth": -0.0006,3229    "f_roa": 0.116,3230    "hist_adverse_rate": 0.3646,3231    "info_age_td": 0.0308,3232    "last_surprise": -0.6026,3233    "mean_surprise4": 0.7038,3234    "w30m_ac1": -0.0172,3235    "w30m_beta": -0.0257,3236    "w30m_bpv": -0.0259,3237    "w30m_down_vol_share": -0.027,3238    "w30m_drift": 0.0168,3239    "w30m_max_share": 0.0017,3240    "w30m_present_share": -0.001,3241    "w30m_rj": 0.0028,3242    "w30m_rkurt": 0.0089,3243    "w30m_rskew": 0.0894,3244    "w30m_rsneg_share": 0.0798,3245    "w30m_rv": -0.061,3246    "w30m_rv_mktdown_share": 0.0032,3247    "w30m_sjv": -0.08,3248    "w30m_vol_first30": 0.0523,3249    "w30m_vol_gini": -0.0686,3250    "w30m_vol_last30": 0.0072,3251    "w30m_volofvol": -0.0544,3252    "w30m_vratio": 0.0233,3253    "wd_amihud60": 0.0364,3254    "wd_bars20": 0.006,3255    "wd_intraday20": -0.0099,3256    "wd_kurt60": 0.0029,3257    "wd_log_dollar_vol60": 0.2,3258    "wd_maxdd60": -0.1605,3259    "wd_overnight20": -0.0575,3260    "wd_parkinson20": 0.1889,3261    "wd_ret20": 0.0346,3262    "wd_ret60": -0.0711,3263    "wd_skew60": -0.0211,3264    "wd_vol20": 0.0361,3265    "wd_vol60": 0.0021,3266    "wd_volratio20": 0.0211,3267    "wd_volratio5": -0.0042,3268    "wd_zeroret60": -0.00313269   },3270   "design": "calendar",3271   "h": 0,3272   "model": "B3",3273   "n_features": 56,3274   "n_test": 141477,3275   "n_train": 70952,3276   "n_valid": 29627,3277   "tag": "chrono",3278   "target": "y_adverse_opinc",3279   "val_logloss": 0.57428761055805373280  },3281  {3282   "C": 0.01,3283   "coef": {3284    "f_accruals": -0.0287,3285    "f_capex_assets": -0.046,3286    "f_cash_assets": 0.1323,3287    "f_current_ratio": 0.0337,3288    "f_gross_margin": -0.1023,3289    "f_int_cover": 0.0567,3290    "f_leverage": -0.0197,3291    "f_log_assets": -0.307,3292    "f_log_mcap": -0.0794,3293    "f_loss": -0.0097,3294    "f_net_issuance": -0.0242,3295    "f_ni_assets": 0.105,3296    "f_ocf_assets": -0.0116,3297    "f_op_margin": 0.0961,3298    "f_rd_rev": 0.0857,3299    "f_rev_growth": -0.0008,3300    "f_roa": 0.1166,3301    "hist_adverse_rate": 0.3629,3302    "info_age_td": 0.0291,3303    "last_surprise": -0.6023,3304    "mean_surprise4": 0.7034,3305    "w5m_ac1": 0.0135,3306    "w5m_beta": -0.0269,3307    "w5m_bpv": -0.0186,3308    "w5m_down_vol_share": -0.0417,3309    "w5m_drift": 0.0193,3310    "w5m_max_share": 0.0184,3311    "w5m_present_share": -0.0256,3312    "w5m_rj": 0.0271,3313    "w5m_rkurt": -0.0278,3314    "w5m_rskew": 0.0933,3315    "w5m_rsneg_share": 0.0713,3316    "w5m_rv": -0.051,3317    "w5m_rv_mktdown_share": -0.0199,3318    "w5m_sjv": -0.0713,3319    "w5m_vol_first30": 0.0314,3320    "w5m_vol_gini": -0.0314,3321    "w5m_vol_last30": -0.0529,3322    "w5m_volofvol": -0.0653,3323    "w5m_vratio": 0.0253,3324    "wd_amihud60": 0.0307,3325    "wd_bars20": 0.0304,3326    "wd_intraday20": -0.0289,3327    "wd_kurt60": 0.0062,3328    "wd_log_dollar_vol60": 0.2112,3329    "wd_maxdd60": -0.1592,3330    "wd_overnight20": -0.0608,3331    "wd_parkinson20": 0.1929,3332    "wd_ret20": 0.0406,3333    "wd_ret60": -0.0736,3334    "wd_skew60": -0.0177,3335    "wd_vol20": 0.0209,3336    "wd_vol60": -0.0009,3337    "wd_volratio20": 0.0195,3338    "wd_volratio5": -0.0057,3339    "wd_zeroret60": -0.01593340   },3341   "design": "calendar",3342   "h": 0,3343   "model": "B4",3344   "n_features": 56,3345   "n_test": 141477,3346   "n_train": 70952,3347   "n_valid": 29627,3348   "tag": "chrono",3349   "target": "y_adverse_opinc",3350   "val_logloss": 0.57475586689473683351  },3352  {3353   "C": 0.01,3354   "coef": {3355    "f_accruals": -0.0317,3356    "f_capex_assets": -0.0474,3357    "f_cash_assets": 0.13,3358    "f_current_ratio": 0.0348,3359    "f_gross_margin": -0.103,3360    "f_int_cover": 0.057,3361    "f_leverage": -0.0199,3362    "f_log_assets": -0.3131,3363    "f_log_mcap": -0.073,3364    "f_loss": -0.009,3365    "f_net_issuance": -0.0249,3366    "f_ni_assets": 0.1054,3367    "f_ocf_assets": -0.016,3368    "f_op_margin": 0.0947,3369    "f_rd_rev": 0.0854,3370    "f_rev_growth": -0.0003,3371    "f_roa": 0.1203,3372    "hist_adverse_rate": 0.3631,3373    "info_age_td": 0.0315,3374    "last_surprise": -0.6009,3375    "mean_surprise4": 0.7029,3376    "w1m_ac1": -0.0009,3377    "w1m_beta": -0.0297,3378    "w1m_bpv": -0.0077,3379    "w1m_down_vol_share": -0.0531,3380    "w1m_drift": 0.0226,3381    "w1m_max_share": 0.0207,3382    "w1m_present_share": 0.0581,3383    "w1m_rj": 0.0473,3384    "w1m_rkurt": -0.0324,3385    "w1m_rskew": 0.0518,3386    "w1m_rsneg_share": 0.0389,3387    "w1m_rv": -0.0829,3388    "w1m_rv_mktdown_share": -0.018,3389    "w1m_sjv": -0.0389,3390    "w1m_vol_first30": 0.0283,3391    "w1m_vol_gini": -0.0354,3392    "w1m_vol_last30": -0.063,3393    "w1m_volofvol": -0.0309,3394    "w1m_vratio": 0.0204,3395    "wd_amihud60": 0.0409,3396    "wd_bars20": -0.0344,3397    "wd_intraday20": -0.0539,3398    "wd_kurt60": 0.0016,3399    "wd_log_dollar_vol60": 0.2431,3400    "wd_maxdd60": -0.1592,3401    "wd_overnight20": -0.0611,3402    "wd_parkinson20": 0.1846,3403    "wd_ret20": 0.0434,3404    "wd_ret60": -0.0777,3405    "wd_skew60": -0.0143,3406    "wd_vol20": 0.0047,3407    "wd_vol60": 0.0068,3408    "wd_volratio20": 0.0175,3409    "wd_volratio5": -0.0053,3410    "wd_zeroret60": -0.01533411   },3412   "design": "calendar",3413   "h": 0,3414   "model": "B5",3415   "n_features": 56,3416   "n_test": 141477,3417   "n_train": 70952,3418   "n_valid": 29627,3419   "tag": "chrono",3420   "target": "y_adverse_opinc",3421   "val_logloss": 0.57618307789306913422  },3423  {3424   "C": 0.01,3425   "coef": {3426    "f_accruals": -0.0315,3427    "f_capex_assets": -0.0463,3428    "f_cash_assets": 0.1304,3429    "f_current_ratio": 0.0338,3430    "f_gross_margin": -0.1021,3431    "f_int_cover": 0.0585,3432    "f_leverage": -0.0206,3433    "f_log_assets": -0.3118,3434    "f_log_mcap": -0.0727,3435    "f_loss": -0.0124,3436    "f_net_issuance": -0.0255,3437    "f_ni_assets": 0.1033,3438    "f_ocf_assets": -0.0149,3439    "f_op_margin": 0.0954,3440    "f_rd_rev": 0.0856,3441    "f_rev_growth": -0.0001,3442    "f_roa": 0.1189,3443    "hist_adverse_rate": 0.3609,3444    "info_age_td": 0.0291,3445    "last_surprise": -0.6003,3446    "mean_surprise4": 0.7029,3447    "w1m_ac1": -0.0038,3448    "w1m_beta": -0.0194,3449    "w1m_bpv": -0.0314,3450    "w1m_down_vol_share": -0.0462,3451    "w1m_drift": 0.0128,3452    "w1m_max_share": 0.0208,3453    "w1m_present_share": 0.0568,3454    "w1m_rj": 0.0343,3455    "w1m_rkurt": -0.0183,3456    "w1m_rskew": 0.0114,3457    "w1m_rsneg_share": 0.0095,3458    "w1m_rv": -0.0887,3459    "w1m_rv_mktdown_share": -0.0169,3460    "w1m_sjv": -0.0095,3461    "w1m_vol_first30": 0.0104,3462    "w1m_vol_gini": -0.0103,3463    "w1m_vol_last30": -0.0407,3464    "w1m_volofvol": 0.0579,3465    "w1m_vratio": -0.0719,3466    "w30m_ac1": -0.0213,3467    "w30m_beta": -0.0117,3468    "w30m_bpv": -0.0292,3469    "w30m_down_vol_share": -0.0056,3470    "w30m_drift": 0.0128,3471    "w30m_max_share": -0.0049,3472    "w30m_present_share": 0.0081,3473    "w30m_rj": 0.0019,3474    "w30m_rkurt": 0.0144,3475    "w30m_rskew": 0.0692,3476    "w30m_rsneg_share": 0.0589,3477    "w30m_rv": -0.0464,3478    "w30m_rv_mktdown_share": 0.014,3479    "w30m_sjv": -0.0595,3480    "w30m_vol_first30": 0.0104,3481    "w30m_vol_gini": -0.0042,3482    "w30m_vol_last30": 0.003,3483    "w30m_volofvol": -0.0149,3484    "w30m_vratio": -0.016,3485    "w5m_ac1": 0.0115,3486    "w5m_beta": -0.009,3487    "w5m_bpv": 0.0523,3488    "w5m_down_vol_share": -0.0133,3489    "w5m_drift": 0.0128,3490    "w5m_max_share": 0.0211,3491    "w5m_present_share": -0.015,3492    "w5m_rj": 0.0148,3493    "w5m_rkurt": -0.0412,3494    "w5m_rskew": 0.0449,3495    "w5m_rsneg_share": 0.0334,3496    "w5m_rv": 0.0433,3497    "w5m_rv_mktdown_share": -0.0185,3498    "w5m_sjv": -0.0334,3499    "w5m_vol_first30": 0.0104,3500    "w5m_vol_gini": -0.0196,3501    "w5m_vol_last30": -0.0215,3502    "w5m_volofvol": -0.1088,3503    "w5m_vratio": 0.1011,3504    "wd_amihud60": 0.0259,3505    "wd_bars20": -0.0284,3506    "wd_intraday20": -0.0353,3507    "wd_kurt60": 0.0035,3508    "wd_log_dollar_vol60": 0.244,3509    "wd_maxdd60": -0.1589,3510    "wd_overnight20": -0.0646,3511    "wd_parkinson20": 0.2297,3512    "wd_ret20": 0.0475,3513    "wd_ret60": -0.0705,3514    "wd_skew60": -0.021,3515    "wd_vol20": 0.0201,3516    "wd_vol60": 0.0034,3517    "wd_volratio20": 0.0188,3518    "wd_volratio5": -0.0038,3519    "wd_zeroret60": -0.01983520   },3521   "design": "calendar",3522   "h": 0,3523   "model": "B5all",3524   "n_features": 94,3525   "n_test": 141477,3526   "n_train": 70952,3527   "n_valid": 29627,3528   "tag": "chrono",3529   "target": "y_adverse_opinc",3530   "val_logloss": 0.57573039929003523531  }3532 ],3533 "run_at": "2026-11-02T15:00:45-0500"3534}
Files · main
Menu

Theme