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spb/wp41_uqo

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1{2 "config": {3  "name": "final",4  "description": "Untouched final chronological test (2025) and held-out instruments; models and baselines re-used from the main study without any re-tuning. Run once.",5  "paths": {6   "cache": "/Users/simon-pierreboucher/wp41-cache",7   "root": "/Users/simon-pierreboucher/wp41_uqo"8  },9  "universe": {10   "manifest": "data/manifests/universe_main.json",11   "symbols_from": "all"12  },13  "data": {14   "dataset_stock": "market_bars.stock.1m.raw",15   "dataset_etf": "market_bars.etf.1m.raw",16   "start": "2018-01-02",17   "end": "2025-12-31",18   "warmup_sessions": 2119  },20  "windows": {21   "L_A": 390,22   "L_B": 390,23   "L_C": 260,24   "H": 60,25   "m_min": 30,26   "min_future_present": 0.827  },28  "splits": {29   "train_end": "2022-12-31",30   "val_end": "2023-12-31",31   "test_end": "2024-12-31",32   "final_end": "2025-12-31",33   "embargo_sessions": 134  },35  "train": {36   "model": "small",37   "batch_size": 64,38   "max_steps": 12000,39   "lr": 0.0003,40   "warmup_steps": 400,41   "weight_decay": 0.01,42   "grad_clip": 1.0,43   "eval_every": 1000,44   "patience": 4,45   "origins_per_session": 2,46   "seed": 1,47   "num_workers": 10,48   "eval_batch_size": 256,49   "val_max_batches": 6050  },51  "eval": {52   "stride": 15,53   "horizons": [54    5,55    15,56    30,57    6058   ],59   "n_samples": 20060  },61  "baselines": [62   "naive",63   "har",64   "garch",65   "trees"66  ],67  "reference": "naive_rw",68  "models": [69   {70    "name": "mrpt_small",71    "preset": "small",72    "kwargs": {},73    "feature_set": "full"74   },75   {76    "name": "mrpt_small_1m_only",77    "preset": "small",78    "kwargs": {79     "branches": [80      "A"81     ]82    },83    "feature_set": "full"84   },85   {86    "name": "mrpt_base",87    "preset": "base",88    "kwargs": {},89    "feature_set": "full"90   },91   {92    "name": "tcn",93    "kind": "tcn"94   },95   {96    "name": "mlp",97    "kind": "mlp"98   }99  ]100 },101 "symbols": [102  "ABT",103  "ACH",104  "ACM",105  "ADP",106  "AG",107  "AGG",108  "ALB",109  "ALK",110  "AM",111  "AMLP",112  "APA",113  "ARCC",114  "ARKK",115  "ARMK",116  "AU",117  "AUPH",118  "AXTA",119  "BB",120  "BCE",121  "BDN",122  "BF.B",123  "BHP",124  "BKD",125  "BLDR",126  "BLMN",127  "BND",128  "BOX",129  "BTU",130  "CAH",131  "CB",132  "CG",133  "CHD",134  "CHTR",135  "CI",136  "CMCSA",137  "CME",138  "CNC",139  "CNDT",140  "CNO",141  "CNX",142  "COR",143  "CPRT",144  "CVBF",145  "CVE",146  "CX",147  "CZR",148  "D",149  "DB",150  "DBC",151  "DDD",152  "DGX",153  "DHI",154  "DIS",155  "DKS",156  "DLR",157  "DXC",158  "EBS",159  "EFX",160  "EHC",161  "EMLC",162  "EMN",163  "EOG",164  "EQNR",165  "EQT",166  "ERIC",167  "EWA",168  "EWT",169  "EWY",170  "FAST",171  "FAZ",172  "FEZ",173  "FHN",174  "FLR",175  "FPE",176  "FSLR",177  "FXI",178  "GDDY",179  "GEO",180  "GIL",181  "GLD",182  "GLNG",183  "GNTX",184  "GOOGL",185  "GOOS",186  "GPC",187  "GSAT",188  "GTN",189  "HAL",190  "HMC",191  "HOMB",192  "HOPE",193  "HSBC",194  "HSIC",195  "HXL",196  "IEF",197  "IGSB",198  "ILF",199  "INDA",200  "IRBT",201  "IRDM",202  "ITUB",203  "IVE",204  "IVZ",205  "IWF",206  "IXUS",207  "IYE",208  "J",209  "JPM",210  "KBE",211  "KBR",212  "KBWB",213  "KIM",214  "KLAC",215  "KMI",216  "KSS",217  "LBTYA",218  "LDOS",219  "LEN",220  "LNT",221  "LOW",222  "LQD",223  "LRCX",224  "LYG",225  "M",226  "MAA",227  "MAC",228  "MINT",229  "MOMO",230  "MPC",231  "MRSH",232  "MUR",233  "MUX",234  "NAVI",235  "NEM",236  "NI",237  "NOW",238  "NRG",239  "NTNX",240  "ODFL",241  "OIH",242  "OKE",243  "OPLN",244  "OPTU",245  "OXY",246  "PAGP",247  "PANW",248  "PBA",249  "PBR",250  "PBR.A",251  "PDBC",252  "PEP",253  "PFF",254  "PFG",255  "PFGC",256  "PHM",257  "PK",258  "POR",259  "PWR",260  "RCI",261  "RIO",262  "RIOT",263  "ROL",264  "ROST",265  "RPM",266  "RUN",267  "SABR",268  "SAN",269  "SBH",270  "SBSW",271  "SBUX",272  "SCHG",273  "SCO",274  "SDOW",275  "SDS",276  "SFM",277  "SH",278  "SHEL",279  "SHV",280  "SHW",281  "SJNK",282  "SLF",283  "SMFG",284  "SPDW",285  "SPEM",286  "SPGI",287  "SPWR",288  "SPY",289  "SPYD",290  "SRPT",291  "SSNC",292  "STAG",293  "TAP",294  "TDC",295  "TEL",296  "TIP",297  "TJX",298  "TMO",299  "TNA",300  "TPR",301  "TRI",302  "TTE",303  "TU",304  "TXRH",305  "UNFI",306  "UPRO",307  "URBN",308  "USFD",309  "USMV",310  "VALE",311  "VDE",312  "VEU",313  "VFH",314  "VGK",315  "VIAV",316  "VIG",317  "VIV",318  "VNQ",319  "VTEB",320  "VTR",321  "VWO",322  "VXX",323  "VZ",324  "WAB",325  "WDAY",326  "WEN",327  "WERN",328  "WES",329  "WIT",330  "WTRG",331  "WU",332  "WWW",333  "WY",334  "XBI",335  "XLP",336  "XLU",337  "XME",338  "XPO",339  "XYL",340  "ZION",341  "ZTO"342 ],343 "origins": {344  "train": 586202,345  "val": 1040345,346  "test": 986468,347  "final": 1008425348 },349 "eval_split": "final",350 "heldout": false351}
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