1{2 "config": {3 "name": "main",4 "description": "Main study. 240 pooled instruments (60 held out) x 2018-2025; train 2018-2022, validation 2023, development test 2024, untouched final test 2025 (configs/final.yaml).",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 "ACAD",103 "AEE",104 "AEP",105 "AVT",106 "BDX",107 "BHC",108 "BOTZ",109 "BRK.B",110 "CAKE",111 "CAT",112 "CNI",113 "CVNA",114 "ENB",115 "FNV",116 "FTI",117 "GPK",118 "H",119 "HD",120 "HDB",121 "HLF",122 "HTGC",123 "IAU",124 "ING",125 "ITB",126 "KBH",127 "KRG",128 "LKQ",129 "MCK",130 "MSFT",131 "MTZ",132 "ORCL",133 "PDM",134 "PSQ",135 "PTEN",136 "RBA",137 "SCHA",138 "SCHF",139 "SCHH",140 "SOXX",141 "SPHD",142 "SPSB",143 "SSO",144 "SYY",145 "TLT",146 "TOL",147 "TROW",148 "TSCO",149 "TZA",150 "UAL",151 "UDOW",152 "UE",153 "VEA",154 "VMBS",155 "VMC",156 "W",157 "WMT",158 "WRB",159 "XLRE",160 "XRT",161 "YUM"162 ],163 "origins": {164 "train": 146119,165 "val": 266237,166 "test": 250322,167 "final": 254334168 },169 "eval_split": "test",170 "heldout": true171}